CLO Equity Returns still not returning; USD CLO ETF ~$50bn; NAIC update

Research evidence excerpt

CLO Equity Returns still not returning; USD CLO ETF ~$50bn; NAIC update

Accessible version

CLO Weekly

CLO Equity Returns still not returning; USD

CLO ETF ~$50bn; NAIC update

Market Overview 26 June 2026

The loan market has softened alongside broader macro weakness, with limited CLO Securitized Products Strategy

demand for software credits and increased spread dispersion in CLO BBs driven by Global

MVOC differentiation. We review US CLO impairments, only 2.5% of the BBB-B US

universe, or 0.26% of the overall market have realized losses or will potentially have Pratik K. Gupta

impairments. However, rising pockets of stress—particularly among BB tranches with CLO/MBSBofAS Strategist

weaker MVOC coverage—are increasing outcome uncertainty, making manager selection +1 646 855 9146

more critical for mezzanine investors. pratik.gupta@bofa.com

Chris Flanagan

We see $222bn and $80bn of bonds eligible for refi and reset respectively (jointly FI/MBS/CLOBofAS Strategist

$254bn for either activity) based on current AAA spread curve and MVOCs. Elevated +1 646 855 6119

christopher.flanagan@bofa.com

refi/reset activity is sustaining supply of weaker-MVOC bonds, keeping spreads wider.

Victoria Xu

US CLO ETFs saw $1.3bn inflows in June, $9.7bn inflows YTD. The total AUM of USD CLO/MBSBofAS Strategist

CLO ETFs is currently $49.9bn. Euro CLO ETF total AUM has also surpassed €2bn. AAA +1 646 855 6549

victoria.xu@bofa.com

CLO ETFs have seen one of the highest returns YTD across Fixed income ETFs and have

Akash Bhairav Gupta

one of the highest Sharpe ratios. We expect continued Inflows into CLO ETFs as a result. MBS/CLO Strategist

BofAS

Software update +1akashbhairav.gupta@bofa.com646 855 7717

This week we continue to see a slight decline in software prices, which are currently