PSL Weekly Markets Wrap, 30th August 2022
PSL CLO EUR AAA and US AAA Index trends over the last three months
Live PSL CLO Spread Indices
| European Index | Live Spread | Δ 7d bps | Δ YTD bps |
|---|---|---|---|
| CLO EUR AAA | 172 bps | +0.89 | +61.01 |
| CLO EUR AA | 265 bps | +9.78 | +113.78 |
| CLO EUR A | 331 bps | +13.02 | +117.5 |
| CLO EUR BBB | 505 bps | +28.07 | +199.6 |
| CLO EUR BB | 870 bps | +8.95 | +269.85 |
| CLO EUR B | 1,272 bps | +11.13 | +400.25 |
| US Index | Live Spread | Δ 7d bps | Δ YTD bps |
|---|---|---|---|
| CLO US AAA | 186 bps | +7.18 | +66.79 |
| CLO US AA | 237 bps | +1.14 | +73.01 |
| CLO US A | 309 bps | +2.22 | +106.96 |
| CLO US BBB | 462 bps | -22.69 | +110.5 |
| CLO US BB | 867 bps | -34.35 | +176.21 |
| CLO US B | 1,100 bps | +19.38 | +335.21 |
ABS Spreads Snapshot
| ABS Asset Class | Live Spread | Δ7d bps | ΔYTD bps |
|---|---|---|---|
| Dutch RMBS AAA | 60 bps | -6.85 | +22.93 |
| Dutch RMBS AA | 210 bps | -13 | +105.9 |
| European Autos AAA | 75 bps | +7.46 | +51.49 |
| European Autos AA | 163 bps | +10.05 | +106.12 |
| European Autos A | 336 bps | +28.4 | +221.63 |
| Italian RMBS AA | 89 bps | -0.99 | 28.04 |
| Portuguese RMBS AA | 114 bps | -4.9 | +51.78 |
| Spanish RMBS AA | 87 bps | -4.08 | +36.33 |
| UK BTL RMBS AAA | 153 bps | +8.68 | +89.57 |
| UK Cards AAA | 137 bps | -7.91 | +76.85 |
| UK NC RMBS AAA | 131 bps | +2.1 | +51.84 |
| UK NC RMBS AA | 181 bps | +4.2 | +75.98 |
| UK Prime RMBS AAA | 78 bps | -1.09 | +42.53 |