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
Vista Credit	1	10/3/2023	0.94	0.69	1.39	0.65	0.74	3.05	4.85	2.87	1.98	6.22	8.73	5.85	2.88	11.86	12.75	11.17	1.59
Hayfin Capital Management	5	10/16/2023	0.93	0.25	0.52	0.24	0.28	2.73	3.37	2.54	0.82	6.22	6.92	5.79	1.13	12.01	12.99	11.18	1.81
Generate Advisors	9	10/11/2023	0.98	0.45	0.51	0.44	0.06	2.67	3.25	2.62	0.63	6.17	7.25	6.07	1.17	11.93	14.03	11.74	2.29
Bardin Hill Investment Partners	9	10/11/2023	1.05	0.46	0.52	0.49	0.04	2.81	3.57	2.96	0.62	6.17	6.67	6.51	0.16	11.96	11.57	12.61	-1.03
Fortress Investment Group	7	10/10/2023	0.94	0.56	0.78	0.53	0.24	2.97	3.33	2.80	0.53	6.33	6.23	5.96	0.27	12.09	11.63	11.39	0.24
Black Diamond Capital Management	4	10/16/2023	0.88	0.27	0.30	0.24	0.06	2.61	2.83	2.30	0.53	6.26	6.28	5.53	0.75	12.29	11.76	10.86	0.90
Guggenheim Partners	5	10/16/2023	0.90	0.33	0.37	0.30	0.07	2.80	3.01	2.53	0.48	6.29	6.55	5.68	0.87	12.17	12.35	10.98	1.38
Blue Owl	19	10/10/2023	1.04	0.49	0.64	0.51	0.12	2.88	3.46	2.99	0.47	6.21	6.82	6.45	0.37	12.11	11.74	12.58	-0.84
CFI Partners	3	10/2/2023	0.94	0.95	0.95	0.90	0.06	3.39	3.60	3.19	0.41	6.66	6.85	6.27	0.59	12.73	12.99	11.99	1.00
Crescent Capital Group	16	10/16/2023	1.15	0.42	0.27	0.48	-0.21	2.79	3.62	3.21	0.41	6.36	7.74	7.34	0.40	12.61	13.69	14.56	-0.86
Canaras Capital Management	5	10/17/2023	1.15	0.41	0.64	0.48	0.17	2.77	3.52	3.19	0.33	6.32	7.65	7.29	0.36	12.45	12.67	14.35	-1.68
Angelo, Gordon & Co	11	10/17/2023	1.10	0.55	0.74	0.60	0.14	2.84	3.45	3.13	0.32	6.38	7.54	7.05	0.50	12.42	13.21	13.70	-0.49
Irradiant Partners	15	10/18/2023	1.02	0.48	0.49	0.49	0.00	2.84	3.20	2.91	0.29	6.37	6.85	6.52	0.33	12.26	13.36	12.54	0.82
40/86 Advisors	3	10/5/2023	0.90	0.82	0.93	0.74	0.19	3.18	3.14	2.86	0.28	6.35	5.93	5.71	0.22	12.55	11.99	11.28	0.71
Man Group	2	10/10/2023	1.00	0.54	0.50	0.54	-0.04	2.89	3.12	2.91	0.22	6.22	6.35	6.25	0.10	11.99	12.06	12.04	0.02
Brigade Capital Management	15	10/12/2023	1.05	0.51	0.39	0.53	-0.14	2.87	3.20	3.01	0.19	6.27	6.79	6.57	0.22	12.19	12.19	12.78	-0.60
Ares Management	43	10/18/2023	1.04	0.50	0.69	0.51	0.18	2.81	3.05	2.92	0.14	6.38	6.16	6.63	-0.47	12.31	12.59	12.79	-0.20
Columbia Management	7	10/17/2023	1.03	0.24	0.14	0.24	-0.10	2.66	2.85	2.73	0.13	6.24	6.15	6.40	-0.25	11.77	11.04	12.07	-1.03
Elmwood Asset Management	20	10/11/2023	0.88	0.40	0.21	0.35	-0.14	2.76	2.55	2.42	0.12	6.43	5.99	5.63	0.36	12.97	12.74	11.36	1.38
Steele Creek Investment Management	7	10/11/2023	1.06	0.74	0.94	0.78	0.16	2.95	3.23	3.11	0.12	6.32	6.48	6.68	-0.19	12.38	11.66	13.08	-1.42
Oak Hill Advisors	23	10/6/2023	0.97	0.43	0.42	0.42	0.00	2.73	2.77	2.66	0.12	6.03	6.02	5.86	0.16	11.67	12.53	11.35	1.17
ArrowMark Colorado Holdings	13	10/13/2023	0.99	0.56	0.64	0.55	0.09	2.80	2.86	2.78	0.09	6.25	6.28	6.20	0.08	12.17	11.45	12.07	-0.62
American Money Management	9	10/16/2023	0.97	0.59	0.69	0.57	0.13	2.99	2.97	2.89	0.08	6.45	6.36	6.25	0.11	12.38	12.06	11.99	0.07
Golub Capital	18	10/12/2023	0.96	0.49	0.52	0.47	0.05	2.87	2.82	2.75	0.07	6.25	5.93	5.98	-0.05	12.22	11.87	11.70	0.18
Whitebox Capital Management	3	10/12/2023	0.88	0.43	0.50	0.38	0.13	2.74	2.49	2.42	0.07	6.26	5.60	5.52	0.07	12.12	11.57	10.70	0.88
MidOcean Credit Fund Management	9	10/18/2023	1.07	0.48	0.50	0.51	-0.01	2.83	3.09	3.02	0.07	6.32	6.59	6.75	-0.16	12.25	12.58	13.08	-0.51
TCW Asset Management	7	10/16/2023	0.98	0.33	0.32	0.32	0.01	2.71	2.68	2.65	0.04	6.29	6.06	6.14	-0.08	12.16	12.08	11.87	0.21
Investcorp Credit Management	26	10/16/2023	1.04	0.36	0.23	0.37	-0.15	2.78	2.92	2.90	0.02	6.29	6.32	6.56	-0.24	12.16	12.60	12.68	-0.08
Pretium Credit Management	6	10/10/2023	1.01	0.50	0.51	0.50	0.00	2.82	2.88	2.86	0.02	6.17	6.24	6.26	-0.01	11.96	12.17	12.13	0.04
Palmer Square Capital Management	24	10/18/2023	0.99	0.47	0.50	0.46	0.04	2.79	2.77	2.76	0.01	6.29	6.11	6.23	-0.12	12.25	12.01	12.13	-0.13
Partners Group	10	10/16/2023	1.01	0.11	-0.07	0.11	-0.18	2.66	2.68	2.69	-0.01	6.25	6.50	6.32	0.19	12.12	12.84	12.24	0.60
Canyon Capital Advisors	13	10/20/2023	0.99	0.89	0.74	0.88	-0.14	3.14	3.09	3.10	-0.01	6.63	6.68	6.53	0.14	13.04	13.57	12.85	0.72
Seix Advisors	6	10/6/2023	1.02	0.49	0.61	0.49	0.12	2.72	2.75	2.76	-0.01	6.11	6.10	6.21	-0.11	12.00	11.63	12.19	-0.56
King Street Capital Management	12	10/16/2023	1.09	0.13	0.01	0.14	-0.13	2.77	2.98	3.00	-0.02	6.28	7.07	6.81	0.26	12.02	13.04	13.04	0.00
Jefferies Finance	13	10/13/2023	1.10	0.46	0.56	0.51	0.06	2.70	2.95	2.97	-0.02	6.16	6.30	6.78	-0.48	12.14	12.06	13.37	-1.31
Sculptor Loan Management	22	10/19/2023	0.99	0.42	0.32	0.41	-0.09	2.80	2.76	2.78	-0.03	6.37	6.23	6.32	-0.09	12.11	12.16	12.01	0.14
AXA Investment Managers	11	10/12/2023	0.99	0.49	0.45	0.49	-0.04	2.80	2.75	2.78	-0.03	6.34	6.20	6.31	-0.11	12.14	11.80	12.08	-0.28
Bain Capital Credit	28	10/12/2023	1.04	0.39	0.45	0.40	0.05	2.82	2.89	2.94	-0.06	6.31	6.34	6.58	-0.25	12.57	12.56	13.10	-0.54
First Eagle Private Credit	29	10/20/2023	1.03	0.44	0.51	0.45	0.06	2.82	2.85	2.91	-0.06	6.44	6.35	6.64	-0.29	12.55	11.98	12.94	-0.96
Benefit Street Partners	34	10/13/2023	1.08	0.55	0.50	0.59	-0.09	2.90	3.06	3.12	-0.06	6.30	6.43	6.78	-0.35	12.21	12.43	13.14	-0.71
MJX Asset Management	31	10/18/2023	1.09	0.45	0.60	0.49	0.11	2.89	3.08	3.15	-0.07	6.41	6.67	6.98	-0.32	12.35	11.86	13.46	-1.60
New York Life Investment Management	7	10/18/2023	0.96	0.47	0.41	0.45	-0.04	2.71	2.55	2.62	-0.07	6.25	5.80	6.03	-0.23	12.24	12.23	11.80	0.43
PPM America	5	10/5/2023	1.07	0.67	0.69	0.72	-0.03	2.89	3.00	3.08	-0.08	6.15	6.49	6.56	-0.08	11.91	12.09	12.72	-0.63
Oaktree Capital Management	10	10/2/2023	1.03	0.96	0.81	0.99	-0.18	3.39	3.41	3.49	-0.08	6.66	6.97	6.86	0.10	12.70	13.17	13.09	0.08
Vibrant Capital Partners	12	10/10/2023	1.06	0.44	0.38	0.47	-0.08	2.79	2.88	2.96	-0.08	6.15	6.26	6.52	-0.26	11.80	11.86	12.50	-0.64
KKR Financial Advisors	36	10/2/2023	1.05	0.95	1.13	1.00	0.13	3.39	3.47	3.55	-0.08	6.65	6.92	6.97	-0.05	12.81	13.47	13.44	0.04
WhiteStar	23	10/16/2023	1.05	0.66	0.69	0.70	-0.01	2.73	2.79	2.88	-0.09	6.23	5.93	6.57	-0.64	12.25	11.94	12.93	-0.99
HPS Investment Partners	13	10/13/2023	1.00	0.53	0.29	0.53	-0.24	2.89	2.81	2.90	-0.09	6.44	6.33	6.45	-0.12	12.33	12.33	12.37	-0.03
CIFC Asset Management	43	10/13/2023	1.00	0.64	0.54	0.63	-0.10	2.98	2.87	2.97	-0.11	6.39	6.14	6.37	-0.24	12.60	12.66	12.56	0.10
Voya Alternative Asset Management	28	10/11/2023	1.03	0.69	0.68	0.71	-0.03	2.79	2.76	2.86	-0.11	6.17	6.10	6.33	-0.23	12.15	11.97	12.46	-0.49
ORIX Advisers	10	10/18/2023	1.01	0.30	0.23	0.30	-0.07	2.68	2.59	2.70	-0.12	6.27	5.61	6.33	-0.71	12.10	11.08	12.22	-1.14
Onex Credit Partners	21	10/16/2023	0.98	0.40	0.25	0.39	-0.14	2.76	2.59	2.71	-0.12	6.33	6.03	6.21	-0.18	12.36	12.77	12.12	0.64
LCM Asset Management	25	10/13/2023	1.07	0.37	0.40	0.39	0.01	2.68	2.73	2.86	-0.13	6.52	6.65	6.97	-0.31	12.50	12.38	13.35	-0.98
Allstate Investment Management	12	10/11/2023	0.93	0.53	0.34	0.50	-0.16	2.83	2.50	2.64	-0.14	6.20	5.71	5.78	-0.07	12.14	11.76	11.33	0.43
Invesco	16	10/17/2023	0.96	0.68	0.59	0.65	-0.06	2.81	2.56	2.70	-0.14	6.24	5.93	6.01	-0.08	12.81	12.54	12.34	0.21
Shenkman Capital Management	7	10/12/2023	1.04	0.75	0.67	0.77	-0.10	2.91	2.87	3.02	-0.15	6.39	6.42	6.62	-0.19	12.46	12.90	12.90	0.00
Orchard First Source Asset Management	3	10/10/2023	1.02	0.57	0.39	0.58	-0.19	2.96	2.86	3.01	-0.15	6.23	6.18	6.33	-0.16	12.10	12.18	12.31	-0.13
DoubleLine Capital	4	10/11/2023	1.08	0.53	0.31	0.57	-0.27	2.90	2.97	3.12	-0.15	6.23	5.65	6.71	-1.06	12.04	11.24	12.97	-1.73
Napier Park Global Capital	8	10/5/2023	0.92	0.62	0.62	0.57	0.06	2.82	2.43	2.59	-0.16	6.12	5.58	5.62	-0.04	11.89	11.69	10.92	0.77
Ballyrock Investment Advisors	10	10/13/2023	0.97	0.52	0.49	0.51	-0.02	2.58	2.35	2.52	-0.16	6.15	5.91	6.00	-0.09	12.17	12.38	11.87	0.51
Sound Point Capital Management	51	10/12/2023	1.05	0.71	0.60	0.75	-0.14	2.98	2.96	3.12	-0.16	6.35	6.37	6.65	-0.28	12.75	12.69	13.34	-0.66
Aristotle	5	10/11/2023	1.05	0.23	0.20	0.24	-0.04	2.74	2.70	2.87	-0.17	6.29	6.45	6.58	-0.12	12.19	13.17	12.75	0.41
Barings	26	10/13/2023	1.02	0.53	0.46	0.54	-0.07	2.87	2.75	2.92	-0.17	6.29	6.23	6.42	-0.19	12.29	12.63	12.54	0.09
Saratoga Investment Management	2	10/10/2023	1.06	0.48	0.52	0.51	0.01	2.76	2.74	2.92	-0.18	6.14	5.68	6.50	-0.81	12.00	10.57	12.69	-2.12
Nassau Corporate Credit	8	10/3/2023	1.14	0.69	0.99	0.79	0.20	3.04	3.29	3.48	-0.19	6.20	6.62	7.08	-0.46	11.86	10.84	13.55	-2.71
Apollo Global Management	25	10/6/2023	1.03	0.38	0.30	0.39	-0.09	2.70	2.59	2.78	-0.19	6.02	5.81	6.18	-0.37	11.61	11.92	11.93	-0.01
Anchorage Capital Group	20	10/19/2023	0.99	0.37	0.30	0.36	-0.07	2.80	2.57	2.77	-0.20	6.30	6.29	6.24	0.05	11.98	12.55	11.87	0.69
Sixth Street	17	10/10/2023	0.99	0.48	0.34	0.48	-0.13	2.85	2.62	2.82	-0.20	6.20	5.43	6.12	-0.69	11.94	11.36	11.80	-0.44
AGL Credit	22	10/13/2023	1.11	0.45	0.38	0.50	-0.12	2.81	2.91	3.11	-0.20	6.28	6.94	6.95	-0.01	12.29	13.32	13.60	-0.28
Octagon Credit Investors	46	10/17/2023	1.00	0.36	0.29	0.36	-0.07	2.69	2.48	2.68	-0.21	6.42	6.10	6.42	-0.32	12.75	12.16	12.73	-0.58
Blackstone	51	10/6/2023	1.04	0.60	0.47	0.62	-0.16	3.01	2.93	3.15	-0.21	6.31	6.16	6.60	-0.44	12.48	12.43	13.04	-0.61
AEGON USA Investment Management	12	10/20/2023	0.96	0.29	0.31	0.28	0.03	2.75	2.42	2.65	-0.23	6.35	5.63	6.12	-0.49	12.15	11.02	11.70	-0.68
HalseyPoint Asset Management	5	10/18/2023	1.09	0.33	0.12	0.35	-0.23	2.69	2.70	2.93	-0.23	6.21	6.43	6.75	-0.32	12.01	12.65	13.05	-0.40
Fort Washington Investment Advisors	2	10/10/2023	1.02	0.46	0.33	0.47	-0.14	2.76	2.57	2.80	-0.23	6.14	5.54	6.23	-0.70	11.76	11.30	11.95	-0.64
Blackrock Financial Management	20	10/13/2023	0.93	0.70	0.44	0.65	-0.21	2.78	2.34	2.60	-0.25	6.22	5.53	5.81	-0.29	12.25	11.97	11.44	0.52
Goldentree Asset Management	18	10/16/2023	1.01	0.40	0.27	0.41	-0.14	2.78	2.54	2.80	-0.26	6.21	6.05	6.26	-0.21	12.14	12.78	12.24	0.54
Neuberger Berman	37	10/19/2023	1.03	0.38	0.25	0.39	-0.15	2.75	2.57	2.84	-0.27	6.37	5.94	6.58	-0.64	12.22	11.95	12.63	-0.68
Morgan Stanley Eaton Vance	17	10/11/2023	1.02	0.42	0.33	0.43	-0.09	2.80	2.56	2.84	-0.28	6.18	5.77	6.29	-0.52	11.97	12.09	12.16	-0.08
ICG Debt Advisors	14	10/20/2023	0.96	0.20	0.25	0.20	0.05	2.62	2.24	2.53	-0.29	6.32	5.85	6.09	-0.24	12.47	11.78	12.03	-0.25
PineBridge Investments	12	10/13/2023	1.03	0.43	0.26	0.44	-0.18	2.85	2.62	2.92	-0.30	6.32	5.99	6.48	-0.50	12.23	12.32	12.55	-0.23
Carlyle Group	56	10/17/2023	1.06	0.39	0.17	0.41	-0.24	2.90	2.77	3.07	-0.30	6.46	6.32	6.84	-0.52	12.33	12.81	13.04	-0.23
Credit Suisse First Boston	37	10/16/2023	1.02	0.40	0.37	0.41	-0.03	2.83	2.57	2.88	-0.31	6.34	5.92	6.47	-0.55	12.27	12.59	12.51	0.08
Greywolf Capital Management	4	10/16/2023	1.10	0.89	0.91	0.98	-0.07	2.59	2.51	2.86	-0.35	6.14	5.97	6.79	-0.81	12.27	12.36	13.55	-1.19
Five Arrows Managers	7	10/13/2023	1.07	0.46	0.10	0.49	-0.39	2.64	2.46	2.82	-0.36	6.13	5.96	6.56	-0.59	11.91	11.74	12.73	-0.99
Marathon Asset Management	13	10/12/2023	1.18	0.43	0.47	0.51	-0.03	2.78	2.91	3.29	-0.38	6.35	6.54	7.52	-0.98	12.43	12.18	14.72	-2.54
Park Avenue Institutional Advisers	9	10/11/2023	1.03	0.44	0.09	0.45	-0.36	2.81	2.50	2.90	-0.40	6.23	5.30	6.43	-1.13	12.12	10.86	12.50	-1.64
MacKay Shields	2	10/11/2023	1.04	0.74	0.59	0.77	-0.18	2.76	2.45	2.86	-0.41	6.23	5.45	6.46	-1.01	11.96	12.18	12.40	-0.22
ZAIS Group	13	10/18/2023	1.18	0.43	0.53	0.50	0.03	2.88	2.99	3.41	-0.41	6.36	6.40	7.53	-1.13	12.27	12.31	14.53	-2.22
Trimaran Advisors	9	10/13/2023	1.01	0.39	0.24	0.39	-0.15	2.66	2.27	2.69	-0.41	6.20	5.24	6.26	-1.02	12.17	11.28	12.27	-0.99
CarVal	7	10/10/2023	1.05	0.39	0.19	0.41	-0.22	2.80	2.52	2.94	-0.42	6.24	5.69	6.55	-0.86	12.02	11.91	12.62	-0.71
CVC Credit Partners	24	10/13/2023	1.01	0.46	0.15	0.47	-0.32	2.81	2.40	2.83	-0.43	6.26	5.77	6.32	-0.55	12.07	11.91	12.19	-0.29
PGIM	49	10/17/2023	1.01	0.91	0.66	0.91	-0.25	3.24	2.82	3.26	-0.44	6.65	6.02	6.69	-0.67	12.98	12.13	13.06	-0.93
Nuveen	22	10/13/2023	0.99	0.31	0.00	0.31	-0.31	2.68	2.17	2.66	-0.49	6.24	5.32	6.18	-0.86	12.26	11.21	12.15	-0.94
Clover	8	10/13/2023	0.98	0.36	0.07	0.35	-0.28	2.75	2.21	2.70	-0.49	6.25	5.10	6.14	-1.04	12.20	11.42	11.98	-0.56
Post Advisory Group	3	10/10/2023	1.02	0.41	0.03	0.42	-0.39	2.94	2.37	3.01	-0.64	6.27	4.77	6.42	-1.65	12.13	9.96	12.43	-2.46
Western Asset Management	4	10/11/2023	1.05	0.40	0.04	0.42	-0.38	2.73	2.14	2.86	-0.72	6.24	5.61	6.52	-0.91	12.07	10.87	12.62	-1.75
Aquarian Credit Partners	2	10/10/2023	1.15	0.59	0.30	0.68	-0.38	2.74	2.13	3.14	-1.01	6.04	5.06	6.93	-1.86	11.57	10.17	13.27	-3.10
Telos Asset Management	2	10/3/2023	0.86	0.78	0.47	0.67	-0.20	3.13	1.26	2.69	-1.44	6.21	1.77	5.34	-3.57	12.46	0.65	10.73	-10.08
AllianceBernstein	3	10/10/2023		0.47	0.25			2.91	2.81			6.25	6.23			12.07	12.33
Beach Point	1	10/2/2023		0.95	0.75			3.38	3.23			6.65	6.75			12.73	13.13
Birch Grove Capital	3	10/10/2023		0.50	0.38			2.76	2.70			6.14	6.14			11.90	12.37
BlueBay Asset Management	1	10/3/2023		0.69	0.65			3.04	2.96			6.21	6.19
CQS Management	1	10/11/2023		0.59	0.49			2.74	2.49			6.24	6.47			11.96	12.54
Capital Four Management	2	10/5/2023		0.45	0.16			2.95	2.76			6.19	5.62			12.76	12.47
Centerbridge	1	10/10/2023		0.69	0.53			2.75	2.68			6.14	6.34
Diameter Capital	3	10/4/2023		0.67	0.54			3.07	2.97			6.28	6.28			12.19	13.47
Empower Capital Management	1	10/5/2023		0.43	0.35			2.78	2.35			6.06	5.45
FS Investments	2	10/10/2023		0.46	0.25			2.76	2.75			6.14	6.23			11.77	12.09
Muzinich & Co	1	10/2/2023		0.95	0.74			3.31	3.14			6.51	6.06
New Mountain Capital	3	10/6/2023		0.70	0.68			3.06	3.09			6.62	6.38			13.12	13.18
Pimco	4	10/6/2023		0.39	-0.03			2.71	2.44			5.43	5.17			11.22	11.37
Putnam Investments	2	10/6/2023		0.41	0.21			2.73	2.58			6.03	6.23			11.79	12.40
SPBDAL	1	10/20/2023		-0.02	-0.02			2.49	2.49			5.92	5.92			12.11	12.11
SPBDLL	1	10/20/2023		-0.02	-0.17			2.49	2.28			5.92	5.53			12.11	12.27
Sancus	1	10/10/2023		0.53	0.42			2.76	2.65			6.14	6.15			11.78	12.30
Silver Rock Management	1	10/6/2023		0.19	0.31			2.70	2.94			5.49	6.07			9.54	10.61
Sycamore Tree	1	10/11/2023		0.53	0.32			2.74	2.77			6.24	6.17			11.95	12.24
Tikehau Capital	2	10/10/2023		0.44	0.35			2.77	2.85			6.12	6.61			11.83	12.00

* 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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