Summer Tightening Across the Capital Structure
| European Index
| Live Spread
| Δ 7d bps
| Δ YTD bps
|
| CLO EUR AAA |
165 bps |
-1.45 |
-44.37 |
| CLO EUR AA |
247 bps |
-0.89 |
-59.15 |
| CLO EUR A |
332 bps |
-0.79 |
-54.13 |
| CLO EUR BBB |
476 bps |
-2.55 |
-129.03 |
| CLO EUR BB |
800 bps |
+5.2 |
-233.33 |
| CLO EUR B |
1,179 bps |
+3.45 |
-242.28 |
| US Index
| Live Spread
| Δ 7d bps
| Δ YTD bps
|
| CLO US AAA |
163 bps |
0.36 |
-35.19 |
| CLO US AA |
229 bps |
+0.44 |
-48.5 |
| CLO US A |
290 bps |
-0.18 |
-86.13 |
| CLO US BBB |
435 bps |
-4.4 |
-121.19 |
| CLO US BB |
879 bps |
-9.91 |
-132.94 |
| CLO US B |
1,144 bps |
-20.93 |
-23.66 |
| ABS Asset Class
| Live Spread
| Δ7d bps
| ΔYTD bps
|
| Dutch RMBS AAA |
61 bps |
-0.85 |
-21.56 |
| Dutch RMBS AA |
194 bps |
-0.91 |
-26.68 |
| European Autos AAA |
39 bps |
-0.58 |
-25.47 |
| European Autos AA |
98 bps |
+2.07 |
-53.11 |
| European Autos A |
194 bps |
+2.92 |
-116.93 |
| Italian RMBS AA |
93 bps |
-0.56 |
-34.49 |
| Portuguese RMBS AA |
94 bps |
-2 |
-24.9 |
| Spanish RMBS AA |
72 bps |
+1.14 |
-25.28 |
| UK BTL RMBS AAA |
109 bps |
-0.52 |
-57.15 |
| UK Cards AAA |
121 bps |
-1.96 |
-35.2 |
| UK NC RMBS AAA |
108 bps |
-0.69 |
-76.14 |
| UK NC RMBS AA |
161 bps |
+0.02 |
-62.14 |
| UK Prime RMBS AAA |
59 bps |
-0.03 |
-10.25 |
