S&P Leveraged Loan Index

S&P Leveraged Loan Indexes (S&P LL indexes) are capitalization-weighted syndicated loan indexes based upon market weightings, spreads and interest payments. The S&P/LSTA Leveraged Loan Index (LLI) covers the U.S. market back to 1997 and currently calculates on a daily basis. The S&P/LSTA Leveraged Loan 100 Index (LL100) dates back to 2002 and is a daily tradable index for the U.S. market that seeks to mirror the market-weighted performance of the largest institutional leveraged loans, as determined by criteria. Its ticker on Bloomberg is SPBDLLB. These indexes are run in partnership between S&P and the Loan Syndications & Trading Association, the loan market’s trade group.

The S&P European Leveraged Loan Index (ELLI) covers the European market back to 2003 and currently calculates on a weekly basis.

The indexes are published by S&P Leveraged Commentary & Data (S&P LCD), a unit of Standard & Poor's Financial Services LLC (S&P), a subsidiary of The McGraw-Hill Companies, Inc. Index levels can be found at https://www.lcdcomps.com/lcd/f/indexreturns.html.

S&P introduced the LLI in 2001, including historical data back to January 1997. The ELLI was introduced in 2005 with history back to 2003. The LL100 was introduced in 2008 with history back to Dec. 31, 2001.

On its base date (Dec. 1, 1996), the LLI tracked 36 facilities representing $5.2 billion of loans. As of Dec. 31, 2009, it included 189 facilities representing $529.9 billion of loans. Over those 13 years, the LLI has had an average annualized total return of 6.7%.

On its base date (Jan. 1, 2002), the S&P European Loan Index tracked 12 facilities representing €2.6 billion of loans. As of Dec. 31, 2009, it encompassed 552 facilities representing €135.1 billion of loans. Over those seven years, the ELLI has had an average annualized total return of 3.6%.

The S&P/LSTA Loan 100 consists of 100 facilities drawn from the LLI. It seeks to mirror the market-weighted performance of the largest institutional leveraged loans in an effort to reflect the most liquid side of the market. On its base date, the LL100 represented $51.3 billion in loans. As of Dec. 31, 2009, its universe had grown to $221.8 billion, reflecting the rapid growth in the size of loans over those eight years. Over its seven years of performance tracking, the LL100 has had an average annualized total return of 5.4%.

The long history of these indexes helps to highlight the impact of the current credit crunch. Until 2008, the S&P LL indexes had very low volatility rates and their pricing remained close to par. Between 1996 and 2007, the lowest price hit by the LLI was 86.90 on Nov. 1, 2002, in the midst of the telecom default cycle. Over the past two years, the price on the LLI has dropped as low as 60.33 – well into what has traditionally been known as distressed pricing.

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