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FTSE Fixed Income (Local 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.

FTSE Fixed Income Local Indices include:

  • FTSE Bank of China Offshore RMB Bond Indices – The FTSE-BOCHK Offshore RMB Bond Index Series measures the performance of RMB-denominated bonds issued and settled outside the People’s Republic of China. The series is designed to provide an international industry standard benchmark and to offer market participants exposure to RMB-denominated bonds. The indexes are reviewed on a monthly basis. At the review bonds may be removed or added to the indices. A total return version of all the indexes is also available. The total return index takes into account the price changes, interest accrued and coupon payments of each bond.
  • FTSE Fixed Income Pension Liability Indices – These indices include the FTSE Pension Liability Indexes (short and intermediate) and the FTSE Pension Discount Curve Index.  The FTSE Pension Liability Index reflects the discount rate that can be used to value liabilities for GAAP reporting purposes. The index also provides an investment performance benchmark for asset-liability management. By monitoring FTSE Pension Liability Indexes returns over time, investors can gauge changes in the value of pension liabilities. These indices represent the single discount rate that would produce the same present value as calculated by discounting a standardized set of liabilities using the FTSE Pension Discount Curve.
  • FTSE UK Level Annuity Indices – This Series includes a set of benchmarks designed to allow users to compare changes in the value of a pre-retirement fund with changes in annuity prices. Annuity rates differ depending on individual circumstances, and the series reflects this with multiple indexes representing a range of retirement profiles, creating a suitable comparison to assess fund performance. The index series is calculated daily, using the average of the three highest annuity rates for different retirement profiles (Early, Standard, Late).
  • FTSE Canada Index – 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.
  • FTSE GILT Government Bond Indices – A comprehensive family of indexes and related bonds data (e.g. duration) and are based on all eligible British Government Securities. The indexes are divided into conventional GILTS and index linked GILT indexes. There is a headline index for each sub-division and the indexes are also available in maturity bands. These are a broadly-based family of Indexes and related bonds data (e.g. duration) and are based on all eligible British Government Securities. The Indexes are divided into conventional gilts and index linked gilt indexes.

Key Features and Coverage on RIMES

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

  • Index Items – Accrued Interest to Maturity Band, Average Macaulay Duration, Average Modified Duration, Average Price to Maturity Band, Average Yield, Base Value to Maturity Band, Capital Index, Convexity, Coupon, Discount Rate, Ex Dividend Adjustment Year to Date, Gross Redemption Yield, Index Maturity Band, Interest Received Per Index, Last Interest Payment Date to Index Base Value Ratio, Macaulay Duration, Market Value, Modified Duration, Notional Outstanding, Number of Constituents, Spot Rate, Sum of Nominal to Maturity Band, Tenor, Total Return, Year to Date Cumulative Accrued Interest, Years to Maturity, Year to Date Total Return, etc.
  • Bond items – Accrued Interest, Actual Coupon Rate, Base RPI, Clean Price, Coupon Schedule, Current RPI, Daily Total Return, Dirty Price, Equilibrium Price Per Formula, First Coupon, Investable Weight, ISIN Code, Last Coupon Payment Date, Long Description, Market Value, Maturity Band, Maturity Date, Month to Date Percentage Change Clean Price in British Pound Sterling, Month to Date Total Return, Months Between RPI at last Payment and Current RPI *Frequency/12, Notional Outstanding, Number of Days, Part Period From Settlement Date to Next Pay Date/ Total Period, Price Return Local Currency – 1 Day, Redemption Year, RPI 8 Months Ago, Sedol Code, Settlement Date, Term in Periods and Fractions Thereof from Settlement Date Redemption, Total Return, Weight in Maturity Band, Weight in Overall Index, Year to Date Percentage Change Clean Price, Year to Date Total Return, etc.

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