EUR and US AAA CLOs converge to 185bps
For discussion purposes only.
Live PSL CLO Indices
| European Index | Live Spread | Δ 7d bps | Δ YTD bps |
|---|---|---|---|
| CLO EUR AAA | 185 bps | -5.62 | +73.32 |
| CLO EUR AA | 280 bps | -19.98 | +128.66 |
| CLO EUR A | 338 bps | -36.44 | +124.32 |
| CLO EUR BBB | 500 bps | -33.11 | +195.09 |
| CLO EUR BB | 922 bps | -46.99 | +322.71 |
| CLO EUR B | 1,352 bps | -61.77 | +480.38 |
| US Index | Live Spread | Δ 7d bps | Δ YTD bps |
|---|---|---|---|
| CLO US AAA | 185 bps | -7.80 | +65.98 |
| CLO US AA | 255 bps | -8.74 | +91.01 |
| CLO US A | 321 bps | -10.25 | +118.14 |
| CLO US BBB | 492 bps | -26.66 | +139.97 |
| CLO US BB | 941 bps | -38.70 | +251.10 |
| CLO US B | 1,113 bps | -1.38 | +348.75 |
ABS Spreads Snapshot
| ABS Asset Class | Live Spread | Δ7d bps | ΔYTD bps |
|---|---|---|---|
| Dutch RMBS AAA | 77 bps | -6.71 | +40.24 |
| Dutch RMBS AA | 232 bps | -3.69 | +128.05 |
| European Autos AAA | 67 bps | -0.33 | +42.88 |
| European Autos AA | 150 bps | +4.73 | +93.44 |
| European Autos A | 291 bps | +19.30 | +176.6 |
| Italian RMBS AA | 93 bps | -6.87 | 32.03 |
| Portuguese RMBS AA | 116 bps | +4.44 | +53.66 |
| Spanish RMBS AA | 91 bps | -5.38 | +40.46 |
| UK BTL RMBS AAA | 149 bps | -6.81 | +85.40 |
| UK Cards AAA | 152 bps | +5.08 | +92.09 |
| UK NC RMBS AAA | 138 bps | -6.05 | +58.41 |
| UK NC RMBS AA | 186 bps | -10.40 | +81.23 |
| UK Prime RMBS AAA | 81 bps | +0.46 | +44.91 |