CLO Weekly: Mess-y rates? Buy VAR-iable coupons -> CLO floaters

Research evidence excerpt

CLO Weekly: Mess-y rates? Buy VAR-iable coupons -> CLO floaters

Accessible version

CLO Weekly

Mess-y rates? Buy VAR-iable coupons ->

CLO floaters

Market Overview: 10 July 2026

Manager market value changes over the past 3–6 months have been largely driven by Securitized Products Strategy

software exposure, though recent positive earnings have helped software credits Global

rebound. We continue to see selective opportunities in software as a source of alpha for

CLO equity investors. CLO debt—particularly AAA tranches—remains a standout US Pratik K. Gupta

performer, AAA CLO ETF YTD returns at 2.3-2.5% are +2pts higher vs loan ETFs. we CLO/MBS Strategist

expect further inflows given its high Sharpe ratio and total returns. BofAS+1 646 855 9146

pratik.gupta@bofa.com

Software Update: Software prices have seen a rally of over a point in July MTD, after Chris Flanagan

falling sharply around the end of June. Currently, software prices are at the $90.8 mark. FI/MBS/CLO Strategist

Infrastructure software remains weak. IT services names have rallied over the past BofAS+1 646 855 6119

month, with managers adding exposure as well. These companies help businesses deploy christopher.flanagan@bofa.com

AI, automate workflows, and optimize their technology operations and infrastructure. Victoria Xu

CLO/MBS Strategist

BofAS

We are seeing dispersion across CLO managers when it comes to adding or cutting +1 646 855 6549

software in their portfolios. Overall in 2026 YTD, CLO managers have downsized their victoria.xu@bofa.com

software exposure from 15% to 14.6%. MoM changes in software share overall Akash Bhairav Gupta

MBS/CLO Strategist

remained nearly flat, with 15 managers adding over 0.4% software over the past month. BofAS

+1 646 855 7717