Ziegler Senior Living Municipal Long Bond Index

SENIOR LIVING BOND INDEX

The Ziegler Senior Living Municipal Long Bond Index (ZSLMLBI) is the first municipal bond market indicator devoted exclusively to naturally rated, long maturity municipal bonds in this sector. This strategic initiative is part of Ziegler's commitment to supporting not-for-profit senior living conduit borrowers' capital raising in the primary market, as well as investors' liquidity of bonds in the secondary market. The ZSLMLBI is designed to help market participants understand and measure total returns when investing in this sector.

 

The Ziegler Senior Living Municipal Long Bond Index (the Index or ZSLMLBI) is a market-value-weighted total return index established at 100.00 on January 2, 2018 using the opening values of constituent bonds as of that day. No investment products are associated with this index at the current time.

 

Index make-up:

 

  • Only rated, publicly tradeable, fixed-rate debt of not-for-profit senior living entities.
  • Ratings used are based on the fundamental creditworthiness of the senior living borrower.
  • Only one long-bond CUSIP per borrower is used, knowing there may be other parity debt outstanding with a series-specific long-bond. The long bond used is the longest maturity of the borrower's rated bond debt.
  • Total return value was set to 100.00 as of the close of trading on the last trading day of 2017. Thus, the opening value on January 2, 2018 - the first trading day of 2018 - was the same.
  • The constituent member bonds' prices are updated daily. The member constituency is rebalanced immediately after the close of the last trading day of the month.
  • Using the ticker symbol: ZSLMLBI (ZSLMLBI <INDEX> <go>), Bloomberg is the primary method by which statistical information about the Index can accessed.

 

Index Statistics

As of January 2, 2018
Index Total Return Value 100.0000
Market Value, including accrued interest ($) $2,649,952,261
Average Weighted Maturity (Years) 25.11 years
Average Weighted Coupon (%) 5.18%
Average Weighted Price ($) $108.45
Average Weighted Yield to Maturity (%) 4.57%
Average Weighted Modified Duration (Years) 6.02 years
Par Value ($) $2,403,305,000
Average Weighted Yield to Worst (%) 3.62%
# of CUSIPS/distinct conduit borrowers 128

The Ziegler Senior Living Municipal Long Bond Index (the Index or ZSLMLBI) is a market-value-weighted total return index established at 100.00 on January 2, 2018 using the opening values of constituent bonds as of that day. No investment products are associated with this index at the current time.

 

"Senior Living" is a global term utilized to describe organizations that provide residential housing and care options for older adults. These options include a variety of services ranging from independent living residences to assisted living to nursing home care. "Senior Living" providers may or may not also provide non-residential services in the greater community such as home health or hospice.

 

The ZSLMBI measures a narrow slice of the municipal market. Only rated, publicly tradable, fixed-rate debt of conduit borrowers are included in constituency. These are not-for-profit senior living entities who have incurred debt via the municipal bond market. Of the initial constituents, approximately 61 borrowers were considered multi-site; while 57 were single-site. Approximately 50 borrowers were members of or are part of organizations listed in the LeadingAge Ziegler 150; a ranking of the nation's largest not-for-profit senior living providers. Approximately 70 borrowers were Ziegler clients. Constituent members are rebalanced immediately after the close of the last trading day of the month to reflect the past month's announced rating actions.

 

The ZSLMBI contains CUSIPS of rated debt based on the fundamental creditworthiness of the senior living borrower. A CUSIP-driven system allows pricing information to be obtained from a selected third-party pricing vendor. Moreover, only one long-bond CUSIP per borrower is used knowing there may be parity debt outstanding with a series-specific long-bonds. The long bond CUSIP used is the longest maturity of the conduit borrower's naturally-rated bond debt. Long-term ratings used are both investment-grade and speculative.

 

Distribution by rating category gradation included in the initial Index consisted of:

AA 1
A 34
BBB 66
BB 27

 

For understanding, it is important to note that there are many types of long-term debt ratings issued by the three major rating agencies (Moody's, S&P and Fitch). The types of rated debt of conduit senior living bond obligors not included in the ZSLMBI includes:

 

  1. Variable Rate Demand Bonds/Obligations, where the long-term rating is based on bank enhancement or the underlying obligor;
  2. Bank direct/privately placed (variable and/or fixed) or non-bank direct/privately placed (variable or fixed), all with an associated ratings report describing such rated debt; debt is not publicly traded;
  3. California mortgage insured enhanced rated debt; including any underlying rated debt;
  4. Rating based on guarantee from parent or other affiliated entity;
  5. Issuer Credit Rating (ICR) produced by S&P, Implied General Revenue Rating (IGR) and Issuer Default Rating (IDR) produced by Fitch;
  6. IRS Section 142(d) issuance borrowers whose debt ratings are based on affordable housing criteria; and
  7. Debt is rated per the agency. However, via various other external sources, Ziegler cannot find clearly identifiable public, fixed-rate debt outstanding. In most instances, Ziegler has determined the rated debt has been called or defeased, and the agency has not yet been informed of such development.

 

The ZSLMLBI is the property of Ziegler, which has contracted with S&P Opco, LLC (a subsidiary of S&P Dow Jones Indices LLC) to calculate and maintain the Index. The Index is not sponsored by S&P Dow Jones Indices or its affiliates or its third-party licensors (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices will not be liable for any errors or omissions in calculating the Index. “Calculated by S&P Dow Jones Indices” and the related stylized mark(s) are service marks of S&P Dow Jones Indices and have been licensed for use by Ziegler. S&P® is a registered trademark of Standard & Poor's Financial Services LLC (“SPFS"), and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”).For a detailed explanation of S&P Indices’ mathematics, please visit S&P Indices Fixed Income Index Mathematics Methodology .  

 

Ziegler supplies the constituent members of rated bonds to S&P Indices on or about the 25th of every month. Each constituent member’s bond is evaluated and priced daily by Interactive Data Pricing and Reference Data, LLC, a part of ICE Data Services, which is owned by Intercontinental Exchange.

 

Bloomberg is the primary method by which users of the Index can access detailed information. The Index’s historical daily total return value is available via the ticker symbol: ZSLMLBI. Using the ticker ZSLMLBI on Bloomberg, basic information about the Index is displayed. In addition, comparative returns data is shown. The comparative returns data includes the individual index total return levels and percentage change of those levels for various periods such as 1 day, 1 month, YTD, etc. Also displayed on the description screen are the top four weighted constituent members. Users can also view all constituents of the Index. Various charts, tables and ratios are displayed on other pages.