US Index Criteria
Characteristics Syndicated term loan instruments
Facility types Term loans (both amortizing and institutional), acquisition loans (after they are drawn down) and bridge loans
Security Secured
Seniority Senior
Currency U.S. dollar denominated
Minimum Term One year at inception
Minimum Spread L+125, initially
Minimum Size $50M initially funded loans
Valuation source Average bid from the LSTA/Thompson Reuters mark-to-market service for those facilities, with a minimum of 2 bids
When loans are retired When there is no bid posted on the facility for at least 12 successive weeks or when the loan is paid out or paid down to a negligible amount; defaulted loans will remain in the Index through repayment.
   
ELLI Index Criteria (Europe)
S&P European Leveraged Loan Index Multi-currency index including all facilities tracked
S&P European LBO Index Multi-currency index including all facilities to issuers backed by a private equity firm
S&P Euro Leveraged Loan Index Single currency index including only Euro denominated facilities
S&P Euro LBO Index Single currency index including only Euro denominated facilities to issuers backed by a private equity firm
Inception Date January 1, 2003 (base value of 1,000.00)
Calculation Frequency Weekly (monthly for 2003)
Rebalance Frequency Weekly (monthly for 2003)
Interest Accrual 30/360 basis; pays in cash which exits the portfolio
Inclusion Criteria  
Facility Types Term loans syndicated to European loan investors
Minimum Term One year at inception
Minimum Spread Euribor + 125, initially
Deletion Criteria When there is no bid posted on the facility for at least 12 successive weeks or when the loan is paid out or paid down to a negligible amount; defaulted loans will remain through repayment.
Data Sources  
Pricing Loan Market Assocation weekly valuation survey Mark-It Partners/LoanX
Ratings Standard & Poor's ratings and shadow ratings
Facility Data Real-time outstandings and spreads sourced from leading investors in the European loan market
Accounting & Accrual System Wall Street Office from JPMorgan FCS
Index Calculation Platform Created by Standard & Poor's Index Services group. The Index has a base date of 31/12/02 and was calculated at month end for 2003. Beginning 08/01/04, the Index was calculated on a weekly basis (every Thursday).