PSL CLO Spread Indices
Independent, data-driven indices across US and European CLO markets.
PSL value thousands of US and European CLOs every day. This huge dataset has allowed PSL to create the PSL CLO Spread Indices.
The PSL CLO Spread Indices are constructed by taking the top 50 most liquid securities in each group.
The conditions for the constituents of each index are:
Asset class: CLO EUR or CLO US
Rating bucket. Each rating bucket includes bonds that are ±1 notch either side e.g. the BBB rating bucket includes bonds with current ratings of BBB+, BBB and BBB-.
50 most liquid securities.
Weighted-average life minimum constraints
Currency
A number of checks and outlier detection techniques are used to retain the integrity of the indices.
Each index rolls every fortnight to ensure the most liquid securities are included.
PSL Index Construction: Stability & Integrity
Significant data analysis and back-testing has been conducted to ensure our indices react to market moves while minimising the influence of idiosyncrasies. A five-stage process ensures the stability and integrity of the indices.
STEP 1
Market data cleaning
STEP 2
Validate large price moves
STEP 3
Find the most liquid securities
STEP 4
Index outlier exclusion
STEP 5
Periodic rolling
Constituents are based on the most liquid securities in each index category.
Liquidity
Most liquid securities defined by PSL Depth Score.
WAL
Weighted-average life constraints.
Rating
Average rating buckets include securities with ±1 notch.
Manager AUM
Top CLO managers by AUM in the US and EU. Available in TRI and Bespoke Indices.
Why PSL CLO Indices
Independent
PSL is an independent company and does not directly hold any exposure to structured credit.
Data Driven
We receive tens of thousands of market data points every week to fuel algorithmic pricing on the CLO markets.
Historical
Each index is algorithmically constructed and back-tested based on PSL’s vast historical CLO pricing databse.
FREE
CLO Spread Indices
✔ Weekly email with European and US CLO spread levels.
✔ Six rating categories: AAA, AA, A, BBB, BB, B.
✔ Index comparison tools.
✔ Spread changes over the last week and year-to-date.
✔ Chart of the week.
✔ Bonus ABS spread summary.
COMING SOON
CLO Total Return Indices
✔ Live access to European CLO Total Return Indices.
✔ Five rating categories: AAA, AA, A, BBB, BB.
✔ Daily email with live index data.
✔ Full history back to 2018.
✔ View underlying constituent securities.
✔ Custom CLO Total Return Indices blended by ratings.
PRO
Bespoke Indices
✔ Custom indices built from PSL Evaluated Pricing.
✔ Comparison tools to CLO Total Return Indices.
✔ View underlying constituent securities and pricing.
✔ Export data to csv.
✔ Dedicated sales representative.
Frequently Asked Questions
Q. What is the difference between Spread Indices and Total Return Indices?
Spread Indices track the current discount margin in the market. Total Return Indices provides a benchmark to track how much portfolio has moved by.
Q. What can I use these indices for?
Whilst the indices are not yet a regulated product, we see the indices as the beginning of a benchmark of CLO fund performance by providing independent, data-driven metrics.
Q. How many indices are there?
22 indices in total. Both Spread Indices and Total Return Indices have US and European indices, divided by rating category. For Spread Indices, there are 6 rating category indices for each of the two geographies. For TRI, there are 5 rating category indices for each of the two geographies.
Q. What is the PSL Depth Score?
PSL Depth Score provides a relative measure of how liquid a bond is. It is primarily driven by how many different institutions are quoting on a security, how close the different institutions are in their quotes, and how recent they are. Quotes include bids, offers, price talk and trades, which are weighted accordingly (e.g. a traded price has more weight than price talk).
Q. My portfolio is not all rated the same. How can I use TRI to benchmark it?
You will be able to create blended indices that are made up of the original rating categories. You can match the weightings to reflect your portfolio.
Q. As part of the Total Return Indices calculation, how and when is cash reinvested in the portfolio?
Cash from interest and principal is reinvested on a pro-rata basis across the underlying constituents of the current index, as and when it is received.
Q. What is the roll frequency of the indices?
The Total Return Indices roll quarterly; the Spread Indices roll fortnightly.
Q. Can PSL CLO Total Return Indices be used to create benchmarks against other parameters in addition to rating?
On request, and assuming the relevant information is available, it is envisaged that PSL will be able to create customised indices that are specific to a user’s requirements in terms of collateral and deal profile, such as manager, defaults, weighted-average life and relative ESG status.
Have additional questions?