US CLOs: 2018 Cohort (Investment Performance, Attribution, Net Collateral Margin, CCC, and WARF Change) This sample size is comprised of 66 deals (2018 vintage) managed by 40 managers. The loan benchmark used is S&P/LSTA U.S. B/BB Ratings Loan Index. The 66 deals have been grouped into six tiers (11 deals in each tier) based on…