J.P. Morgan introduced today the J.P. Morgan CLO Index (CLOIE), a new collateralized loan obligation (CLO) index. As the first US CLO index of its kind, CLOIE offers total returns and analytics based on observable pricings of a representative pool of bonds following a stated methodology, and is published daily.
“The CLOIE broadens J.P. Morgan’s index product suite into collateralized loan obligations, continuing a legacy of premier index product offerings,” said Gloria Kim, J.P. Morgan’s head of global index research. “It will provide increased transparency and visibility to the growing CLO sector.”
The index holistically captures the USD-denominated CLO market, representing over 3,000 instruments at a total par value of US $236.1 billion. Its introduction allows market participants to track securitized loan market valuations, complementing last year’s debut of the J.P. Morgan Asset-Backed Securities Indices (ABS Indices).
“CLO issuance surged to $97bn in 2013 and J.P. Morgan forecasts up to $120bn in issuance for 2014. The record-breaking issuance, improved structures post-crisis, and relative value will foster broader fixed income-benchmarked investor participation in CLOs,” said Rishad Ahluwalia, J.P. Morgan’s head of global collateralized loan obligations research.
CLOIE tracks floating-rate CLO securities in 2004–present vintages. Additional subindices are divided by ratings AAA through BB, and further divided between pre- and post-crisis vintages. CLO 2.0, or post-crisis vintages, consists of deals issued in 2010 and later. CLOIE utilizes a market-value weighted methodology and will be another member of the widely used J.P. Morgan benchmark suite. J.P. Morgan clients and investors can access index levels and statistics for the CLOIE at jpmorganmarkets.com.
Pricing for the index is provided by PricingDirect Inc., a valuation vendor and affiliate of J.P. Morgan Chase Bank. Details of PricingDirect product coverage and methodology are available at pricing-direct.com.
Table 1: J.P. Morgan CLOIE instrument rules | |||
Inclusion Criteria | CLOIE | ||
| Currency Requirements | USD | ||
| Instrument requirements | |||
| Minimum size: | None | ||
| Maturity requirement: | No WAL limitation | ||
| Revolvers/Step-ups | Excluded | ||
| Ratings | AAA-BB | ||
| Floating-rate: | Yes | ||
| Fixed-rate: | Excluded | ||
| Issue-date: | After 2004 | ||
| Weighting: | Market-valued weighted | ||
Table 2: J.P. Morgan CLOIE Index annual total returns | |||||||||
| Annual Returns | 2012 | 2013 | 2014 YTD | ||||||
| Pre Crisis | |||||||||
| AAA | 5.17% | 2.50% | 1.22% | ||||||
| AA | 14.94% | 4.35% | 1.83% | ||||||
| A | 20.83% | 8.72% | 2.21% | ||||||
| BBB | 31.01% | 12.01% | 2.67% | ||||||
| BB | 41.71% | 12.65% | 5.34% | ||||||
| Post Crisis | |||||||||
| AAA | 3.86% | 0.31% | 1.07% | ||||||
| AA | 9.38% | 0.97% | 1.47% | ||||||
| A | 17.02% | 2.95% | 0.95% | ||||||
| BBB | 24.10% | 7.03% | 2.20% | ||||||
| BB | 29.16% | 10.68% | 1.98% | ||||||
Table 3: J.P. Morgan CLOIE Statistics | |||||||||
| Par Amt | % of | Market | |||||||
| ($bn) | Total | Value ($bn) | |||||||
| Pre Crisis | |||||||||
| AAA | 57.8 | 24% | 57.1 | ||||||
| AA | 9.7 | 4% | 9.5 | ||||||
| A | 9.1 | 4% | 8.8 | ||||||
| BBB | 7.0 | 3% | 6.7 | ||||||
| BB | 4.0 | 2% | 3.8 | ||||||
| Post Crisis | |||||||||
| AAA | 105.2 | 45% | 105.2 | ||||||
| AA | 15.6 | 7% | 15.6 | ||||||
| A | 12.2 | 5% | 12.1 | ||||||
| BBB | 8.2 | 3% | 8.0 | ||||||
| BB | 7.3 | 3% | 6.9 | ||||||
| Total | 236.1 | 233.6 | |||||||
About J.P. Morgan
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