Standard & Poor's - Data Services Securities Pricing

S&P/Investortools Municipal Index

Standard & Poor's and Investortools have worked together to create municipal bond performance indices. Standard & Poor's selects bonds for inclusion in The Index Portfolio and provides pricing, descriptive and indicative data. Investortools receives this data and, using it own proprietary software, calculates detailed structure and performance statistics, including option adjusted statistics.

Features

Standard & Poor's / Investortools Municipal Bond Indices Include:

One Main Bond Index - which contains all bonds in the Standard & Poor's Index Portfolio
12 general indices
8 sector indices
28 state indices
The Investment Grade Index contains all bonds in The Main Index rated BBB S&P and /or Baa Moody's or higher
The Short Index contains all bonds in The Main Index maturing between 6 months - 3.999 years

State Indices are comprised of bonds from respective states that are contained in The Main Index. Published state indices are: Arizona, California, Colorado, Delaware, Florida, Georgia, Hawaii, Idaho, Illinois, Indiana, Kansas, Maryland, Massachusetts, Michigan, Minnesota, New Jersey, New Mexico, New York, North Carolina, Ohio, Oklahoma, Oregon, Pennsylvania, Puerto Rico, Texas, Virginia, Washington, Wisconsin.

S&P Weekly High Grade Municipal Index

Standard & Poor’s Municipal Index Service is a customized, independent source of yield benchmarks for variable rate tax-exempt securities. Current indices range in maturity from 7 to 30 days, six months, one year and out to 20 years.

Background
Traditionally, the interest on variable rate bonds had been set against such standards as the prime rate or treasury bill market. When interest rates rose in the early 1980s those relationships were no longer valid. As a result, the financial community was looking for other sources to provide a tax-exempt base for repricing issues. In 1981, at the request of the financial community, Standard & Poor’s developed their first index. Since then we have developed a variety of customized indices for our clients and upon request we can supply a history of those indices.

Determining Value
After reviewing the issues for which indices are required, Standard & Poor’s creates a corresponding index composed of similar securities with a broad geographic base in order to provide the appropriate level for pricing. As the index is priced, the index components are valued and their average becomes the index. The Remarketing Agent is advised of the value of the index by phone while hard copies are sent to other interested parties.

Creating Indices
The Standard & Poor’s Municipal Index is priced on demand for each client. In many cases, a specific index is created for each issue. However, if there is a good fit with an existing index, creating a new index may not be necessary. Current indices range in maturity from seven days to thirty years and from “AAA” to non-rated.

Weekly High Grade Index
The index that is used most often is the Standard & Poor’s Weekly High Grade Index. It is comprised of thirty-four MIG-1 rated issues. These issues are municipal tax-exempt notes that are not subject to AMT. The coupon on each issue is adjusted to price that component on par and tracks high-grade weekly tax-exempt levels. The coupons are then averaged to derive the index.

For pricing or additional information please contact Joseph Luparello at 212-438-4423.