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FTSE Climate Risk-Adjusted Government Bond Index

Published in Thematic Indices

The FTSE Climate Risk-Adjusted Government Bond Index Series supports global fixed income investors to quantitatively incorporate climate considerations into government bond portfolios. The index series measures the performance of fixed-rate, local currency, investment-grade sovereign bonds in the FTSE World Government Bond Index (WGBI) or FTSE EMU Government Bond Index (EGBI) incorporating a tilting methodology that adjusts index weights according to each countries’ relative climate risk performance.

The country climate scores are derived by assessing each countries’ relative climate risk across three core climate change pillars (each with multiple sub-indicators):

  • Transition risk represents the level of climate related risk exposure of the country’s economy as measured by the distance to reach the modeled emissions needed to meet a 2 degree alignment
  • Physical risk represents the level of climate related risk exposure to the country and its economy from the physical effects of climate change
  • Resilience risk represents a country’s preparedness and actions to cope with its level of climate related risk exposure
  • The ‘advanced’ versions of the indexes are constructed with a stronger tilt to the Transition pillar, therefore offer greater exposure to countries with a stronger alignment to the 2 degree pathways.
  • Countries are scored across each of the pillars with a single combined score derived for each country. Country scores are then used to reweight the country’s exposure in the index to provide higher exposures to countries that are more resilient to climate change risks and lower exposures to countries that are more exposed to climate change risks.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 1116 bonds and 37 indices. Index coverage includes the FTSE Climate Risk-Adjusted World Government Bond Index (Climate WGBI) – various maturities, ratings and countries.

  • Sovereign | Multi-Currency: USD, EUR, JPY, GBP
  • Various maturities: YTD, 1 Year, 3 Years, 5 Years

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