PSL Weekly Markets Wrap 18th July 2022
PSL CLO EUR BBB Index has almost doubled year-to-date to 590 bps.
PSL CLO Indices
| European Index | Live Spread | Δ 7d bps | Δ YTD bps |
|---|---|---|---|
| CLO EUR AAA | 213 bps | +3.45 | +101.41 |
| CLO EUR AA | 326 bps | +2.59 | +174.96 |
| CLO EUR A | 431 bps | -0.87 | +217.32 |
| CLO EUR BBB | 590 bps | +11.99 | +285.13 |
| CLO EUR BB | 1028 bps | +0.67 | +428.25 |
| CLO EUR B | 1440 bps | +12.06 | +568.18 |
| US Index | Live Spread | Δ 7d bps | Δ YTD bps |
|---|---|---|---|
| CLO US AAA | 218 bps | +7.77 | +98.67 |
| CLO US AA | 291 bps | +15.54 | +126.98 |
| CLO US A | 349 bps | +9.53 | +146.86 |
| CLO US BBB | 562 bps | -7.72 | +210.58 |
| CLO US BB | 988 bps | -11.04 | +297.97 |
| CLO US B | 1130 bps | +12.58 | +365.34 |
ABS Spreads Snapshot
| ABS Asset Class | Live Spread | Δ7d bps | ΔYTD bps |
|---|---|---|---|
| Dutch RMBS AAA | 89 bps | +1.28 | +52.22 |
| Dutch RMBS AA | 237 bps | -0.05 | +133.26 |
| European Autos AAA | 70 bps | +5.75 | +46.22 |
| European Autos AA | 156 bps | +16.69 | +99.19 |
| European Autos A | 320 bps | +38.26 | +205.62 |
| Italian RMBS AA | 92 bps | -1.65 | 31.32 |
| Portuguese RMBS AA | 101 bps | +2.15 | +38.81 |
| Spanish RMBS AA | 89 bps | +2.12 | +37.85 |
| UK BTL RMBS AAA | 160 bps | +9.89 | +96.03 |
| UK Cards AAA | 146 bps | +10.18 | +85.91 |
| UK NC RMBS AAA | 153 bps | +1.28 | +73.29 |
| UK NC RMBS AA | 205 bps | +4.8 | +99.81 |
| UK Prime RMBS AAA | 92 bps | +0.09 | +55.93 |