A General Framework for Calculating Returns on Syndicated Loans

We provide a general method for calculating returns on syndicated loans. Our approach accounts for amortization, price changes, coupon income, and fees, while allowing for floating benchmarks with caps and floors. Omitting any of these components may lead to biased return estimates that can be especially large in cross-sectional studies. A worked example illustrates implementation using real loan data. The return formula can be adapted for term loans, revolvers, or other credit instruments.