S&P Dow Jones alters S&P Enhanced Yield North American Preferred index

By Tali Rackner

Norfolk, Va., Feb. 11 – S&P Dow Jones Indices announced methodology changes to the S&P Enhanced Yield North American Preferred Stock index, according to a press release.

Effective with the April 2015 rebalance, a liquidity buffer has been added for current index components. Pre-existing index constituents must maintain a three-month average daily value traded of $750,000 to remain eligible for inclusion at each rebalance. The liquidity requirement for new issues will remain at $1 million.

For universe selection at rebalance, existing constituents ranked within the top 75 highest-yielding issues will now remain in the index, assuming all other selection criteria is satisfied and that no non-constituent issues rank in the top 25.

If a non-constituent issue ranks among the top 25 eligible issues, it will be selected for index inclusion and the lowest yielding existing index constituent ranked 51-75 will be deleted.

S&P Dow Jones is part of New York-based McGraw-Hill Cos., a resource for index-based concepts, data and research.

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