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Bloomberg Fixed Income Indices

Published in Fixed Income Indices

The Bloomberg Barclays Indices are the most widely used fixed income and inflation-linked benchmarks and are an integral part of the active and passive global portfolio management processes. With broad product coverage, a strong history of innovation, and objective and transparent rules. Bloomberg tends to observe three common uses for fixed income indices, which influence preferences in index design and benchmark construction: Portfolio Performance Targets, Informational Measures of Asset Class Risk and Return, and References for Index-Linked Products.

  • Bloomberg Barclays Indices (Series B and Series L) – Inflation-linked indices were independently launched and offered under the Barclays and Lehman Brothers brands. These indices were unified under a single brand in September 2008, but maintained as two distinct offerings: Series-L and Series-B Indices. While the three-pillar scheme has been retired, many benchmark indices are still based off the “government” definition of native-currency agency bonds and treasuries. Legacy Barclays (Series-B) indices, including Bloomberg Barclays Government Inflation-Linked and Bloomberg Barclays Government (Series-B) Indices, define “government” as including only treasury bonds (local currency debt issued by central governments). The Bloomberg Barclays US Treasury Inflation-Linked Bond Index (Series-L) measures the performance of the US Treasury Inflation Protected Securities (TIPS) market. The US TIPS Index is a subset and the largest component of the Global Inflation-Linked Bond Index (Series-L). US TIPS are not eligible for other Bloomberg Barclays nominal Treasury or broad-based aggregate bond indices.
  • Bloomberg Barclays Municipal Bond Indices – Bloomberg Barclays Municipal Finance business has managed 2,600 transactions totaling more than US$150 billion for clients over the past ten years. Bloomberg Barclays’ muni business tracks investment grade muni-bond prices and includes derivatives, variable-rate demand obligations, and a wide range of investment banking in areas such as higher education, and housing/health care.
  • Bloomberg Barclays ABS Indices – Bloomberg Barclays Capital’s existing Euro and Sterling ABS indices offer investors a total return index for multi-currency European ABS portfolios. Bloomberg Barclays also offers Pan European ABS Benchmark Bond Indices, which measure both fixed and floating ABS debt. Drawing on the six-year published history of the single currency benchmarks, the Pan European ABS Benchmark family is a broad-based measure of both the fixed rate and floating rate euro and sterling-denominated ABS markets. The expanded index family covers multiple ABS collateral types including residential mortgage backed securities (RMBS), commercial mortgage backed securities (CMBS), auto loan backed securities, and credit card backed securities.
  • Bloomberg Barclays Duration Hedged and Mirror Future Indices – Bloomberg Barclays launched two types of indices, Mirror Futures Indices (MFI) and Duration Hedged Indices (DHI), for investors seeking to adjust the duration of their fixed income indices while preserving the broad coverage and diversification of their existing fixed income investment set. An MFI is a basket of Treasury futures contracts designed to match the duration exposure of a Barclays index. A DHI combines a cash index with a short MFI position, so as to reduce the Treasury duration exposure of the cash index.
  • Bloomberg AusBond Indices – These indices can be used as a basis for evaluating the performance of the Australian debt markets. The update cycle for the indexes is daily, and the data history goes back to January, 1992. Bloomberg AusBond Indexes meet the criteria for a global world bond index and can be customized with other world bond indexes to access the performance of international bond funds. These indexes offer coverage of the investable securities in Australian debt markets, including government debt, investment-grade debt, inflation-linked securities, asset backed and floating rate securities.

Key Features and Coverage on RIMES

For these data sources, RIMES hosts retrievable data items such as:

  • Index items – Actual Coupon Rate, Adjusted Duration, Asset Swap, Beginning of Month Adjusted Duration, Blended Spread Duration, Cash in Local Currency, Convexity, Coupon Income Index, Currency Code, Current Yield, Duration to Worst, Excess Return Year to Date, Family Flag, Gross Index, Gross Price Index, Hedged Total Excess Return, Hedged Total Return in {CCY}, Income Index, Last Price Date, Market Capitalization, Market Value, Month to Date Coupon Return, Month to Date Currency Return, Month to Date Currency Return Hedged, Month to Date Paydown Return, Month to Date Price Return, Month to Date Total Return, Notional Outstanding, Number of Constituents, Price Index, Returns Modified Duration – ISMA, Stripped Spread, Stripped Yield, Total Excess Return, Total Return, Treasury Spread, etc.
  • Bond Items – Accrued Interest, Adjusted Coupon, Amount Outstanding at Issue, Annual Modified Duration, Annual Spread, Annual Yield, Asset Swap Margin, Average Life, Average Modified Duration, Average Quality, Bid Spread, Bloomberg Ticker, Bond Collateral Flag, Bond Guarantee, Classification Code, Clean Price, Collateral Weighted Average Coupon/ Maturity, Commercial Mortgage-Backed Securities Nominal Spread, Constrained Market Value/Notional Outstanding, Convexity, Coupon, CPI Ratio, Currency Code, Deal Type, Debt Subordination, Derived Daily Total Return, Dirty Price, Duration to Call/Maturity, Environmental Pillar Score, Equivalent Liquidity, Excess Return, Exchange Rate, Extend Flag, First Call Date, First Coupon Date, First Settlement Date, etc.

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