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S&P Leveraged Loan Indices

Published in Fixed Income Indices

S&P Leveraged Loan Indexes (S&P LL indexes) are market value 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. These indexes are run in partnership between S&P and the Loan Syndications & Trading Association, the loan market’s trade group.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 2600 bonds and 18 indices. Index coverage includes:

  • S&P LSTA Leveraged Loan Index, S&P Leveraged Loans, S&P/LSTA U.S. Leveraged Loan 100 Index, BB Ratings Loans, S&P Global Leveraged Loans, etc.

Some of the data items available include:

  • Index Items: Amount Outstanding, Average Price, Interest Index, Market Capitalization, Number Of Constituents, Price Index, Total Return, etc.
  • Bond Items: Amount Outstanding At Issue, Current Amount Outstanding, Current Rating, Daily Interest Return, Daily Price Return, Daily Total Return, Date, Date Of Issue, Facility Type, Issuer, Lcd Broad Industry, Libor Spread, Libor Spread At Issue, Maturity Date, Narrow Industry, Rating At Issue, Symbol, Weight, Weighted Daily Total Return, etc.

 

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