The index is a sub-index of the S&P U.S. High Yield Corporate Bond Index whose constituents only includes the bonds whose OAS (Option Adjusted Spread) is greater than or equal to 1,000 at the rebalance lock-in date.
Key Features and Coverage on RIMES
For this data source, RIMES hosts approximately 24 indices, including Dow Jones Equal Weight US Issued Corporate Bond Index, S&P Corporate Bonds and various S&P US Bonds.
Some of the data items available include:
- Index Items – Average Coupon, Average Convexity, Average Effective Duration, Average Modified Duration, Average Option Adjusted Spread, Average Notional Outstanding in US Dollars, Average Price, Average Yield, Average Yield to Worst, Average Yield to Maturity, Branding, Country Code, Description, Database Domain Code, Index Family, Index Type, Last Price Date, Market Capitalization in US Dollars, Number of Constituents, Total Return in US Dollars, Weight Type, etc.
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