CLO Monitor
CLOs delivered positive returns across the capital stack in August, although select mezzanine tranche gains were minimal.
The JP Morgan CLOIE Index reported August returns of 0.49%(AAA), 0.60% (AA), 0.67% (A), 0.40% (BBB), 0.04% (BB), and 0.06% (B), and the Credit Suisse Leveraged Loan Index returned 0.60%, recovering from a low of -0.63% early in the month. Market caution impacted the primary loan market, where institutional loan issuance plummeted in August, with only $7.3 billion issued. This marked the lowest monthly total since December 2022. New CLO origination, on the other hand, has remained steady, rebounding from June’s monthly volume low, with$14.9 billion of new issuance in August. This brings year-to-date volume to about $130 billion, which has already exceeded 2022 levels (~$129 billion) and leaves the door open to exceed 2021’s record $187 billion issuance.