New S&P Index Measures CDO Market

August 30, 2001 ( - Standard & Poor's has launched an index measuring performance in the collateralized debt(CDO) market.

The Arbitrage CLO Performance Index contains historical performance statistics on cash flow arbitrage collateralized loan obligations (CLOs), which are CDO transactions in which at least 80% of the collateral takes the form of leveraged loans.

The new index aggregates transactions by the year in which they closed and includes separate tables showing the performance of deals that closed in 1997, 1998, and 1999. Deals closing in 2000 will be included in next month’s index.

Using this data, market participants can compare the performance of transactions in their own portfolios with cohorts in the index.

The data is obtained through monthly trustee reports that are provided to S & P’s Structured Finance Surveillance group.

CBO Index

The Arbitrage CLO Performance Index complements the index group’s Arbitrage CBO Performance Index, which was introduced in February 2001.

Like the CLO Index, it aggregates collateralized bond obligation (CBO) transactions by closing year, with separate tables showing the performances of those that closed in 1997, 1998,  and 1999. Year 2000 data will also be included in next month’s CBO index.

The indices are available on both S&P’s Web site and RatingsDirect, the group’s online credit analysis system. They are updated during the last week of each month.

In the Pipeline

Standard & Poor’s is also developing indices that will track the performances of other types of CDO transactions, including:

  • investment grade collateralized bond obligations
  • emerging market collateralized bond obligations
  • collateralized bond obligations of asset-backed securities.