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 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 & PoorÆs 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).