According to a press release, the “broad-based” index is designed to “serve the investment community’s need for a benchmark representing the U.S. commercial paper market.’ The S&P U.S. Commercial Paper Index, part of Standard & Poor’s family of fixed-income indexes, is the first of its type to be offered by a major index provider, according to S&P.
The S&P U.S. Commercial Paper Index consists of commercial paper with one- to three-month maturities issued by corporate issuers, both financial and non-financial. Asset-backed commercial paper issues are excluded. Issuers included in the index must have a commercial paper program of at least $2 billion, according to the announcement.
Index constituents are weighted on a tiered basis based on the maximum program size. The Index is rules based, although the S&P U.S. Commercial Paper Index Committee reserves the right to exercise discretion, when necessary.
The S&P U.S. Commercial Paper Index includes 1,205 constituents from more than 190 issuers, and consists of 77% financial issuers and 23% non-financial issuers.
“Commercial paper is a critical component of the capital markets and a widely held investment among money market funds and other short term investors seeking higher yields and greater diversification than treasury bills,’ said James Rieger, vice president of Fixed Income Indices at Standard & Poor’s. “The S&P U.S. Commercial Paper Index will serve as the first broad benchmark providing additional transparency into this important market.’
Standard & Poor’s Index Services published a primer on commercial paper, available here.