PSL Markets Wrap, 17th October 2022
PSL CLO EUR AA/A Delta continues to widen from mid August through market uncertainty.
PSL CLO Spread Indices
| European Index | Live Spread | Δ 7d bps | Δ YTD bps |
|---|---|---|---|
| CLO EUR AAA | 246 bps | +16.07 | +134.55 |
| CLO EUR AA | 360 bps | +21.28 | +208.53 |
| CLO EUR A | 459 bps | +29.58 | +244.79 |
| CLO EUR BBB | 662 bps | +18.71 | +356.69 |
| CLO EUR BB | 1,045 bps | +11.46 | +445.58 |
| CLO EUR B | 1,554 bps | +14.88 | +682.21 |
| US Index | Live Spread | Δ 7d bps | Δ YTD bps |
|---|---|---|---|
| CLO US AAA | 231 bps | +7.37 | +111.58 |
| CLO US AA | 281 bps | +1.61 | +117.7 |
| CLO US A | 369 bps | +19.46 | +166.72 |
| CLO US BBB | 593 bps | +13.91 | +240.89 |
| CLO US BB | 1,074 bps | +11.49 | +383.42 |
| CLO US B | 1,292 bps | +17.86 | +527.67 |
ABS Spreads Snaphsot
| ABS Asset Class | Live Spread | Δ7d bps | ΔYTD bps |
|---|---|---|---|
| Dutch RMBS AAA | 109 bps | +7.81 | +71.92 |
| Dutch RMBS AA | 274 bps | +9.44 | +169.77 |
| European Autos AAA | 81 bps | -1.29 | +57.06 |
| European Autos AA | 173 bps | +0.55 | +116.3 |
| European Autos A | 320 bps | -7.26 | +206.34 |
| Italian RMBS AA | 128 bps | +8.05 | 66.72 |
| Portuguese RMBS AA | 125 bps | +0.11 | +62.35 |
| Spanish RMBS AA | 100 bps | +2.15 | +49.11 |
| UK BTL RMBS AAA | 213 bps | +4.8 | +149.49 |
| UK Cards AAA | 185 bps | +4.99 | +124.9 |
| UK NC RMBS AAA | 241 bps | +15.44 | +161.49 |
| UK NC RMBS AA | 288 bps | +12.43 | +182.77 |
| UK Prime RMBS AAA | 103 bps | +9.67 | +67.43 |