The Yield Book

Premier Fixed Income Analytics System.

Use our sophisticated models for trade and portfolio applications. Term Structure Models, Mortgage and Asset-Backed Prepayment Models, and Default and Loss Severity Models serve as the backbone for analyzing... Learn More

Time-Weighted US Fallen Angel Bond Index

Extending Citi's family of alternatively-weighted fixed income indices. The index measures the performance of "fallen angels" (high-yield debt that was previously rated investment-grade), issued by corporations domiciled in the US or Canada. Unlike traditional market value-weighted indices, the index determines constituents' weights based on their time from inclusion in the index. Learn More