EU CLO Pricing Gaps: Tight at the Top, Wide at the Bottom

EU CLO pricing gaps show a clear divergence across the capital structure. Based on gaps between the tightest weekly DMs by rating, AA and A remain tightly priced relative to AAA against the full-period history. BBB and BB offer wider differentials than were typical over the past year, although both remain below their longer-term medians. Single-B stands out, with its gap to AAA close to the widest levels observed over the past two years.