Securitized Products Strategy: Securitized products returns for June 2026

Research evidence excerpt

Securitized Products Strategy: Securitized products returns for June 2026

Securitized Products Return Indicator

Indicator methodology

The Securitized Products Return Indicator aggregates monthly return performance across the US securitized products credit markets that we track into one number for

both total return and excess swap return. The Agency MBS market is not included in the Indicator as we wish to focus on the return performance of non-guaranteed

securities. There are two subsets of the indicator: 1) a AAA Indicator that tracks AAA-rated CMBS, CLO and ABS bonds, and 2) a Down in Credit Indicator which tracks CLO

BBB/BB tranches, CMBS BBB tranches and CAS/STACR below IG rated bonds. The return data is weighted by the 1-month lagged outstanding par value of each indicator

constituent. This methodology also applies to the two subset indicators. A more detailed description of the constituents of the securitized products indicator (and the two

subset indicators), as well as the most recent 1-month lagged outstanding par value of each constituent, can be found in the Indicator constituents section below.

The excess return calculation for each indicator constituent is calculated over swaps for fixed rate bonds and over SOFR for floating rate sectors. For ABS and CMBS, the

excess and total return data come from the ICE BofA Indices. For the CLO, CRT and Legacy non-agency MBS sectors, we calculate the return data ourselves, as described

below.

1) CLOs: We use interest distribution data from Intex to compute the coupon component of total return. We use the Palmer Square CLO Indices to compute the

price component of total return. Our Intex interest distribution data covers the entire outstanding BSL US CLO market. Excess returns are benchmarked to SOFR.