PSL Weekly Markets Wrap, 25th July 2022
PSL CLO EUR AA and US AA Delta widens significantly over the last month.
PSL CLO Spread Indices
| European Index | Live Spread | Δ 7d bps | Δ YTD bps |
|---|---|---|---|
| CLO EUR AAA | 224 bps | -1.42 | +112.63 |
| CLO EUR AA | 338 bps | -4.74 | +187.04 |
| CLO EUR A | 426 bps | -26.43 | +212.28 |
| CLO EUR BBB | 578 bps | -34.92 | +273.4 |
| CLO EUR BB | 1,053 bps | -6.66 | +452.86 |
| CLO EUR B | 1,498 bps | +17.99 | +626.76 |
| US Index | Live Spread | Δ 7d bps | Δ YTD bps |
|---|---|---|---|
| CLO US AAA | 217 bps | +1.29 | +97.49 |
| CLO US AA | 303 bps | +16.01 | +139.33 |
| CLO US A | 368 bps | +15.92 | +165.05 |
| CLO US BBB | 586 bps | +9.87 | +234.52 |
| CLO US BB | 1,004 bps | -14.29 | +314.09 |
| CLO US B | 1,143 bps | -8.41 | +379.01 |
ABS Spreads Snapshot
| ABS Asset Class | Live Spread | Δ7d bps | ΔYTD bps |
|---|---|---|---|
| Dutch RMBS AAA | 88 bps | -1.19 | +51.04 |
| Dutch RMBS AA | 235 bps | -2.18 | +131.08 |
| European Autos AAA | 71 bps | +0.41 | +46.63 |
| European Autos AA | 153 bps | -3.21 | +95.98 |
| European Autos A | 305 bps | -15.04 | +190.58 |
| Italian RMBS AA | 93 bps | +0.54 | 31.87 |
| Portuguese RMBS AA | 107 bps | +5.91 | +44.72 |
| Spanish RMBS AA | 96 bps | +7.52 | +45.37 |
| UK BTL RMBS AAA | 156 bps | -3.81 | +92.21 |
| UK Cards AAA | 146 bps | +0.4 | +86.32 |
| UK NC RMBS AAA | 154 bps | +1.4 | +74.69 |
| UK NC RMBS AA | 201 bps | -3.96 | +95.86 |
| UK Prime RMBS AAA | 90 bps | -2.16 | +53.77 |