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S&P US Aggregate Bond Indices

Published in Fixed Income Indices

The S&P U.S. Aggregate Bond 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, supranational, federal agency, and non-U.S. debentures, covered bonds, and residential mortgage pass-throughs.

Key Features and Coverage on RIMES

For this data source, RIMES hosts the S&P High Yield Dividend Aristocrats Dynamic Hedged Index and approximately 23341 companies.

Some of the data items available include:

  • Index Items – Average Coupon, Average Modified Duration, Average Notional Outstanding in US Dollars, Average Price, Average Yield, Average Yield to Maturity, Average Yield to Worst, Branding, Index Family, Index Type, Number of Constituents, Price Index in US Dollars, Total Return in US Dollars, Weight Type, etc.
  • Bond Items – Actual Coupon Rate, Adjustment Factor, Beginning of Month Market Value in US Dollars, Cash, Clean Price, Country Code, Country Description, Coupon, Currency Code, Cusip Code, Daily Price Return in US Dollars, Daily Total Return in US Dollars, Date of Portfolio, Dirty Price, Effective Duration, Effective Maturity Date, Exchange Rate, Fitch Rating, GICS Industry Level 4 Code, Index Currency Code, ISIN Code, Issuer Description, Market Capitalization in US Dollars, Market Value in US Dollars, Maturity Date, Modified Duration, Moody’s Rating, Notional Outstanding Value in US Dollars, Opening Investable Weight in Index (Source), Opening Market Value in US Dollars, Option Adjusted Spread, Pricing Details, Security Adjusted Market Capitalization in US Dollars, Sedol Code, Standard & Poor’s Rating, U.S. State, Years to Maturity, Yield, Yield to Call, Yield to Worst, etc.

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