PSL Weekly Markets Wrap, 6th February 2023

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PSL CLO Spread Indices

European Index	Live Spread	Δ 7d bps	Δ YTD bps
CLO EUR AAA	170 bps	-0.04	-39.1
CLO EUR AA	264 bps	-0.48	-41.96
CLO EUR A	345 bps	-1.88	-41.01
CLO EUR BBB	524 bps	-0.75	-80.2
CLO EUR BB	904 bps	-7.91	-129.28
CLO EUR B	1,354 bps	-0.47	-67.2

US Index	Live Spread	Δ 7d bps	Δ YTD bps
CLO US AAA	170 bps	-5.89	-28.77
CLO US AA	235 bps	-6.77	-42.54
CLO US A	319 bps	-10.75	-57.17
CLO US BBB	506 bps	-13.28	-50.89
CLO US BB	905 bps	-11.08	-106.56
CLO US B	1,141 bps	-4.89	-26.66

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ABS Spreads Snapshot

ABS Asset Class	Live Spread	Δ7d bps	ΔYTD bps
Dutch RMBS AAA	71 bps	-3.92	-12.03
Dutch RMBS AA	207 bps	-11.79	-13.92
European Autos AAA	46 bps	-4.76	-18.41
European Autos AA	118 bps	-9.27	-32.84
European Autos A	262 bps	-2.19	-49.03
Italian RMBS AA	116 bps	-4.02	-11.1
Portuguese RMBS AA	114 bps	+0.56	-5.38
Spanish RMBS AA	88 bps	-1.94	-9.37
UK BTL RMBS AAA	124 bps	-3.96	-42.07
UK Cards AAA	124 bps	-5.92	-31.73
UK NC RMBS AAA	120 bps	-24.75	-63.56
UK NC RMBS AA	175 bps	-14.05	-47.64
UK Prime RMBS AAA	59 bps	-1.65	-10.09