PSL Weekly Markets Wrap, 14th November 2022
Live PSL CLO Spread Indices
| European Index | Live Spread | Δ 7d bps | Δ YTD bps |
|---|---|---|---|
| CLO EUR AAA | 218 bps | -7.94 | +106.59 |
| CLO EUR AA | 324 bps | -16.81 | +172.89 |
| CLO EUR A | 411 bps | -15.1 | +197.09 |
| CLO EUR BBB | 602 bps | -9.14 | +297.19 |
| CLO EUR BB | 1,004 bps | -20.55 | +403.99 |
| CLO EUR B | 1,403 bps | -46.62 | +531.48 |
| US Index | Live Spread | Δ 7d bps | Δ YTD bps |
|---|---|---|---|
| CLO US AAA | 220 bps | -14.51 | +101.01 |
| CLO US AA | 284 bps | -15.37 | +120.11 |
| CLO US A | 358 bps | -18.65 | +155.4 |
| CLO US BBB | 557 bps | -19.91 | +205.21 |
| CLO US BB | 969 bps | -53.59 | +279.09 |
| CLO US B | 1,130 bps | -59.05 | +365.74 |
ABS Spreads Snapshot
| ABS Asset Class | Live Spread | Δ7d bps | ΔYTD bps |
|---|---|---|---|
| Dutch RMBS AAA | 101 bps | -5.98 | +63.77 |
| Dutch RMBS AA | 253 bps | -17.75 | +148.59 |
| European Autos AAA | 75 bps | -2.22 | +50.79 |
| European Autos AA | 166 bps | +1.25 | +108.79 |
| European Autos A | 297 bps | +6.21 | +182.76 |
| Italian RMBS AA | 138 bps | +14.44 | 77.59 |
| Portuguese RMBS AA | 132 bps | -1.26 | +69.02 |
| Spanish RMBS AA | 102 bps | -5.15 | +51.54 |
| UK BTL RMBS AAA | 198 bps | +1.86 | +133.98 |
| UK Cards AAA | 173 bps | -6.32 | +112.75 |
| UK NC RMBS AAA | 221 bps | -12.04 | +141.83 |
| UK NC RMBS AA | 266 bps | -11.05 | +161.2 |
| UK Prime RMBS AAA | 96 bps | -1.17 | +59.71 |