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Fixed Income Indices

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China	Factsheet	Methodology	FAQ
S&P/CITIC Composite Bond Index S&P/CITIC Composite Bond Index is one of five distinct fixed indices designed to track China’s government corporate, inter-bank and convertible bond markets. It includes all bonds listed on SSE, SZSE, or inter-bank markets.
S&P/CITIC Corporate Bond Index S&P/CITIC Corporate Bond Index is one of five distinct fixed indices designed to track China’s government corporate, inter-bank and convertible bond markets. It includes all corporate bonds listed on either SSE or SZSE.
S&P/CITIC Inter-Bank Bond Index S&P/CITIC Inter-Bank Bond Index is one of five distinct fixed indices designed to track China’s government corporate, inter-bank and convertible bond markets. It includes all bonds listed on inter-bank markets. Includes all bonds listed on inter-bank markets.
S&P/CITIC Government Bond Index Includes all government bonds listed on the Shanghai (SSE) Exchange only.
S&P/CITIC Convertible Bond Index S&P/CITIC Convertible Bond Index is one of five distinct fixed indices designed to track China’s government corporate, inter-bank and convertible bond markets. It includes all convertible bonds listed on SSE or SZSE.
United States	Factsheet	Methodology	FAQ
S&P National AMT -Free Municipal Bond Index Provides exposure to the investment-grade U.S. municipal bond market.
S&P National AMT-Free Municipal VRDO Seeks to measure the performance of investment grade, variable rate demand obligations issued by municipalities with maturities greater than or equal to one month.
S&P AMT-Free Municipal Series Offers the first suite of indices that seeks to measure defined maturity segments of the investment grade, tax-exempt municipal bond market.
S&P U.S. Commercial Paper Index Reflects the performance of the most liquid U.S. commercial paper issues in the market.
S&P/Citigroup International Treasury Bond Index Series Reflects exposure to international, developed market treasury securities for U.S. investors.
S&P/LSTA U.S. Leveraged Loan 100 Index The S&P/LSTA U.S. Leveraged Loan 100 Index is designed to reflect the largest facilities in the leveraged loan market.
S&P 100 Credit Default Swap (CDS) Index Index seeks to track the performance of the reference entities of the S&P 100 equity index.
S&P CDS U.S. High-Yield Index Index consisting of 80 equally weighted high-yield U.S. corporate credits.
S&P CDS U.S. Investment Grade Index Index consisting of 100 equally weighted investment grade U.S. corporate credits.
Structured Finance	Factsheet	Methodology	FAQ
Arbitrage CBO Performance Index Standard & Poor's Ratings Services' Arbitrage CBO Performance Index aggregates historical performance statistics across Standard & Poor's rated arbitrage CBO transactions.
Arbitrage CLO Performance Index Standard & Poor's Ratings Services' Arbitrage CLO Performance Index aggregates historical performance statistics across Standard & Poor's rated arbitrage CLO transactions.
Quarterly High CLTV Matrix Standard & Poor's Ratings Services' Quarterly High CLTV Matrix reports the performance of the high combined loan-to-value (high CLTV) sector of the residential mortgage-backed securities (RMBS) market.
NIMS Quarterly Highlights Standard & Poor's Ratings Services' NIMS Quarterly Highlights report covers the net-interest margin (NIM) sector of RMBS, including issuance trends, rating performance, and outlook.
U.S. Auto Loan Static Index And Collateral Trends Report Standard & Poor's Ratings Services' U.S. Auto Loan Static index looks at credit performance in the asset-backed securities (ABS) auto loan market.
U.S. Credit Card Quality Index Standard & Poor's Ratings Services' U.S. Credit Card Quality Index monitors the performance of receivables held in trusts of rated bank card and credit card-backed securities.
US$ ABCP Market Statistics Standard & Poor's Ratings Services' US$ ABCP Market Statistics report focuses on U.S. asset-backed commercial paper (ABCP) performance and covers issuance data, U.S. ABCP outstanding, collateral type compositions, top programs, and largest liquidity providers.
European Auto ABS Index Report Standard & Poor's Ratings Services' European Auto ABS index quarterly report provides a comparative analysis of the key performance indicators across European portfolios of auto loans and leases.
European Credit Card Index Report Standard & Poor's Ratings Services' European Credit Card index quarterly report provides a comparative analysis of the key performance indicators across European portfolios of credit card securitizations and credit card trusts.
European Trade Receivables Securitization Index Report Standard & Poor's Ratings Services' European Trade Receivables Securitization index yearly report on European trade receivables measures the dilution and default ratios.
Italian RMBS Index Report Standard & Poor's Ratings Services' Italian RMBS index quarterly report provides a comparative analysis of the key performance indicators across the Italian RMBS sector.
German RMBS Index Report Standard & Poor's Ratings Services' German RMBS index quarterly report provides a comparative analysis of the key performance indicators across the German RMBS sector.
U.K. Nonconforming RMBS Index Report Standard & Poor's Ratings Services' U.K. Nonconforming RMBS index quarterly report provides a comparative analysis of the key performance indicators across the U.K. nonconforming RMBS sector.
CDO of ABS Review Standard & Poor's Ratings Services' CDO of ABS review covers the latest developments in the European cash CDO of ABS market.
CDO of Leveraged Loans Review Standard & Poor's Ratings Services' CDO of Leveraged Loans review covers the latest developments in the European CLO market.
Recovery Rates For Credits In Global Synthetic CDOs Standard & Poor's Ratings Services' Recovery Rates For Credit In Global Synthetic CDOs quarterly report details the corporate reference obligors that have triggered credit events in global synthetic CDO transactions that S&P has rated.