DB European CLO Total Return Indices powered by PSL
PSL have partnered with Deutsche Bank to provide rules-based total return indices for European CLOs. Every CLO in the DB € CLO TRI has been priced by PSL, beginning January 2018.
The Deutsche Bank European Collateralised Loan Obligation lndex (DB € CLO) is a rules-based total return benchmark for broadly-syndicated, Euro-denominated CLO debt.
The DB € CLO indices offer a history from the start of 2018. They will be the first in a series of complementary indices geared towards the global structured finance market.
DB € CLO offers comprehensive coverage of European CLO debt, tracking approximately 95% of the over €200 billion European CLO debt stock, as of 1 January 2024. At launch, the DB € CLO Total Return Index will have over six years of history across key sub-indices categorised by original rating (AAA to B). The index includes over 570 deals and 3,400 tranches managed by over 65 CLO managers across the entire debt capital structure.
The DB € CLO Total Return Indices will provide investors, issuers, and market participants with a independent and comprehensive benchmark for the European CLO debt market, which has grown significantly in recent years due to its attractive risk-return profile and diversification benefits.
The platform will also enable custom blends of the sub-indices to reflect specific portfolios or strategies.
570+ Deals
3,400+ Securities
65+ CLO Managers
€200bn+ European CLO debt stock
7 Indices at Launch
AAA, AA, A, BBB, BB, B, Universe
| Deal Region | Europe |
| Currency | EUR |
| Original Rating | AAA, AA, A, BBB, BB, B |
| Size Limit | No min or max size limit |
| Maturity Limit | No min or max WAL limit |
| Coupon Type | Floating rate only |
| Earliest Deal Issue Date | December 2013 |
| Weighting | Market cap weighted |
| Min Deal Size | EUR 250 million |
| Pricing Provider | PSL |
The indices comprise over 3,400 CLO debt tranches that are valued daily by PSL, with oversight from both experienced analysts and automated processes.
Eligible securities for each index comprise cash, floating-rate, broadly syndicated CLOs valued by PSL with the relevant original rating.
The indices are rebalanced monthly. Interest and principal receipts are reinvested back into the index on the last business day of the month.
How to access DB EUR CLO TRI
To get access to DB EUR CLO TRI, email index.data@db.com or valuations@prytaniasolutions.com or fill out the below form.
Frequently Asked Questions
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The Deutsche Bank European Collateralised Loan Obligation lndex (DB € CLO) is a rules-based total return benchmark for broadly syndicated, arbitrage Euro-denominated CLO debt.
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DB € CLO will offer comprehensive coverage of European CLO debt, tracking approximately 95% of the €220bn European CLO debt stock as-of 1 January 2024.
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Six key sub-indices at launch, categorised by original rating (AAA to B), alongside an aggregate DB € CLO TRI. At present, this includes over 500 deals 3,000 tranches, managed by 66 managers. Additionally, clients will be able to request custom indices delineated by categories such as reinvestment end date and CLO manager.
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DBIQ is Deutsche Bank's in-house Index Administrator, calculating over 5,000 indices across all asset classes. It has a 23-year track record of delivering innovative indices including the first enhanced roll commodity indices, multi-strategy FX and equity indices and fixed income forward rate bias and carry indices.
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CLOs and the wider structured finance market are complex – liquidity can be sporadic and there can be many idiosyncrasies in the way deals are both structured and managed. PSL derives daily valuations for entire asset classes by performing statistical analysis on the liquid portion of the market. This analysis is used to establish the relationship between credit fundamentals and market sentiment in the form of discount margin implied from market observations and projected cash flows. Machine learning is used to identify the relationship between credit fundamentals and DM, that can then be translated across to the illiquid space of the market, thereby deriving evaluated pricing surfaces, which enable the valuation of both liquid and illiquid securities.