PSL Weekly Markets Wrap, 1st August 2022
PSL CLO EUR AAA and US AAA Index trends over the last three months.
Live PSL Spread Indices
| European Index | Live Spread | Δ 7d bps | Δ YTD bps |
|---|---|---|---|
| CLO EUR AAA | 215 bps | -6.98 | +103.45 |
| CLO EUR AA | 315 bps | -19.89 | +163.9 |
| CLO EUR A | 405 bps | -18.63 | +191.28 |
| CLO EUR BBB | 562 bps | -19.94 | +256.53 |
| CLO EUR BB | 1,017 bps | -40.99 | +417.31 |
| CLO EUR B | 1,482 bps | -23.49 | +610.69 |
| US Index | Live Spread | Δ 7d bps | Δ YTD bps |
|---|---|---|---|
| CLO US AAA | 203 bps | -12.6 | +84.13 |
| CLO US AA | 281 bps | -20.39 | +117.65 |
| CLO US A | 357 bps | -9.78 | +154.23 |
| CLO US BBB | 542 bps | -45.57 | +190.49 |
| CLO US BB | 982 bps | -26.11 | +292.2 |
| CLO US B | 1,104 bps | -40.1 | +339.45 |
ABS Spreads Snapshot
| ABS Asset Class | Live Spread | Δ7d bps | ΔYTD bps |
|---|---|---|---|
| Dutch RMBS AAA | 88 bps | +0.06 | +51.09 |
| Dutch RMBS AA | 236 bps | +1.4 | +132.48 |
| European Autos AAA | 70 bps | -0.09 | +46.54 |
| European Autos AA | 153 bps | -0.39 | +95.58 |
| European Autos A | 298 bps | -6.49 | +184.09 |
| Italian RMBS AA | 105 bps | +12.44 | 44.31 |
| Portuguese RMBS AA | 106 bps | -1.58 | +43.14 |
| Spanish RMBS AA | 96 bps | -0.56 | +44.81 |
| UK BTL RMBS AAA | 160 bps | +4.36 | +96.58 |
| UK Cards AAA | 149 bps | +2.74 | +89.06 |
| UK NC RMBS AAA | 154 bps | -0.35 | +74.34 |
| UK NC RMBS AA | 202 bps | +1.03 | +96.88 |
| UK Prime RMBS AAA | 85 bps | -5.16 | +48.62 |