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Citi High-Yield Fixed Income Indices

Citi’s US High-Yield Market Index is a US Dollar-denominated index which measures the performance of high-yield debt issued by corporations domiciled in the US or Canada. Recognized as a broad measure of the North American high-yield market amongst all Citi’s fixed income indices, it includes cash-pay and deferred-interest securities.  All the bonds are publically placed, have a fixed coupon, and are non-convertible.  Bonds issued under Rule 144A are included in their unregistered form. The US High-Yield Market Capped Index uses the US High-Yield Market Index as its foundation. The index uses the same design criteria and calculation methodology as the US High-Yield Market Index but caps the total debt of single issuer at a specific par amount outstanding and also delays the entry of fallen angels for a minimum of one month after their downgrade to high-yield status.  It aims to address the disproportionate influence that a recently downgraded issuer can have on the index’s characteristics upon entry.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 330 indices and 7470 bonds, including the Citi High-Yield Market Index and Citi High-Yield Market Capped Index.

Some of the data items available include:

  • Bond Items: Accrued Interest, Average Life, Bond Type, Cap Factor, Convexity To Libor, Country Code, Coupon Frequency, Coupon Rate, Currency, Cusip, Date, Duration, Duration To Worst Call, Effective Convexity, Effective Duration/To Libor, Glic, Industry, Investable, Isin, Issuer, Long Cusip, Market Value, Market Weight, Maturity, Maturity Bonds, Modified Duration/To Call/To Worst, Month To Date Income Return/ Price Return/ Rate Of Return/ Total Return, Next Call Date, Notional Outstanding, Option Adjusted Spread, Outstanding Amount, Parent Ticker, Price, Rating, Registration, Sedol, Spread, Spread To Worst, Symbol, Ticker, Yield To Call/To Maturity/To Worst, etc.
  • Index Items: Average Coupon, Average Duration, Average Duration To Worst, Average Life, Average Modified Duration, Average Rating, Average Spread To Worst, Average Yield To Worst, Market Value, Total Return, etc.

For more information on Citi’s high-yield indices, please refer to their Index Guide.

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