Impressive Latest Arb Picture: EU CLO 2018 Vintage EU CLO 2018Alpha (Total annualised)Alpha (NAV)Alpha (Interest)Total return (26 Feb 2021)MV return (26 Feb)Interest return (26 Feb)WACC (incl. mgmt fees)Tier 10.7%0.4%0.3%4.0%-0.1%4.1%2.2%Tier 20.3%0.1%0.2%3.6%-0.3%3.9%2.1%Tier 30.1%0.0%0.2%3.5%-0.4%3.9%2.1%Tier 4-0.1%-0.5%0.3%3.2%-0.9%4.1%2.0%Tier 5-0.5%-0.7%0.2%2.8%-1.1%4.0%2.0%Average0.1%-0.1%0.2%3.4%-0.5%4.0%2.1% A sample of 48 deals closed from Jan to Sep 2018 is included in this study. The average deal is largely tracking…
