PSL CLO EUR AAA Spread Index breaks through 100bps

1 Jul

Written By Matthew Price

PSL CLO Spread Indices

 European Index
Live Spread
Δ 7d bps
Δ YTD bps

 CLO EUR AAA
100 bps
-4.07
-59.49

 CLO EUR AA
167 bps
+0.87
-64.66

 CLO EUR A
221 bps
+3.52
-103.08

 CLO EUR BBB
345 bps
-1.45
-103.85

 CLO EUR BB
619 bps
+5.97
-101.23

 CLO EUR B
917 bps
+3.02
-200.35

 US Index
Live Spread
Δ 7d bps
Δ YTD bps

 CLO US AAA
143 bps
+8.35
-9.29

 CLO US AA
187 bps
+5.06
-26.76

 CLO US A
233 bps
+9.5
-34.49

 CLO US BBB
389 bps
+15.51
-5.61

 CLO US BB
743 bps
+27.93
-39.84

 CLO US B
966 bps
+69.69
-50

ABS Spreads Snapshot

 ABS Asset Class
Live Spread
Δ7d bps
ΔYTD bps

 Dutch ABS/MBS AAA
51 bps
-1.3
-2.7

 Dutch ABS/MBS AA
135 bps
-2.17
-3.9

 Italian ABS/MBS AA
84 bps
+3.78
+5.32

 Portuguese ABS/MBS AA
88 bps
+1.19
-0.41

 Spanish ABS/MBS AA
85 bps
-0.22
-0.24

 UK BTL RMBS AAA
78 bps
+0.15
-0.53

 UK Cards AAA
71 bps
-0.58
+2.86

 UK Prime RMBS AAA
52 bps
+0.39
+3.25

Matthew Price

PSL CLO EUR AAA Spread Index continues tightening below 100bps

Spread Divergence: Basis between PSL CLO EUR AAA and PSL CLO US AAA spread indices widens