CLO Monthly Monitor
CLO performance was positive in September as carry drove total return and spread movements diverged with modest widening in senior liabilities and tightening for tranches rated A and below.
CLO Monthly Monitor
CLO performance was positive in September as carry drove total return and spread movements diverged with modest widening in senior liabilities and tightening for tranches rated A and below.
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CLO tranches delivered positive total returns in September, with the JP Morgan CLOIE Index reporting returns of +0.49% (AAA), +0.51% (AA), +0.55% (A), +0.69% (BBB), and +0.99% (BB). The loan asset class also generated positive performance in September. The market performance favored lower quality issuers during the risk-on environment, and CCC rated loans more than recouped their August losses.