JP Morgan is set to launch the first rules-based total return benchmark for European CLOs, GlobalCapital understands.
The European CLO index will be known as "€-CLOIE", and the bank gave a preview to clients at IMN and Afme's 27th Annual Global ABS conference in Barcelona this week.
GlobalCapital understands that the index was set up by JP Morgan's Index Research Group with the aim of increasing transparency, liquidity and investor demand in the market.
€-CLOIE is expected to contain data on €194bn of euro-denominated CLO debt (around 96% of the market) with features like average margins, coupons, duration and discount margins by tranche.
The data will look back through the last five years but will then be updated and published on every working day.
The initial market reaction was positive, and one trader said he expected any products by large institutions like JP Morgan to be well-received in "less liquid" markets like European CLOs.
"The CLO market in Europe is not particularly transparent, even less so than the US," he said. "It won't be precise, but it's a good broad indicator especially for real-money investors and all those slightly less sophisticated players.
"There's no way it's anything other than a plus for the market."