CLOIE Index Rebalance Preview

Research evidence excerpt

CLOIE Index Rebalance Preview

J P M O R G A N Global Index Research

23 July 2026

Global Index Research

Jacqueline E Rachaf AC

(1-212) 834-2349

jacqueline.rachaf@jpmorgan.com

J.P. Morgan Securities LLC

July 2026 Nihal Chandak

(1-212) 270-1044

nihal.chandak@jpmchase.com

Estimated index compositions are provided as of a particular date as a courtesy for general information purposes only and are J.P. Morgan Securities LLC

subject to potentially significant changes (including inclusions, exclusions or weight changes pursuant to the pre-determined and

established index methodology) prior to actual calculation of the index composition. Final compositions are published on J.P. Soumya Nema

Morgan Markets (“JPMM”) on the rebalance date. For more information, please consult JPMM or your J.P. Morgan representative. (1-212) 834-4653

Full disclosures may be found at https://www.jpmorgan.com/disclosures/girg soumya.nema@jpmchase.com

CLOIE Governance Kunal Kishnani

(91-22) 6157 4731

We have initiated a quarterly governance consultation for the J.P. Morgan CLOIE kunal.kishnani@jpmchase.com

Index suite starting with a focused assessment of the return calculation. For J.P. Morgan India Private Limited

additional details on this quarter’s topics, see: CLOIE Index Governance Q3 2026. Preetham Nanda

(1-212) 834-2944

The Odyssey of Tracking Error preetham.k.nanda@jpmorgan.com J.P. Morgan Securities LLC

Building on our prior work replicating CLOIE AAA returns with a theoretical 400-

tranche portfolio, we now restrict the universe to the 20 most liquid US CLO

managers based on observed BWIC volume. This is just one simple approach – and Inclusion Criteria

it naturally skews toward larger platforms regardless of credit performance – but

Currency USD