CLO Weekly: Moody’s rating methodology changes; May Manager Performance Update

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CLO Weekly: Moody’s rating methodology changes; May Manager Performance Update

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CLO Weekly

Moody’s rating methodology changes; May

Manager Performance Update

Market Overview 12 June 2026

Software update: This week we saw a mild decline in software prices, which are Securitized Products Strategy

currently around the $90.5 mark. Infrastructure software names have fallen in prices Global

owing to idiosyncratic risks. We continue to see short maturity software as a risk factor

for 2026 H2. Managers’ portfolio strategy towards software remains dispersed. Pratik K. Gupta

CLO/MBS Strategist

BofAS

The ex-software loan index has largely remained flat YTD at the $97 mark. If ex- +1 646 855 9146

software loans start declining, that could be a real credit concern for the market. pratik.gupta@bofa.com

Currently, we are seeing weakness in certain business and professional services names, Chris Flanagan

FI/MBS/CLO Strategist

especially those that have a technology service components to their businesses BofAS

+1 646 855 6119

YTD, CLO managers have downsized their software exposure from 15% to 14.5%. MoM christopher.flanagan@bofa.com

changes in software share overall remained nearly flat, with 12 managers adding over Victoria Xu CLO/MBS Strategist

0.5% software over the past month. BofAS

+1 646 855 6549

Jr AAA > AA: CLO AA is becoming rich vs Jr AAA with spread basis now tightened to victoria.xu@bofa.com

10bps, which was historically ~20bps in 1H2025, ~30bps in 2021. Jr AAA par attach level Akash Bhairav Gupta MBS/CLO Strategist

is mostly issued around 33%-35%, despite limited cases as low as 30%. BofAS

+1 646 855 7717

Moody’s Rating Methodology Change: The main proposed revisions are: 1) Updated akashbhairav.gupta@bofa.com