credit suisse’s guide to global benchmark index products

US Corporate Credit Sector Strategy

DISCLOSURE APPENDIX AT THE BACK OF THIS REPORT CONTAINS IMPORTANT DISCLOSURES. This document is a product of a Credit Suisse (“CS”) Sales and Trading

Desk with content contribution from a member of the Quantitative Strategies Group. It is not a product of the Firm’s Research Department. This material is intended only for

institutional investors and is not subject to all of the independence and disclosure standards applicable to debt research reports prepared for retail investors pursuant to FINRA Rule

2242. This material is not independent of the Firm’s proprietary interests, which may conflict with your interests. The Firm may trade securities discussed in this report for its own

account and on a discretionary basis on behalf of certain clients. Such trading may be contrary to the recommendations, if any, provided in this material. In addition to contribution

from the Quantitative Strategies Group, the author may have consulted with the Firm’s traders and other personnel while preparing this material, who may have already traded based on the views expressed in this material, or have existing positions in the securities discussed herein.

THIS MATERIAL IS NOT RESEARCH AND IS INTENDED FOR INSTITUTIONAL CLIENTS ONLY

Credit Suisse’s Guide to Global Benchmark

Index Products July 02, 2019

AUTHORS

Fer Koch

+1 212 325 2314

Miranda Chen

+1 212 538 8342

James Esposito +1 212 325 8459

Please contact the author(s) for further information regarding the guidelines or the

Quantitative Strategies contributor(s) / [email protected] for a demo or assistance with using the Credit Suisse’s Guide to Global Tradable and Benchmark

Index Products.

CONTRIBUTORS

Quantitative Strategies

Index & Alpha Strategies

Baldwin Smith

+1 212 325 5524

Samarth Sanghavi

+1 212 538 4341

Daniela Toro

+44 20 7883 3875

Antony Arenas

+1 212 325 1112

mailto:[email protected]


2


Contents

Where to Find CS Indices ................................................................................................................................. 5

Benchmark Index Products .............................................................................................................................. 11

Overview ........................................................................................................................................................ 11

Credit Suisse Index Workbench ................................................................................................................... 11

GLOBAL ............................................................................................................................................................ 12

Credit Suisse Global Government Index (GBLGOV) ....................................................................................... 12

Credit Suisse Global Leveraged Loan Index .................................................................................................... 13

US – INTEREST RATES PRODUCTS ................................................................................................................ 14

Credit Suisse US Treasury Index (USTI) .......................................................................................................... 14

Credit Suisse US Treasury Bill Index (TBI) ...................................................................................................... 15

Credit Suisse US Inflation Protected Treasury Index (TIPS) ........................................................................... 16

Credit Suisse Liquid US Agency Index (LUAI) ................................................................................................. 17

US – CREDIT ..................................................................................................................................................... 18

Credit Suisse High Yield Index (CS USHY) ..................................................................................................... 18

Credit Suisse Liquid US High Yield Index (LUHY) ........................................................................................... 19

Credit Suisse Leveraged Loan Index (LEVLOAN) ............................................................................................ 20

Credit Suisse Liquid Leveraged Loan Index (LELI) .......................................................................................... 21

Credit Suisse Liquid US Corporate Index (LUCI) ............................................................................................ 22

Credit Suisse US Preferred Bond Index .......................................................................................................... 23

Credit Suisse Supra, Agency, & Sov Index (SASI USD/SASI GBP), Euro Agency & Sov Index (EASI) ......... 24

DEVELOPED EUROPE – INTEREST RATES PRODUCTS ................................................................................. 25

Credit Suisse European Government Index (EURGI) ...................................................................................... 25

Credit Suisse European Government Inflation-Linked Index (EILI) ................................................................ 26

Credit Suisse United Kingdom Treasury Index (UKTI) .................................................................................... 27

Credit Suisse United Kingdom Inflation-Linked Index (GILI) .......................................................................... 28


3


Credit Suisse EUR Covered Bond Index (CBI EUR) & USD Covered Bond Index (CBI USD) ........................ 29

Credit Suisse European Short-Term Treasury Index (ESTI) ........................................................................... 30

Credit Suisse European Government Guaranteed Bond Index (EUGGI) ....................................................... 31

DEVELOPED EUROPE – CREDIT ..................................................................................................................... 32

Credit Suisse Liquid Eurobond Index (LEI) ...................................................................................................... 32

Credit Suisse Western European High Yield Index (WEHY) ........................................................................... 33

Credit Suisse Liquid European High Yield Index (LEHY) ................................................................................ 34

Credit Suisse Western European Leveraged Loan Index (WELLI) .................................................................. 35

Credit Suisse Capital Contingent Convertible Index (CoCo) .......................................................................... 36

Credit Suisse European Green Sub Index (GREEN) ....................................................................................... 37

Credit Suisse Liquid Swiss Index (LSI) ............................................................................................................ 38

Credit Suisse European Corporate Hybrid Index (ECHI) ................................................................................ 39

Credit Suisse European Bank Capital Index (BCI) .......................................................................................... 40

Credit Suisse European Insurance Capital Index (ICI) .................................................................................... 41

DEVELOPED ASIA – INTEREST RATE PRODUCTS .......................................................................................... 42

Credit Suisse Japan Government Bond Index (JGI) ........................................................................................ 42

DEVELOPED ASIA – CREDIT ............................................................................................................................ 43

Credit Suisse Liquid Japan Corporate Index (LJCI) ......................................................................................... 43

Credit Suisse Singapore Government Bond Index (SGI) ................................................................................ 44

EMERGING MARKETS ...................................................................................................................................... 45

Credit Suisse Emerging Market Corporate Index (EMCI) ............................................................................... 45

Credit Suisse Latin America Corporate Bond Index (LACI) ............................................................................ 46

Credit Suisse Asian Bond Index (ABI) ............................................................................................................. 47

Credit Suisse Middle East and Africa Corporate Index (MACI) ....................................................................... 48

Credit Suisse Eastern Europe Corporate Index (EEI) ..................................................................................... 49


4


Credit Suisse Sovereign Bond Index (SBI) ...................................................................................................... 50

Credit Suisse Emerging Market Local Currency Index (CSEMLC) .................................................................. 51

Credit Suisse’s Fixed Income Index Platform: User Guide ............................................................................. 52

Credit Suisse’s Suite of Fixed Income Indices ................................................................................................ 56


5


Introduction

This publication provides a high level overview of Credit Suisse’s benchmark indices and supplements our more

detailed methodology publications, which are typically released at the launch of each individual index. The products

we highlight here are intended to provide a brief introduction to the index capabilities offered by Credit Suisse.

Credit Suisse offers a wide array of index services to its clients, including:

the development of bespoke index products to meet clients’ specific benchmark and investable product

demands the ability to construct basket strategies that aggregate and dynamically allocate exposure to any of our indices

the capability to instantly “slice and dice” existing indices into customized subindices

Please don’t hesitate to contact us if you are unable to find the product you are looking for within this publication or

would like insight on some of our latest developments.

Where to Find CS Indices

Credit Suisse index data is widely available and is disseminated across a variety of platforms. This includes, but is

not limited to, the following:

BLOOMBERG PROFESSIONAL™ service – CSLI<GO>

Credit Suisse LOCUS – https://locus.credit-suisse.com/index.jsp

Credit Suisse Liquid Fixed Income Workbenches – A user-friendly web application, provides access to

extensive derived analytics and measures on the aggregate, sub-index, and constituent levels, providing

customized information across various asset classes, ratings, maturities, and regions:

https://plus.credit-suisse.com/workbenchname/home.aspx − for instance https://plus.credit-suisse.com/luci/home.aspx

Credit Suisse PLUS - The index page on Credit Suisse PLUS, Credit Suisse’s new web-based platform, enables

clients to seamlessly browse our suite of 3,000 indices by asset class, investment style, or sortable grid and create

customized baskets.

Internal users: https://plus.csintra.net External users: https://plus.credit-suisse.com

https://locus.credit-suisse.com/index.jsp

https://plus.credit-suisse.com/luci/home.asp

https://plus.csintra.net/

https://plus.credit-suisse.com/


6


Credit Suisse PLUS: Index Browser

The Index and Alpha Strategies Group at Credit Suisse continues to expand the boundaries of the index space and

remains at the forefront of index platform development. With the Credit-Suisse’s web-based platform, Credit Suisse PLUS, an innovative source of client-focused electronic solutions spanning research, analytics, and trading,

the Index and Alpha Strategies Group has created a cutting-edge index portal that is transforming how clients explore and utilize the index space.

Our CS Plus Index Browser empowers clients to browse our suite of 3,000 indices by asset class, investment

style, or sortable grid. Clients can view crucial and often elusive index details (e.g., base currency, inception date, and time available), performance stats (e.g., returns, vols, and Sharpes), daily and monthly correlations to various

benchmark indices (e.g., S&P 500, DJ Eurostoxx 50, and Nikkei 225), and bond analytics (e.g., price, yield, duration). The browser also allows for comparing up to eight indices and filtering by currency, strategy, type, return

type, and asset class, enabling the user to quickly pinpoint indices that fit the desired criteria. The search function allows the user to hunt for a specific index name. Drilling down on an index opens the index snapshot page, which features a brief index summary, research report, key performance statistics, historical monthly returns analysis, and

historical index performance graph with customizable date ranges and zoom functionality. All data are easily exportable to Excel.

To Access CS Plus Index Overview

1. Open CS PLUS

2. Hover over the tab and select Overview.

CS Plus Index Overview 1. Arrange by asset class, by investment style, or as a grid.

2. View index performance statistics, details, correlations or bond index analytics. 3. Filter indices using the dropdown menus and check boxes at the top of the widget.

4. Search over 3,000 indices to find the exact index that fits your investment strategy. 5. Sort by a variety of analytics including returns, vols and Sharpe ratio.

6. Export historical data to Excel for further analysis. 7. Access publication on index and alpha strategies.

https://plus.credit-suisse.com/ECP_S/app/container.html


7


Index Snapshot

Click on the analytics for Returns, Vols or Sharpe ratio to open the Index Snapshot. In the Index Snapshot, you can

also: Access research on index and alpha strategies (click on image)

Export historical data to excel for further analysis (click Export Data)


8


Credit Suisse PLUS: Indices Basket Builder

Some of the most formidable challenges facing our clients in today’s volatile environment include determining how

best to gain exposure to uncorrelated alpha strategies, diversify index holdings, and minimize drawdowns. Our

Indices Basket Builder empowers clients to accomplish just that by instantaneously calculating customized baskets

of indices.

A. Launching the CS PLUS Indices Basket Builder

1. Open CS PLUS, hover over the tab and select Indices Basket Builder. The Index Browser located

at the bottom of the page is where you will begin building your Indices Basket.

B. Building Bespoke Index Basket 2. From the Index Browser, select ADD to place desired indices in your basket. Each Index selected will populate

an Index item in your SELECTED INDICES basket. Continue adding indices to complement other indices in your

basket. You can add up to eight indices per basket.

3. To remove an Index from your basket, click the icon for the Index item you would like to remove.

4. Upon completing your selections, click

https://plus.credit-suisse.com/ECP_S/app/container.html


9


C. Customizing Your Bespoke Index Basket 5. In the Custom Basket Index browser, select your indices to create a custom alpha basket.

6. To adjust the weights of your basket and base currency, select a Base Currency and Weighting scale from

the drop-down menus in your Basket. If Custom weighting is selected, type a weight percentage for each of the

indices you would like to modify.

7. Click to calculate Basket Composition instantly.

8. Once basket calculation completes, you will be able to assess Key Performance Statistics and evaluate

Historical Index Performance.


10


Basket index calculations adhere to the following approach:

Excess Returns – By default, all baskets are calculated as unfunded indices. All constituent indices are

converted to excess returns if they are not currently excess returns. To perform this conversion, funded indices

have their returns discounted by a reference rate that corresponds to the base currency of the constituent index.

Typically this reference rate is the money market rate.

Unhedged Returns – Basket indices are calculated by converting all selected indices into the selected base

currency using FX spot rates. As a result, all basket indices that contain component indices with base currencies

that differ from the base currency of the basket index do have exposure to currency movements.

Rebalance Frequency – By default, the indices are rebalanced on a monthly basis.

Long/Short – Only beta indices may be shorted. Enhanced beta and alpha indices cannot be shorted.

Leverage – The basket may be leveraged up to 300%. Increasing the leverage may impact the cost of entering

the strategy. Please speak with your Credit Suisse salesperson or contact the Index & Alpha Strategies team for

more details.

Fees – While some constituent indices do maintain fees, no fees are included in the basket calculation. As a

result, all basket calculations shown on CS Plus are meant to be indicative levels only and do not necessarily

represent actual levels at which Credit Suisse can execute. Speak with your salesperson or contact the Index &

Alpha Strategies team for more details about trading these strategies.

Weights – Weights are fixed at inception and are rebalanced to the fixed weights according to the rebalance

frequency. The option to choose inverse volatility weighting looks at historical volatility of each index and defines

initial fixed weights based on these volatilities.

Inception – The inception date of the basket index is calculated based on the earliest date for which all

component indices have an index level published.

Holiday Calendar – The basket index calculates a return for all days where there is an index level published for at

least one of the component indices.

Modifications to this basket calculation approach will be posted on the CS Plus Index Basket Index web site.


11


Benchmark Index Products1

Overview

Credit Suisse offers a comprehensive family of fixed income indices that track the global fixed income markets.

These indices provide aggregate data that are both consistent and objective. Our Index Workbench allows clients

to easily access both aggregate index level data as well as underlying bond-specific data for comprehensive

analysis of indices as well as overall market synopsis.

Credit Suisse Index Workbench

Credit Suisse offers its clients the Credit Suisse Fixed Income Workbench, a tool that provides flexibility in

manipulating all index information to fit the user’s specified criteria. This flexibility is enhanced by the drill-down

technology it employs, making basic statistics and performance visible on the individual bond level. The ability to

manipulate large sets of data quickly and easily makes the Workbench a value-added tool for analysts or investors.

■ Enables users to access and customize index data across the various asset classes, maturities, and regions of the index.

■ Gives users an option of six different types of analysis from the Report Builder.

■ Allows users to drill down to view the performance and basic characteristics of each individual issue.

− Various analytics and measures (including total returns, asset swap spreads, duration, and convexity) are available.

■ Enables data to be easily exported to an Excel spreadsheet, and can be saved and shared over the Internet via unique report ID.

1 Please note that customized tradable index products can be created off of these benchmarks. To explore this option, please contact [email protected] or your Credit Suisse sales representative.



12


GLOBAL

Credit Suisse Global Government Index (GBLGOV)

The Credit Suisse Global Government Index (GBLGOV) comprises government bonds from 24 countries,

denominated in 11 currencies, and excludes inflation-protected securities. All issue amounts are converted into

USD and settlement days are based on local trading conventions. History for GBLGOV is available as of January

2, 2002.

Figure 1: CS Global Government (GBLGOV) Inclusion Rules

Currency AUD, CAD, CHF, DKK, EUR, GBP, JPY, NOK, NZD, SEK, USD.

Securities Fixed, bullet, non-zero coupon bonds only (no callable or puttable issues). The index does not include floating-rate

instruments, convertibles, or index-linked bonds.

Minimum Outstanding Based on currency.

Index Pricing Calculated each trading day using third party vendor pricing.

Rebalancing Index composition is updated once a month on the first business day of the month. All new issues must settle

prior to the first business day to be included in the index.

Maturity Breakdown 1-3, 3-5, 5-7, 7-10, 10+ years

Index Inception 1/2/2002

Index Launch Date 4/9/2010

Coupon Reinvestment The reinvestment rate is based on the one-month currency specific LIBOR rate as of the last business day of the

previous month.

Minimum Maturity Bonds must have at least one year remaining to maturity.

Trading & Settlement Bonds are traded on a clean price basis and settlement follows local trading convention.

Transaction Cost The index does not take transaction costs (bid-offer spreads) into account.

Website https://plus.credit-suisse.com/gblindex/home.aspx

Bloomberg Ticker GBLG <GO>

Source: Credit Suisse

Figure 2: CS Global Government (GBLGOV)

Data as of 30st April 2019 Data as of 30st April 2019 USD

No of issues 1,032

Par Amt(bn) 23,677

Mkt Value (bn) 26,129

Mod Duration 8.24

Yield(%) 1.06

Source: Credit Suisse; Past performance should not be taken as an indication or guarantee of

future performance.


https://plus.credit-suisse.com/gblindex/home.asp


13


Credit Suisse Global Leveraged Loan Index

The Credit Suisse Global Leveraged Loan Index with an inception date of January 2017 is designed to mirror the

investable universe of the leveraged loan market by combining the loans from Credit Suisse Leveraged Loan Index

and Credit Suisse Western European Leveraged Loan Index. As of December 2018, the index has approximately

2041 loans in the index.

Consistent to its underlying indices, this index is composed of all fully funded trm loan facilities trading in the

syndicated loan market. Loan facilities are rated “5B” or lower.

Figure 3: CS Leveraged Global Leveraged Loan Index Inclusion Rules

Currency USD or Western European currencies.

Securities Combines the constituents of the CS Leveraged Loan and the CS Western European Leveraged Loan

indices.

Index Pricing Calculated each trading day using third-party vendor pricing.

Rebalancing Index composition is updated once a month on the first business day of the month.

Index Inception Date 1/3/2017


Website https://plus.credit-suisse.com/levloan/home.aspx

Bloomberg Ticker CSLI#CSLLG <GO>


Figure 4: CS Global Leveraged Loan Index


No of issues 2,039

Par Amt (bn) 1,479


Yield 3 Yr (%) 6.23


future performance.


https://plus.credit-suisse.com/levloan/home.asp


14


US – INTEREST RATES PRODUCTS

Credit Suisse US Treasury Index (USTI)

The Credit Suisse US Treasury Index (USTI) is a composite of liquid, tradable US Treasury bonds. All bonds are

fixed rate and include securities with call features. This index provides exposure to the US Treasury market’s short-

, intermediate-, and long-dated sectors.

Figure 5: CS US Treasury Index (USTI) Inclusion Rules

Currency USD

Securities Fixed-rate US Treasury bonds, including callables.

Minimum Outstanding $1 billion


Rebalancing Index composition is updated once a month on the first business day of the month. All new issues must

settle prior to the first business day of the month to be included in the index.




Coupon Reinvestment USD 1M LIBOR rate


Trading & Settlement Bonds are traded on a clean price basis and settlement adheres to local market trading/settlement

convention.


Website https://plus.credit-suisse.com/usgi/home.aspx

Bloomberg Ticker CSTY <GO>


Figure 6: CS US Treasury Index (USTI)


No of issues 258

Par Amt (bn) 8,264


Mod Duration 6.03

Yield(%) 2.41

Yrs to Maturity 7.65


future performance.


https://plus.credit-suisse.com/usgi/home.aspx


15


Credit Suisse US Treasury Bill Index (TBI)

The Credit Suisse US Treasury Bill Index (TBI) is a composite of liquid, tradable US Treasury bills. These six-

month, short-term government obligations must have at least one month remaining to maturity for inclusion in the

index. As the index is priced daily, it provides a highly accurate picture of market performance for active portfolio

managers.

Figure 7: CS US Treasury Bill Index (TBI) Inclusion Rules

Currency USD

Securities US Treasury bills




Maturity Breakdown <1 year




Minimum Maturity Bonds must have 12 months or less to maturity at time of issuance; bonds must be greater than one month

to maturity.

Trading & Settlement Bills are traded on a clean price basis and settlement adheres to local market trading/settlement convention.




Figure 8: CS US Treasury Bill Index (TBI)


No of issues 32

Par Amt (bn) 1,665


Mod Duration 0.22

Yield(%) 2.37



future performance.




16


Credit Suisse US Inflation Protected Treasury Index (TIPS)

The Credit Suisse US Inflation Protected Treasury Index (TIPS) is a composite of all issued Inflation Protected

Treasury Bonds. The index is priced daily, and thus should provide a highly accurate picture of market performance

for active portfolio managers.

Figure 9: CS US Inflation Protected Index (TIPS) Inclusion Rules

Currency USD

Securities US Inflation Protected Treasury Bonds; all bonds are fixed rate.




settle prior to first business day of the month to be included in the index.





Minimum Maturity Bonds must have at least one year remaining to maturity; At least 2 years to maturity at time of issuance.


convention.



Bloomberg Ticker CSTP <GO>


Figure 10: CS US Inflation Protected Index (TIPS)


No of issues 40

Par Amt (bn) 1,084


Mod Duration 7.47

Yield(%) 0.51


Source: Credit Suisse; Past performance should not be taken as an indication or guarantee of future performance.


https://plus.credit-suisse.com/usgi/home.asp


17


Credit Suisse Liquid US Agency Index (LUAI)

The Credit Suisse Liquid US Agency Index (LUAI) is a composite of liquid, tradable issues from US agencies with

large programmatic issuance programs. Programmatic issuance is defined by a minimum of consistent quarterly

issuance over one year. Currently, the index includes Fannie Mae notes and bonds, Freddie Mac reference notes,

and the Federal Home Loan Bank Global Debt Program.

Figure 11: CS Liquid US Agency Index (LUAI) Inclusion Rules

Currency USD

Securities Bullet structures; fixed, non-zero coupon bonds only.

Non-subordinated issues only.

Minimum Outstanding $3 billion for maturities of 11 years or less; $1 billion for maturities longer than 11 years.









Trading & Settlement Bonds are traded on a clean price basis and adhere to local settlement conventions.



Bloomberg Ticker CSBG <GO>


Figure 12: CS Liquid US Agency Index (LUAI)


No of issues 22

Par Amt (bn) 76

Mkt Value (bn) 79

Mod Duration 3.60

Yield(%) 2.42


future performance.


https://plus.credit-suisse.com/usgi/home.asp


18


US – CREDIT

Credit Suisse High Yield Index (CS USHY)

The Credit Suisse High Yield Index is designed to mirror the investable universe of the USD denominated high

yield debt traded in the US credit market.

Figure 13: CS High Yield Index Inclusion Rules

Currency USD

Securities Straight corporate debt, including cash-pay and zero-coupon bonds. PIK, FRN, convertibles, perpetuals and

preferred stock are ineligible.

If an issuer has more than two issues outstanding, only the two most liquid issues are included in the index.

Data Series Daily, weekly, monthly, and current month-to-date period.

Domicile Publicly registered in the US or issued under SEC Rule 144a; non-EM issuers.

Minimum Outstanding $75 million for publicly registered issues or 144a issues with registration rights; 144a issues without registration

rights must have a minimum amount outstanding of $150 million and must be issued by an issuer in a

developed country. Existing issue below $50million is removed.

Minimum Maturity Performing securities must have a minimum of one year to maturity, except if there is a substantial risk that

the issuer will default on the principal payment; maturity must be at least two years at the date of issuance.

Non-performing securities have no maturity date requirement; they are removed from the index when a new

bond is issued in its place or when the company emerges from bankruptcy.


Rebalancing Index composition is updated once a month on the first business day of the month. Qualifying new issues will

be added as long as they are priced.

Rating Below investment grade bonds rated by Moody’s, S&P, or Fitch. If a bond is rated by all three agencies, the

median rating is used; if a bond is rated by two agencies, the lower rating is used; unrated new bonds are

excluded.

Index Inception Date 1/1986


Website https://plus.credit-suisse.com/ushy/home.aspx

Bloomberg Ticker DLJH INDEX <GO> (High Yield)


Figure 14: CS High Yield Index


No of issues 1,302

Par Amt (bn) 865

Mkt Value (bn) 826

Mod Duration 3.66

Yield(%) 6.46



https://plus.credit-suisse.com/USHY/home.asp


19


Credit Suisse Liquid US High Yield Index (LUHY)

The Credit Suisse Liquid US High Yield (LUHY) index is a market-capitalization-weighted benchmark index that

tracks the liquid universe of the US dollar-denominated high yield debt market. The LUHY only includes the liquid,

tradable portion of the HY bond market and complements the existing Credit Suisse High Yield index, which has

aproximately 1300 bonds. As investor and dealer liquidity preferences have shifted to larger bonds post credit

crisis, we believe the LUHY index will better track the performance of actively traded high yield bonds.

Figure 15: CS Liquid US High Yield Index USD (LUHY) Inclusion Rules

Currency USD

Securities Fixed, non-zero coupon bonds; sinking, floating rate, index-linked, perpetuals, EM bonds and non-US banks

are excluded; One bond per issuer, asset claim and term bucket.

Minimum Outstanding $500 million




Maturity Breakdown 1-4, 4-7, 7-10, 10PLUS

Minimum Credit Rating Bond must be rated as sub-investment grade (below BBB-/Baa3) as determined by following rules: 1.)

bonds not rated by any of the 3 agencies are not eligible; 2.) when all 3 (S&P, Moody’s & Fitch) rate the

issue, median rating is adopted; 3.) when 2 agencies rate the issue, lower rating adopted; 4.) when one

agency rates the issue, the sole rating is adopted.

Issue Removal Defaulted or flat-trading bonds are excluded in the month following the default.



Coupon Reinvestment USD 1M LIBOR

Minimum Maturity Must have at least one year remaining to maturity; minimum 3 years from maturity since issuance


Website https://plus.credit-suisse.com/luci/home.aspx

Bloomberg Ticker LUHY <GO>


Figure 16: CS Liquid US High Yield Index USD (LUHY)


No of issues 644

Par Amt (bn) 598

Mkt Value (bn) 592

Mod Duration 3.73

Yield(%) 6.35





20


Credit Suisse Leveraged Loan Index (LEVLOAN)

The Credit Suisse Leveraged Loan Index is a monthly rebalanced index, comprised of approximately 1664 loans as

of December 2018, with an inception date of 31 December 1991. It is designed to mirror the investable universe

of the USD-denominated leveraged loan market.

This index includes loan facilities rated “5B” or lower, i.e. the highest Moody’s/S&P ratings are Baa1/BB+ or

Ba1/BBB+, with the tenor being at least one year. Issuers from developed countries are included; issuers from

developing countries are excluded.

This index is composed of all fully funded term loan facilities trading in the syndicated loan market, the price of

each loan facility is sourced from a pricing vendor widely used by buy-side participants in the leveraged loan

markets. All prices are evaluated by the pricing vendor, meaning that they are compiled by the pricing vendor from

dealers.

Figure 17: CS Leveraged Loan Index (LEVLOAN) Inclusion Rules

Currency USD

Securities Loan facilities must be rated “5B” or lower. That is, the highest Moody’s/S&P ratings are Baa1/BB+ or

Ba1/BBB+. Only fully funded term loan facilities are included. The tenor must be at least one year.

Issuers from developed countries are included; issuers from developing countries are excluded

Minimum Outstanding TL A facilities with min USD1 billion; USD100 million for other facilities.






Bloomberg Ticker CSLI#CSLL <GO>


Figure 18: CS Leveraged Loan Index


No of issues 1,648

Par Amt (bn) 1,243


Yield 3 Yr (%) 6.60


future performance.




21


Credit Suisse Liquid Leveraged Loan Index (LELI)

The Credit Suisse Liquid Leveraged Loan Index is a sub-index of the Credit Suisse Leveraged Loan Index, which,

with over 1664 fully funded term loan facilities as of December 2018, is designed to mirror the investable universe

of the U.S. dollar-denominated leveraged loan market. LELI contains about 284 term loan facilities as of

December 2018.

As its name suggests, the Liquid Leveraged Loan Index seeks to track the liquid segment of the loan market. The

Liquid Leveraged Loan Index includes only large loan facilities, over $1 billion in face value, in order to sample

loans that are actively traded in the secondary market. This is achieved through inclusion criteria which are applied

to the Credit Suisse Leveraged Loan Index. LELI’s inclusion criteria also achieve similar industry weightings as the

broader Leveraged Loan Index. At launch, the LELI contains about 12% of the loans that are in the Leveraged

Loan Index.

Figure 19: CS Liquid Leveraged Loan Index (LELI) Inclusion Rules

Securities Facilities must rank first lien in seniority; Facilities must be institutional, such as TL B, C, D, etc. Bank-held

facilities, those classified as TL or TL A, are excluded; Only the largest facility per issuer is eligible; in the

case of a tie, the facility with the longer maturity is selected.




settle prior the first business day of the month to be included in the index.

Index Inception Date 6/30/2008, which coincides with the start of daily results for the Credit Suisse Leveraged Loan Index



Bloomberg Ticker CSLLQ Index <GO>


Figure 20: CS Liquid Leveraged Loan Index (LELI)


No of issues 287

Par Amt (bn) 550

Mkt Value (bn) 530

Yield 3 Yr (%) 6.30





22


Credit Suisse Liquid US Corporate Index (LUCI)

The LUCI is a composite universe of the liquid, tradable, US dollar-denominated high grade issues. The index is

calculated each trading day and tracks only the liquid, tradable portion of the US corporate bond market. Securities

in the index are priced by an independent vendor as of the close of business each day. Credit Suisse’s approach

ensures timely and reliable pricing information and should enable investors to conduct accurate relative value and

portfolio performance analysis, as well as correct gauging of market trends and conditions.

Figure 23: CS Liquid US Corporate Index (LUCI) Inclusion Rules

Currency USD

Securities Corporate bonds; fixed or fixed to float bank bonds; non-zero coupon bonds; make whole call and par

callable bonds with a call date within twelve months of maturity are included. Quasi-sovereign, perpetual,

amortization, RegS and EM bonds are ineligible.




settle prior to first business day to be included in the index.

Maturity Breakdown 1-4, 4-7, 7-10, 10+ years

Ratings Only bonds with median rating of Investment grade rated by agencies – S&P, Moody’s, Fitch are included.




Minimum Maturity Bonds must have at least one year from maturity.

Trading & Settlement Bonds are traded on a clean price basis and adhere to local market settlement conventions.

Transaction Cost The index does not take transaction costs (bid-offer spreads) into account. Bonds added and deleted from

the index are at bid-side.


Bloomberg Ticker LUCI <GO>

urce: Credit Suisse

Figure 24: CS Liquid US Corporate Index (LUCI)


No of issues 2,307

Par Amt (bn) 2,092


Mod Duration 7.91

Yield(%) 3.70


future performance.




23


Credit Suisse US Preferred Bond Index

US Preferred Bond Index tracks the performance of the liquid, tradable USD preferred debt issued by US

investment grade corporations. The US Preferred Index constituents are selected in accordance to a transparent

set of rule-based inclusion criteria based on the issue type, size, maturity, and liquidity. With data available back to

May of 2010, the US Preferred Index establishes a benchmark for performance comparisons, it serves as a proxy

for the universe of investable assets, and it provides pricing, relative value analysis in varied market environments.

Figure 21: CS US Preferred Bond Index Inclusion Rules

Currency USD

Securities Issued by an US corporation; perpetual, fix-to-float callable, subordinated bonds are eligible. Bullet bonds

and fixed-to-fixed non-step up callable perpetual bonds are excluded.




settle prior to first business day to be included in the index.


Ratings Bonds issued by an Investment grade corporation rated by at least one of these agencies – S&P, Moody’s,

Fitch; For an unrated issuer, senior unsecured rating must be rated as Investment grade. All bonds have to

be assigned a credit rating.




Minimum Maturity Bonds must have at least one year from maturity. At least 90 days until the next call date and restatement is

allowed when call is not exercised and subsequent call is more than 90 days away.




Bloomberg Ticker CSLI#USPR <GO>


Figure 22: CS US Preferred Bond Index


No of issues 83

Par Amt (bn) 86

Mkt Value (bn) 87

Mod Duration 4.46

Yield(%) 5.02


future performance.




24


Credit Suisse Supra, Agency, & Sov Index (SASI USD/SASI

GBP), Euro Agency & Sov Index (EASI)

Credit Suisse launched Supranational, Agencies, & Sovereigns Index (SASI) and European Agencies & Sovereigns

Index (EASI) on October 15, 2010 and October 15, 2012, respectively, in response to the demand for high quality

USD and EUR Supranational, Sovereign and Agency (SSA) debts in the post-crisis environment. The SASI Index

includes sovereign, agency, and supranational debt issued in USD by non-US issuers or GBP by non-UK issuers.

The SASI Index limits each eligible issuer to the single on-the-run bond for the 2yr, 3yr, 5yr, 7yr, and 10yr

issuance while the EASI does not. The EASI consists of EUR-denominated bonds issued by a selection of ten non-

US issuers.

Figure 25: CS Supranational, Agencies and Sovereigns Index (SASI) Inclusion Rules

Currency USD, GBP, EUR

Securities Fixed, non-zero coupon bonds; bullet structures; coupons paid annually; all callable and puttable securities are

excluded.

Minimum Outstanding SASI USD: $1bn; SASI GBP: ₤500 million; EASI: €1 billion.




Maturity Breakdown 1-4, 4-7, 7-10, 10+ years.

Ratings SASI USD/GBP: Bonds must have a median rating of A or better by the three ratings agencies, S&P,

Moody’s, or Fitch.

EASI: Bonds must be rated Investment Grade by S&P, Moody’s, or Fitch.

Index Inception SASI USD/GBP: 1/3/2006; EASI: 1/4/2000.

Index Launch Date SASI USD/GBP: 10/15/2010 for dollar indices; EASI: 10/15/2012.

Coupon Reinvestment SASI USD: USD 1M LIBOR rate; SASI GBP: GBP 1M LIBOR rate; EASI: 1M EURIBOR.

Minimum Maturity Bonds must have minimum one year remaining to maturity.

Trading & Settlement Bonds are traded on a clean price and settlement follows local trading convention.


Website https://plus.credit-suisse.com/luci/home.aspx; https://plus.credit-suisse.com/eurgi/home.aspx;

https://plus.credit-suisse.com/lei/home.aspx;

Bloomberg Ticker SASI <GO> (USD), SSAS INDEX <GO> (GBP), SSAE INDEX <GO>(EUR)


Figure 26: CS SASI and EASI

Data as of 30st April 2019 Data as of 30st April 2019 USD EUR

No of issues 180 235

Par Amt (bn) 355 792

Mkt Value (bn) 360 858

Mod Duration 4.17 6.93

Yield(%) 2.65 0.06


future performance.



https://plus.credit-suisse.com/eurgi/home.asp

https://plus.credit-suisse.com/lei/home.asp


25


DEVELOPED EUROPE – INTEREST RATES PRODUCTS

Credit Suisse European Government Index (EURGI)

The Credit Suisse European Government Index (EURGI) includes bonds from any member of the European

Monetary Union with a frequent issuance program.

Figure 27: CS European Government Index (EURGI) Inclusion Rules

Currency EUR

Securities European government fixed, bullet, non-zero coupon bonds. Non-subordinated debt issues only.

Minimum Outstanding €1 billion



settle prior to the first business day to be included in the index.

Maturity Breakdown 1-3, 3-5, 5-7, 7-10, 10-12, 12+ years


Index Launch Date 4/2003

Coupon Reinvestment 1M EURIBOR rate

Minimum Maturity Must have at least one year remaining to maturity.

Trading & Settlement Bonds trade on a clean price basis and settlement adheres to local market trading/settlement convention.


Website https://plus.credit-suisse.com/eurgi/home.aspx

Bloomberg Ticker CSEU <GO>


Figure 28: CS European Government Index (EURGI)

Data as of 30st April 2019 Data as of 30st April 2019 EUR

No of issues 364

Par Amt (bn) 5,513


Mod Duration 7.71

Yield(%) 0.55



future performance.




26


Credit Suisse European Government Inflation-Linked Index

(EILI)

The Credit Suisse European Government Inflation-Linked Index (EILI) consists of inflation-linked bonds that are

used for diversification purposes and for explicit protection against inflation. Although index-linked products differ

by nature from nominal securities given their complex structure of indexation, they are an asset class in their own

right and are crucial for portfolio diversity. As the inflation-linked market has become increasingly globally oriented,

it has also become useful to compare returns from local inflation-linked markets in both currency hedged or

unhedged terms.

Figure 29: CS European Government Inflation-Linked Index (EILI) Inclusion Rules

Currency EUR

Securities Inflation-linked bonds. All bonds are bullet structures and are linked to either a euro or French index. Zero-

coupon bonds are excluded from this index.






Ratings All bonds must have an investment grade rating by either S&P or Moody’s.




Minimum Maturity All bonds must have more than a year to maturity and at issuance must have a maturity of at least two years.


convention.



Bloomberg Ticker EUIF INDEX <GO>


Figure 30: CS European Government Inflation-Linked Index (EILI)


No of issues 37

Par Amt (bn) 430

Mkt Value (bn) 484

Mod Duration 7.89

Yield(%) -0.57



future performance.




27


Credit Suisse United Kingdom Treasury Index (UKTI)

The Credit Suisse United Kingdom Treasury Index (UKTI) tracks only the most liquid, tradable portion of the UK

government market. The index is priced daily, thereby providing an accurate picture of market performance for

active portfolio managers.

Figure 31: CS United Kingdom Treasury Index (UKTI) Inclusion Rules

Currency GBP

Securities UK government fixed rate, bullet, non-zero coupon bonds.

Minimum Outstanding ₤1 billion







Coupon Reinvestment 1M LIBOR rate


Trading & Settlement Bonds trade on a clean price basis and settlement adheres to local market trading/settlement convention.



Bloomberg Ticker CSGB INDEX <GO>


Figure 32: CS United Kingdom Treasury Index (UKTI)

Data as of 30st April 2019 Data as of 30st April 2019 GBP

No of issues 41

Par Amt (bn) 1,056


Mod Duration 12.18

Yield(%) 1.27






28


Credit Suisse United Kingdom Inflation-Linked Index (GILI)

The Credit Suisse United Kingdom Inflation-Linked Index (GILI) index provides an investor with exposure to the

market’s inflation-linked debt, allowing for reduced inflation risk compared to that of other indices.

Figure 33: CS United Kingdom Inflation-Linked Index (GILI) Inclusion Rules

Currency GBP

Securities Inflation-linked UK government bonds. All bonds are bullet structures. Zero-coupon bonds are excluded from

this index.

Minimum Outstanding ₤1 billion



settle before the last business day of the previous month to be included in the index.




Coupon Reinvestment 1M LIBOR rate


Trading & Settlement Bonds trade on a clean price and settlement adheres to local market trading/settlement convention.



Bloomberg Ticker CSGT INDEX <GO>


Figure 34: CS United Kingdom Inflation-Linked Index (GILI)

Data as of 30st April 2019 Data as of 30st April 2019 GBP

No of issues 29

Par Amt (bn) 322

Mkt Value (bn) 596

Mod Duration 22.23

Yield(%) -1.93



future performance.




29


Credit Suisse EUR Covered Bond Index (CBI EUR) & USD

Covered Bond Index (CBI USD)

The Credit Suisse EUR Covered Bond Index (CBI EUR) and USD Covered Bond Index (CBI USD) consist of euro-

and USD-denominated covered bonds, respectively. Covered bonds are those that have been issued on the basis

of legal provisions to protect their holders and they must be subject to special supervision by the public authorities.

The sums derived from these bonds must be invested in conformity with the law in assets that are capable of

covering claims attached to the bonds. In the event of failure of the issuer, the assets would be used on a priority

basis for reimbursement of the principal and payment of the accrued interest of the bonds. Additionally, member

states are required to notify the European Commission.

Figure 35: CS CBI EUR and CBI USD Inclusion Rules

Currency CBI EUR: EUR; CBI USD: USD.

Securities Covered, exchanged-listed bonds.

Minimum Outstanding CBI EUR: EUR 500 million; CBI USD: USD 1 billion.

Coupon Fixed, non-zero coupon bonds. Amortizing bonds and private placements are ineligible.

Redemption (Soft) bullet redemption



before the first business day to be included in the index.


Minimum Credit Rating Investment Grade by at least one of the major credit rating agencies.

Index Inception CBI EUR: 1/4/2000; CBI USD: 7/1/2010

Index Launch Date CBI EUR: 11/8/2004; CBI USD: 2/2/2012

Coupon Reinvestment CBI EUR: 1M Euribor; CBI USD: 1M Libor





Figure 36: CS CBI EUR and CBI USD

Data as of 30st April 2019 Data as of 30st April 2019 USD EUR

No of issues 24 897

Par Amt (bn) 37 842



Yield(%) 2.59 0.08

Yrs to Maturity 2.65 4.99


future performance.




30


Credit Suisse European Short-Term Treasury Index (ESTI)

The Credit Suisse European Short-Term Treasury Index (ESTI) is a composite of liquid, tradable short-term euro

zone Treasury bonds. All bonds are fixed rate and specifically exclude bills and zero-coupon bonds. This index

provides exposure to the euro zone market’s short-dated treasury sector denominated in euros.

Figure 37: CS European Short-Term Treasury Index (ESTI) Inclusion Rules

Currency EUR

Securities Fixed rate, bullet, non-zero coupon; non-subordinated treasury bonds; issued by Eurozone governments.





Maturity Breakdown < 1 year




Minimum Maturity Bonds must have greater than one month remaining to maturity; 12 months or less to maturity at time of

issuance.


convention.




Figure 38: CS European Short-Term Treasury Index (ESTI)


No of issues 30

Par Amt (bn) 476

Mkt Value (bn) 489

Mod Duration 0.47

Yield(%) -0.39



future performance.




31


Credit Suisse European Government Guaranteed Bond Index

(EUGGI)

The Credit Suisse European Government Guaranteed Bond Index (EUGGI) tracks only liquid debt that is explicitly

backed by a European government at the time of issuance. These issuances grew as governments rolled out plans

to bail-out banks during the height of the financial crisis. The index includes banks debt, and potentially debt from

insurance companies and other non-financials.

Figure 39: CS European Government Guaranteed Bond Index (EUGGI)

Currency EUR

Securities European government guaranteed bonds. Fixed, bullet, non-zero coupon bonds only.




before the first business day to be included in the index.

Maturity Breakdown <1, 1-3, 3-5, 5-7, 7-10, 10-12 years, 12+ years




Minimum Maturity Minimum one year remaining to maturity

Trading & Settlement Bonds trade on a clean price basis and settle according to local trading conventions.



Bloomberg Ticker EGGI INDEX <GO>


Figure 40: CS European Government Guaranteed Bond Index (EUGGI)

Data as of 30th April 2019 Data as of 30st April 2019 EUR

No of issues 18

Par Amt (bn) 26

Mkt Value (bn) 27

Mod Duration 3.94

Yield(%) 0.01






32


DEVELOPED EUROPE – CREDIT

Credit Suisse Liquid Eurobond Index (LEI)

The Credit Suisse Liquid Eurobond Index (LEI) is a market-capitalization-weighted index that tracks the liquid

portion of the dollar, euro, and sterling European corporate bond markets. The LEI indices include only the most

investable issues which are priced on a daily basis. The bond selection process is a rule-based inclusion criteria

ensuring objectiveness and liquidity in its selection.

Figure 41: CS Liquid Eurobond Index (LEI) Inclusion Rules

Currency USD, EUR, and GBP.

Securities All liquid issues in the Eurobond and global markets that are fixed, non-zero coupon bonds; make whole call and

par callable bonds within twelve months to maturity are eligible. Amortizing bonds and private placements are

ineligible. For LEI USD, issuer must be based in an EFTA or EU15 country or the UK.

Minimum Outstanding LEI USD: $500 million; LEI EUR: €500 million; LEI GBP: £250 million.



before the first business day of the month to be included in the index.


Ratings Minimum grade admitted is BBB-/Baa3; thus only investment grade bonds are included. Bonds must be rated by

Moody’s, S&P, or Fitch; if a bond is rated by all three agencies, the median rating is used; if a bond is rated by two

agencies, the lower rating is used. Non-rated issues are not included.

Index Inception Date 1/4/2000 for dollar and euro indices; 5/2/2000 for sterling indices.


Coupon Reinvestment LEI USD: USD 1M LIBOR

LEI EUR and GBP: 1M EURIBOR

Minimum Maturity Must have at least one year remaining to maturity and at least two years to maturity at issuance.



Website https://plus.credit-suisse.com/lei/home.aspx

Bloomberg Ticker LEIE <GO> (EUR), alternatively select USD and GBP, respectively.


Figure 42: CS Liquid Eurobond Index (LEI)

Data as of 30st April 2019 Data as of 30st April 2019 USD EUR GBP

No of issues 691 2,279 638

Par Amt (bn) 826 1,806 286

Mkt Value (bn) 857 1,906 334

Mod Duration 6.04 5.17 8.54

Yield(%) 3.60 0.62 2.56


future performance.




33


Credit Suisse Western European High Yield Index (WEHY)

The Credit Suisse Western European High Yield Index is designed to mirror the investable universe of the Western

European USD, EUR and GBP denominated high yield debt markets.

Figure 43: CS Western European High Yield (WEHY) Inclusion Rules

Currency USD, EUR or GBP.

Securities Straight corporate debt, including cash-pay, zero-coupon and stepped-rate bonds. PIK, FRN, convertibles,

perpetuals and preferred stock are ineligible.

If an issuer has more than two issues outstanding, only the two most liquid issues are included in the index.

Data Series Daily, weekly, monthly, and current month-to-date period.

Domicile Issuer has assets located in or revenues derived from Western Europe, or debt denominated in EUR /GBP.

Minimum Outstanding $75 million or equivalent for inclusion; $50 million for removal.

Minimum Maturity Performing securities must have a minimum of one year to maturity, except if there is a substantial risk that

the issuer will default on the principal payment; maturity must be at least two years at the date of issuance.

Non-performing securities have no maturity date requirement; they are removed from the index when a new

bond is issued in its place or when the company emerges from bankruptcy.


Rebalancing Index composition is updated once a month on the first business day of the month. Qualifying new issues will

be added as long as they are priced.

Rating Below investment grade bonds rated by Moody’s, S&P, or Fitch. If a bond is rated by all three agencies, the

median rating is used; if a bond is rated by two agencies, the lower rating is used; unrated new bonds are

excluded.

Index Inception Date 1/1995


Bloomberg Ticker DLJW* INDEX or DLJN* INDEX <GO>


Figure 44: CS Western European High Yield (WEHY)


No of issues 465

Par Amt (bn) 245

Mkt Value (bn) 242

Mod Duration 3.22

Yield(%) 6.98



Source: Credit Suisse.


34


Credit Suisse Liquid European High Yield Index (LEHY)

The Credit Suisse Liquid European High Yield (LEHY) index is a market-capitalization-weighted benchmark index

that tracks the liquid universe of the EUR and GBP denominated high yield debt market. The LEHY only includes

the liquid, tradable portion of the HY bond market; complementing the existing Credit Suisse Western European

High Yield index. Similar to the USD-denominated market, investor and dealer liquidity preferences have shifted to

larger bonds post credit crisis, making the LEHY index reflect the performance of actively traded high yield bonds.

Figure 45: CS Liquid European High Yield Index (LEHY) Inclusion Rules

Currency EUR, GBP

Securities Fixed, non-zero coupon corporate bonds; PIKs, sub-financials, 144A, sinking bonds, covered bonds, index-linked

and government – related bonds are excluded.

Minimum Outstanding €250 million , ₤150 million



prior to the first business day of the month to be included in the index.

Maturity Breakdown 1-4, 4-7, 7-10, 10PLUS

Minimum Credit Rating Bond must be rated as sub-investment grade as determined by following rules : 1) bonds not rated by any of the

3 agencies are not eligible; 2) when all 3 (S&P, Moody’s & Fitch) rate the issue, median rating is adopted; 3)

when 2 agencies rate the issue, lower rating adopted; 4) when one agency rates the issue, the sole rating is

adopted; 5) Bonds rated below CCC-/Caa3 by one or more rating agencies are excluded.

Issue Removal Defaulted or flat-trading bonds are excluded in the month following the default.



Coupon Reinvestment 1M EURIBOR

Minimum Maturity Must have at least one year remaining to maturity; at most 15 years from maturity on rebalance date.



Bloomberg Ticker LHYE INDEX <GO>(EUR) LHYEP INDEX <GO> (GBP)


Figure 46: CS Liquid European High Yield Index (LEHY)

Data as of 30st April 2019 Data as of 30st April 2019 EUR GBP

No of issues 390 90

Par Amt (bn) 215 31



Yield(%) 3.14 5.69


future performance.




35


Credit Suisse Western European Leveraged Loan Index

(WELLI)

The Credit Suisse Western European Leveraged Loan Index is a monthly rebalanced index, comprised of

approximately 483 loans as of December 2018, with an inception date of January 1998. It is designed to mirror the

investable universe of the leveraged loan market in Western Europe.

This index includes loan facilities rated “5B” or lower, i.e. the highest Moody’s/S&P ratings are Baa1/BB+ or

Ba1/BBB+, with the tenor being at least one year. The issuer has assets located in or revenues derived from

Western Europe, or the loan represents assets in Western Europe, such as a loan denominated in a Western

European currency.

This index is composed of all fully funded term loan facilities trading in the syndicated loan market, the price of each

loan facility is sourced from a pricing vendor widely used by buy-side participants in the leveraged loan markets. All

prices are evaluated by the pricing vendor, meaning that they are compiled by the pricing vendor from dealers.

Figure 47: CS Western European Leveraged Loan Index Inclusion Rules

Currency USD or Western European currencies.

Securities Loan facilities must be rated “5B” or lower. That is, the highest Moody’s/S&P ratings are Baa1/BB+ or

Ba1/BBB+. Only fully funded term loan facilities are included. The tenor must be at least one year. Issuer

has asset or with revenue derived from Western Europe; loan denominated in Western European currency.

Minimum Outstanding 100 million in local currency.






Bloomberg Ticker CSLI#CSWELL<GO>


Figure 48: CS Western European Leveraged Loan

Index


No of issues 495

Par Amt (bn) 293

Mkt Value (bn) 286

Yield 3 Yr (%) 4.76


future performance.




36


Credit Suisse Capital Contingent Convertible Index (CoCo)

The CoCo indices are a group of indices of contingent convertible securities issued by European banks. CoCos

include contractual terms that require full or proportional permanent write-down or conversion into equity in the

instance of a specific trigger event typically linked to a capital ratio. For banks, the CoCo bonds provide an additional

capital cushion either under the Pillar 1 or Pillar 2 regulatory framework. It is a form of capital that should support

banks’ capital levels on a going concern basis or gone concern basis, during times of stress.

In 2014, Credit Suisse added new functionality to the CoCo family of indices. These enhancements better enable the

user to access the key features for all CoCo constituents. CoCo composition reports now include standard measures

for each security, such as price, modified duration, and yields/z-spreads to call and maturity, as well as key structural

features, including: (1) principal capital ratio trigger (which defines the nature of the trigger); (2) trigger terms (equity

conversion/permanent write down or write down/write up); (3) coupon type (discretionary vs. must pay).

Figure 49: CS Capital Contingent Convertible Index (CoCo) Inclusion Rules

Currency USD, GBP and EUR.

Securities Securities that have a permanent or proportional write-down feature or a conversion feature at a certain trigger

point linked to capital ratios. REGs bond will be included when a bond is issued under both REGs and 144A.

Minimum Outstanding USD: $200Million; GBP: £150Million; EUR: €200Million.


Rebalancing Index composition is updated once a month on the first business day of the month. Conversion announcement is

made 30 days prior to conversion, hence bonds will be dropped prior to conversion. All new issues must settle prior

the first business day of the month to be included in the index.


Ratings There is no rating requirement to be included in the index. Unrated bonds will be classified as NR (Not Rated).

Index Inception Date EUR,GBP(12/1/2009);USD(1/4/2010)

Index Launch Date EUR,GBP(10/29/2010); USD(3/1/2013)

Coupon Reinvestment USD 1M LIBOR or EURIBOR rate




Bloomberg Ticker CSLI#GLCU <GO> ; select respective CoCo indices.


Figure 50: CS Capital Contingent Convertible Index (CoCo)


No of issues 77 67 19

Par Amt (bn) 113 58 14

Mkt Value (bn) 115 59 14


Yield(%) 5.82 4.08 5.79


future performance.




37


Credit Suisse European Green Sub Index (GREEN)

This is a sub index complementing our broader, existing suite of European credit indices like Credit Suisse’s Liquid

Eurobond Index (LEI), Credit Suisse’s Bank Capital Index (BCI), Credit Suisse’s European Agency and

Supranational Index (EASI) and Credit Suisse’s Liquid European High Yield Index (LEHY). The sub index will

reflect the underlying rules of our existing suite of European credit indices and bonds labelled as green by the

Climate Bonds Initiative organisation.

Momentum in the green bond market is continuing in 2019, with over US$500bn in green bonds currently

outstanding. 2018 issuance stood at a record US$167 bn, with Corporate and Financial green issuance growing

by c. 10% from 2017 volumes. 2019YTD Green issuance currently stands at c.$67bn, with over 70% coming

from Corporate and Financials issuers. An additional $13bn of bonds with social/sustainable use of proceeds was

issued in 2019YTD.

Quick and easy access to our Green Sub Index is available on our European Corporates workbench by selecting

the Green dimension for its respective European credit index https://plus.credit-suisse.com/lei/home.aspx

Figure 51: Annual Green Bond Issuance Overview

Data as of 30st May 2019


7 15 15 24 34 34 12 4

16 22

47

76 98

47 4 5

7

17

12

9

35 25

0 1 2 2 3 11

37 44

87

163 168

67

0

50

100

150

2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019

SSA(US$ in billions)

https://plus.credit-suisse.com/lei/home.aspx


38


Credit Suisse Liquid Swiss Index (LSI)

The Credit Suisse Liquid Swiss Index (LSI) is a composite of liquid, tradable issues from the Swiss bond market,

including corporates, governments, and Pfandbriefe. Calculations of index returns and analysis adhere to local

market trading and settlement conventions. Many bonds in the domestic segment of the Swiss bond market aren’t

rated by international ratings agencies, but the LSI includes them provided they have an internal Credit Suisse

rating. To exclude these bonds would significantly reduce the Swiss bond universe and would make the index less

representative of the market.

Figure 52: CS Liquid Swiss Index (LSI) Inclusion Rules

Currency CHF

Securities Fixed, bullet structures; including zero coupon bonds; amortizing bonds and private placements are ineligible.

Minimum Outstanding CHF 250 million



prior the first business day of the month to be included in the index.


Ratings Investment grade bonds; minimum rating admitted is BBB-. The LSI rating is the result of the lowest rating of

Moody’s, S&P, and Fitch. If no rating from Moody’s, S&P or Fitch is available, Credit Suisse ratings will be

taken into account.



Coupon Reinvestment CHF 1M LIBOR rate

Minimum Maturity At least one year remaining to maturity.



Website https://plus.credit-suisse.com/lsi/home.aspx

Bloomberg Ticker LSID <GO>


Figure 53: CS Liquid Swiss Index (LSI)

Data as of 30st April 2019 Data as of 30st April 2019 CHF

No of issues 564

Par Amt (bn) 306

Mkt Value (bn) 341


future performance.


https://plus.credit-suisse.com/lsi/home.asp


39


Credit Suisse European Corporate Hybrid Index (ECHI)

The Credit Suisse European Corporate Hybrid Index (ECHI) tracks the performance of liquid, tradable USD, EUR

or GBP hybrid debt issued by an investment grade corporation. The ECHI dates back to January 2008 (EUR) and

January 2013 (USD/GBP) in order to illustrate European corporate hybrid performance in different market

environments.

Figure 56: CS European Corporate Hybrid (ECHI) Inclusion Rules

Currency USD, EUR and GBP.

Securities Non-bullet, unsecured, subordinated, non-financial issuers’ debt; fixed-to-float callable bonds and some hybrid

bonds are eligible; Fixed-to-fixed non-step up callable perpetual bonds, mortgage-backed bonds and Pfandbriefe

are excluded from the index; Callable bonds must have at least one year until the next call date; Where a bond is

issued under both RegS and 144A regulations, the RegS version of the bond will be included.

For ECHI USD, issuer must be based in EU15/EFTA countries or the UK or market of issue as Euro-dollar.

Minimum Outstanding $250/€250/£250mn





Ratings Issuer must be rated investment grade by one of these agencies; Moody’s, S&P, or Fitch. For unrated issuer, its

senior unsecured bond rating should be investment grade.

Index Inception Date 1/2/2008 (EUR); 01/02/2013 (USD/GBP).

Index Launch Date 9/16/2011 (EUR); 05/31/2017 (USD/GBP).

Coupon Reinvestment 1M EURIBOR /LIBOR.

Minimum Maturity Bonds must have min one year remaining to maturity; at least 40 years to maturity at the date of issuance.

Trading & Settlement Adhere to local market trading and settlement conventions.



Bloomberg Ticker CSLI#GLCU<GO>, then select the Corporate Hybrid for respective currencies


Figure 57: CS European Corporate Hybrid (ECHI)



Par Amt (bn) 15 94 8



Yield(%) 5.03 2.24 3.68





40


Credit Suisse European Bank Capital Index (BCI)

The Credit Suisse European Bank Capital Index (BCI-EUR), United Kingdom Capital Index (BCI-GBP), and United

States Capital Index (BCI-USD) track the performance of liquid, tradable bank capital debt denominated in Euros,

Sterling, and Dollar within the European Banks sector.

Figure 58: CS European Bank Capital Index (BCI) Inclusion Rules

Currency EUR, GBP and USD.

Securities Bonds must be issued by an European bank within CS European bank coverage. When a dollar bond is issued

under 144A and REGs, REGs version will be included. Zero coupon, retail, convertibles, FRN, CLN, private

placement, bonds with structured coupon and secured bonds are ineligible.

Minimum Outstanding Euros: €250mn required; sterling: £200mn required; dollars: $250m required.


Rebalancing Index composition is updated once a month on the first business day of the month. All new issues must settle prior



Ratings No minimum rating requirement.

Index Inception Date BCI EUR and GBP: 1/2/2001; BCI USD:1/4/2005

Index Launch Date BCI EUR and GBP: 2/15/2007; BCI USD: 10/20/2010

Coupon Reinvestment BCI EUR and GBP: 1M EURIBOR rate; BCI USD: USD1M LIBOR rate.

Minimum Maturity All securities must have at least minimum of one year remaining to maturity; at least two years to maturity at

issuance.

Trading & Settlement Bonds trade on a clean price basis and adhere to local market trading and settlement conventions.



Bloomberg Ticker CSLI#GLCU<GO>, then select the respective EUR, GBP and USD bank capital indices.


Figure 59: CS European Bank Capital Index (BCI)



Par Amt (bn) 428 513 62



Yield(%) 3.67 0.75 3.18


future performance.




41


Credit Suisse European Insurance Capital Index (ICI)

Credit Suisse’s European Insurance Capital Index (ICI) tracks the performance of liquid, tradable insurance capital

debt denominated in EUR, GBP, and USD issued by the most actively traded names within the European

insurance sector. This sector continues to grow as insurance companies make more efficient use of the

opportunities insurance capital debt instruments offer.

Figure 60: CS European Insurance Capital Index (ICI) Inclusion Rules

Currency EUR, GBP and USD.

Securities European issuers included in the CS European insurance coverage universe. Zero coupon, retail, convertibles, FRN,

CLN, private placement, bonds with structured coupon and secured bonds are excluded.

Minimum Outstanding Euros: €100mn required; sterling: £100mn required; dollar: $100 required





Ratings No minimum rating requirement.

Index Inception Date ICI EUR: 01/04/2000; ICI GBP and USD: 1/2/2007

Index Launch Date ICI EUR: 3/3/2010; ICI GBP: 5/15/2013; ICI USD: 10/21/2013.

Coupon Reinvestment 1M EUR/GBP/USD LIBOR rate

Minimum Maturity At least one year remaining to maturity; at least two years to maturity at issuance.

Trading & Settlement Bonds trade on a clean price basis and settle three business days after the trade date.



Bloomberg Ticker CSLI#GLCU<GO>, then select the respective EUR, GBP and USD insurance capital indices.


Figure 61: CS European Insurance Capital Index (ICI)



Par Amt (bn) 28 109 29


Mod Duration 11.05 5.28 9.14

Yield(%) 4.91 1.79 3.85


future performance.




42


DEVELOPED ASIA – INTEREST RATE PRODUCTS

Credit Suisse Japan Government Bond Index (JGI)

The Credit Suisse Japan Government Bond Index (JGI) tracks only the liquid, tradable portion of the Japanese

Government bond market. The index allows investors to gain exposure to local currency sovereign debt of major

international debt distributors.

Figure 76: CS Japan Government Bond Index (JGI) Inclusion Rules

Currency JPY

Securities Japanese government issued and listed on Tokyo Stock Exchange. Fixed, non-zero coupon bonds only.

Minimum Outstanding ¥10 billion





Issue Amount There are four allocations at issuance: competitive bidding, non-competitive bidding, underwritten with fixed

allocation, public sector allocation. Credit Suisse uses the competitive amount to determine initial liquid

amount.



Coupon Reinvestment JPY 1M LIBOR rate

Minimum Maturity Bonds must have at least one year to maturity and must have had a maturity greater than two years at

issuance.



Website https://plus.credit-suisse.com/jgi/home.aspx

Bloomberg Ticker CSJG INDEX <GO>


Figure 77: CS Japan Government Bond Index (JGI)

Data as of 26st April 2019 Data as of 26st April 2019 JPY

No of issues 266

Par Amt (bn) 799,823


Mod Duration 10.04

Yield(%) 0.02




https://plus.credit-suisse.com/jgi/home.asp


43


DEVELOPED ASIA – CREDIT

Credit Suisse Liquid Japan Corporate Index (LJCI)

With the Credit Suisse Liquid Japan Corporate Index (LJCI), investors can gain exposure to the liquid, tradable

issues from the Japanese corporate bond market. The Index is comprised exclusively of yen-denominated issues.

The Index includes investment grade issuers whose total paramount exceeds 10% or more of the total amount of

straight bullet bonds outstanding in the Japanese corporate market.

Figure 54: CS Liquid Japan Corporate Index (LJCI) Inclusion Rules

Currency JPY

Securities Bullet structures; fixed non-zero coupon bonds; issued in domestic Japanese market; corporate, agency and

supranational and Samurai bonds are eligible.

Issuers with total par amount exceeds 0.10% of straight, bullet bonds outstanding in corporate bond market.

Cap of 30%in par value for each issuer, unless the issuer’s largest bond exceeds 30% threshold. Floating-

rate, asset-backed, index-linked bonds or private placement are ineligible.

Minimum Outstanding ¥10 billion





Ratings Investment grade issuers by these rating agencies – Moody’s, S&P, or Fitch



Coupon Reinvestment JPY 1M LIBOR rate

Minimum Maturity At least one year remaining to maturity.



Website https://plus.credit-suisse.com/ljci/home.aspx

Bloomberg Ticker GLCB <GO>, then select Liquid Japanese Corporate.


Figure 55: CS Liquid Japan Corporate Index (LJCI)

Data as of 26st April 2019 Data as of 26st April 2019 JPY

No of issues 435

Par Amt (bn) 22,311


Mod Duration 4.75

Yield(%) 0.10


future performance.


https://plus.credit-suisse.com/ljci/home.asp


44


Credit Suisse Singapore Government Bond Index (SGI)

The Credit Suisse Singapore Government Bond Index (SGI) tracks only the liquid, tradable portion of the Singapore

Government bond market. The addition of this index allows investors to gain exposure to local-currency sovereign

debt of major international debt distributors.

Figure 78: CS Singapore Government Bond Index (SGI) Inclusion Rules

Currency SGD

Securities Singapore government bonds. Fixed, non-zero coupon bonds only.



before the last business day of the previous month to be included in the index.




Coupon Reinvestment SGD1M SIBOR rate

Minimum Maturity Bonds within the index must have more than one year to maturity





Figure 79: CS Singapore Government Bond Index (SGI)

Data as of 30st April 2019 Data as of 30st April 2019 SGD

No of issues 20

Par Amt ( bn) 105

Mkt Value ( bn) 110

Mod Duration 6.73

Yield(%) 2.11


future performance.




45


EMERGING MARKETS

Credit Suisse Emerging Market Corporate Index (EMCI)

The Credit Suisse Emerging Market Corporate Index (EMCI) provides a benchmark for Emerging Market corporate

debt that represents the characteristics, pricing, and total return performance of different asset classes within the

EM corporate universe. With the creation of the CS-EMCI, investors can gain exposure to this rapidly growing

market.

Figure 62: CS Emerging Market Corporate Index (EMCI) Inclusion Rules

Currency USD

Securities All bonds must be issued under the list of EM countries in Latin America, Eastern Europe, Middle East or

Asia ex-Japan.

Bonds issued by quasi-sovereign and supranational issuers are included.

Loans, treasury or sovereign issues are ineligible.






Ratings Even though we have no rating requirements, we break down the index into High Grade, High Yield, and

Distressed asset classes.




Minimum Maturity Performing bonds must have one year remaining to maturity and maturity must be at least two years at date

of issuance. No maturity requirement for non-performing bond, as it is replaced when a new bond is issued.

Trading & Settlement Bonds are traded on a clean price basis and adhere to local market trading and settlement conventions.


Website https://plus.credit-suisse.com/emci/home.aspx

Bloomberg Ticker CEMB <GO>


Figure 63: CS Emerging Market Corporate Index (EMCI)


No of issues 2,702

Par Amt (bn) 1,665


Mod Duration 4.69


future performance.


https://plus.credit-suisse.com/emci/home.asp


46


Credit Suisse Latin America Corporate Bond Index (LACI)

The Credit Suisse Latin America Corporate Bond Index (CS-LACI) is a diversified basket of liquid, tradable Latin

American corporate bond issues that are denominated in US dollars. This index provides a region-specific benchmark

that represents characteristics, pricing, and total return performance of different asset classes within the Latin

American corporate bond universe. The index is divided into three different categories, including supranational, quasi-

sovereign, and corporate bonds and can be broken down by country of issuance.

Figure 64: CS Latin America Corporate Bond Index (LACI) Inclusion Rules

Currency USD

Securities All bonds must be issued under the list of EM countries in Latin America. Quasi-sovereign and supranational

issues are eligible for inclusion. No treasury or sovereign issues are included.





Maturity Breakdown 0-4, 4-7, 7-10, 10+ years. Defaulted bonds are placed into a non-performing bucket since they do not trade to

their maturity date.

Asset Classes The index is broken down into High Grade, High Yield, and Distressed asset classes.

Ratings If one or more of the ratings agencies (S&P, Moody’s, and Fitch) rate a bond investment grade, the bond will be

placed into the High Grade asset class. Otherwise the average rating of the three agencies will be used to

determine the appropriate asset class. If the rating is below CCC the bond is considered to be in Distressed.

Above CCC and below BBB- is considered High Yield.









Bloomberg Ticker LABI <GO>


Figure 65: CS Latin America Corporate Bond Index (LACI)


No of issues 610

Par Amt (bn) 447

Mkt Value (bn) 421

Mod Duration 5.8


future performance.




47


Credit Suisse Asian Bond Index (ABI)

The Credit Suisse Asian Bond Index (ABI) is composed primarily of liquid, tradable bonds issued by Asian

governments, quasi-sovereign entities, and corporations in USD. To portray an accurate representation of the Asia

ex-Japan USD bond market, the index can be broken down into various asset classes and categories allowing for

in-depth analysis of Asian USD corporate and sovereign debt performance.

Figure 68: CS Asian Bond Index (ABI) Inclusion Rules

Currency USD

Securities Bonds issued by sovereign, quasi sovereign and corporations in the EM list of countries in Asia ex-Japan are

eligible.








placed into the High Grade asset class. Otherwise the average rating of the three agencies will be used to

determine the appropriate asset class. If the rating is below CCC the bond is considered to be in Distressed.

Above CCC and below BBB- is considered High Yield.








Website https://plus.credit-suisse.com/abi/home.aspx

Bloomberg Ticker ASBO <GO>


Figure 69: CS Asian Bond Index (ABI)


No of issues 1,760

Par Amt (bn) 1,046


Mod Duration 4.70


future performance.


https://plus.credit-suisse.com/abi/home.asp


48


Credit Suisse Middle East and Africa Corporate Index (MACI)

The Credit Suisse Middle East and Africa Index (CS-MACI) tracks the performance of liquid, tradable USD debt

issued by corporates, quasi-sovereigns, and supranationals in the Middle East and Africa region. CS-MACI bonds

are selected in accordance with a transparent set of rule-based inclusion criteria. The selection criteria are based

on the issue type, size, maturity, and liquidity.

Figure 72: CS Middle East and Africa Corporate Index (MACI) Inclusion Rules

Currency USD

Securities Bonds issued by quasi-sovereign, supranational and corporations in the EM list of countries in Middle East and

Africa region. Sovereign issues are excluded from the index.

Minimum Outstanding $100mm







placed into the High Grade asset class. Otherwise the average rating of the three agencies will be used to determine

the appropriate asset class. If the rating is below CCC the bond is considered to be in Distressed. Above CCC and

below BBB- is considered High Yield.




Minimum Maturity Performing bonds must have one year remaining to maturity and maturity must be at least two years at date of

issuance. No maturity requirement for non-performing bond, as it is replaced when a new bond is issued.




Bloomberg Ticker CEMB <GO>, then select Middle East and Africa Corporate.


Figure 73: CS Middle East and Africa Corporate Index (MACI)


No of issues 255

Par Amt (bn) 179

Mkt Value (bn) 181

Mod Duration 4.46


future performance.




49


Credit Suisse Eastern Europe Corporate Index (EEI)

The Credit Suisse Eastern Europe Corporate Hybrid Index (EEI) comprises tradable USD debt issued by

corporates, quasi-sovereigns, and supranationals in the Eastern European countries. The index was built to

represent accurately trends in the Eastern Europe non-sovereign bond market. All bonds in the EEI are selected in

accordance with a transparent set of rule-based inclusion criteria, mainly based on issue type, size, maturity, and

liquidity.

Figure 70: CS Eastern Europe Corporate Index (EEI) Inclusion Rules

Currency USD

Securities Bonds issued by quasi-sovereign, supranational and corporations in the EM list of countries in Eastern Europe

region. Sovereign issues are excluded from the index.

Minimum Outstanding $100million







placed into the High Grade asset class. Otherwise the average rating of the three agencies will be used to determine

the appropriate asset class. If the rating is below CCC the bond is considered to be in Distressed. Above CCC and

below BBB- is considered High Yield.




Minimum Maturity Performing bonds must have one year remaining to maturity and maturity must be at least two years at date of

issuance. No maturity requirement for non-performing bond, as it is replaced when a new bond is issued.

Trading & Settlement Bonds are traded on a clean price basis and adhere to local market trading and settlement conventions



Bloomberg Ticker CEMB <GO>, then select Eastern Europe Corporate


Figure 71: CS Eastern Europe Corporate Index (EEI)


No of issues 187

Par Amt (bn) 118

Mkt Value (bn) 117

Mod Duration 4.16





50


Credit Suisse Sovereign Bond Index (SBI)

The Credit Suisse Sovereign Bond Index (SBI) is a diversified basket of liquid, tradable US dollar-denominated, lower-

rated sovereign debt. By differentiating performing and non-performing assets, meaningful risk measures can be

assessed. The SBI is constrained to ensure that no country will have a par amount greater than 15% of the overall

index par amount. Excess weight is redistributed on a par-weighted basis to the other issuers in the index.

Figure 66: CS Sovereign Bond Index (SBI) Inclusion Rules

Currency USD

Securities Bonds issued by a country or its central bank under U.S. or U.K. jurisdiction are eligible; Collateral bonds

included only if it represents more than 25% of remaining total face value of the foreign debt of the issuer.

Reg S bonds will be included only after an appropriate seasoning period.

Subordinated, domestic issues, sukuks, 144A bonds and loans are excluded.






Ratings Sovereigns with a credit rating A+ and below are included. Median rating from agencies S&P, Moody’s and

Fitch is used; lowest rating is used when less than 3 agencies rating a bond; unrated sovereigns are eligible.




Minimum Maturity Bonds must have one year remaining to maturity and maturity must be at least two years at date of issuance.




Bloomberg Ticker CSSI <GO>


Figure 67: CS Sovereign Bond Index (SBI)


No of issues 431

Par Amt (bn) 698

Mkt Value (bn) 696

Mod Duration 7.45


future performance.




51


Credit Suisse Emerging Market Local Currency Index

(CSEMLC)

The Credit Suisse’s Emerging Market Local Currency Sovereign Bond Index (CSEMLC) provides a benchmark for

Emerging Market (EM) sovereign debt that represents the characteristics, pricing, and total return performance of

the EM sovereign universe. Given the absence of a formal definition of emerging markets, a broad selection criteria

is used to determine the list of countries whose debt is eligible for the index.

Figure 74: CS Emerging Market Local Currency Index (CSEMLC) Inclusion Rules

Currency Local Currency Denominated (unhedged returns in USD).

Securities EM Local Currency Government Bonds




before the last business day of the month.


Ratings AA/Aa3 or below as per the Local Currency Long-Term Rating



Coupon Reinvestment No Coupon Reinvestment

Minimum Maturity Bonds must have 13 months remaining to maturity.

Trading & Settlement Bonds trade and settle according to local market conventions.



Bloomberg Ticker EMLC Index <GO>


Figure 75: CS Emerging Market Local Currency Index (CSEMLC)


No of issues 396

Par Amt (bn) 1,850


Mod Duration 5.72

Yield(%) 5.76


future performance.




52


Credit Suisse’s Fixed Income Index Platform: User Guide

WORKBENCH

The Fixed Income indices are available to both internal and external clients who have access to the Credit Suisse

Plus website via our 12 index workbenches:

■ US Corporates (LUCI): LUCI, LUCI Plus, LUAI, US Pref, SASI, LUHY

■ European Corporates (LEI): LEI Dollar, LEI Euro, LEI Sterling, BCI Dollar, BCI Euro, BCI Sterling, ICI Dollar, ICI Euro, ICI Sterling, COCO Dollar, COCO Euro, COCO Sterling, EASI, SASI Sterling, ECHI Dollar, ECHI, ECHI

Sterling, LEHY Euro, LEHY Sterling.

■ EM Corporates (EMCI): ACI, EEI, EMCI, LACI, MACI, SBI.

■ Japanese Corporates (LJCI): LJCI.

■ Liquid Swiss Bonds (LSI): LSI.

■ Asian Bonds (ABI): ABI.

■ US Government (USGI): USTI, TBI, TIPS, LUAI.

■ European Government (EURGI): EURGI, UKTI, EILI, EASI, GILI, ESTI, EUGGI, CBI USD, CBI EUR.

■ Global Government (GBLINDEX): EMLC, GBLGOV, SGI.

■ Japanese Government (JGI): JGI.

■ Leveraged Loans (LEVLOAN): LELI, LEVLOAN, LEVLOAN Global, WEST EUR LEVLOAN.

■ High Yield (USHY): USHY.

USING REPORT BUILDER

From the LEI workbench, enter the Report Builder by clicking “Go.” Select the desired report type using the

drop-down menu at the top of the page.

Under “Time,” select the desired time interval (daily, weekly, or monthly). Under “Rows,” choose the date parameters by clicking on the calendar icons.

Under “Dimension,” select desired universe and sub-index aggregations, such as maturity, rating, or industry sector.

Under “Measure,” select desired statistics, returns, or spread measures.

Click “create report” to generate the report.

https://plus.credit-suisse.com/luci/home.aspx

https://plus.credit-suisse.com/lei/home.aspx

https://plus.credit-suisse.com/emci/home.aspx

https://plus.credit-suisse.com/ljci/home.aspx

https://plus.credit-suisse.com/lsi/home.aspx

https://plus.credit-suisse.com/abi/home.aspx


https://plus.credit-suisse.com/eurgi/home.aspx

https://plus.credit-suisse.com/gblindex/home.aspx

https://plus.credit-suisse.com/jgi/home.aspx

https://plus.credit-suisse.com/levloan/home.aspx

https://plus.credit-suisse.com/USHY/home.aspx


53


Figure 80: Sample LEI Report

The Time Series report allows the user to select a customized date range and view key measures and statistics across multiple universes and dimensions.

The Standard report shows a one-day performance snapshot across industry, maturity, and ratings buckets.

The Cross Dimensional report provides a single-day snapshot for sub-indices combining multiple dimension buckets.

The Custom Dimension report allows for creating customized aggregation time series by sector.

The Composition report displays index constituents along with numerous measures for a given universe and date.

SAVED RE

PORTS


54


Clicking on the highlighted sectors within a report expands the view to show sub-sectors. Clicking on an individual figure allows the user to drill-down and view index constituents and previously selected measures (shown in Figure 9).

Figure 81: Sample LEI Drill Down


From the constituent list, “TS” returns a time series for the selected bond, “G” provides a graphical illustration, and “BD” shows bond details, which provides a tear sheet on bond description, price and spread history, as well as related

research.

SAVED REPORTS

The saved report feature allows for saving and retrieving customized reports. Once the report has been generated, click on the disk icon and enter a name and description. To embed a link into excel, click on your saved report and

select ‘copy link.’ This link can be pasted into excel via the “Data” tab and refreshed as desired (be sure the “To” date is set to “Current” in the report).

DOWNLOADING DATA TO EXCEL

Data can also be downloaded into a new Excel workbook by clicking on the Excel icon found at the top of any report.

Index Constituents


55


Clicking this button will launch the file download window, which will give the user the option of saving the file to disk, or

launching it from its current location.

CREATING DYNAMIC LINKS TO EXCEL WORKSHEETS

In order to create a dynamic link from a report built in the indices to an Excel worksheet, you must first save a report.

The previous note about creating a report with Current as the date option comes into play now. By saving a report with

the relative date as current, you will now be able retrieve this report on a daily basis with the updated data in Excel.

To create the dynamic link:

■ Open the Saved Reports folder of any index;

■ Run for the report you wish to import into Excel;

■ Copy the URL;

■ Open a new Excel worksheet. Select the Data menu, then Get External Data, New Web Query;

■ In the New Web Query window, place your cursor inside the web address text box and paste the URL (CTRL + V), click on Go;

■ The Report will be displayed in the box; next click on Import. If required, please enter your CSPLUS Username and

Password;

■ In the pop-up box, click on Import Data; select the cell or worksheet you wish to put the data;

■ Click on OK;

■ The data is then downloaded and displayed in Excel. The information shows with respect to the relative date specified in

the saved report (usually current).

■ If data do not appear, click the Refresh Data button


56


Credit Suisse’s Suite of Fixed Income Indices

Credit Suisse Benchmark Index

Products

Global

Global Government

Index (GBLGOV)

Global Leveraged Loan Index

U.S

Interest Rate Products

U.S. Treasury

Index (USTI)

U.S. Treasury Bill Index (TBI)

U.S. Inflation

Protected Treasury

Index (TIPS)

Liquid U.S. Agency

Index (LUAI)

Credit

U.S. High Yield Index

(USHY)

Liquid U.S High Yield

Index (LUHY)

U.S. Leveraged Loan Index

(CSLL)

U.S. Liquid Leveraged Loan Index

(LELI)

Liquid U.S. Corporate

Index (LUCI)

U.S. Preferred Bond Index

Supra, Agency, & Sov Index

(SASI USD/SASI GBP), Euro

Agency & Sov Index (EASI)

Developed Europe


European Government

Index (EURGI)

European Government

Inflation Linked Index (EILI)

U.K. Treasury

Index (UKTI)

GBP Inflation

Linked Index (GILI)

Covered Bond Index (CBI EUR) & USD Covered Bond Index (CBI

USD)

European Short-Term

Treasury Index (ESTI)

European Government Guaranteed Bond Index

(EUGGI)

Credit

Liquid Eurobond

Indices (LEI USD, EUR,

GBP)

Western European High Yield

Index (WEHY)

Liquid European High Yield Index

(LEHY EUR, GBP)

Western European LevLoan Index

(WELLI)

Capital Contincegency

Index (CoCo USD, EUR, GBP)

European Green Sub Index (GREEN)

CS Liquid Swiss Index (LSI)

Euro Corporate Hybrid Index (ECHI USD, EUR, GBP)

Bank Capital Indices (BCI USD,

EUR, GBP)

Insurance Capital Indices (ICI USD, EUR,

GBP))

Developed Asia


Japanese Government Index (JGI)

Credit

Liquid Japanese Corporate

Index (LJCI)

Singapore Government Bond Index

(SGI)

Emerging Markets

Emerging Market

Corporate Index (CS-EMCI)

Latin America Corporate Bond Index (CS-LACI)

Asian Bond Index (CS-ABI)

Middle East and Africa Corporate

Index (MACI)

Eastern Europe Corporate Index

(EEI)

Sovereign Bond Index (SBI)

CS Emerging Market Local Currency Index

(CSEMLC)


57



Author Contacts

For questions regarding this publication, please contact the author(s) noted below:

Fer Koch

+1 212 325 2314

[email protected]

Miranda Chen

+1 212 538 8342

[email protected]

James Esposito

+1 212 325 8459

[email protected]

Quantitative Strategies - Index & Alpha Strategies

Contributor Contacts

For technical or demo questions regarding modelling venues discussed in this publication, please contact the author

or one of the Quantitative Strategies Contributor(s) noted below:

Baldwin Smith, Group Head

+1 212 325 5524

[email protected]

NEW YORK

Antony Arenas Peter Han Haresh Hingorani

+1 212 325 1112 +1 212 325 5754 +1 212 325 9019

[email protected] [email protected] [email protected]

Young Kim Shonan Noronha Samarth Sanghavi

+1 212 538 3766 +1 212 325 0918 +1 212 538 4341


Allie Zhang

+1 212 325 8527

[email protected]

LONDON

Varin Wimalasena Daniela Toro Ghassane Bentahar

+44 20 7883 8369 +44 20 7883 3875 +44 20 7888 3196


Sherry Li

+44 20 7883 6177

[email protected]

SINGAPORE

Dian Hong Chua

+65 6306 0182

[email protected]





58


DISCLOSURE APPENDIX

Certification

The author and contributor(s) of this material each certify, with respect to the securities or issuers that such author analyzed, that (1) the views expressed in this material accurately reflect his or her personal views about all of the subject securities or issuers, and (2) no part of his or her

compensation was, is, or will be, directly or indirectly, related to the specific recommendations or views expressed by the author in this material.

Other Important Disclosures

These materials have been prepared by a member of the Sales and Trading Team with contribution from the Quantitative Strategies Group,

hereafter referred to as the author and contributor, respectively. The information in these materials has been obtained or derived from

publicly available sources believed to be reliable, but CS makes no representations as to its accuracy or completeness. The author and contributor(s) may receive or develop additional or different information subsequent to your receipt of these materials. The materials provided

by the author and contributor(s) are subject to change, and subsequent views may be inconsistent with information previously provided to you. CS does not undertake a duty to update these materials or to notify you when or whether the author or contributor(s) views have

changed. These materials and other written and oral communications from the either the author or contributor(s) are provided for information

purposes only, do not constitute a recommendation and are not a sufficient basis for an investment decision.

The author and contributor(s) are not part of Credit Suisse’s Research Departments, and the written materials disseminated by the author are not research reports. The views of Credit Suisse’s trading desks may differ materially from the views of the Research Departments and

other divisions at CS. Credit Suisse has a number of policies in place designed to ensure the independence of Credit Suisse’s Research

Departments, including from Credit Suisse’s trading desks, including policies relating to trading securities prior to distribution of research

reports. These policies do not apply to the materials provided by the author or contributors. The CS trading desks trade or may trade as

principal in the securities (or related securities) that are the subject of these materials. The CS trading desks may have accumulated, be in

the process of accumulating, or accumulate long or short positions in the subject security or related securities on the basis of the author’s materials. Trading desks may have, or take, positions inconsistent with materials provided by the author or contributor(s).

This report is issued and distributed in Europe (except Switzerland) by Credit Suisse Securities (Europe) Limited, One Cabot Square, London

E14 4QJ, England, which is authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority. This report is issued and distributed in Europe (except Switzerland) by Credit Suisse International, One Cabot

Square, London E14 4QJ, England, which is authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority

and the Prudential Regulation Authority.

Credit Suisse Securities (Europe) Limited (“CSSEL”) and Credit Suisse International (“CSI”) are authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority (“FCA”) and the Prudential Regulation Authority under UK laws, which differ from Australian

Laws. CSSEL and CSI do not hold an Australian Financial Services Licence (“AFSL”) and are exempt from the requirement to hold an AFSL under the Corporations Act (Cth) 2001 (“Corporations Act”) under Class Order 03/1099 published by the Australian Securities and Investments Commission (“ASIC”), in respect of the financial services provided to Australian wholesale clients (within the meaning of section 761G of the

Corporations Act). This material is not for distribution to retail clients and is directed exclusively at Credit Suisse's professional clients and eligible counterparties as defined by the FCA, and wholesale clients as defined under section 761G of the Corporations Act. Credit Suisse (Hong

Kong) Limited (“CSHK”) is licensed and regulated by the Securities and Futures Commission of Hong Kong under the laws of Hong Kong, which differ from Australian laws. CSHKL does not hold an AFSL and is exempt from the requirement to hold an AFSL under the Corporations Act under Class Order 03/1103 published by the ASIC in respect of financial services provided to Australian wholesale clients (within the

meaning of section 761G of the Corporations Act). Investment banking services in the United States are provided by Credit Suisse Securities (USA) LLC (“CSSU”), which is an affiliate of Credit Suisse Group. CSSU is regulated by the United States Securities and Exchange Commission under United States laws, which differ from Australian laws. CSSU does not hold an AFSL and is exempt from the requirement to

hold an AFSL under the Corporations Act under CO 03/1100 published by ASIC in respect of financial services provided to Australian wholesale clients (within the meaning of section 761G of the Corporations Act).

Credit Suisse Equities (Australia) Limited (ABN 35 068 232 708) (“CSEAL”) is an AFSL holder in Australia (AFSL 237237). In Australia, this

material may only be distributed to Wholesale investors as defined in the Corporations Act. CSEAL is not an authorised deposit taking institution and products described herein do not represent deposits or other liabilities of Credit Suisse AG, Sydney Branch. Credit Suisse AG, Sydney Branch does not guarantee any particular rate of return on, or the performance of any products described.

Australian Securities and Investments Commission ("ASIC"), in respect of the financial services provided to Australian wholesale clients (within

the meaning of section 761G of the Corporations Act). This material is not for distribution to retail clients and is directed exclusively at Credit Suisse's professional clients and eligible counterparties as defined by the FCA, and wholesale clients as defined under section 761G of the Corporations Act. Credit Suisse (Hong Kong) Limited ("CSHK") is licensed and regulated by the Securities and Futures Commission of Hong

Kong under the laws of Hong Kong, which differ from Australian laws. CSHKL does not hold an AFSL and is exempt from the requirement to hold an AFSL under the Corporations Act under Class Order 03/1103 published by the ASIC in respect of financial services provided to

Australian wholesale clients (within the meaning of section 761G of the Corporations Act).


59


ERISA

You understand that (i) neither CS nor any of its affiliates has or exercises investment discretion with respect to any assets on behalf of any

employee benefit plans or individual retirement accounts (collectively, “Plans”) that may be involved with the purchase, holding, or redemption of a security, (ii) CS is not undertaking to provide impartial investment advice or give advice in a fiduciary capacity on behalf of such Plans within the meaning of the U.S. Department of Labor’s final regulation defining “investment advice” for purposes of the Employee Retirement Income

Security Act of 1974, as amended and Section 4975 of the Internal Revenue Code of 1986, as amended, and (iii) the information or

communication provided herein or otherwise to the Plans or a fiduciary on behalf of any of the Plans is intended to be, and should be construed

as, general information, and it does not and will not take into account your legal, regulatory, tax, business, investment, financial, accounting or other needs or priorities with respect to any Plans.

Backtested, Hypothetical or Simulated Performance Results

Backtested, hypothetical or simulated performance results have inherent limitations, some of which are described below. Unlike an actual performance record based on trading actual client portfolios, backtested, hypothetical or simulated results are achieved by means of the retroactive application of a backtested model itself designed with the benefit of hindsight. Backtested performance does not reflect the impact that material economic or market factors might have on an adviser's decision-making process if the adviser were actually managing a client’s portfolio. The backtesting of performance differs from actual account performance because the investment strategy may be adjusted at any time, for any reason, and can continue to be changed until desired or better performance results are achieved. The backtested performance includes hypothetical results that do not reflect the reinvestment of dividends and other earnings or the deduction of advisory fees, brokerage or other commissions, and any other expenses that a client would have paid or actually paid. No representation is made that any account will or is likely to achieve profits or losses similar to those shown. Alternative modeling techniques or assumptions might produce significantly different results and prove to be more appropriate. Past hypothetical backtest results are neither an indicator nor guarantee of future returns. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved. Actual results will vary, perhaps materially, from the analysis. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results. As a sophisticated investor, you accept and agree to use such information only for the purpose of discussing with Credit Suisse your preliminary interest in investing in the strategy described herein.

HOLT

The HOLT methodology does not assign ratings or a target price to a security. It is an analytical tool that involves use of a set of proprietary

quantitative algorithms and warranted value calculations, collectively called the HOLT valuation model, that are consistently applied to all the

companies included in its database. Third-party data (including consensus earnings estimates) are systematically translated into a number of

default variables and incorporated into the algorithms available in the HOLT valuation model. The source financial statement, pricing, and earnings data provided by outside data vendors are subject to quality control and may also be adjusted to more closely measure the

underlying economics of firm performance. These adjustments provide consistency when analyzing a single company across time, or analyzing multiple companies across industries or national borders. The default scenario that is produced by the HOLT valuation model

establishes a warranted price for a security, and as the third-party data are updated, the warranted price may also change. The default variables may also be adjusted to produce alternative warranted prices, any of which could occur. The warranted price is an algorithmic

output applied systematically across all companies based on historical levels and volatility of returns. Additional information about the HOLT

methodology is available on request.

Structured Products

Structured securities are complex instruments, typically involve a high degree of risk and are intended for sale only to sophisticated investors

who are capable of understanding and assuming the risks involved. The market value of any structured security may be affected by changes in economic, financial and political factors (including, but not limited to, spot and forward interest and exchange rates), time to maturity,

market conditions and volatility, and the credit quality of any issuer or reference issuer. Any investor interested in purchasing a structured

product should conduct their own investigation and analysis of the product and consult with their own professional advisers as to the risks involved in making such a purchase.

Options

Structured securities, derivatives and options are complex instruments that are not suitable for every investor, may involve a high degree of

risk, and may be appropriate investments only for sophisticated investors who are capable of understanding and assuming the risks involved. Supporting documentation for any claims, comparisons, recommendations, statistics or other technical data will be supplied upon request.

Any trade information is preliminary and not intended as an official transaction confirmation. Read the Options Clearing Corporation's disclosure document. Because of the importance of tax considerations to many option transactions, the investor considering options should consult with his/her tax advisor as to how taxes affect the outcome of contemplated options transactions.

Risks

http://www.optionsclearing.com/publications/risks/riskchap1.jsp

http://www.optionsclearing.com/publications/risks/riskchap1.jsp


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1. Call or Put Purchasing: The risk of purchasing a call/put is that you will lose the entire premium paid. 2. Uncovered Call Writing: The risk of selling an uncovered call is unlimited and may result in losses significantly greater than the premium

received.

3. Uncovered Put Writing: The risk of selling an uncovered put is significant and may result in losses significantly greater than the premium received.

4. Call or Put Vertical Spread Purchasing (same expiration month for both options): The basic risk of effecting a long spread transaction is limited to the premium paid when the position is established.

5. Call or Put Vertical Spread Writing (same expiration month for both options): The basic risk of effecting a short spread transaction is limited to the difference between the strike prices less the amount received in premiums.

6. Call or Put Calendar Spread Purchasing (different expiration months & short must expire prior to the long): The basic risk of effecting a

long calendar spread transaction is limited to the premium paid when the position is established. Equity Derivatives Tax

CSSU does not provide any tax advice. Any tax statement herein regarding any US federal tax is not intended or written to be used, and cannot be used, by any taxpayer for the purpose of avoiding any penalties. Any such statement herein was written to support the marketing

or promotion of the transaction(s) or matter(s) to which the statement relates. Each taxpayer should seek advice based on the taxpayer's

particular circumstances from an independent tax advisor.

Credit Suisse is not acting and will not act as a municipal advisor within the meaning of Section 975 of the Dodd-Frank Wall Street Reform

and Consumer Protection Act and the rules and regulations promulgated thereunder (“Municipal Advisor Rule”). Any serv ices, material, or

information that Credit Suisse provides to a municipal entity or obligated person as defined by the Municipal Advisor Rule (“Covered Party”) are provided on an arm’s length basis and not as an advisor or fiduciary to the Covered Party. Credit Suisse does not intend to make a

recommendation or suggestion to any Covered Party concerning municipal derivatives, the issuance of municipal securities, the use of guaranteed investment contracts, or investment strategies for the proceeds of municipal securities or municipal escrow investments. Covered

Parties should consult with their own internal and external advisors before taking action with respect to any services, material, or information

provided to them by Credit Suisse.

Credit Suisse will not solicit a Covered Party for direct or indirect compensation on behalf of an unaffiliated broker, dealer, municipal

securities dealer, or municipal advisor for the purpose of obtaining or retaining an engagement for that broker, dealer, municipal securities

dealer, or municipal advisor by the Covered Party for or in connection with municipal derivatives, the issuance of municipal securities, the use of guaranteed investment contracts, or investment strategies for the proceeds of municipal securities or municipal escrow investments.

Credit Suisse also will not solicit a Covered Party for direct or indirect compensation on behalf of an unaffiliated investment adviser for the purpose of obtaining or retaining an engagement for that investment adviser by the Covered Party to provide investment advisory services to

or on behalf of the Covered Party.

In any instance where distribution of this communication is subject to the rules of the US Commodity Futures Trading Commission (“CFTC”),

this communication constitutes an invitation to consider entering into a derivatives transaction under U.S. CFTC Regulations §§ 1.71 and

23.605, where applicable, but is not a binding offer to buy/sell any financial instrument.

Credit Suisse takes no responsibility for the content of any third-party site. Links to third-party sites are provided solely for your convenience and information; accessing such sites is at your own risk.

This is not Investment Research. These materials are intended for institutional customers (e.g., QIBs) of Credit Suisse only and must not be forwarded or shared with retail customers or the public.

Copyright © 2019 CREDIT SUISSE GROUP AG and/or its affiliates. All rights reserved.

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