What This Dashboard Tracks
The Leveraged Loan Market Tracker monitors conditions in the broadly syndicated leveraged loan market — the primary financing source for large leveraged buyouts and investment-grade-adjacent corporate refinancings. Key data series include loan price performance, CLO formation activity, and spread trends across rating cohorts.
Key Metrics
Loan Price Index: Average secondary market prices for broadly syndicated leveraged loans serve as a real-time indicator of credit risk appetite. Prices below par (100) indicate market discount to face value and potential refinancing difficulty for issuers approaching maturity.
CLO Issuance: Monthly CLO new issue and reset/refi activity reflects the primary demand driver for leveraged loans. CLO formation is the key technical support for leveraged loan markets.
Spread Distribution: The distribution of institutional term loan spreads across rating cohorts (BB, B, CCC) reflects the market's assessment of relative credit risk and compensation per unit of risk taken.
Covenant-Lite Percentage: Tracks the proportion of new leveraged loan issuance structured without financial maintenance covenants — a key structural indicator of borrower/lender power dynamics.
Why It Matters
Leveraged loan market conditions directly affect the financing cost and availability for private equity portfolio companies, middle market businesses pursuing growth financing, and corporate issuers managing their capital structures. Deterioration in leveraged loan pricing and CLO formation is an early signal of potential credit stress.
Sources: Federal Reserve SR 13-3 Leveraged Lending Guidance; SIFMA Leveraged Finance Statistics; SEC EDGAR CLO filings; OCC Semiannual Risk Perspective.