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J.P. Morgan Leveraged Loan Index (Lili Series)

The J.P. Morgan Leveraged Loan Index is designed to mirror the investable universe of U.S. dollar institutional leveraged loans, including U.S. and international borrowers. The J.P. Morgan U.S. Liquid Index is a market-weighted index that measures the performance of the most liquid issues in the investment grade, dollar-denominated corporate bond market.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 8650 Bonds, 640 Sector Codes and 5 indices; including JPM Leveraged Loan Index, JPM Liquid Loan Index, and JPM Second Lien Loan Index.

Some of the data items available include:

  • Bond Items: Accrued Interest, Amount of Offering, Asset Name, Beginning Accrued Interest/Coupon/Price/Yield, Bloomberg Ticker, Clean Price, Country Code/Tier, Coupon, Currency Code, Cusip Code, Date of Offering/Portfolio, Day Count Convention, Dirty Price, Facility ID Symbol, Flag Beginning Price, Flat and Forward Curve Discount Margins, Flat and Forward Curve Modified Durations , Flat and Forward Curve Spreads, Flat and Forward Curve Yields, Frequency of Series, Industry Description/Segment/Type, Investable Weight, LIBOR Floor Expiration/Value, LILI Index Weight, Loan ID/Segment/Type, LQLI Index Weight, Main Issuer ID, Main Issuer Name, Maturity Date, Moody’s Rating, Offer Spread, Opening Investable Weight, Pay Type, Price, Rating, Seniority, SLLI Index Weight, Total Return, Underwriter, Weight in Index, Yield, etc.
  • Index/Sector Items: Average Coupon, Average Price, Average Rating, Current Yield, Discount Margin, Interest Rate Return/PrePayment Return/Price Return/Total Return, Investable Weight in Index (Source), Margin, Market Capitalization, Modified Duration , Notional Outstanding, Number of Constituents, Spread , Total Return, Yield Flat to 3 Years/to Maturity, Yield Forward to 3 Years/to Maturity, Yield to Maturity, etc.

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