PSL Weekly Markets Wrap, 20th March

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PSL CLO Spread Indices

European Index	Live Spread	Δ 7d bps	Δ YTD bps
CLO EUR AAA	212 bps	+21.09	+3
CLO EUR AA	305 bps	+22.56	-1.07
CLO EUR A	401 bps	+22.26	+14.95
CLO EUR BBB	581 bps	+33.98	-23.18
CLO EUR BB	958 bps	+36.75	-75.83
CLO EUR B	1,372 bps	+23.37	-49.4

US Index	Live Spread	Δ 7d bps	Δ YTD bps
CLO US AAA	195 bps	+21.56	-3.75
CLO US AA	273 bps	+23.04	-4.86
CLO US A	367 bps	+24.1	-8.68
CLO US BBB	541 bps	+32.55	-15.03
CLO US BB	987 bps	+29.2	-24.57
CLO US B	1,205 bps	+22.57	+37.65

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ABS Spreads Snapshot

ABS Asset Class	Live Spread	Δ7d bps	ΔYTD bps
Dutch RMBS AAA	78 bps	+6.95	-4.28
Dutch RMBS AA	214 bps	+16.32	-6.49
European Autos AAA	46 bps	+5.76	-18.19
European Autos AA	116 bps	+8.18	-35
European Autos A	269 bps	+18.95	-41.83
Italian RMBS AA	113 bps	+7.83	-14.43
Portuguese RMBS AA	110 bps	+3.84	-8.87
Spanish RMBS AA	88 bps	+1.88	-9.69
UK BTL RMBS AAA	130 bps	+18.11	-36.56
UK Cards AAA	140 bps	+23.5	-16.14
UK NC RMBS AAA	134 bps	+24.11	-49.84
UK NC RMBS AA	187 bps	+23.16	-36.48
UK Prime RMBS AAA	64 bps	+8.82	-4.74