A fixed-income index that is calculated as the average rate at which major commercial paper dealers (issuers and resellers) offer commercial paper for various maturities and with high credit rating (AA as rated by S&P, or Aa as rated by Moody’s). In other words, the commercial paper (CP) index is an index of short-term unsecured obligations (drafts, promissory notes, etc) that are usually issued in denominations of $100,000, $250,000, $500,000, or $1 million and typically mature after 90 days from the date of issuance.

In the United States, Standard and Poor’s publishes a CP index, which is a broad-based index measuring the performance of the U.S. commercial paper market for maturities of one to three months. The Index includes commercial paper issued by corporate issuers, both financial and non-financial, that must have a commercial paper program of at least $2 billion. Index constituents are weighted on a tiered basis based on the maximum program size. The Index is rules-based, although the S&P U.S. Commercial Paper Index Committee reserves the right to exercise discretion, when necessary.

The S&P U.S. Commercial Paper Index is widely diversified and includes 901 constituents from more than 160 issuers. The Index consists of 60% financial issuers and 40% non-financial issuers. Asset-backed commercial paper issues are excluded from this index. The Index constituents are updated on the last business day of each month. To be eligible for the index at the month-end rebalancing, commercial paper must have a remaining maturity of between 31 and 91 days, and also bear a high credit rating as determined by at least one of Standard & Poor’s (R), Moody’s Investors Service or Fitch Inc.