CLO EUR A tighten back to June 2022 levels
PSL Weekly Markets Wrap, 22nd August 2022
For discussion purposes only.
| European Index | Live Spread | Δ 7d bps | Δ YTD bps |
|---|---|---|---|
| CLO EUR AAA | 175 bps | -13.16 | +63.58 |
| CLO EUR AA | 257 bps | -17.82 | +106.28 |
| CLO EUR A | 316 bps | -17.54 | +102.22 |
| CLO EUR BBB | 468 bps | -27.72 | +162.64 |
| CLO EUR BB | 868 bps | -45.86 | +268.43 |
| CLO EUR B | 1,278 bps | -60.43 | +406.64 |
| US Index | Live Spread | Δ 7d bps | Δ YTD bps |
|---|---|---|---|
| CLO US AAA | 180 bps | -1.71 | +61.16 |
| CLO US AA | 240 bps | -11.90 | +76.38 |
| CLO US A | 305 bps | -16.17 | +102.79 |
| CLO US BBB | 481 bps | -6.81 | +129.59 |
| CLO US BB | 900 bps | -44.86 | +209.71 |
| CLO US B | 1,075 bps | -43.76 | +310.34 |
| ABS Asset Class | Live Spread | Δ7d bps | ΔYTD bps |
|---|---|---|---|
| Dutch RMBS AAA | 67 bps | -10.46 | +29.77 |
| Dutch RMBS AA | 223 bps | -9.15 | +118.9 |
| European Autos AAA | 68 bps | +1.14 | +44.03 |
| European Autos AA | 153 bps | +2.64 | +96.08 |
| European Autos A | 307 bps | +16.63 | +193.23 |
| Italian RMBS AA | 90 bps | -3.00 | 29.03 |
| Portuguese RMBS AA | 119 bps | +3.01 | +56.68 |
| Spanish RMBS AA | 91 bps | -0.06 | +40.41 |
| UK BTL RMBS AAA | 145 bps | -4.51 | +80.89 |
| UK Cards AAA | 145 bps | -7.33 | +84.76 |
| UK NC RMBS AAA | 129 bps | -8.66 | +49.75 |
| UK NC RMBS AA | 177 bps | -9.46 | +71.77 |
| UK Prime RMBS AAA | 80 bps | -1.29 | +43.62 |