EU CLOs: 2018 Vintage Analysis – Performance, Par Build, WARF, Asia Funding, Risk Retention EU CLO 2018Alpha (Total annualised)Net Collateral Interest MarginAnnualised par gainAnnualised Change in WARFLatest WARFAAA from Asia (Count)First Loss RR (count)Tier 1 (17 deals)0.5%1.8%0.1%2273,247712Tier 2 (17 deals)0.0%2.0%0.0%2333,30027Tier 3 (18 deals)-0.7%2.0%-0.2%2663,43155Average-0.1%1.9%0.0%2423,328 Source: Intex, LPC, LCD, CLO Research Group 55 deals closed in 2018…
