PSL Markets Wrap, 10th October 2022
PSL CLO EUR AAA and US AAA index trends over the last three months.
PSL CLO Spread Indices
| European Index | Live Spread | Δ 7d bps | Δ YTD bps |
|---|---|---|---|
| CLO EUR AAA | 230 bps | -25.63 | +118.48 |
| CLO EUR AA | 338 bps | -56.92 | +187.25 |
| CLO EUR A | 429 bps | -54.07 | +215.21 |
| CLO EUR BBB | 643 bps | -25.06 | +337.98 |
| CLO EUR BB | 1,034 bps | -66.81 | +434.12 |
| CLO EUR B | 1,539 bps | -66.42 | +667.33 |
| US Index | Live Spread | Δ 7d bps | Δ YTD bps |
|---|---|---|---|
| CLO US AAA | 224 bps | -25.11 | +104.22 |
| CLO US AA | 280 bps | -39.72 | +116.09 |
| CLO US A | 350 bps | -50.19 | +147.26 |
| CLO US BBB | 579 bps | -21.36 | +226.98 |
| CLO US BB | 1,062 bps | -60.21 | +371.92 |
| CLO US B | 1,274 bps | -60.5 | +509.81 |
ABS Spreads Snaphsot
| ABS Asset Class | Live Spread | Δ7d bps | ΔYTD bps |
|---|---|---|---|
| Dutch RMBS AAA | 101 bps | +12.48 | +64.11 |
| Dutch RMBS AA | 264 bps | +22.27 | +160.33 |
| European Autos AAA | 82 bps | +5.39 | +58.35 |
| European Autos AA | 173 bps | +10.16 | +115.75 |
| European Autos A | 328 bps | +10.42 | +213.6 |
| Italian RMBS AA | 119 bps | +6.63 | 58.67 |
| Portuguese RMBS AA | 125 bps | -0.09 | +62.25 |
| Spanish RMBS AA | 98 bps | +4.17 | +46.96 |
| UK BTL RMBS AAA | 209 bps | +25.37 | +144.69 |
| UK Cards AAA | 180 bps | -0.33 | +119.91 |
| UK NC RMBS AAA | 225 bps | +38.55 | +146.05 |
| UK NC RMBS AA | 275 bps | +26.29 | +170.33 |
| UK Prime RMBS AAA | 94 bps | +7.77 | +57.77 |