S&P Dow Jones Indices (S&P DJI) has launched the S&P 500 Bond Mega 30 Index family, tracking the performance of the largest bonds issued by constituents of the S&P 500.

Alex Matturri, CEO, S&P Dow Jones Indices.

The index family comprises two subsets of indices, the S&P 500 Bond Mega 30 Investment Grade Index and the S&P 500 Bond Mega 30 High Yield Index, tracking the 30 largest single issues within the investment grade and high yield segments respectively.

Both subsets consist of a broad-maturity index as well as two targeted maturity indices that track bonds in the three to five year and five to seven year maturity ranges.

Alex Matturri, CEO, S&P Dow Jones Indices, commented, “We are excited to extend the S&P 500 Bond Index family with the launch of the S&P 500 Bond Mega 30 Investment Grade and S&P 500 Bond Mega 30 High Yield Indices. Over the past few years, the growing debt pool issued by corporations has driven the need for independent indices to track different aspects of that market.  These new indices track bonds with larger issue sizes which typically trade with greater frequency and enhanced transparency and therefore tend to have higher liquidity.”

The new indices apply the same screening constraints as the original S&P 500 Bond Index which launched in July 2015: for investment-grade bonds, a minimum par of $250 million at each rebalancing is required; for high-yield bonds, a minimum par of $100 million at each rebalancing is required. Rebalancing is conducted monthly, thus keeping the index current.

Indices are weighted by the market value of the bonds, which must have a maturity of one month or greater to be eligible for index inclusion. The resultant index is also liquid enough to serve as the basis for potential ETFs and structured products.

When paired with the S&P 500 equities index, the bond indices are designed to provide a more powerful insight into the performance and financial conditions of these leading US companies.