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Bloomberg Barclays Fixed Income ESG Indices

The Bloomberg Barclays MSCI ESG Fixed Income Index Series was designed to meet the needs of the diverse ESG investment community. The four flagship ESG index variants (ESGWeighted, Sustainability, Socially Responsible, and Green Bond) correspond to diverse ESG investment approaches utilized by different fixed income investors: ESG integration (through tilting or security selection), values alignment, and impact investing.

The indexes were designed with the goal of benchmark standardization for fixed income investors, while remaining flexible and adaptable enough to offer bespoke solutions to meet a specific investor’s constraints, preferences, or guidelines. As such, the underlying eligibility criteria for bonds in the indexes match those of Bloomberg Barclays’ market-leading fixed income benchmarks.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 26240 bonds and 15 indexes, including Barclays MSCI Indices (Global, Euro, US) and Global Green Bond Indices.

Some of the items available include:

  • Index Items – Adjusted Duration, Average (Coupon, Maturity, Price, Spread, Yield), Beginning of Month Adjusted Duration, Convexity – ISMA, Duration to Worst, Excess Return Year to Date, Hedged Total Return, Market Value, Month to Date Currency Return (and Hedged), Month to Date Paydown Return, Number of Constituents, Price Index, Returns Modified Duration – ISMA, Total Excess Return, Total Return, etc.
  • Bond Items – 1 Month CPR, 144A Index Flag, Accrued Interest, Amount Outstanding at Issue, Average Life, Average Macaulay Duration, Average Modified Duration, Average Quality, Bid Spread, Callable Indicator Flag, Classification Code, Classification Level 2 Code, Clean Price, Company Summary Overall Flag, Constrained Market Value, Constrained Notional Outstanding, Convexity Computed per Country’s Local, Convexity to Maturity, Country Code, Country Description, Coupon, Coupon Frequency, Coupon Return, Coupon Type, CPI Ratio, Currency Code, Currency Return, Currency Return in US Dollars, Current Yield, D&P Rating, Day Count, Debt Subordination, Duration to Maturity, Environmental Pillar Score, ESG Rating, Exchange Rate, Family Currency, First Coupon Date, Fitch Rating, Governance Pillar Weight, Government Environmental Pillar Score/Weight, Government ESG Rating, Government Governance Pillar Score, Industry Level Codes, Instrument Type, Investable Weight, ISIN Code, Issuer Class Code/Description, IVA Rating, Key Rate Duration, Libor Option Adjusted Spread, Lognormal Model OAS-Shifted Duration, Market Capitalization Percentage, Market Value, Maturity Bands, Maturity Date, Modified Duration, Computed per Country’s Local Convention, Modified Duration to Worst, Moody’s Rating, Native Currency, Notional Outstanding, Option Adjusted (Convexity, Spread Binomial Spread, Spread to Maturity, Spread to Redemption, Spread to Worst, Spread-Shifted Adjusted Macaulay Duration. Yield to Maturity, Yield to Worst), Original Currency/Maturity, Price, Price Return, Put Flag, Rating in Order of Precedence: Moody, S&P, Fitch, Returns Universe, Sector Code, Social Pillar Score, Source Country Code, Sovereign Rating, Spread, Spread to Benchmark, Spread Type, SRI Criteria, Standard & Poor’s Rating, Ticker, Total Return, Universe Flag (Returns / Stats), Weight in Index, Years to Maturity, Yield Computed per Country’s Local Convention, Yield to Worst, etc.

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