PSL Weekly Markets Wrap, 4th March 2024

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PSL CLO Spread Indices

European Index	Live Spread	Δ 7d bps	Δ YTD bps
CLO EUR AAA	126.21	+0.7	-33.56
CLO EUR AA	200.1	-0.53	-31.67
CLO EUR A	255.59	-1.61	-68.59
CLO EUR BBB	382.29	-1.39	-66.75
CLO EUR BB	640.55	-2.3	-80.91
CLO EUR B	939.37	-13.43	-178.24

US Index	Live Spread	Δ 7d bps	Δ YTD bps
CLO US AAA	141.55	-0.23	-12.01
CLO US AA	193.48	-0.23	-21.32
CLO US A	256.85	+1.46	-12.96
CLO US BBB	392.49	-1.09	-8.24
CLO US BB	731.52	+1.58	-51.73
CLO US B	1029.85	-0.12	+8.81

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ABS Spreads Snapshot

ABS Asset Class	Live Spread	Δ7d bps	ΔYTD bps
Dutch ABS/MBS AAA	57.86	+0.11	-4.08
Dutch ABS/MBS AA	157.99	+0.02	-28.05
Italian ABS/MBS AA	89.16	-7.34	-13.19
Portuguese ABS/MBS AA	90.15	+0.14	+0.36
Spanish ABS/MBS AA	86.86	+3.38	+2.77
UK BTL RMBS AAA	81.9	-2.87	-12.77
UK Cards AAA	83.29	-0.09	-22.3
UK NC RMBS AAA	94.51	-2.38	-5.74
UK NC RMBS AA	120.62	+1.17	-19.52
UK Prime RMBS AAA	51.8	+0.05	-2.21