- Bloomberg Barclays Mirror Futures Indices (MFI) are indices whose return reflects a funded set of Treasury futures contracts, weighted to match closely the beginning-of-the-month option adjusted duration (OAD) profile of an underlying standard Bloomberg Barclays bond index such as the US Aggregate or Global Aggregate.
- Bloomberg Barclays Duration Hedged Indices (DHI) are funded indices that reflect the return of a Bloomberg Barclays fixed income index with its interest rate duration hedged (fully or partially) using its associated Mirror Futures Index.
These new indices may be used as replacements for existing portfolio benchmarks, reference indices for various replication strategies, or informational measures of interest rate duration-hedged (fully or partially) bond market returns.
Key Features and Coverage on RIMES
For this data source, RIMES currently hosts approximately 400 bonds and 75 indices.
Index coverage includes:
- Euro Credit Corp, Euro Credit Corp Duration Hedged (DHI), Euro Credit Corp Duration Hedged (DHI), Euro Credit Corp – Funding, Euro Credit Corp Mirror Future (MFI), Global Agg Credit, Global Agg Credit Duration Hedged (DHI), Global Agg Credit – Funding, Global Agg Credit Mirror Future (MFI), etc.
Some of the index data items available include:
- Bond Items – Average Modified Duration, Bloomberg Ticker, Cap Range Flag, Clean Price, Exchange Rate, Investable Weight in Index (Source), Reference Date, Reuters Identification Code (RIC), etc.
- Index Items – Adjusted Duration, Hedged Total Return in (Australian Dollars, British Pound Sterling, Euros, Japanese Yen, US Dollars), Month to Date Hedged Return in (Australian Dollars, British Pound Sterling, Euros, US Dollars), Month to Date Total Return, Month to Date Total Return in (British Pound Sterling, Euros, US Dollars), Total Return, Total Return in (Australian Dollars, British Pound Sterling, Euros, Japanese Yen, US Dollars), Total Return Index Value in Euros, etc.