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Markit iBoxx USD Liquid Leveraged Loans Indices

Published in Fixed Income Indices

The iBoxx USD Liquid Leveraged Loan index comprises approximately 100 of the most liquid, tradable leveraged loans. Sub-indexes are based on realized gains, unrealized gains and interest and fees. These indices are rebalanced monthly, using a transparent roll mechanism.

To provide up-to-date performance information, the Markit Liquid LLI levels are calculated by incorporating both independent market data from Markit Loan Pricing and the latest loan reference and transaction information from Markit WSOData.

Constituents in the Markit Liquid LLI are determined by observable liquidity metrics calculated by Markit Loans Liquidity.

Key Features and Coverage on RIMES

For this data source, RIMES hosts 2 indices (Markit iBoxx USD Liquid Leveraged Loan Index and Markit iBoxx USD Leveraged Loan Index), with approximately 3700 bonds.

Some of the data items available include:

  • Bonds Items: Accrued Interest, Ask Price, Asset Class, Base Market Value, Bid Price, Capping Factor, Clean Price, Country Code, Currency Investable Weight, Cusip Code, Daily Total Return in Local Currency, Dirty Price, Index Price, Investable Factor, Investable Weight, Issue Date, Issuer Description, Liquidity, Loan ID, Loan Type, Market Value in Local Currency, Maturity Bands, Maturity Date, Month to Date Price Return, Month to Date Total Return in Local Currency, Notional Outstanding in Local Currency, Price Return, Rating, Redemption Factor (For British Pound Sterling Indexes), Seniority Type, Sinking Factor, Spread, Top Level Index Membership, Weight in Index, Yield to Maturity, etc.
  • Index Items: Average Yield to Maturity, Base Market Value, Cash, Cash US Dollars, Coupon, Daily Total Return, Date of Portfolio, ISIN Code, Market Value, Month to Date Total Return, Notional Outstanding, Number of Constituents, Price Index, Redemption Income Index, Ticker, Total Interest Index, Total Return, Year to Date Total Return, etc.

 

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