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J.P. Morgan – CLO – US Collateralized Loan Obligation Indices

Published in Alternative Indices

As the first US CLO index of its kind, CLO offers total returns and analytics based on observable pricings of a representative pool of bonds following a stated methodology, and is published daily. The index holistically captures the USD-denominated CLO market, representing over 3000 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 tracks floating-rate CLO securities in 2004–present vintages. Additional sub-indices 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.

Key Features and Coverage on RIMES

For this data source, RIMES hosts 19 indices and approximately 12208 bonds. Index coverage includes the JPM CLO Index, CLO Pre and Post-Crisis A-AAA, BB-BBB Indices and CLOIE indices.

Some of the index data items available include:

  • Coupon, Description
  • Portfolio Discount Margin
  • Database Domain Code
  • Margin, Modified Duration
  • Market Capitalization
  • Notional Outstanding
  • Clean Price
  • Database Source
  • Database Symbol
  • Total Return
  • Weighted Average Life
  • Yield, etc.


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