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Latest Arb Picture Of 2016 Vintage EU and US Deals

Latest Arb Picture Of 2016 Vintage EU and US Deals EU CLO 2016 vintageAlpha (Total annualised)Alpha (MV)Alpha (Interest)Worse Alpha (LTM)Net Collateral Interest MarginTotal Annualised return minus WACC (ARB)Group One (10 deals)0.4%0.1%0.3%-0.1%1.7%1.3%Group Two (10 deals)0.1%0.0%0.1%-0.2%1.6%1.2%Group Three (10 deals)-0.3%-0.3%0.0%-0.8%1.5%0.8%Average0.0%-0.1%0.1%-0.4%1.6%1.1% The latest average arb for EU CLOs (closed in 2016) stood at 1.1% based on their last reporting…

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