CLO Weekly: E-Quit-y Returns

Research evidence excerpt

CLO Weekly: E-Quit-y Returns

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CLO Weekly

E-Quit-y Returns

Market Overview 24 July 2026

Split Single-A issuance is recently seeing a picking up and anecdotally priced around Securitized Products Strategy

S+200-230bps with par sub levels at 16.5%. The D-1 tranche thickness are now Global

structured around 4.5%. We think the NAIC reformation of rating-based RBC factors and US

tranche-thickness adjustments for BBB− and below ≤4% thin tranches is incentivizing Pratik K. Gupta

the insurance investors to move up in the stack to AAA-A bonds and have Sr BBB CLO/MBS Strategist BofAS

structured to avoid ≤4% thickness high-RBC treatment. +1 646 855 9146

pratik.gupta@bofa.com

Refi/reset eligibility: At the current curve with long AAA at 123bps, we identify Chris Flanagan

$186bn of deals available for refi and/or reset by the end of this year, and another FI/MBS/CLOBofAS Strategist

$183bn to exit Non-call in 2027 and will become eligible to either activity. +1 646 855 6119

christopher.flanagan@bofa.com

Equity July payments and returns update VictoriaCLO/MBSXuStrategist

Preliminary analysis on ~1700 deals that reported Q3 payments thus far: Weighted BofAS

+1 646 855 6549

average CoC is at 2.2% for in RP deals, a 27bps decline; and 0.7% for post RP deals, a victoria.xu@bofa.com

9bps decline. July payments saw pressure from all possible factors: 1) Serta Simmons Akash Bhairav Gupta

litigation 2) continued loan repricing 3) elevated par loss 4) bonds not paying in July MBS/CLO Strategist

BofAS

+1 646 855 7717

By June ME, We estimate CLO equity returned -8.3%: -19% price returns and +11% akashbhairav.gupta@bofa.com

interest returns. In RP deals returned -6.7%.

Software update

Software prices have remained flat for the past week at around the $91 mark. Last