CLO Special Topics: Reset eligibility, cleanup, and impact on relative value

Research evidence excerpt

CLO Special Topics: Reset eligibility, cleanup, and impact on relative value

Global Markets Research

18 June 2026CLO Special Topics

Securitized Products - North America

Research AnalystsReset eligibility, cleanup, and impact on relative

US Securitized Productsvalue

Paul Nikodem - NSI

paul.nikodem@nomura.com

Market update +1 212 667 2130

Primary and secondary CLO: Secondary CLO AAA spreads widened slightly over the Joseph Gais - NSI

past week, with top-tier full tenor AAAs now trading around 120bp. The pace of new joseph.gais@nomura.com

+1 212 667 2028issuance has slowed this month, totaling $4.6bn month-to-date vs $5.6bn over the same

period last month, whereas reset volumes month-to-date ($11bn) are comparable to last

month’s elevated pace. Aggregate refi/reset volumes in May totaled the second-highest

month on record. Refi/reset activity should remain elevated in the near term given

substantial in-the-money deal volumes exiting non-call in the next four months.

Fig. 1: CLO pricing comparison Fig. 2: Net weekly CLO AAA and mezz ETF flows

Primary spreads based on recent pricings

AAA AA A BBB BB

Secondary Spreads (bp) 100-130 140-165 165-200 240-340 500-1200

Secondary - $px 99+ 99+ 99+ 95-100+ 80-100+

Secondary - Median MVOC 150% 126% 117% 109% 104%

Primary - Top tier 5/2 118 145 165 260 525

Historical Spreads (bp, vs SOFR)

Primary (top Early 2025 Tight 110 140 165 240 440

tier 5/2) Late Nov. 2021 139 190 220 325 650

Early 2018 Tight 118 155 195 275 520

Secondary Late Nov. 2021 130-155 185-210 215-250 345-420 700-875

Source: Bloomberg, Nomura

Loan market update: New institutional loan issuance has totaled $7bn thus far this week,

mainly driven by M&A/LBO activity. Net loan supply continues to be negative with the

forward calendar at -$16bn.