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FTSE Fixed Income (Global Indices)

Published in Fixed Income Indices

FTSE Russell’s market-tested, comprehensive fixed income index solutions are used by investors to measure and analyze the performance of global, regional, and country-focused debt markets. FTSE Russell’s flagship global fixed income index, the FTSE World Government Bond Index (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 WGBI was created in 1986 and offers more than 25 years of history.

FTSE Fixed Income Global Indices include:

  • FTSE Corporate Bond Indices – The FTSE Global Bond Index Series is a series of fixed income indexes covering the principal government bond markets, global emerging, European covered, Sterling and Euro denominated corporate markets. The objective of the series is to create and maintain accurate indexes by using contributed pricing from multiple sources including 16 out of the top 20 dealer banks in Global Fixed Income. Indices include FTSE Euro Corporate Bond Index, FTSE Pfandbrief Indexes, FTSE Euro Emerging Markets Bond Index, FTSE Sterling Corporate Bond Index, and more.
  • FTSE Fixed Income Domestic Indices – This 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, FTSE’s fixed income indexes 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 indexes as building blocks for customized benchmarks based on specific needs. Index coverage includes Treasury, Government Sponsored, Agency, Mortgage-backed securities, Asset-backed securities, STRIPS, etc.
  • FTSE Fixed Income Emerging Markets Indices – A range of fixed income indexes designed to measure the performance of bonds issued across emerging markets globally. The indexes include local currency and US dollar-denominated bonds, as well as inflation-linked, investment-grade and high yield bonds. These indices include the FTSE Emerging Markets Government Bond Index (EMGBI), FTSE Emerging Markets Inflation- Linked Securities Index (EMILSI), FTSE Emerging Markets US Dollar Government Bond Index (EMUSDGBI) and FTSE Emerging Markets Broad Bond Index (EMUSDBBI).
  • FTSE Fixed Income Fallen Angel Indices – This index measures the performance of “fallen angels” (bonds which were previously rated investment-grade but were subsequently downgraded to high-yield). The index includes US Dollar-denominated bonds issued by corporations domiciled in the US or Canada that meet the inclusion criteria. Unlike traditional indices, where constituent weights are based on market value, the index’s constituent weights are determined based on the time from inclusion in the index. Higher weights are assigned to bonds that have more recently become “fallen angels”.  Also included are the FTSE Fixed Income Time-Weighted Fallen Angel Indices.
  • FTSE Fixed Income High Yield Indices – This index is a US Dollar-denominated index which measures the performance of high-yield debt issued by corporations domiciled in the US or Canada. Recognized as a broad measure of the North American high-yield market amongst all FTSE’s fixed income indices, it includes cash-pay and deferred-interest securities.  All the bonds are publicly placed, have a fixed coupon, and are non-convertible.
  • FTSE Fixed Income International Indices – A comprehensive family of indexes with a broad array of currencies, regions, and asset classes. Based on objective rules, FTSE’s fixed income indexes strike a balance between comprehensiveness and replicability. A unified methodology across markets enables investors to use the indexes’ building blocks for customized benchmarks based on specific needs. FTSE Fixed Income Indices’ flagship index, the WGBI, measures the performance of fixed-rate local currency investment grade sovereign bonds.
  • FTSE MPF World Government Bond Index – This index is designed to comply with the regulatory requirements governing investments in debt securities by Hong Kong Mandatory Provident Fund schemes. The index is based on the FTSE World Government Bond Index (WGBI), which measures the performance of fixed-rate, local currency, investment-grade sovereign bonds. The WGBI is a widely used benchmark that currently comprises sovereign debt from over 20 countries, denominated in a variety of currencies, and has more than 30 years of history available.
  • FTSE MTS Fixed Income Indices – EuroMTS are the first independent total return Indexes measuring the performance of the largest and most widely-traded securities in the euro bond market. The availability of executable bond prices from the underlying MTS market enables FTSE MTS Indexes to offer a level of transparency and replicability that is unique in the bond markets. The data underlying FTSE MTS Indexes is drawn from real-time tradable prices on MTS. MTS Italy and ex-Bank of Italy indices added to EuroMTS Index range.

Key Features and Coverage on RIMES

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

  • Bond Items – Accrued Interest, Actual Coupon Rate, Average Duration to Worst Call, Average Life, Average Macaulay Duration, Average Modified Duration, Average Option Adjusted Spread, Average Spread, Average Yield, Average Yield to Worst Call, Band Weight, Beginning of Month Market Value, Bid Price, Clean Price, Common Frequency Modified Duration, Convexity, Convexity to Libor, Country Code, Coupon, Coupon Frequency, Coupon Rate, Currency Code, Daily Total Return, Dirty Price, Duration, Duration to Worst, Effective Convexity, Effective Duration, Gross Spread, Hedged Total Return, Horizon Paydown, Industry Code, Inflation Linked Ratio, Investable Weight, Issuer Description, Macaulay Duration, Market Capitalization, Market Value, Market Weight, Maturity Band, Maturity Date, Maturity Sector, Modified Duration, Mortgage Loan Age, Next Call Date, Next Coupon Date, Notional Outstanding, OAS to Libor, Option Adjusted Spread, Origination Year, Outstanding Face Value, Paid Cash, Parent Ticker, Price, Rating, Sector Code, Spread, Stripped Yield to Maturity, Ticker, Total Return, Weight in Index, Weighted Average Coupon, Years To Maturity, Yield, Yield to Call, Yield to Maturity / Years to Maturity, Yield to Worst, etc.
  • Index Items – Average Blended Spread, Average Convexity, Average Coupon, Average Duration, Average Duration to Worst, Average Effective Convexity, Average Effective Duration, Average Macaulay Duration, Average Modified Duration, Average Notional Outstanding, Average Option Adjusted Spread, Average Price, Average Rating, Average Spread, Average Stripped Spread, Average Years To Maturity, Average Yield, Base Market Capitalization, Future Rebalance Date, Hedged Total Return, Last Price Date, Market Capitalization, Month to Date Hedged Return, Number of Constituents, Outstanding Face Value, Preliminary / Official Flag, Price Index In Local Currency, Price Return, Total Return, etc.

 

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