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Fixed Income Liquid Indices

As a part of our commitment to providing our clients with the most innovative, effective research products available, Credit Suisse has developed the following suite of fixed income bond indices:

Global Government Bond Indices

• U.S. Treasury Index (USGI)
• U.S. Inflation Protected Treasury Index (TIPS)
• U.S. TBills Index (TBILL)
• Liquid U.S. Agency Index (LUAI)
• U.S. Government Guaranteed Index (GGBI)
• European Government Index (EURGI)
• European Inflation Linked Index (EILI)
• U.K. Government Bond Index (UKTI)
• U.K. Inflation Linked Index (GILI)
• Mexican Bond Index (LOBOS)
• Sovereign Bond Index (SBI)
• Japan Government Bond Index (JGI)
• Global Government Index (GGI)

Global Corporate Bond Indices

• Liquid US Corporate Index (LUCI)
• Liquid European Corporate Index (LEI)  (€, £)
• Liquid Swiss Index (LSI)
• Liquid Japanese Corporate Index (LJCI)
• Latin American Corporate Index (CS-LACI)
• Emerging Market Corporate Index (CS-EMCI)
• Covered Bond Index (CBI)
• Bank Capital Index (BCI)  (€, £)
• Asian Bond Index (CS-ABI)
• LUCI Crossover Index (XOVER)
• Euro Crossover Index (EU XOVER)

CDS Indices

• US Credit Default Swap Index (US-CINDI)
• European Credit Default Swap Index (EU-CINDI)
• Japanese Credit Default Swap Index (JP-CINDI)
• Emerging Markets Credit Default Swap Indices (EM-CDSI)

Structured Product Indices

• Fortinbras Index (CSFN)
• FX Carry Indices (ROCI)
• FX Factor Indices (FXFT)
• CS Volatility Index (CSVI)
• CS Adaptive Volatility Index (CSAVI)
• TBA Mortgage Index (MTGI)

Commodities Indices

• Credit Suisse Commodity Benchmark Index (CSIX)
• Credit Suisse Commodity Benchmark S&P GSCI Index (CSGS)
• CS GAINS Index (CSGA)
• CS MOVERS Index (CSMV)

Liquid Methodology that concentrates on accuracy and objectivity to create a global set of fixed income index products

Credit Suisse offers an extensive family of fixed income indices that track global fixed income markets.  These indices provide aggregate data that aims to be both consistent and comprehensive.  Credit Suisse’s fixed income indices depend heavily upon bond liquidity and overall index transparency.  Rather than using matrix pricing, the majority of Credit Suisse’s family of indices rely on traders to provide the price, yield, and spread of highly liquid bonds on a daily basis.  Vendor pricing is used only to supplement trader pricing if it is not available. Consequently, investors can use these indices to conduct accurate relative value and portfolio analysis in addition to gauging market trends and conditions.  Credit Suisse also provides an expanding series of commodities and structured products indices, which allow investors to both adapt to and take advantage of current market conditions.

Credit Suisse’s family of fixed income indices provides investors with a market synopsis, while the bond details offer further color with their drilldown capability.  The index analytics are calculated not only for the individual bonds that make up the index, but for all aggregate index levels as well.

Features of our indices:

• The Credit Suisse Liquid Fixed Income Workbench, a user-friendly application delivered over the web, enables access to aggregate, sub-index and constituent-level customized information across the various asset classes, maturities and regions.
• Over 40 derived analytics and measures, such as asset swap data, excess returns and other valuable metrics, made available on the Workbench.
• All index data is easily exportable to an Excel spreadsheet and available on LOCuS and by going to CSLI <GO> on the Bloomberg terminal.
• The Custom Index Builder allows users to create custom index products and portfolios across multiple asset classes. This new application allows individuals to choose their own bond universe, weightings, measures and analytics as well as the option to base the portfolio in multiple currencies.

For a detailed view of each particular index, we have published individual documents that pertain to each index and have made them available on our website, which is available through Credit Suisse Research and Analytics.

For access to our Fixed Income Research and Analytics website or for access to view our indices on Bloomberg, please email us at FI Index Analysts .

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