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Citi US Fixed Income Indices

Citi Fixed Income Indices has been producing fixed income indices for more than 30 years.  The comprehensive family of indices offers global and regional coverage across a broad array of currencies, regions, asset classes, and credit qualities.  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.

Introduced in 1985, the US Broad Investment-Grade Bond Index (USBIG) tracks the performance of US Dollar-denominated bonds issued in the US investment-grade bond market. The index includes US Treasury, government-sponsored, collateralized, and corporate debt providing a reliable representation of the US investment-grade bond market.

Key Features and Coverage on RIMES

The RIMES module for Citigroup’s Domestic Fixed Income securities includes data going back to 2006. This package contains daily returns, monthly returns/attributions and constituent data for approximately 450 indices and 15350 bonds.

Some of the securities covered at RIMES include:

  • CD, Government Sponsored securities, Mortgage Index securities, Treasury securities, Treasury/Agency Index securities, STRIPS, Treasury/Government Sponsored securities, Treasury/Mortgage Indexes, etc.

Some of the bond and index data items available include:

  • Accrued Interest, Average Coupon, Average Duration To Worst, Average Effective Duration, Average Life, Average Macaulay Duration, Average Modified Duration, Average Option Against Spread, Average Rating, Average Yield, Common Frequency Modified Duration, Convexity To Libor, Country Code, Country Weight, Coupon, Coupon Frequency, Currency Code, Current Coupon, Cusip, Daily Return, Description, Duration To Worst, Effective Convexity, Effective Duration (Cash Adjusted/To Libor), Index Weight, Industry, Issuer, Long Cusip Identifier, Macaulay Duration, Market Value, Market Weight, Maturity Bands, Modified Duration/Duration To Worst, Month To Date (Income Return, Price Return, Total Return), Next Call Date, OAS; OAS to Libor, Outstanding Face Value, Parent Ticker, Price, Price, Return Index, Rating, Sector Classification, Spread, Ticker, Total Return, Yield To Call, Yield To Maturity, Yield To Worst, etc.

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

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