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FTSE/JSE Fixed Income Indices

Published in Fixed Income Indices

FTSE Russell and the Johannesburg Stock Exchange (JSE) partnered on a series of co-branded fixed income indices measuring the performance of domestic bonds issued in South Africa. The indices provide comprehensive coverage of fixed income markets in South Africa. The launch extends the existing FTSE/JSE Africa series which covers a wide range of SA-listed equity exposures including broad market, sector, and factor-based indices.

The FTSE/JSE All Bond Index comprises 20 conventional listed vanilla bonds with fixed, semi-annual coupons, while the FTSE/JSE Inflation-Linked Index consists of 15 bonds with returns linked to the Consumer Price Index. Sovereign, state-owned, and corporate bonds are eligible for inclusion, providing investors with comprehensive market coverage. Issues must have at least R100 million outstanding and more than one year remaining until final maturity. Bonds are selected based on an analysis of market capitalization and daily liquidity. Each index is weighted by market capitalization and rebalanced on a quarterly basis. A range of sector and maturity sub-indices are available for both index categories.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 38 bonds and 15 indices, including FTSE/JSE ALBI, All Bond, and Inflation Linked Indices.

Some of the bond and company items available include:

  • Accrued Interest, Clean Price, Convexity, Country Code, Coupon, Database Domain Code, Database Source, Database Symbol, Date of Portfolio, Description,
  • Dirty Price, Index Symbol (Source), ISIN Code, Issuer Description, Maturity Date, Modified Duration, Total Return, Yield to Maturity / Years to Maturity


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