CLOIE Monitor

Research evidence excerpt

CLOIE Monitor

J P M O R G A N Global Index Research

03 August 2026

July 2026

• July CLO liabilities posted modest gains in both the US and Europe, driven Global Index Research

AC primarily by carry. $-CLOIE returned +0.43% and €-CLOIE +0.32%, with Jacqueline E Rachaf

coupon income (US +0.45%, Europe +0.35%) offsetting broadly flat prices (1-212) 834-2349

(US −0.02%, Europe −0.04%) and a negligible principal contribution. jacqueline.rachaf@jpmorgan.com

J.P. Morgan Securities LLC

• Relative to credit sectors over the month, $-CLOIE (+0.43%) outpaced US IG Nihal Chandak

Corps (-1.53%), US HY Corps (-0.22%), but lagged US Loans (+0.80%). In (1-212) 270-1044

Europe, €-CLOIE (+0.32%) outpaced EUR IG Corps (-0.79%), EUR HY nihal.chandak@jpmchase.com

Corps (+0.004%), and EUR Loans (+0.23%). J.P. Morgan Securities LLC

• On a YTD basis, $-CLOIE (+2.87%) and €-CLOIE (+2.38%) 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 July rebalance, the total size of the $-CLOIE and €-CLOIE J.P. Morgan Securities LLC

stands at $895.3 billion and €275.2 billion, respectively. The July month-end Kunal Kishnani

rebalance saw the inclusion of 106 deals ($42.0 billion) in $-CLOIE and 37 (91-22) 6157 4731

deals (€13.6 billion) in €-CLOIE. kunal.kishnani@jpmchase.com

J.P. Morgan India Private Limited

• For access to CLOIE index via Bloomberg or additional channels, please Preetham Nanda

contact index.research@jpmorgan.com. (1-212) 834-2944

preetham.k.nanda@jpmorgan.com

CLOIE Governance J.P. Morgan Securities LLC

North America Credit CollateralizedWe have initiated a quarterly governance consultation for the J.P. Morgan CLOIE

Loan Obligation