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FTSE TMX Canada Indices

FTSE International Limited (FTSE) has combined with TMX Datalinx’s PC-Bond unit to create a new joint venture named FTSE TMX Global Debt Capital Markets. As a result, the “DEX” bond indices have been re-branded to “FTSE TMX Canada”.

FTSE TMX indices are used as benchmarks for approximately $2 trillion in assets globally, invested across ETFs, mutual funds, and segregated mandate. FTSE TMX also provides to clients the PC-Bond analytical system has been the market leader in fixed income portfolio management software in Canada since 1985. This institutional client based software offers five powerful programs to turn raw market data into investment information to assist clients in their investment decisions.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 2200 bonds and 140 indices. 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, and 20+ Bond Index

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.

FTSE TMX Canada Indices

 

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