J.P. Morgan Launches First US Collateralized Loan Obligation Index

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

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

J.P. Morgan’s Corporate & Investment Bank is a global leader across banking, markets and investor services. The world’s most important corporations, governments and institutions entrust us with their business in more than 100 countries. With $21.1 trillion of assets under custody and $412 billion in deposits, the Corporate & Investment Bank provides strategic advice, raises capital, manages risk and extends liquidity in markets around the world. Further information about J.P. Morgan is available at www.jpmorgan.com.

Copyright Business Wire 2010