The framework uses evaluated pricing, structured credit reference data and a defined monthly rebalancing cycle.
S&P Dow Jones Indices (S&P DJI) has launched the S&P US CLO Investment Grade Indices, expanding the tools available for market participants to track and analyse structured credit performance. The family includes four tranche-specific benchmarks The index suite will measure US dollar-denominated, floating rate collateralised loan obligation (CLO) debt tranches across the investment-grade range. The family includes four tranche-specific benchmarks - the S&P US CLO AAA CL