PSL Weekly Markets Wrap, 8th August 2022
PSL CLO EUR Spread Indices tighten across the capital structure through early August.
PSL CLO Spread Indices
| European Index | Live Spread | Δ 7d bps | Δ YTD bps |
|---|---|---|---|
| CLO EUR AAA | 190 bps | -19.13 | +78.94 |
| CLO EUR AA | 300 bps | -7.38 | +148.64 |
| CLO EUR A | 375 bps | -22.32 | +160.76 |
| CLO EUR BBB | 533 bps | -32.64 | +228.21 |
| CLO EUR BB | 969 bps | -57.44 | +369.7 |
| CLO EUR B | 1,413 bps | -83.05 | +542.15 |
| US Index | Live Spread | Δ 7d bps | Δ YTD bps |
|---|---|---|---|
| CLO US AAA | 193 bps | -6.63 | +73.78 |
| CLO US AA | 263 bps | -12.67 | +99.75 |
| CLO US A | 331 bps | -20.01 | +128.39 |
| CLO US BBB | 518 bps | -22.11 | +166.64 |
| CLO US BB | 980 bps | -7.75 | +289.8 |
| CLO US B | 1,115 bps | +4.29 | +350.13 |
ABS Spreads Snapshot
| ABS Asset Class | Live Spread | Δ7d bps | ΔYTD bps |
|---|---|---|---|
| Dutch RMBS AAA | 79 bps | -9.5 | +42 |
| Dutch RMBS AA | 233 bps | -5.03 | +129.26 |
| European Autos AAA | 69 bps | -1.07 | +44.75 |
| European Autos AA | 153 bps | -1.78 | +95.94 |
| European Autos A | 292 bps | -8.52 | +177.98 |
| Italian RMBS AA | 95 bps | -9.07 | 34.65 |
| Portuguese RMBS AA | 113 bps | +7.73 | +50.5 |
| Spanish RMBS AA | 94 bps | -1.21 | +43.48 |
| UK BTL RMBS AAA | 153 bps | -7.26 | +88.83 |
| UK Cards AAA | 151 bps | +2.27 | +90.62 |
| UK NC RMBS AAA | 140 bps | -12.53 | +60.94 |
| UK NC RMBS AA | 192 bps | -9.15 | +86.52 |
| UK Prime RMBS AAA | 79 bps | -3.62 | +43.08 |