The LLI is a total return index developed as a benchmark for the syndicated leveraged loan industry. It represents a broad cross section of leveraged loans syndicated in the US, including dollar-dominated loans to overseas issuers.
The index reports weekly on the returns generated by leveraged loans held by institutional investors, including market value changes for individual investors and accrued interest repayments.
On a real-time basis, it tracks the current outstanding balances and spreads over LIBOR for fully funded term loans.
The LSTA/Loan Pricing Corporation (LPC) provides secondary market pricing levels through average bids, while Financial Computer Software’s Wall Street Office back-end system manages the data. S&P’s Index Services Group provides the performance calculation and analytics platform.
In addition to the weekly broad S&P/LSTA LLI, there
will also be two sub-indices:
- a BB Index, a subset of the Index comprising only those loans rated BB by S&P’s,
- a B Index, a subset of the Index comprising only those loans with a B rating
Plans to ad other sub-indices, including industry-based indices, par and distressed indices, and custom indices for performance attribution purposes, are in the works.
The index comprises roughly 75% of the leveraged loans held by institutional loan investors.