Egan-Jones Releases March 2026 CLO Market Summary

NEW YORK, March 6, 2026 /PRNewswire/ -- Egan-Jones published its March 2026 CLO Summary Report reviewing issuance trends, credit quality indicators, and structural metrics across the collateralized loan obligation (CLO) market.

The report notes that CLO issuance remained soft despite favorable credit market conditions. Issuance declined to 98 deals totaling $40.1 billion in February 2026 compared with 124 deals totaling $52.5 billion during the same period in 2025. While issuance has improved slightly in recent months, it remains below the November 2024 peak of 127 deals and $54.6 billion.

The report highlights that credit yields are currently near recent lows. Five-year Treasury yields are approximately 357 basis points, while the ICE US High Yield option-adjusted spread stands near 298 basis points, significantly below the April 2025 high of 461 basis points.

According to the analysis, CLO credit quality metrics have shown modest improvement. Weighted Average Rating Scores (WARS) across covered deals showed percentiles of 3621, 3711, and 3839 at the 25th, 50th, and 75th levels, respectively. The percentage of CLO assets rated CCC+ or lower has remained stable to slightly declining.

Egan-Jones currently maintains a more positive view of CLO credit quality compared with other credit rating agencies. The report notes that the firm derives ratings primarily from estimated losses and typically uses probabilities of default that are more conservative than industry standards.

The analysis also reviews structural features across rated deals. As of February 2026, Egan-Jones rated 1,673 CLO transactions. Senior tranche subordination averaged approximately 37.1 percent while mezzanine tranche subordination averaged 14.7 percent. Average coupons were approximately 4.9 percent for senior tranches and 7.0 percent for mezzanine tranches, with average spreads of 1.3 percent and 3.5 percent over three-month SOFR, respectively.

In a sample transaction review, the MP CLO VIII portfolio contained approximately $346.2 million in collateral with a diversity score of 66 and a weighted average rating score of 3726.3. Approximately 5.4 percent of the portfolio assets were rated CCC+ or lower by other agencies.

The report provides institutional investors with detailed insights into issuance trends, portfolio characteristics, and evolving credit conditions in the CLO market.

About Egan-Jones Ratings

Egan-Jones, an NRSRO founded in 1995, offers timely and accurate credit ratings and proxy services.

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SOURCE Egan-Jones Ratings Company