CLO Relative Value Weekly Report

Research evidence excerpt

J P M O R G A N

Global Securitized Products

Research

11 August 2026

CLO Relative Value Weekly Report

Regression Analysis

North America Credit Collateralized

Loan Obligations

Rishad Ahluwalia AC

Based on a 6 month regression, CLOIE AAA (currently 105bp) is trading -6bp

tight based on the relationship to IG Bonds (ex EM) (45% R-sq) and is trading

1bp wide based on the relationship to IG Financials (65% R-sq). Relative to

CLOIE BBB, the relationship implies it is trading -3bp tight (78% R-sq).

CLOIE BBB, which is currently at 318bp, is trading 6bp wide based on the

relationship to US HY Bonds as per a 6 month regression (25% R-sq) and is

trading 13bp wide based on the relationship to BB/B Loans (48% R-sq).

Relative to CLOIE AAA, the relationship implies it is trading 4bp wide (78%

R-sq).

The CLOIE Composite Index (CLOIE AAA-B) is currently at 154bp and is

trading -8bp tight based on the relationship to IG Bonds (ex EM) (45% R-sq)

as per a 6 month regression. It is trading 2bp wide based on the relationship to

US HY Bonds (47% R-sq) and relative to Loans, the index is trading -6bp tight

(50% R-sq.)See Appendix for 5-year regression.

(44-20) 7134-0254

J.P. Morgan Securities plc

Aram Lavan

(1-212) 622-5385

J.P. Morgan Securities LLC

Table 1: Relative Value Regressions: CLOIE vs. IG Bonds, HY Bonds, and Loans (Prior 6 Months)

8/7/2026

6 month regression

Cross Product Relative Value

Levels

Curr Proj CLOIE

Act - Proj

R Squared

Beta

Z Score

CLOIE AAA vs IG Bonds (ex EM)

CLOIE AAA vs IG BBB Bonds

CLOIE AAA vs IG Financials

CLOIE AAA vs IG Non-Financials

CLOIE AAA vs Loans

CLOIE AAA vs CLOIE BBB

CLOIE BBB vs CLOIE AAA

CLOIE BBB vs US HY Bonds

CLOIE BBB vs HY Bonds BB

CLOIE BBB vs HY Bonds Split CCC

CLOIE BBB vs Loans

CLOIE BBB vs BB/B Loans

CLOIE vs IG Bonds (ex EM)

CLOIE vs IG Financials

CLOIE vs IG Non-Financials

CLOIE vs US HY Bonds

CLOIE vs Loans

105 / 91

105 / 109

105 / 87

105 / 92

105 / 470

105 / 318

318 / 105

318 / 297

318 / 187

318 / 1038

318 / 470

318 / 374

154 / 91

154 / 87

154 / 92

154 / 297

154 / 470

110

108

104

112

109

108

314

312

336

321

305

162

154

164

152

160

-6

-3

1

-7

-4

-3

4

6

-18

-3

13

-8

0

-10

2

-6

45%

52%

65%

36%

47%

78%

25%

20%

19%

56%

48%

45%

65%

…