PSL Weekly Markets Wrap, 12th September 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 | 189 bps | +11.4 | +77.79 |
| CLO EUR AA | 275 bps | +4 | +123.99 |
| CLO EUR A | 354 bps | +13.8 | +139.81 |
| CLO EUR BBB | 532 bps | +16.5 | +226.65 |
| CLO EUR BB | 918 bps | +27.1 | +318.85 |
| CLO EUR B | 1365 bps | +61.7 | +493.78 |
| US Index | Live Spread | Δ 7d bps | Δ YTD bps |
|---|---|---|---|
| CLO US AAA | 192 bps | -0.1 | +72.51 |
| CLO US AA | 239 bps | -3.4 | +75.69 |
| CLO US A | 319 bps | +5.2 | +116.94 |
| CLO US BBB | 482 bps | +15.2 | +129.72 |
| CLO US BB | 966 bps | +65.7 | +276.5 |
| CLO US B | 1239 bps | +91.8 | +474.9 |
ABS Spreads Snapshot
| ABS Asset Class | Live Spread | Δ7d bps | ΔYTD bps |
|---|---|---|---|
| Dutch RMBS AAA | 84 bps | +8.61 | +47.53 |
| Dutch RMBS AA | 211 bps | +2.51 | +107.15 |
| European Autos AAA | 68 bps | -0.95 | +43.77 |
| European Autos AA | 143 bps | -8.82 | +85.79 |
| European Autos A | 263 bps | -37.51 | +148.73 |
| Italian RMBS AA | 104 bps | +6.71 | 43.32 |
| Portuguese RMBS AA | 116 bps | +3.04 | +53.59 |
| Spanish RMBS AA | 92 bps | +1.05 | +41.36 |
| UK BTL RMBS AAA | 150 bps | +3.77 | +86.32 |
| UK Cards AAA | 159 bps | +11.3 | +99.15 |
| UK NC RMBS AAA | 157 bps | +11.47 | +77.13 |
| UK NC RMBS AA | 216 bps | +18.58 | +111.03 |
| UK Prime RMBS AAA | 76 bps | -1.81 | +40.54 |