CLO Monthly Monitor

CLO tranches had strong total returns in November. JP Morgan estimated returns for November were 0.90% (AAA), 1.27% (AA), 1.35% (A), 2.61% (BBB), 4.47% (BB), and4.74% (B). The CS Leveraged Loan Index returned 1.19% in November. As disinflationary themes in both headline and core CPI continued to play out in November, combined with a softening labor market, a rate-driven rally narrowed the large year-to-date performance gap between fixed and floating rate credit. While U.S. Corporate and U.S. High Yield indices had their best monthly returns in the last decade, year-to-date CLO debt returns have outperformed Investment Grade and High Yield bonds at each credit quality rating, with the outperformance ranging from 593bps (AAA) to 1,294bps (BB).