Built on years of experience of algorithmically pricing entire asset classes, PSL have created independent and data-driven CLO Indices that are open to all market participants.

 

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OPEN. INDEPENDENT. DATA-DRIVEN.

 

OPEN TO ALL MARKET PARTICIPANTS

CLO index current levels are free for all PSL users.

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FULLY INDEPENDENT

PSL is an independent company and does not directly hold any exposure to structured credit.

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DATA-DRIVEN

Each index is algorithmically constructed based on PSL’s vast historical CLO evaluated pricing database.

 
 

The initial indices at launch include European and US CLOs across the capital structure.

 
 
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AAA

AA

A

BBB

BB

B


 
 

Index Constituents

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Top 50 most liquid securities defined by the PSL Depth Score

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Weighted-average life constraints

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Average rating buckets include bonds with ±1 notch

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All index constituents have the same currency

 
 

Stability & Integrity

Significant data analysis and back-testing has been conducted to ensure the PSL CLO Indices react to market moves while minimising the influence of idiosyncrasies.

Advanced automation and machine learning ensures clean market data, outlier identification and exponentially-weighted smoothing.

Outliers are identified daily and automatically sent to the PSL financial analysis team for closer inspection before entering the index.


 
 
 
 

European & US CLO Indices will be free for all PSL users, with further detail available for Premium and Pro subscriptions

 
 
FREE PREMIUM PRO
European & CLO Index current levels across all rating buckets
Charts to compare all indices against each other
Past 90 days’ history
Full history
Export data to CSV
Names of underlying constituents
Underlying constituents' pricing
Build your own bespoke indices
 
 
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