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S&P Canada Bond Indices

Published in Fixed Income Indices

The S&P Canada All Bond Index is a broad, comprehensive, market value-weighted index designed to measure the performance of the Canadian fixed income market. The index is comprised of constituents from the following indices:

  • S&P Canada High Yield Corporate Bond Index – comprised of a universe of Canadian dollar-denominated non-investment grade debentures issued both domestically and through the Eurobond market. The index seeks to measure the performance of the Canadian high yield corporate bond market.
  • S&P Canada Aggregate Bond Index – a broad, comprehensive, market value-weighted index designed to measure the performance of the investment grade Canadian fixed income market including government, provincial and municipal, corporate, covered bond, and collateralized securities.

The S&P Canada Aggregate Bond Index includes the following sub-indices:

  • S&P Canada Sovereign Bond Index – a broad, comprehensive, market value-weighted index that seeks to measure the performance of Canadian dollar-denominated sovereign debt publicly issued by the Canadian government in its domestic market.
  • S&P Canada Investment Grade Corporate Bond Index – comprised of 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.
  • S&P Canada Provincial & Municipal Bond Index – a broad, comprehensive, market value-weighted index designed to measure the performance of Canadian dollar-denominated investment grade government-related bonds in provincial and municipal markets.
  • S&P Canada Collateralized Bond Index – designed to measure the performance of the Canadian collateralized debt market and is comprised of a universe of Canadian dollar-denominated investment grade collateralized debt. Non-residential mortgage collateralized debt, such as commercial mortgage-backed securities and asset-backed securities, as well as all collateralized mortgage obligations are included in the index.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 100 indices. Data item coverage includes the following index items:

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

 

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