US CLO Managers: Total/MV/Interest Alpha Trends since Jan 2020 (with Graph)

US CLO Managers: Total/MV/Interest Alpha Trends since Jan 2020 A sample of 363 deals (2016–2019* vintage deals) managed by 86 US CLO managers is included in this study. The benchmark loan index used is the S&P/LSTA U.S. B/BB Ratings Loan Index. The graph below shows the sample’s total/MV/interest alpha trend since Jan 2020. While on…