The Palmer Square CLO Senior Debt Indexﾠ(“CLO Senior Debt Index”) (ticker: CLOSE) is a rules-based observable pricing and total return index for collateralized loan obligation (“CLO”) debt for sale in the United States, original rated AAA or AA or equivalent. 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 index holistically captures the USD-denominated CLO market, representing over 3,000 instruments at a total par value of US $236.1 billion. Historical performance of CLO managers encompasses a wide spectrum of returns, underscoring the importance of choosing seasoned managers with solid long-term track records. Spread duration. While interest rate duration is low due to the floating-rate nature of CLO tranches (indexed off three-month LIBOR), spread duration is a consideration that should be taken into account. Palmer Square CLO Indices Performance Palmer Square CLO Senior Debt Index (CLOSE) Palmer Square CLO Debt Index (CLODI) Inception is June 1, 2015. Past performance is not necessarily indicative of future results. The returns prior to June 1, 2015 are hypothetical/model returns calculated using a 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.
Palmer Square CLO Indices Performance Palmer Square CLO Senior Debt Index (CLOSE) Palmer Square CLO Debt Index (CLODI) Inception is June 1, 2015. Past performance is not necessarily indicative of future results. The returns prior to June 1, 2015 are hypothetical/model returns calculated using a
10 Sep 2019 CLO funds borrow in the bond market to purchase pools of leverage loans, which hedge funds and others often buy for the promise of higher returns, have and the Nasdaq Composite Index COMP, +6.23% gained 21.4%. PGIM Fixed Income's Core Plus Fixed Income Strategy seeks to add +150 bps of annualized excess return over a broad market fixed income index over a full 4 Dec 2019 The CLO BB and B and equity tranches have been the lone year to date, whereas high yield credit has posted double-digit returns across the quali. been rising sharply versus the overall leverage loan index (see Chart 3). 31 Dec 2019 DISTRIBUTION OF RETURNS (Monthly Basis) 2 CLO. Euribor 1M. HFRX HF. Index. MSCI World. Index. Markit iBx. Corp. Index. HFRX HF. Returns beyond 12 months are annualized. *Effective January 1, 2017, the benchmark is the Credit Suisse Leveraged Loan Index. From January 1, 2005 to 23 Jul 2019 A collateralized loan obligation (CLO) is a securitization product Each debt tranche carries a different risk/return profile based on credit 9 Dec 2019 While undeterred from the market, CLO investors may be skittish enough portfolios cratered, resulting in CLO pricing and returns plummeting,
Over those 13 years, the LLI has had an average annualized total return of 6.7%. On its base date (Jan. 1, 2002), the S&P European Loan Index tracked 12
Investing in CLOs 1H 2019 • The fundamentals of CLO investing are largely unchanged since the earliest days of the market. flow charts or decision trees.Analysts must make judgments about the three key components of any CLO: portfolio, structure and manager. Each of these components presents a complex mix of risk and value that should be The other mechanism that protects debt investors in a CLO (besides the cashflow waterfall) is a series of tests relating to the quality and performance of the CLO. The collateral administrator checks the CLO’s compliance with these tests each month. Credit hits new wides as US and Europe ramp up coronavirus battle plans. An emergency weekend rate cut by the US Federal Reserve as well as population lockdowns in France and Spain underscore that measures of economic risk have moved to a more systemic level as world governments scramble to deal with the impact of the coronavirus outbreak
23 Jul 2019 A collateralized loan obligation (CLO) is a securitization product Each debt tranche carries a different risk/return profile based on credit
15 Mar 2019 Despite being a relatively small portion of the overall structured CRE debt market, CRE CLOs have received a lot of publicity over the last 6 Mar 2019 CLO vehicles have generated favorable returns for debt and equity investors in a post-crisis environment characterized by benign corporate A CLO is a securitised product that gives investors exposure to a diversified pool The rated debt tranches will have fixed excess returns (ie LIBOR + X, where X this securitised product have exposure to a variable floating index (most likely
J.P.Morgan is a leading provider of investable indices. This website provides clients with comprehensive coverage of J.P.Morgan's investable indices and strategies available across asset classes and regions. The website gives access to index information and descriptions, performance data and risk/return statistics.
Access to CLO-i is for subscribers only. Current subscribers can log in here. Click here to subscribe and easily downlaod data to excel. If you have not already done so, you may request a DEMONSTRATION by clicking here A subscription to CLO-i gives you: Current and historic access to CLO performance data; CLO secondary trading information Bloomberg Barclays Indices track total returns. Bloomberg Indices may be licensed for use as underlying indices for OTC or exchange-traded and structured products. All statistics are updated at With a CLO, the investor receives scheduled debt payments from the underlying loans, assuming most of the risk in the event that borrowers default. In exchange for taking on the default risk, the
These factors are the drivers behind a CLO position. Operation of a CLO Certain transactions, including those involving futures, options, and high-yield In return for CLO. However, it may also be used with no plan to term out the debt – it may allow Corporate Bonds BAML CLO 1.0 Index BAML CLO 2.0 Index. return, CLO equity tranche investors are given sig- 1 Source: Standard & Poor's (S&P 500 Index – US Equity), Citi Research (Citi US High Yield Bond Index), EQUAL WEIGHTED HEDGE FUND INDICES A collateralised loan obligation ( CLO) is a prime example of the use of leverage by a and CLOs, a manager is tasked with achieving and/or maximising returns for the investors through (to a The S&P 500 Index dividend yield is less than the 10-year U.S. Treasury bond. High yield corporate bonds have experienced record issuance in recent years and