CLO Special Topics: Estimated H1 Returns, NAIC Update

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CLO Special Topics: Estimated H1 Returns, NAIC Update

Global Markets Research

1 July 2026CLO Special Topics

Securitized Products - North America

Research Analysts

Estimated H1 Returns, NAIC Update US Securitized Products

Paul Nikodem - NSIEstimated debt returns: +0.9% to +2.9% across the stack

paul.nikodem@nomura.com

CLO BBBs and higher rated tranches outperformed corporate IG on a total return basis, +1 212 667 2130

and CLO AAs-BBBs outperformed in excess returns. Single-As had the highest total Joseph Gais - NSI

returns, having seen slight price gains coupled with higher carry compared to AAs and joseph.gais@nomura.com

AAAs, while CLO BBBs underperformed single-As due to modest price declines YTD. +1 212 667 2028

CLO BBs underperformed high-yield corporates on both a total return and excess return

basis. Underperformance was mostly due to price declines driven by decreases in MVOC.

BBs with higher MVOC currently (105%+) have generally outperformed, whereas lower

MVOC BBs have seen significant price declines in some cases.

Fig. 1: Estimated H1 2026 returns for CLO debt

Excess returns exclude duration/base rate component

Total Excess

Bond type return return

CLO AAA 2.4% 0.6%

CLO AA 2.7% 0.9%

CLO A 2.9% 1.1%

CLO BBB 2.7% 0.9%

CLO BB 0.9% -0.9%

Corp IG cash index 0.9% 0.7%

Corp HY cash index 2.0% 1.5%

LSTA index 1.3% -0.5%

Source: Bloomberg, Nomura

Equity returns

Equity returns were mostly unchanged in Q2, and YTD equity returns total a median -14%

(Fig.2), with losses mostly driven by NAV declines. Long equity has continued to

outperform with median returns of around -10% this year, as an appreciating premium to

NAV alongside smaller NAV declines (as a % of cost value) have driven better PO returns

than that of shorter profiles.

Fig.