S&P provides broad fixed income benchmarks and investable product indices. All S&P Fixed Income indices are independently governed, competitively differentiated and rely on transparent pricing. The variety of fixed income insights range from municipal bonds, leveraged loans, money markets, corporate bonds, and sovereign debt to innovative thematic investment themes.
Local Fixed Income Indices include:
- S&P 500 Bond Index – The S&P 500® Bond Index is designed to be a corporate-bond counterpart to the S&P 500, which is widely regarded as the best single gauge of large-cap U.S. equities. Market value-weighted, the index seeks to measure the performance of U.S. corporate debt issued by constituents in the iconic S&P 500.
- S&P Leveraged Loans – S&P Leveraged Loan Indexes (S&P LL indexes) 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 US Aggregate Bond Index – This index is designed to measure the performance of publicly issued U.S. dollar denominated investment-grade debt. The index is part of the S&P Aggregate Bond Index family and includes U.S. treasuries, quasi-governments, corporates, taxable municipal bonds, foreign agency, etc.
- S&P US Distressed High Yield Corporate Bond Indices – The S&P U.S. Distressed High Yield Corporate Bond Index is a market-weighted index comprising securities with an option-adjusted spread greater than or equal to 1,000 basis points. This index is a sub-index of the S&P U.S. High Yield Corporate Bond Index.
- S&P Canada Bond Indices – This index seeks to track the performance of Canadian dollar-denominated sovereign and quasi-government provincial or municipal debt publicly issued in the Canadian domestic market or eurobond markets.
- S&P/NZX Fixed Interest Indices – The S&P/NZX NZ Fixed Interest Composite Index seeks to track the performance of the investment-grade New Zealand fixed interest market, including government, local authority, corporate, and Kauri bonds.
- S&P China Bond Indices – The S&P China Bond Index is designed to track the performance of local-currency denominated government and corporate bonds from China.
- S&P Municipal Bond Indices – The S&P Municipal Bond Index is a broad, market value-weighted index that seeks to measure the performance of the U.S. municipal bond market.
- S&P National ATM-Free Municipal VRDO Index – This index seeks to measure the performance of municipal investment grade, variable rate demand obligations.
- S&P/BMV (Mexico) Bond Indices – The S&P/BMV Mexico Sovereign Bond Index is designed to measure the performance of Treasury Certificates (CETES) and nominal fixed-rate bonds (MBONOS).
- S&P 500/Market Axess Bond Indices – This index seeks to measure the performance of corporate debt issued in the U.S. by S&P 500 companies.
- S&P/ASX Australian Fixed Interest Indices – This Index Series is a broad benchmark index family designed to measure the performance of the Australian bond market, which meets certain investability criteria. The index is split across investable investment grade, Australian dollar denominated bonds issued in the local market with maturities greater than one year.
Key Features and Coverage on RIMES
Some of the data items available for S&P Global Fixed Income Indices 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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