CLO EUR Spread Indices tightening throughout 2023
| European Index | Live Spread | Δ 7d bps | Δ YTD bps |
|---|---|---|---|
| CLO EUR AAA | 168 bps | -1.64 | -41.04 |
| CLO EUR AA | 255 bps | -0.52 | -51.63 |
| CLO EUR A | 336 bps | -0.9 | -49.39 |
| CLO EUR BBB | 481 bps | -8.46 | -123.35 |
| CLO EUR BB | 783 bps | -9.96 | -250.48 |
| CLO EUR B | 1,150 bps | +5.65 | -271.36 |
| US Index | Live Spread | Δ 7d bps | Δ YTD bps |
|---|---|---|---|
| CLO US AAA | 164 bps | -2.21 | -34.41 |
| CLO US AA | 226 bps | -3.71 | -51.67 |
| CLO US A | 282 bps | -4.27 | -93.34 |
| CLO US BBB | 422 bps | -3.29 | -134.66 |
| CLO US BB | 824 bps | -3.2 | -188.01 |
| CLO US B | 1,070 bps | -58.04 | -97.6 |
| ABS Asset Class | Live Spread | Δ7d bps | ΔYTD bps |
|---|---|---|---|
| Dutch RMBS AAA | 64 bps | -1.38 | -18.58 |
| Dutch RMBS AA | 195 bps | -1.7 | -25.77 |
| European Autos AAA | 46 bps | -1.59 | -18.41 |
| European Autos AA | 111 bps | -1.62 | -39.96 |
| European Autos A | 230 bps | -4.08 | -81.5 |
| Italian RMBS AA | 105 bps | -0.98 | -22.28 |
| Portuguese RMBS AA | 91 bps | -0.35 | -27.87 |
| Spanish RMBS AA | 87 bps | -1.24 | -10.64 |
| UK BTL RMBS AAA | 99 bps | -1.56 | -67.79 |
| UK Cards AAA | 114 bps | -4.98 | -41.44 |
| UK NC RMBS AAA | 109 bps | +0.65 | -74.67 |
| UK NC RMBS AA | 154 bps | -1.14 | -69.35 |
| UK Prime RMBS AAA | 56 bps | -2.51 | -13.18 |