The S&P U.S. Commercial Paper Index is a broad based index that measures the performance of the U.S. commercial paper market.
The S&P U.S. Commercial Paper Index series consists of a broad index and two indices focused on core segments of the commercial paper market. The S&P U.S. Commercial Paper Index consists of commercial paper with one to three month maturities from both the financial and non-financial sectors. Asset backed commercial paper are excluded from the index. The S&P U.S. Commercial Paper Non-Financials Index consists of commercial paper from issuers classified by S&P as being from non-financial institutions. The S&P U.S. Commercial Paper Financials Index consists of commercial paper from issuers classified by S&P as being financial institutions.
Index constituents exhibit the following characteristics:
Issuer -The issuer must be a U.S. corporate issuer, which includes publicly traded and privately held corporations, as well as subsidiaries of corporations. Asset backed issuers are ineligible.
Maximum Program Size -The issuer must have a maximum program size of at least US$ 2 billion.
Rating -The commercial paper of each issuer must have a current rating from Standard & Poor’s, Moody’s or Fitch.
Pricing -Each issue must be priced by IDC as of the reference date.
Maturity -Each security must have between 31 and 91 days left to maturity as of the last business day of each month.
Number of Issues Per Issuer - Each issuer may have a maximum of 10 issues in the index. If, on a given monthly rebalance date, there are more than 10 eligible issues for a given issuer, the five eligible issues with the longest time to maturity and the five eligible issues with the longest time to maturity less than or equal to 61 days, are chosen.
Index Governance and Policy
This index is maintained by the S&P Index Committee, whose members include Standard & Poor’s economists and index analysts. It follows a set of published rules and policies that provide the transparent methodology used to maintain the index.
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