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ICE BofAML Fixed Income

The ICE BofAML Fixed Income Indices track the performance of the global investment grade, high-yield and emerging debt markets. In addition to the flagship global, regional and country specific indices, more than 4,000 ICE BofAML indices segment the markets into smaller segments based on sector, rating, maturity, etc. Total returns are published in local currency terms as well as converted into alternate base currencies on either an unhedged or hedged basis. Excess returns measure the performance of each index relative to a risk matched basket of government bonds or swaps. Other characteristics and relative value metrics that are available include the index spread, yield, maturity, duration, convexity, composite rating and capitalization along with numerous other statistics.

Key Features and Coverage on RIMES

For this data source, RIMES hosts over 148100 bonds, 12690 companies and 5425 indices.

Primary index coverage includes: 

  • ICE BofAML All Maturity Indices, Asian Dollar Indices, Developed Markets, EMEA Corporates, Diversified Indices, Euro Indices, High Grade, Investment Grade, Single A, Global Indices, U.S. Indices, Pimco Indices, etc.
  • Secondarily, RIMES hosts the ICEBofAML Duration Weighted Indices, for which approximately 8400 bonds are covered.

Some of the data items available include:

  • Bond Items: Bond Equivalent YTM, Convexity/ Convexity To Worst/ Effective Convexity, Coupon, Effective Duration, Effective Yield, Exchange Rate, Investable Weight, ISIN Number, ISO Country Code, ISO Currency, Issue Date, Issuer Id, Maturity Date, Maturity Type, Maturity/ Weighted Average Life, ML Industry Levels, Modified Duration/ Modified Duration To Worst, Month-End FX Forward, Par Weighted Coupon, Rating, Semi-Convexity, Semi-Yield To Worst, Ticker, Years To Worst, Yield To Maturity, Yield To Worst, etc.
  • Index Items: Average Bond Equivalent YTM, Average Convexity, Average Convexity To Worst, Average Effective Convexity/Duration/Yield, Average Maturity, Excess Return Percent MTD, Modified Duration, Modified Duration To Worst, Market Weighted Coupon, Number Of Issues, Par-Weighted Coupon, PRR Percent MTD In LOC, Rating, Semi-Convexity, Semi-Convexity To Worst, Semi-Modified Duration, Semi-Modified Duration To Worst, Semi-Yield To Worst, TRR Percent MTD In LOC/ YTD In Loc, Years To Worst, Yield To Maturity, Yield To Worst, YTD, etc.

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