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Credit Suisse Fixed Income Indices

Published in Fixed Income Indices

Credit Suisse offers an extensive family of fixed income indices that track global fixed income markets. These indices, which depend heavily on bond liquidity and overall index transparency, provide aggregate data that aims to be both consistent and comprehensive.

Credit Suisse manages a diversified portfolios of global high yield bonds. Management strategy aims to maximize total return from monetizing macro economic themes, exploiting sector and issuer performance and rating dispersion. The team’s proprietary credit ratings, trend outlook and spread volatility evaluation drive a disciplined portfolio construction process.

The CSFB Leveraged Loan Index tracks the performance of senior floating rate bank loans and is designed to mirror the investable universe of the $US-denominated leveraged loan market. This index tracks the investable market of the U.S. dollar denominated leveraged loan market. It consists of issues rated “5B” or lower, meaning that the highest rated issues included in this index are Moody’s/S&P ratings of Baa1/BB+ or Ba1/BBB+. All loans are funded term loans with a tenor of at least one year and are made by issuers domiciled in developed countries.

Key Features and Coverage on RIMES

For the Workbench Indices, RIMES hosts approximately 9400 bonds and 12 indices. Index coverage includes Leveraged Loan and High Yield Indices.

For the CSPLUS Indices, RIMES hosts approximately 34000 bonds, 230 indices, 45 sector codes.

Some of the data items available include:

  • Index Items – Average Coupon, Average Life, Average Macaulay Duration, Average Modified Duration, Average Price, Average Spread to Worst, Average Yield to Worst, Beginning of Month Market Capitalization in US Dollars, Daily Hedged Return, Daily Hedged Return in Swiss Franc, Discount Margin, Dollar Value Change for 1 Basis Point, Hedged Total Return i, Market Capitalization, Month to Date Hedged Return, Number of Constituents, etc.
  • Bond Items – Accrued Interest, Annual Yield, Asset Swap, Benchmark Spread, Bloomberg Ticker, Clean Price, Contribution MTD Total Return in Swiss Francs, Country Code, Coupon, Covenant Light – Flag, Dirty Price, Discount Margin, Effective Date, Ending Date of Series, Facility Code, Fitch Rating, Flag Libor Floor Value, Index Type, Industry Code, Industry Segment, Interest Rate Return or Income Return Index, Investable Weight, Investable Weight in Index (Source), ISIN Code Index Level, Issuer Description, Last Price Date, Libor Floor, LoanX ID, Market Value, Maturity Date, Modified Duration, Moody’s Rating, Notional Outstanding Value in US Dollars, Option -Adjusted Spread, Price Return, Rating, Ratings Tier, Semi-Annual Yield, Seniority, Spread, Standard & Poor’s Rating, Start Date of Series, Ticker, Total Return, Yield, Yield to Maturity, Yield to Worst, etc.

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