The A–BBB gap stands out. At 105bp, it is wider than roughly 88% of observations over both the past year and the past two years. It is the only gap in the table above its full-period median.
US BSL CLO pricing gaps are generally wider than they have been over the past year, particularly for BB tranches. The AAA–BB gap currently stands at 421bps, placing it at the 95th percentile over the past 26 weeks and the 87th percentile over both one and two years. The BBB–BB gap of 268bps is also relatively wide, ranking at the 90th percentile across all three periods.
Primary US BSL CLO Pricing: Assessing Relative Value Across the Capital Stack (July 14, 2025)
Primary US BSL CLO Pricing: Assessing Relative Value Across the Capital Stack (July 8, 2025)
US BSL CLO AAA tranches are currently pricing cheaply relative to their year-to-date averages.
Relative to their year-to-date averages, EU CLO AAA, AA, BB, and single-B tranches are currently screening as cheap.
