3/29 US CLOs (2017 Vintage): Investment Performance of Wider Spread Deals – Freemium

2017 dealsDeal CountTotal Investment Alpha (Latest)Alpha (MV)Alpha (Interest)Average reported WAS (%)Deals with over 3.65% average reported WASGroup 1100.7%0.5%0.2%3.655Group 2100.5%0.4%0.1%3.562Group 3100.4%0.3%0.0%3.533Group 4100.3%0.3%0.0%3.521Group 5100.2%0.2%0.1%3.512Group 6100.2%0.3%-0.1%3.451Group 7110.0%0.0%0.0%3.542Group 811-0.2%-0.2%0.0%3.564Group 910-0.4%-0.3%-0.1%3.481Average 0.18%0.1%0.0%3.53Total ( 21) A sample of 92 deals closed in 2017 is included in the summarised result table above. The benchmark loan index used is S&P/LSTA U.S. B/BB Ratings Loan…

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