PSL CLO Indices tighten an average of 15% in 2023 YTD across both Europe and US
| European Index
| Live Spread
| Δ 7d bps
| Δ YTD bps
|
| CLO EUR AAA |
162 bps |
-8.38 |
-47.47 |
| CLO EUR AA |
261 bps |
-3.35 |
-45.31 |
| CLO EUR A |
349 bps |
+4.23 |
-36.78 |
| CLO EUR BBB |
507 bps |
-17.92 |
-98.12 |
| CLO EUR BB |
857 bps |
-46.73 |
-176 |
| CLO EUR B |
1,348 bps |
-6.14 |
-73.34 |
| US Index
| Live Spread
| Δ 7d bps
| Δ YTD bps
|
| CLO US AAA |
165 bps |
-5.28 |
-34.05 |
| CLO US AA |
228 bps |
-7.34 |
-49.88 |
| CLO US A |
312 bps |
-7.14 |
-64.3 |
| CLO US BBB |
496 bps |
-9.09 |
-59.99 |
| CLO US BB |
912 bps |
+6.55 |
-100.01 |
| CLO US B |
1,165 bps |
+24.69 |
-1.97 |
| ABS Asset Class
| Live Spread
| Δ7d bps
| ΔYTD bps
|
| Dutch RMBS AAA |
69 bps |
-4.14 |
-13.76 |
| Dutch RMBS AA |
204 bps |
-4.07 |
-16.5 |
| European Autos AAA |
43 bps |
-3.57 |
-21.29 |
| European Autos AA |
109 bps |
-8.83 |
-41.47 |
| European Autos A |
243 bps |
-10.23 |
-68.39 |
| Italian RMBS AA |
119 bps |
+1.65 |
-8.43 |
| Portuguese RMBS AA |
112 bps |
-1.85 |
-7.48 |
| Spanish RMBS AA |
87 bps |
-2.37 |
-10.47 |
| UK BTL RMBS AAA |
117 bps |
-9.12 |
-49.85 |
| UK Cards AAA |
119 bps |
-7.05 |
-36.27 |
| UK NC RMBS AAA |
113 bps |
-12 |
-71.21 |
| UK NC RMBS AA |
169 bps |
-16.58 |
-54.56 |
| UK Prime RMBS AAA |
56 bps |
-4.2 |
-12.6 |
