Market Analysis & Data

S&P/LSTA Leveraged Loan Index
Daily File
Created by Standard & Poor’s Leveraged Commentary & Data (LCD), the file contains daily analysis on the S&P/LSTA U.S. Leveraged Loan 100 Index including price, return, and index level information. View
Weekly Report
Created by Standard & Poor’s Leveraged Commentary & Data (LCD), the report provides weekly secondary rating and industry spreads, total return figures, and Index levels. View
Monthly Review
Created by Standard & Poor’s Leveraged Commentary & Data (LCD), the review provides an overview and outlook of the leveraged loan market as well as an expansive review of the S&P Leveraged Loan Index and sub-indexes.  The review consists of index general characteristics, results, risk-return profile, default/distress statistics, and repayment analysis. View

TEXT SIZE A | A | A

ABOUT THE S&P/LSTA LEVERAGED LOAN INDEX

As the primary and secondary markets for corporate loans have developed, there has been a proliferation of different investment vehicles. Retail investors have accessed the market through prime rate and senior floating rate mutual funds. Institutional investors participate not only through direct investment, but also through structured vehicles such as CLOs and CDOs. In order to provide investors with a performance benchmark, the LSTA, in conjunction with Standard & Poor's/LCD, has developed the S&P/LSTA Leveraged Loan Index (LLI).

The LLI is a daily total return index that uses LSTA/LPC Mark-to-Market Pricing to calculate market value change. On a real-time basis, the LLI tracks the current outstanding balance and spread over LIBOR for fully funded term loans. The facilities included in the LLI represent a broad cross section of leveraged loans syndicated in the United States, including dollar-denominated loans to overseas issuers.

We believe that the LLI is the most comprehensive loan index available to the market. As of October 12th, 2007, the LLI consisted of approximately 1127 facilities and $532 billion in outstandings. This represents approximately 90-95% of the institutional universe, coverage comparable to the S&P 500's coverage of the equity universe. Additional indexes based upon ratings and industries are also available as well as custom index work.

Highlights

  • Daily total return benchmark
  • Historical returns back to January 1997
  • Pricing from LSTA / LPC Mark-to-Market Pricing
  • Real-time current spreads and outstandings provided by a cohort of institutional lenders
  • Represents 90-95% of the institutional universe
  • Comparable to the S&P 500's coverage of equities
  • BB and B indices also are available, as are Second-Lien, Middle-Market and Covenant-Lite indices
  • American Banker began publishing charts & statistics on a regular basis beginning January 2002

Contact