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

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

 CLO Index (CLOIE) is the newest addition to J.P. Morgan’s renowned family of
                                   indices

Business Wire

NEW YORK -- July 15, 2014

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

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.

Contact:

J.P.Morgan
Media
Amanda Smith, 212-270-1714
amanda.e.smith@jpmorgan.com
or
Patrick Burton, +442071349041
patrick.o.burton@jpmorgan.com
 
Press spacebar to pause and continue. Press esc to stop.