US CLO Managers: Latest Investment Performance Attribution A sample of 358 deals (2016–2019 vintage deals) is included in this study. The benchmark loan index used is the S&P/LSTA U.S. B/BB Ratings Loan Index. The table below shows the latest total/MV/interest alpha metrics of 68 CLO managers as of 7 Jun 2022. US CLO ManagerQ1 2022…