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Citi International Fixed Income Indices

Citi Fixed Income Indices delivers market-tested and comprehensive benchmarks, trusted and widely followed by the global investment community.  With over 30 years of experience in benchmarking, Citi’s fixed income indices offer a comprehensive family of indices with a broad array of currencies, regions, and asset classes. Based on objective rules, Citi’s fixed income indices strike a balance between comprehensiveness and replicability, making them appropriate for fund managers, ETF issuers, and sponsors.  A unified methodology across markets enables investors to use our indices as building blocks for customized benchmarks based on specific needs. Citi Fixed Income Indices’ flagship index, the WGBI, measures the performance of fixed-rate local currency investment grade sovereign bonds.  This widely adopted benchmark comprises sovereign debt from 20+ countries denominated in 15+ currencies.  The index was created in 1986 and offers more than 25 years of history.

Key Features and Coverage on RIMES

For this data source, RIMES currently hosts approximately 30066 bonds, 14600 indices and 26 currencies.

Some of the index data items available include:

  • Bond Items: Accrued Interest, Actual Coupon Rate, Band Weight, Clean Price, Common Frequency , Modified Duration, Convexity to Libor, Country Code/Description, Coupon, Coupon Frequency, Currency Code, Cusip Code, Daily Total Return, Date of Portfolio, Dated Date, Day Count, Duration to Worst, Effective Convexity, Effective Duration, Exchange Rate, First Coupon Date, Investable Weight, ISIN Code, Issue Amount/Description, Macaulay Duration, Market Value/Weight/Bands, Maturity Date, Modified Duration, Month to Date Income/Price Return, Month to Date Reinvestment Return, Month to Date Total Return, Next Call Date, Notional Outstanding , OAS to Libor, Option Adjusted Spread, Parent Ticker, Price Return Percentage Month to Date, Rating, Registration, RIMES Alias Symbol, Rolling Yield, Sedol Code, Spread, Ticker, Weight , Years to Maturity, Yield to Call/Maturity, Yield to Worst, etc.
  • Index Items: Average Common Frequency (Duration to Worst, Modified Duration, Yield to Worst), Average Coupon, Average Duration to Worst, Average Effective Duration, Average Life , Average Macaulay Duration, Average Modified Duration, Average Rating, Average Yield, Daily Total Return, Effective Convexity, Hedged Flag, Last Price Date, Market Capitalization, Market Value, Month to Date Total Return, Notional Outstanding, Number of Constituents, Number of Constituents, Previous Price, Price Return, Total Return, etc.

Related modules available at RIMES include:

  • Citi Australian Broad Investment-Grade Bond Index (AusBIG)
  • Citi Euro Broad Investment-Grade Bond Index (EuroBIG)
  • Citi Eurobond Indices
  • World Inflation-Linked Securities Index (WorldILSI)
  • Citi World Inflation-Linked Securities Index – Additional Markets (WorldILSI-AM)
  • Citi Emerging Markets Inflation-Linked Securities Index (EMILSI)
  • Citi World Broad Investment-Grade Bond Index (WorldBIG)
  • Citi World Government Bond Index (WGBI)
  • Citi World Government Bond Index – Additional Markets (WGBI-AM)
  • Constituent Data
  • Daily Returns
  • Monthly Returns and Attributions

For more information on Citi’s fixed income indices, please refer to their Index Guide.

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