PSL Weekly Markets Wrap, 5th September 2022
PSL CLO EUR AAA and US AAA Indices widen from August tights.
PSL CLO Spread Indices
| European Index | Live Spread | Δ 7d bps | Δ YTD bps |
|---|---|---|---|
| CLO EUR AAA | 178 bps | +5.31 | +66.34 |
| CLO EUR AA | 271 bps | +6.21 | +119.94 |
| CLO EUR A | 340 bps | +8.57 | +126.08 |
| CLO EUR BBB | 515 bps | +10.48 | +210.08 |
| CLO EUR BB | 891 bps | +21.78 | +291.6 |
| CLO EUR B | 1,303 bps | +31.91 | +432.16 |
| US Index | Live Spread | Δ 7d bps | Δ YTD bps |
|---|---|---|---|
| CLO US AAA | 192 bps | +5.83 | +72.62 |
| CLO US AA | 243 bps | +6.07 | +79.08 |
| CLO US A | 314 bps | +4.8 | +111.76 |
| CLO US BBB | 466 bps | +3.76 | +114.36 |
| CLO US BB | 901 bps | +34.11 | +210.27 |
| CLO US B | 1,147 bps | +47.74 | +382.96 |
ABS Spreads Snapshot
| ABS Asset Class | Live Spread | Δ7d bps | ΔYTD bps |
|---|---|---|---|
| Dutch RMBS AAA | 76 bps | +15.98 | +38.91 |
| Dutch RMBS AA | 209 bps | -1.26 | +104.64 |
| European Autos AAA | 69 bps | -6.78 | +44.71 |
| European Autos AA | 152 bps | -11.52 | +94.61 |
| European Autos A | 300 bps | -35.39 | +186.24 |
| Italian RMBS AA | 97 bps | +8.58 | 36.62 |
| Portuguese RMBS AA | 113 bps | -1.22 | +50.55 |
| Spanish RMBS AA | 91 bps | +3.99 | +40.32 |
| UK BTL RMBS AAA | 146 bps | -7.01 | +82.55 |
| UK Cards AAA | 148 bps | +11 | +87.85 |
| UK NC RMBS AAA | 145 bps | +13.81 | +65.66 |
| UK NC RMBS AA | 197 bps | +16.47 | +92.44 |
| UK Prime RMBS AAA | 78 bps | -0.18 | +42.35 |