CLOIE Monitor

Research evidence excerpt

CLOIE Monitor

J P M O R G A N Global Index Research

01 July 2026

June 2026

• In June, CLO liabilities delivered positive total returns in both US and Global Index Research

AC European markets, with the $-CLOIE returning +0.37% and the €-CLOIE Jacqueline E Rachaf

returning +0.42%. Across both markets, returns were supported by carry (1-212) 834-2349

against modest price softness in the US and marginal price support in Europe. jacqueline.rachaf@jpmorgan.com

J.P. Morgan Securities LLC

• Relative to credit sectors over the month, $-CLOIE (+0.37%) outpaced US IG Nihal Chandak

Corps (+0.15%), US HY Corps (+0.29%), and US Loans (+0.15%). In Europe, (1-212) 270-1044

€-CLOIE (+0.42%) outpaced EUR Loans (+0.35%), but lagged EUR IG Corps nihal.chandak@jpmchase.com

(+0.45%) and EUR HY Corps (+0.60%). J.P. Morgan Securities LLC

• On a YTD basis, $-CLOIE (+2.43%) and €-CLOIE (+2.06%) have Soumya Nema

outperformed IG, HY and leveraged loans across both USD and EUR markets. (1-212) 834-4653

soumya.nema@jpmchase.com

• Following the June rebalance, the total size of the $-CLOIE and €-CLOIE J.P. Morgan Securities LLC

stands at $896.9 billion and €273.2 billion, respectively. The June month-end Kunal Kishnani

rebalance saw the inclusion of 101 deals ($43.4 billion) in $-CLOIE and 24 (91-22) 6157 4731

deals (€9.1 billion) in €-CLOIE. kunal.kishnani@jpmchase.com

J.P. Morgan India Private Limited

• Eight CLO managers have changed AUM-based manager bands during June Preetham Nanda

quarterly manager band rebalance (link). (1-212) 834-2944

• For access to CLOIE index via Bloomberg or additional channels, please preetham.k.nanda@jpmorgan.comJ.P. Morgan Securities LLC

contact index.research@jpmorgan.com.

North America Credit Collateralized

Loan Obligation

Rishad Ahluwalia