The Global ABS Effect
Next week sees the return of the Global ABS conference in Barcelona. where over 4,500 descend, leaving market activity always at its lowest in the year other than the Christmas and New Year period.
PSL CLO Spread Indices
| European Index | Live Spread | Δ 7d bps | Δ YTD bps |
|---|---|---|---|
| CLO EUR AAA | 108.94 | -4.67 | -50.83 |
| CLO EUR AA | 172.12 | -0.17 | -59.65 |
| CLO EUR A | 228.84 | -0.66 | -95.35 |
| CLO EUR BBB | 352.35 | +6.92 | -96.7 |
| CLO EUR BB | 645.37 | -10.24 | -76.09 |
| CLO EUR B | 891.49 | -41.93 | -226.12 |
| US Index | Live Spread | Δ 7d bps | Δ YTD bps |
|---|---|---|---|
| CLO US AAA | 139.14 | +2.83 | -14.42 |
| CLO US AA | 188.62 | +2.26 | -26.18 |
| CLO US A | 234.58 | +6.57 | -35.24 |
| CLO US BBB | 377.72 | -0.33 | -23.02 |
| CLO US BB | 679.24 | -38.44 | -104.01 |
| CLO US B | 866.46 | +27.15 | -154.58 |
ABS Spreads Snapshot
| ABS Asset Class | Live Spread | Δ7d bps | ΔYTD bps |
|---|---|---|---|
| Dutch ABS/MBS AAA | 72.32 | -0.38 | -18.5 |
| Dutch ABS/MBS AA | 135.01 | -1.01 | -50.57 |
| Italian ABS/MBS AA | 72.39 | -1.22 | -21.31 |
| Portuguese ABS/MBS AA | 113.45 | +0.35 | +6.18 |
| Spanish ABS/MBS AA | 99.49 | +0.77 | -4.56 |
| UK BTL RMBS AAA | 75.33 | +0.06 | -15.09 |
| UK Cards AAA | 75.68 | +1.63 | -28.08 |
| UK Prime RMBS AAA | 53.98 | +1.87 | +3.17 |