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S&P Indices (Global Fixed Income)

Published in Fixed Income Indices

S&P Dow Jones Indices is the world’s largest, global resource for index-based concepts, data and research. Home to iconic financial market indicators, such as the S&P 500 and the Dow Jones Industrial Average. S&P Fixed Income indices include:

  • Composite/Global – Aggregates – The S&P Aggregate™ Bond Indices are designed to track the performance of both regional and global fixed income securities. These broad-based indices are designed to provide an accessible and transparent means of investment comparison and measurement.
  • U.S. Municipal Broad indices are designed to track the municipal bond market to capture the performance of the most investable bonds within the marketplace. The municipal bond market comprises bonds issued by state, county and local governments, as well as their respective agencies.
  • Inflation-Linked – Developed indices are designed to track the performance of local currency-denominated inflation-linked securities publicly issued by developed countries for domestic markets, including broad, developed market indices and indices specific to developed market countries.
  • U.S. Corporate Bond Indices include the S&P 500 Bond Indices, investment-grade corporate bond indices, and high-yield corporate bond indices. The Dow Jones Corporate Bond Index℠ is an equally weighted basket of 96 recently issued investment-grade corporate bonds with laddered maturities.
  • Collateralized securities track the performance of the residential mortgage pass-through bond market around the world using a series of rules-based, market-value-weighted indices.
  • Money Markets North America – Broad, market-value weighted indices tracking the U.S. Treasury Bond, Note and T-Bill markets. To ensure quality and objectivity.
  • Senior Loan – U.S. – The S&P/LSTA U.S. Leveraged Loan Indices are rules-based, transparent indices designed to reflect U.S. senior loan facilities in the leveraged loan market.
  • Treasury/Sovereign/Quasi-Government – The U.S. Treasury indices are designed to track the performance of U.S. dollar-denominated domestic market sovereign debt issued by the U.S. government.

Key Features and Coverage on RIMES

For this S&P Global Fixed Income data source, RIMES hosts the following indices:

Global Fixed Income Indices include:

  • S&P Global Bond Indices – The S&P Global suite of sovereign, quasi, & foreign government and corporate bond indices measures the market-value-weighted performance of local currency bond markets from 39 countries. Index families include S&P Global Developed, S&P Pan-Europe Developed, S&P Eurozone, S&P Aggregate, S&P Government Bonds, etc.
  • Dow Jones Corporate Bond Index℠ – This is a “basket” or group of bonds that provide investors a way to study these particular investments. Unlike stocks, which give ownership in a company, bonds represent a promise to repay borrowed money, usually with interest. The objective of the Dow Jones Corporate Bond Index is to track the total market return of high-quality bonds from U.S. companies.
  • S&P International Corporate Bond Indices – This is an investable index of non-U.S. Dollar corporate bonds issued by non-U.S. investment grade issuers.  The index seeks to measure the performance of corporate bonds issued in the non-U.S. Dollar G10 currencies.
  • S&P Leveraged Loan Indices – These are capitalization-weighted syndicated loan indexes based upon market weightings, spreads and interest payments. The S&P/LSTA Leveraged Loan Index (LLI) covers the U.S. market back to 1997 and currently calculates on a daily basis.
  • S&P Pan Asia Bond Indices – This index is designed to track the performance of local-currency denominated government and corporate bonds from 10 countries in Pan Asia.
  • S&P International Sovereign Ex-US Bond Index – This index measures the performance of treasury bonds issued by non-U.S. developed market countries with maturities 1+ year.
  • S&P US Treasury Indices – The S&P U.S. Treasury Bond Index is a broad, comprehensive, market-value weighted index that seeks to measure the performance of the U.S. Treasury Bond market.

Some of the data items available from these sources include:

  • Index Items– Average Convexity, Average Coupon, Average Effective Duration, Average Fitch Rating, Average Life, Average Modified Duration, Average Moody’s Rating, Average Notional Outstanding in US Dollars, Average Option Adjusted Spread, Average Price, Average S&P Rating, Average Yield, Branding, Country Code, Daily Total Return in US Dollars, Factor, Index Code, Index Type, Last Price Date, Market Capitalization, Notional Outstanding Value in US Dollars, Number of Constituents, Price Index, S&P Index ID, Sector Description, Total Return, Weight Type, etc.
  • Bond items – Accrued Interest, Clean Price, Country Code, Coupon, Currency Code, Cusip Code, Daily Price Return, Date of Portfolio, Dirty Price, Effective Duration, Effective Maturity Date, Fitch Rating, Investable Weight in Index (Source), ISIN Code, Market Value, Maturity Date, Modified Duration, Moody’s Rating, Opening Market Value, Option Adjusted Spread, Sedol Code, Standard & Poor’s Rating, Yield, Yield to Worst, etc.

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