CLO Manager Total Returns*

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Manager	# Deals	Perf. Ending	β	1M Index TRR	1M Mgr TRR	1M Part from β	1M Part from α	3M Index TRR	3M Mgr TRR	3M Part from β	3M Part from α	6M Index TRR	6M Mgr TRR	6M Part from β	6M Part from α	12M Index TRR	12M Mgr TRR	12M Part from β	12M Part from α
Newfleet Asset Management	1	8/7/2023	0.95	0.85	0.62	0.81	-0.19	3.54	4.55	3.38	1.18	4.05	4.13	3.87	0.27	8.84	9.55	8.44	1.11
Vista Credit	1	8/9/2023	0.94	0.99	1.80	0.93	0.87	3.70	4.37	3.48	0.89	4.29	6.67	4.04	2.63	8.70	8.56	8.17	0.39
Guggenheim Partners	5	8/16/2023	0.90	0.88	1.06	0.79	0.27	3.93	4.10	3.54	0.56	4.76	5.39	4.29	1.10	9.00	9.87	8.12	1.75
Generate Advisors	9	8/10/2023	0.98	0.74	0.95	0.73	0.22	3.73	4.12	3.66	0.46	4.31	5.54	4.24	1.30	8.80	10.96	8.65	2.31
Hayfin Capital Management	6	8/11/2023	0.94	0.88	1.24	0.82	0.41	3.81	4.02	3.57	0.45	4.33	5.14	4.06	1.08	8.66	9.48	8.11	1.37
CFI Partners	3	7/31/2023	0.94	1.39	1.52	1.31	0.21	3.44	3.62	3.23	0.39	4.94	5.43	4.65	0.78	10.04	10.00	9.44	0.56
Oaktree Capital Management	10	7/31/2023	1.03	1.39	1.51	1.44	0.07	3.44	3.92	3.55	0.37	4.93	5.50	5.09	0.41	10.44	11.51	10.78	0.73
Elmwood Asset Management	19	8/9/2023	0.87	0.94	1.00	0.83	0.18	3.72	3.61	3.25	0.36	5.07	5.32	4.43	0.89	10.22	10.95	8.94	2.01
AGL Credit	22	8/14/2023	1.10	0.99	1.06	1.09	-0.03	3.82	4.55	4.22	0.34	4.77	5.35	5.26	0.09	9.47	10.37	10.44	-0.07
Angelo, Gordon & Co	11	8/15/2023	1.11	0.84	1.22	0.93	0.29	3.87	4.56	4.28	0.28	4.61	5.74	5.10	0.65	8.91	9.59	9.85	-0.26
Bardin Hill Investment Partners	9	8/11/2023	1.05	0.91	1.37	0.96	0.41	3.73	4.16	3.93	0.23	4.35	4.37	4.58	-0.21	8.61	8.46	9.07	-0.61
Oak Hill Advisors	21	8/7/2023	0.97	0.96	1.10	0.94	0.16	3.61	3.73	3.52	0.22	4.36	5.14	4.24	0.90	9.28	10.56	9.03	1.53
Partners Group	9	8/15/2023	1.01	0.82	0.89	0.83	0.07	3.94	4.17	3.97	0.21	4.51	4.97	4.54	0.43	8.58	9.10	8.65	0.46
Canyon Capital Advisors	13	7/31/2023	0.99	1.40	1.45	1.38	0.06	3.45	3.57	3.40	0.16	4.95	5.40	4.88	0.52	10.23	10.71	10.09	0.62
ArrowMark Colorado Holdings	13	8/15/2023	0.99	0.86	0.98	0.85	0.13	3.88	3.99	3.84	0.15	4.58	4.76	4.53	0.22	8.91	8.26	8.81	-0.56
Sculptor Loan Management	24	8/21/2023	0.99	0.85	0.90	0.85	0.05	3.99	4.11	3.96	0.15	4.56	4.72	4.53	0.20	8.65	9.11	8.58	0.53
AXA Investment Managers	10	8/10/2023	1.00	0.91	0.99	0.90	0.09	3.81	3.92	3.80	0.13	4.54	4.79	4.52	0.27	9.06	8.91	9.01	-0.10
Par-Four Investment Management	4	8/8/2023	1.08	0.92	1.16	1.00	0.16	3.62	4.02	3.90	0.12	4.33	4.75	4.67	0.09	8.98	9.07	9.69	-0.62
Goldentree Asset Management	17	8/15/2023	1.01	0.98	1.07	0.99	0.08	3.88	4.02	3.91	0.11	4.59	5.20	4.63	0.57	9.22	10.50	9.29	1.21
Man Group	2	8/9/2023	1.00	0.92	1.00	0.92	0.09	3.65	3.77	3.66	0.11	4.39	4.59	4.40	0.19	9.04	9.11	9.08	0.03
King Street Capital Management	13	8/21/2023	1.08	0.92	1.06	0.99	0.07	3.96	4.40	4.29	0.10	4.80	5.60	5.20	0.40	8.73	9.13	9.47	-0.34
Orchard First Source Asset Management	4	8/9/2023	1.02	0.95	1.03	0.97	0.06	3.64	3.79	3.70	0.09	4.34	5.10	4.42	0.68	9.66	10.44	9.83	0.61
Onex Credit Partners	20	8/16/2023	0.98	0.88	0.87	0.87	0.00	3.90	3.92	3.84	0.08	4.70	4.88	4.62	0.26	9.02	9.52	8.86	0.66
CIFC Asset Management	43	8/14/2023	1.00	1.01	0.97	1.01	-0.04	3.86	3.93	3.85	0.08	4.77	4.88	4.75	0.13	9.42	9.58	9.38	0.20
American Money Management	12	8/16/2023	0.97	0.96	1.00	0.93	0.07	4.11	4.05	3.98	0.07	4.57	4.46	4.42	0.04	9.14	9.15	8.85	0.29
Barings	25	8/15/2023	1.02	0.92	0.99	0.93	0.06	3.84	3.99	3.92	0.06	4.68	4.81	4.78	0.04	9.21	9.68	9.39	0.28
Allstate Investment Management	11	8/10/2023	0.93	0.93	0.87	0.87	0.00	3.73	3.54	3.48	0.06	4.53	4.69	4.22	0.47	9.15	9.42	8.52	0.90
HPS Investment Partners	13	8/11/2023	1.00	0.91	1.06	0.91	0.14	3.80	3.86	3.81	0.05	4.58	4.88	4.59	0.29	8.87	9.28	8.89	0.39
Gulf Stream Asset Management	6	8/8/2023	1.09	1.02	0.89	1.11	-0.22	3.63	4.00	3.95	0.05	4.38	4.55	4.77	-0.22	9.00	9.11	9.79	-0.67
Anchorage Capital Group	19	8/17/2023	1.00	0.88	0.90	0.88	0.01	3.95	4.00	3.95	0.05	4.57	5.20	4.57	0.64	8.57	9.44	8.57	0.87
Crescent Capital Group	15	8/15/2023	1.15	0.88	1.01	1.01	0.00	3.86	4.48	4.45	0.04	4.81	5.10	5.54	-0.45	9.13	8.85	10.53	-1.67
CVC Credit Partners	23	8/15/2023	1.01	0.88	0.90	0.89	0.00	3.83	3.90	3.86	0.04	4.53	4.70	4.57	0.13	8.82	9.37	8.90	0.47
PPM America	5	7/31/2023	1.07	1.36	1.46	1.46	0.01	3.44	3.71	3.67	0.03	4.94	5.20	5.28	-0.08	10.11	9.87	10.80	-0.93
Napier Park Global Capital	19	8/7/2023	0.92	1.14	1.06	1.05	0.00	3.76	3.46	3.45	0.01	4.93	5.21	4.53	0.67	9.97	10.35	9.15	1.20
Vibrant Capital Partners	12	8/14/2023	1.06	0.89	0.96	0.95	0.02	3.82	4.04	4.04	0.00	4.36	4.37	4.62	-0.25	8.25	8.12	8.74	-0.61
SPBDAL	1	8/21/2023	1.00	0.86	0.86	0.86	0.00	4.18	4.18	4.18	0.00	4.91	4.91	4.91	0.00	8.27	8.27	8.27	0.00
Irradiant Partners	14	8/15/2023	1.02	0.89	0.88	0.91	-0.03	3.81	3.89	3.89	0.00	4.47	5.01	4.56	0.46	8.93	9.77	9.12	0.66
40/86 Advisors	3	7/31/2023	0.90	1.38	1.17	1.24	-0.07	3.33	2.98	2.99	-0.01	4.77	4.66	4.29	0.37	9.84	9.72	8.84	0.88
Invesco	16	8/1/2023	0.96	1.30	1.15	1.24	-0.10	3.39	3.24	3.25	-0.01	5.28	5.14	5.05	0.09	10.52	10.42	10.07	0.35
Sound Point Capital Management	50	8/14/2023	1.05	1.11	1.17	1.16	0.01	4.01	4.19	4.20	-0.01	4.96	5.06	5.19	-0.13	9.53	9.24	9.98	-0.74
Brigade Capital Management	15	8/14/2023	1.05	0.92	1.09	0.97	0.12	3.80	3.96	3.98	-0.02	4.53	4.51	4.74	-0.24	9.02	8.24	9.44	-1.21
Blackrock Financial Management	21	8/15/2023	0.93	0.98	0.83	0.92	-0.08	4.23	3.93	3.95	-0.02	4.86	4.84	4.53	0.31	9.57	9.72	8.93	0.79
PineBridge Investments	11	8/21/2023	1.02	0.89	0.82	0.91	-0.09	4.00	4.06	4.10	-0.04	4.75	4.49	4.87	-0.38	9.03	9.26	9.26	0.00
Whitebox Capital Management	3	8/14/2023	0.89	0.81	0.71	0.72	-0.01	3.88	3.40	3.44	-0.04	4.47	4.64	3.95	0.68	8.77	9.18	7.76	1.42
Aristotle	5	8/16/2023	1.05	0.94	1.01	0.98	0.03	3.96	4.10	4.15	-0.05	4.66	5.46	4.88	0.58	8.41	9.17	8.80	0.36
Blue Owl	14	8/9/2023	1.03	0.95	1.24	0.98	0.27	3.63	3.69	3.75	-0.05	4.47	4.93	4.60	0.33	9.29	8.51	9.58	-1.07
Seix Advisors	6	8/4/2023	1.02	1.00	0.99	1.02	-0.03	3.60	3.60	3.65	-0.05	4.65	4.40	4.73	-0.32	9.57	9.56	9.73	-0.17
Investcorp Credit Management	24	8/15/2023	1.04	0.90	0.98	0.94	0.04	3.84	3.92	4.00	-0.07	4.49	4.67	4.67	0.00	8.72	9.00	9.07	-0.06
Shenkman Capital Management	6	8/4/2023	1.03	0.96	1.05	1.00	0.05	3.56	3.60	3.68	-0.08	4.46	4.59	4.61	-0.02	9.43	9.26	9.75	-0.49
Voya Alternative Asset Management	28	7/31/2023	1.02	1.38	1.47	1.42	0.05	3.41	3.42	3.50	-0.08	5.06	5.21	5.18	0.03	10.21	9.92	10.46	-0.55
Greywolf Capital Management	1	7/21/2023	1.04	1.49	1.63	1.55	0.08	3.33	3.36	3.45	-0.09	5.15	5.04	5.34	-0.30	10.49	10.45	10.87	-0.42
Fortress Investment Group	6	8/9/2023	0.94	1.07	1.35	1.01	0.34	3.69	3.38	3.48	-0.09	4.49	5.32	4.24	1.08	9.26	9.30	8.73	0.57
Ballyrock Investment Advisors	9	8/14/2023	0.97	0.71	0.52	0.68	-0.16	3.85	3.62	3.72	-0.10	4.57	4.89	4.42	0.47	9.13	9.78	8.82	0.96
Palmer Square Capital Management	25	8/18/2023	0.99	0.87	0.85	0.86	-0.01	3.95	3.80	3.91	-0.11	4.81	4.83	4.77	0.06	9.43	9.30	9.34	-0.03
Octagon Credit Investors	44	8/16/2023	1.00	0.81	0.68	0.80	-0.13	3.85	3.73	3.84	-0.11	4.92	4.68	4.91	-0.23	9.00	8.44	8.98	-0.55
New York Life Investment Management	8	8/9/2023	0.97	0.97	0.87	0.94	-0.07	3.68	3.45	3.56	-0.11	4.51	4.51	4.37	0.14	9.07	9.52	8.78	0.74
Sixth Street	16	8/15/2023	0.99	0.93	0.96	0.92	0.05	3.86	3.70	3.81	-0.11	4.49	4.38	4.43	-0.06	8.67	8.70	8.57	0.13
Pretium Credit Management	6	8/9/2023	1.01	0.92	0.90	0.93	-0.03	3.70	3.63	3.75	-0.12	4.36	4.69	4.42	0.28	8.90	9.07	9.02	0.05
Apollo Global Management	20	8/8/2023	1.02	0.87	0.75	0.88	-0.13	3.63	3.56	3.70	-0.13	4.37	4.39	4.45	-0.06	9.15	9.19	9.33	-0.13
TCW Asset Management	7	8/18/2023	0.97	0.81	0.77	0.79	-0.01	4.01	3.77	3.91	-0.14	4.62	4.88	4.50	0.38	8.59	8.32	8.37	-0.05
KKR Financial Advisors	35	7/31/2023	1.05	1.39	1.39	1.46	-0.07	3.43	3.46	3.60	-0.15	4.96	5.56	5.20	0.36	10.38	11.31	10.89	0.42
Benefit Street Partners	35	8/18/2023	1.07	0.92	0.92	0.99	-0.07	3.99	4.12	4.28	-0.16	4.69	4.62	5.04	-0.42	9.06	9.28	9.72	-0.43
HalseyPoint Asset Management	6	8/18/2023	1.08	0.82	0.89	0.89	0.00	3.98	4.15	4.31	-0.16	4.84	5.26	5.24	0.02	8.81	9.27	9.53	-0.26
CarVal	6	8/10/2023	1.05	0.91	0.94	0.95	-0.01	3.72	3.72	3.90	-0.19	4.28	4.38	4.49	-0.11	9.02	9.19	9.47	-0.28
Trimaran Advisors	6	8/15/2023	1.00	0.81	0.76	0.81	-0.05	3.86	3.64	3.84	-0.20	4.42	4.22	4.41	-0.18	8.48	8.06	8.44	-0.38
Columbia Management	6	8/17/2023	1.02	0.78	0.94	0.80	0.14	3.97	3.87	4.07	-0.20	4.65	4.29	4.77	-0.48	8.10	7.14	8.30	-1.16
Blackstone	41	8/4/2023	1.04	1.02	0.96	1.06	-0.11	3.57	3.52	3.73	-0.21	4.50	4.30	4.70	-0.40	9.70	8.86	10.12	-1.26
Bain Capital Credit	25	8/14/2023	1.04	0.97	0.92	1.01	-0.09	3.81	3.76	3.98	-0.22	4.72	4.79	4.93	-0.13	9.75	9.49	10.19	-0.70
Morgan Stanley Eaton Vance	17	8/14/2023	1.02	0.90	0.90	0.92	-0.02	3.81	3.65	3.87	-0.22	4.56	4.58	4.64	-0.06	9.08	9.06	9.23	-0.17
AEGON USA Investment Management	12	8/17/2023	0.96	0.88	0.68	0.84	-0.17	3.94	3.58	3.80	-0.22	4.58	4.13	4.41	-0.28	8.62	8.02	8.31	-0.29
LCM Asset Management	28	8/17/2023	1.06	0.82	0.80	0.87	-0.07	3.90	3.91	4.14	-0.22	4.77	4.61	5.06	-0.45	8.77	8.15	9.30	-1.16
PGIM	46	8/17/2023	1.01	1.30	1.08	1.31	-0.23	4.43	4.22	4.45	-0.23	4.93	4.61	4.96	-0.35	9.62	8.97	9.68	-0.71
First Eagle Private Credit	28	8/10/2023	1.03	0.94	0.96	0.98	-0.02	3.69	3.57	3.81	-0.23	4.57	4.78	4.72	0.06	9.12	8.14	9.42	-1.28
Jefferies Finance	15	8/16/2023	1.12	0.82	1.13	0.93	0.21	3.93	4.17	4.41	-0.24	4.48	4.87	5.04	-0.16	8.79	9.23	9.87	-0.64
Carlyle Group	52	8/16/2023	1.06	0.95	0.95	1.00	-0.05	3.91	3.90	4.14	-0.24	4.51	4.77	4.77	-0.01	8.80	8.95	9.31	-0.36
Golub Capital	15	8/11/2023	0.96	0.99	0.92	0.95	-0.03	3.79	3.37	3.62	-0.26	4.58	5.00	4.38	0.62	8.88	9.04	8.49	0.55
Neuberger Berman	34	8/17/2023	1.03	0.87	0.80	0.90	-0.10	3.91	3.78	4.04	-0.26	4.65	4.35	4.80	-0.45	8.92	8.77	9.21	-0.44
MidOcean Credit Fund Management	9	8/17/2023	1.07	0.90	0.98	0.96	0.02	4.07	4.08	4.34	-0.26	4.82	4.78	5.14	-0.36	8.94	9.00	9.54	-0.54
Nuveen	21	8/15/2023	1.00	0.83	0.55	0.82	-0.27	3.85	3.57	3.84	-0.27	4.67	4.21	4.65	-0.44	9.13	8.14	9.10	-0.96
Fort Washington Investment Advisors	2	8/9/2023	1.02	0.87	0.86	0.88	-0.02	3.70	3.48	3.76	-0.28	4.29	4.10	4.35	-0.25	8.74	8.46	8.87	-0.41
Western Asset Management	4	8/10/2023	1.05	0.82	0.89	0.86	0.03	3.79	3.68	3.98	-0.30	4.68	4.77	4.91	-0.14	9.02	8.42	9.47	-1.05
MJX Asset Management	31	8/17/2023	1.09	0.93	1.16	1.01	0.15	3.94	3.99	4.29	-0.30	4.66	4.75	5.07	-0.31	8.92	8.46	9.71	-1.25
Canaras Capital Management	5	8/17/2023	1.15	0.80	1.15	0.92	0.24	3.98	4.28	4.59	-0.31	4.52	5.17	5.21	-0.04	8.15	8.07	9.39	-1.32
ORIX Advisers	10	8/18/2023	1.01	0.77	0.78	0.77	0.01	3.97	3.69	4.00	-0.32	4.61	4.04	4.66	-0.62	8.18	7.16	8.25	-1.09
Five Arrows Managers	7	8/14/2023	1.06	0.81	0.73	0.86	-0.13	3.83	3.75	4.07	-0.32	4.53	4.44	4.82	-0.39	9.00	8.91	9.58	-0.67
ICG Debt Advisors	15	8/21/2023	0.98	0.76	0.63	0.74	-0.11	4.01	3.58	3.92	-0.33	4.92	5.11	4.81	0.30	8.67	8.26	8.47	-0.21
Saratoga Investment Management	2	8/16/2023	1.06	0.90	1.04	0.95	0.08	3.95	3.84	4.18	-0.34	5.29	4.59	5.60	-1.01	10.16	8.85	10.76	-1.91
Park Avenue Institutional Advisers	7	8/11/2023	1.03	0.87	1.01	0.90	0.11	3.74	3.49	3.85	-0.36	4.62	4.16	4.76	-0.59	9.32	8.78	9.61	-0.83
Clover	7	8/17/2023	0.99	0.85	0.64	0.84	-0.20	3.98	3.57	3.94	-0.36	4.61	4.17	4.56	-0.39	8.47	8.48	8.38	0.09
Ares Management	38	8/21/2023	1.04	0.89	0.89	0.92	-0.03	4.09	3.87	4.24	-0.36	4.81	4.51	4.98	-0.47	9.32	9.24	9.66	-0.42
Credit Suisse First Boston	34	8/16/2023	1.02	0.89	0.85	0.91	-0.06	3.89	3.58	3.98	-0.40	4.62	4.96	4.73	0.22	8.85	9.72	9.06	0.66
Marathon Asset Management	13	8/11/2023	1.19	0.89	1.05	1.06	-0.01	3.78	4.08	4.49	-0.41	4.63	4.92	5.49	-0.57	9.11	9.66	10.81	-1.15
DoubleLine Capital	7	8/9/2023	1.08	0.88	1.00	0.95	0.05	3.67	3.53	3.96	-0.43	4.30	3.82	4.64	-0.82	8.80	7.68	9.50	-1.82
Steele Creek Investment Management	7	8/8/2023	1.06	1.15	0.96	1.21	-0.25	3.79	3.56	4.01	-0.44	4.78	4.29	5.05	-0.77	9.59	8.62	10.14	-1.51
WhiteStar	23	8/16/2023	1.05	0.89	0.91	0.94	-0.03	4.23	3.95	4.46	-0.51	4.82	4.69	5.08	-0.39	9.60	8.59	10.12	-1.53
Royal Bank of Canada	1	8/7/2023	1.05	0.94	0.75	0.98	-0.23	3.65	3.31	3.82	-0.51	3.80	3.86	3.98	-0.12	8.72	8.35	9.13	-0.79
Nassau Corporate Credit	8	8/3/2023	1.14	1.00	0.94	1.14	-0.20	3.39	3.30	3.87	-0.57	4.53	4.33	5.18	-0.84	9.65	8.09	11.02	-2.94
Post Advisory Group	2	8/10/2023	1.02	1.01	0.91	1.03	-0.12	3.75	3.22	3.84	-0.62	4.39	3.25	4.49	-1.24	8.62	7.20	8.82	-1.62
ZAIS Group	12	8/17/2023	1.19	0.91	1.12	1.09	0.03	3.91	3.95	4.67	-0.72	4.51	4.89	5.38	-0.50	8.74	9.24	10.42	-1.18
Aquarian Credit Partners	2	7/31/2023	1.15	1.39	0.87	1.60	-0.73	3.38	3.08	3.88	-0.80	4.84	3.96	5.55	-1.58	9.65	8.17	11.07	-2.90
MacKay Shields	2	7/31/2023	1.04	1.38	1.25	1.44	-0.19	3.38	2.66	3.51	-0.85	4.82	4.42	5.00	-0.58	10.03	10.19	10.40	-0.21
SPBDLL	1	8/21/2023	1.23	0.86	0.77	1.06	-0.29	4.18	4.14	5.14	-1.00	4.91	4.85	6.03	-1.18	8.27	7.89	10.15	-2.26
Telos Asset Management	4	7/31/2023	0.84	1.37	0.56	1.15	-0.60	3.33	0.84	2.80	-1.96	4.76	1.95	4.01	-2.06	9.82	1.96	8.28	-6.32
AllianceBernstein	2	8/9/2023		0.92	1.04			3.65	4.08			4.41	4.35			9.08	8.77
Beach Point	1	7/31/2023		1.39	1.50			3.44	3.75			4.94	5.40			10.04	10.66
Birch Grove Capital	3	8/8/2023		0.87	0.99			3.65	4.05			4.39	5.11			9.96	10.74
BlueBay Asset Management	1	8/3/2023		1.00	1.03			3.40	3.40			4.58	5.32
CQS Management	2	8/7/2023		0.92	1.03			3.62	3.97			4.38	4.83			9.96	10.92
Capital Four Management	2	8/18/2023		1.04	1.05			4.01	4.10			5.35	5.04
Diameter Capital	3	8/3/2023		1.04	1.19			3.40	3.39			4.58	5.35			9.75	11.50
Empower Capital Management	1	8/7/2023		1.00	0.93			3.63	3.68
FS Investments	2	8/9/2023		0.87	0.91			3.70	3.83			4.29	4.77			8.74	9.28
Muzinich & Co	1	8/1/2023		1.26	1.23			3.39	3.05
New Mountain Capital	3	8/7/2023		1.18	1.38			3.73	3.63			5.13	5.65			10.04	10.76
Pimco	4	8/8/2023		0.97	1.19			3.65	3.88			3.80	4.16			9.94	10.24
Putnam Investments	2	8/4/2023		0.96	1.23			3.54	4.46			4.45	5.13			10.46	11.67
Sancus	2	8/8/2023		0.87	0.97			3.68	3.75			4.33	5.21			9.56	10.87
Silver Rock Management	2	8/16/2023		1.02	1.11			4.06	4.34			2.60	3.34			6.65	7.19
Starwood Property Trust	2	8/9/2023		1.02	1.35			3.70	3.78			4.30	5.50			8.69	12.47
Sycamore Tree	1	8/9/2023		0.79	0.95			3.70	3.50			4.29	4.89			8.74	9.28
Tikehau Capital	2	8/9/2023		0.93	1.09			3.68	4.16			4.28	4.73			9.81	10.27

* Please see the Users’ Notes tab for an explanation of methods and results. Source: Intex, Markit, S&P, Santander US Capital Markets

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