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EU CLO Managers (Performance)

EU CLOs: Trading Through Volatility (2017 Cohort) – Trading Volume and Range of Alpha (With Deal Names)

CLO Research
December 14, 2020
posted on

EU CLOs: Trading Through Volatility (2017 Cohort) – Trading Volume and Range of Alpha 2017 EU CLO VintageLatest Alpha (Total annualised)Max Alpha (Last 10 months)Min Alpha (Last 10 months)Average Alpha (Last 10 months)Sale Volume (%) LTMRange of Sale Volume (%)Tier 10.5%0.7%-0.1%0.3%29.6%15-43%Tier 20.2%0.4%-0.4%0.0%22.1%11-38%Tier 3-0.1%0.1%-0.6%-0.2%24.5%10%-50%Tier 4-0.6%-0.3%-1.3%-0.8%26.4%14%-49%Average0.0%0.2%-0.6%-0.2%25.6%  Source: CLO Research, Intex, LCD, LPC 44 EU CLO deals closed…

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