CLO Weekly: Float your boat through turbulence in Hormuz; CLO Equity Returns yet to return

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CLO Weekly: Float your boat through turbulence in Hormuz; CLO Equity Returns yet to return

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CLO Weekly

Float your boat through turbulence in

Hormuz; CLO Equity Returns yet to return

Market Update 15 May 2026

Rates volatility remains elevated with 10yr reaching 4.6%. CLO as floaters with Securitized Products Strategy

S+120bps AAA offers meaningful pickup vs IG corps. CLO AAA has traditionally Global

outperformed IG by 15-20pts in past 5-10 years span, same for CLO BB vs HY and loans, US

outperformed by 100pts since 2015 and 50pts since 2020. Pratik K. Gupta

CLO/MBS Strategist

BDC Q1 2026 filings update BofAS+1 646 855 9146

We review Q1 2026 filings for 29 publicly traded BDCs in this report. PIK Income as a pratik.gupta@bofa.com

share of Total investment income stayed stable QoQ at 10.7%, with dispersion across Chris Flanagan FI/MBS/CLO Strategist

managers. Non-accrual rates ticked up from an average of 2.8% to 3.5% this quarter, BofAS

driven mostly by large balance credits getting into non-accrual status. NAVs have +1christopher.flanagan@bofa.com646 855 6119

decreased QoQ, with some BDCs seeing decreases of as much as 10%. Most of the Victoria Xu

BDCs also saw a decrease in Revenue as well as in Total Assets at fair value QoQ. CLO/MBS Strategist

BofAS

+1 646 855 6549

victoria.xu@bofa.com2026 Q1 Bank holdings

Bank holdings increased QoQ by $2bn to $188bn. Holdings in the HTM bucket declined Akash Bhairav Gupta

MBS/CLO Strategist

by $5bn QoQ while AFS book increased by $3bn. We count 17 banks added in AFS & 2 BofAS

banks added in HTM QoQ. +1 646 855 7717

akashbhairav.gupta@bofa.com

Banks continue to favor the loan format. $9bn of CLOs were issued in the loan format

YTD, with $57bn total outstanding. We estimate 60% of CLO holdings are in the HTM