May 2022

CLO Monthly Monitor

On a relative basis, bank loans and CLOs again fared better in April than similarly rated investment-grade and high-yield corporate bonds.

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CLO tranches had mixed total returns in April. CLO returns were -0.08% (AAA),-0.05% (AA), -0.28% (A), -0.24% (BBB), 0.70% (BB), and 0.18% (B). On a relative basis, Bank Loans and CLOs again fared better than similarly rated investment-grade and high-yield corporate bonds. In particular, the outperformance of bank loans over high yield corporates was the largest monthly margin in a decade at 356 basis points. The ability to pass-through higher interest rates into higher coupons for investors, without pressuring prices, has made loans very attractive relative to fixed-rate credit products this year.