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FTSE Canada Indexes

Published in Fixed Income Indices

The FTSE Canada Index is part of a range of indices designed to help North American investors benchmark their investments. The FTSE Canada index is a market-capitalization weighted index representing the performance of Canadian large and mid-cap stocks. The index is derived from the FTSE Global Equity Index Series (GEIS), which covers 98% of the world’s investable market capitalization.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 2850 bonds and 145 indexes. Index history is daily 5 years rolling, and constituent history is rolling year to date. Index coverage includes:

  • 20+ Indices, Bellwether Mbs Indices, Cmbs Index, MBS Indices, Money Market indices, Universe Indices, Short, Mid and Long Indices

Basic and advanced index and constituent packages are available for the following data families:

  • Universe Bond Index, Real Return Bond Index, Money Market Index, MBS / CMBS Indices, High Yield Bond Index, Maple Bond Index, Strip Bond Index, etc.

Some of the data items available include:

  • Bond Items – Accrued Interest, Capping Factor, Clean Price, Convexity, Coupon, Currency Code, Cusip Code, Daily Price/Total Return, Dirty Price, Dollar Value Change for 1 Basis Point, Effective Maturity Date, Free Float Factor, Industry Level Codes/Descriptions, Investable Factor, Investable Market Value in Local Currency, Investable Weight, Issuer Description, Macaulay Duration, Market Value, Maturity Date, Modified Duration, Notional Outstanding, Opening Market Value in Local Currency, Rating, Yield, etc.
  • Index Items – Average Convexity, Average Coupon, Average Life, Average Macaulay Duration, Average Modified Duration, Average Rating, Average Yield, Industry Group Description, Last Price Date, Price Change for 1 Basis Point – Changing Yield, Price Index, Sector Description/Weight, Term of Security, Term Weight, Total Return, etc.


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