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

The LLI is a weekly 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. At December 31, 2001, the
LLI consisted of approximately 470 facilities and $104 billion in outstandings. This represents approximately 70%
of the institutional universe, a 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

• Weekly 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 70% of the institutional universe
• Comparable to the S&P 500's coverage of equities
• BB and B indices also are available
• American Banker began publishing charts & statistics on a regular basis beginning January 2002

Analytics
As an LSTA Member you have access to monthly analyses of the Loan Index that are not available to
nonmembers. To view the latest analytics, follow this link to the Membership Section, then log in to the
Members Only area.

Subscribe

To obtain more information or to subscribe to the S&P/LSTA Leveraged Loan Index, contact:

Standard & Poor's/LCD

Steven Miller
Managing Director
(212) 438-2715
steven_miller@standardandpoors.com

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