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S&P Canada Bond Indices

Published in Fixed Income Indices

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.

  • The S&P Canada Aggregate Bond Index tracks the performance of Canadian dollar-denominated investment-grade debt publicly issued in the eurobond or Canadian domestic market. The index is part of the S&P Aggregate™ Bond Index family and includes governments, quasi-government, corporate, securitized and collateralized securities.
  • The S&P Canada All Bond Index is a broad, comprehensive, market-value-weighted index that is designed to measure the performance of the Canadian fixed income market.
  • The S&P Canada Collateralized Bond Index is designed to measure the performance of the Canadian collateralized debt market and comprises a universe of Canadian dollar-denominated investment-grade collateralized debt.
  • The S&P Canada Government Bond 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. The index is a sub-set of the S&P Canada Aggregate™ Bond Index.
  • The S&P Canada Investment Grade Corporate Bond Index comprises a universe of Canadian dollar-denominated investment-grade debentures issued both domestically and through the eurobond market. The index seeks to measure the performance of the Canadian investment-grade corporate bond market.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 1643 bonds and 123 indices.

Some of the data items available include:

  • Index Items – Average Coupon, Average Convexity, Average Effective Duration, Average Fitch Rating, Average Modified Duration, Average Moody’s Rating, Average Option Adjusted Spread, Average Option Adjusted Yield to Worst, Average Notional Outstanding in Canadian Dollars, Average Price, Average S&P Rating, Factor, Average Yield, Average Yield to Worst, Average Yield to Maturity / Average Years to Maturity, Branding, Country Code, Description, Index Family, Index Type, Last Price Date, Market Capitalization in Canadian Dollars, Number of Constituents, Price Index in US Dollars, Price Index in Canadian Dollars, Total Return in US Dollars, Total Return in Canadian Dollars, Weight Type, etc.

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