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Market iBoxx Indices

Published in Fixed Income Indices

iBoxx indices offer broad benchmarking and liquid tradable index solutions that track bond markets globally. iBoxx are independent bond indices which are based on multi-source pricing for improved accuracy. The indices cover major and minor currencies in all key bond segments. The index rules offer broad coverage of the global bond universe and maintain minimum standards of investability and liquidity. These indices include a wide range of analytical values and sub-index granularity by sector, rating, maturity and size which supports performance measurement and attribution analysis, while providing enhanced transparency.

  • Markit iBoxx Indices – Markit iBoxx Indices includes corporate, municipal and sovereign bonds, as well as loans and securitised products. They offer a comprehensive set of benchmark indices for performance measurement and liquid indices for product structuring. Indices include iBoxx £ Collateralized, iBoxx £ Corporates, iBoxx £ Gilts, iBoxx £ Non-Gilts, iBoxx £ Overall, iBoxx £ Sovereigns, iBoxx EUR Corporates, etc.
  • Markit iBoxx ABF Indices – These indices are designed to reflect the performance of local currency denominated sovereign and quasi sovereign debt from 8 Asian countries/territories. The index offers a broad coverage of the sovereign and sub-sovereign bond universe of China, Hong Kong, Indonesia, Korea, Malaysia, Philippines, Singapore and Thailand, whilst upholding minimum standards of investability and liquidity.
  • Markit iBoxx ASIA Indices – These indices are compiled for JGBs in Japan and local currency sovereign and quasi-sovereign issues in China, Hong Kong, Indonesia, Korea, Malaysia, Philippines, Singapore, Thailand, India and Taiwan. Since the ex-Japan indices cover countries with small, medium and large bond markets at different stages of development, their weights in the Pan-Asia index combine market size with liquidity and credit quality.
  • Markit iBoxx Contingent Convertible Indices – These indices represent the developed and emerging market Contingent Convertible (CoCo) fixed income market for EUR, GBP and USD denominated bonds.
  • Markit iBoxx Emerging Market Indices – These indices are comprised of sovereign debt from emerging market countries and issued in USD. The indices are used as benchmarks in portfolio management and research for hard currency emerging markets debt.
  • Markit iBoxx Global Developed Liquid High Yield Indices – This Index Family is designed to reflect the performance of the global developed liquid high yield debt market. Markit Indices are widely used as benchmarks by investors and asset managers. They benefit from multiple-contributor pricing from selected leading financial institutions, which also provide support to the index family in research and trading.
  • Markit iBoxx Inflation Linked Indices – The iBoxx Global Inflation-linked Indices cover the major sovereign and quasi-sovereign inflation-linked bond markets of the world. Markit Indices are structured to provide international investors with benchmarks and a platform for research and structured products. The indices are part of the global Markit iBoxx index families, fueled by multi-source pricing. They offer representative and objective benchmarks for assessing the performance of bond markets and investments.
  • Markit iBoxx Singapore Indices – Singapore Dollar (SGD) Bond indices are volume-weighted indices, with a bond’s base market value as the weighting factor. The base market value and amount outstanding of a bond are only adjusted within the monthly re-balancing process.
  • Markit iBoxx Target Duration TIPS Index – The index measures the performance of the Treasury Inflation Protected Securities (TIPS) market with a specific target duration. Two different indices are available, the Markit iBoxx 3-Year and 5-year Target Duration TIPS Indices.
  • Markit iBoxx USD (Asia Indices, High Yield Indices, Liquid Leveraged Loans) Indices – The Markit iBoxx USD Index family is split into three major indices: Overall, Domestic and Eurodollar, which brake down into sub-indices based on sector, rating and maturity.  The iBoxx USD Liquid Leveraged Loan index comprises approximately 100 of the most liquid, tradable leveraged loans. Sub-indexes are based on realized and unrealized gains and interest and fees. These indices are rebalanced monthly, using a transparent roll mechanism. The Markit iBoxx USD Asia ex-Japan index family represents the fixed income market for USD denominated bonds from Asian issuers, offering broad coverage of the Asian USD bond universe.
  • Markit iBoxx Asian Local and USD Bond Indices – iBoxx ALBI and iBoxx ADBI cover the local currency and USD segments of Asian fixed income markets. The iBoxx ADBI also contains the Markit iBoxx Asian USD High Yield Bond index (iBoxx AHBI).  The iBoxx Asian USD Bond Index family represents the fixed income market for USD denominated bonds from Asian issuers with a separate index covering the sub-investment grade universe of Asian USD bonds. The iBoxx ALBI is designed to reflect the performance of local currency bonds from 11 Asian local currency bond markets, offering a broad coverage of the universe of internationally accessible bonds from China‘s on and off-shore markets (Hong Kong, India, Indonesia, Korea, Malaysia, etc.).
  • Markit iBoxx EUR (High-Yield, HY Liquid, HY Sovereign Indices) – The Markit iBoxx EUR High Yield Indices are designed to reflect the performance of EUR denominated sub-investment grade corporate debt. The index rules aim to offer a broad coverage of the EUR bond universe, whilst upholding minimum standards of investability and liquidity. The indices are an integral part of the global iBoxx index families, which provide the marketplace with accurate and objective benchmarks by which to assess the performance of bond markets and investments. The Markit iBoxx EUR High Yield Index family is split into four different indices: overall, maturity, rating and sector indices.
  • Markit iBoxx European ABS Indices – These indices measure the relative performance of their assets as compared to the overall index or relevant sub-index. Researchers can gain a better understanding of the returns available from the European ABS market. Advisors and fund managers can gain insight into the relative performance of this assets class against other fixed income markets.

Key Features and Coverage on RIMES

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

  • Bond Items – 144A Bond Flag, Accrued Cash, Accrued Interest, Annual Benchmark Spread to Benchmark Curve, Annual Convexity, Annual Index Benchmark Spread, Annual Modified Duration, Annual Spread, Annual Yield, Ask Price – Nominal, Ask Price – Real, Asset Swap, Assumed Inflation, Base Market Value, Base Weight (Capped), Beta, Bid Ask Spread, Bid Price, Bid Price – Nominal, Bid Price – Real, Bloomberg Ticker, Callable Flag, Capped Base Market Value, Capped Cash Paid in Local Currency, Capped Market Value, Capped Notional Outstanding, Cash Accrued, Cash Paid in Local Currency, Constrained Investible Weight, Constrained Market Value, Constrained Notional Outstanding, Convexity, Convexity to Worst, Country Code of Risk, Coupon, Coupon Adjustment, Coupon Frequency, Coupon Payment, Crossover Flag, Currency Code, Currency Investable Weight, Daily Excess, Daily Total Return, Day Count, Debt, Dirty Price, Discount Margin, Dollar Value Change for 1 Basis Point, Dual Currency, Duration to Maturity, Duration Weighted Exposure, Effective Duration, Ex-Dividend, Fixing, Floating Rate Note Flag, Frequency, Inflation Index, Inflation Linked Bond, Interest Accrued Date, Investable Factor, Investable Weight, Issue Description, Issuer Class Level, Issuer Description, Liquid Paid Cash, Macaulay Duration, Market Value, Maturity Bands, Maturity Date, Mid Price, Modified Duration, Month to Date Excess Return, Month to Date Total Return, Nominal Data, Notional Outstanding, Number of Price Contributors, Option Adjusted Spread, PIK Factor, PIK Flag, Price Return Base Market Value, Pricing Type, Quarter to Date Total Return in Local Currency, Rating, Real Data, Redemption, Redemption Factor, Reference Date, Semi-Annual Benchmark Spread to Benchmark Curve, Semi-Annual Benchmark Spread to Benchmark Curve, Simple Margin, Sinking Factor, Street Data, Time to Maturity, Top Level Index Membership, Total Return Percentage Quarter to Date, Weight in Index, Work Out Date, Yankee Bond Flag, Year to Date Total Return, Years to Maturity, Yield, Yield to Maturity, Yield to Worst, Zero Coupon Flag, Zero Coupon Flag, Z-Spread, etc.
  • Index Items – Accrued Paid Cash (Mid Day Values), Annual Convexity, Annual Index Benchmark Spread, Annual Modified Adjusted Duration, Annual Portfolio Convexity, Annual Portfolio Modified Duration, Annual Portfolio Yield, Annual Yield to Maturity, Asset Swap Margin, Average Annual Convexity, Average Annual Modified Duration, Average Annual Yield, Average Coupon, Average Dollar Value Change for 1 Basis Point, Average Effective Duration, Average Macaulay Duration, Average Option Adjusted Spread, Average Semi Annual Convexity, Average Yield to Worst, Average Z-Spread, Base Market Value, Beginning of Month Price Index, Beginning of Month Total Return, Callable or Puttable Code (Source), Capped Market Capitalization, Cash Accrued Interest (Liquid Indices), Cost Factor, Daily Excess Return, Daily Price Return, Duration to Maturity, Gross Price Index, Income Index, Isin of Price Index, Market Value, Monthly Price Return, Monthly Total Return, Notional Outstanding, Number of Constituents, Portfolio Duration to Maturity, Previous Price Index, Previous Total Retrun in Euros, Price Duration, Price Index, Price Return, Quarter to Date Price Return, Quarter to Date Total Return, Real 1 Year Price Return, Redemption Income Index, Semi Annual Convexity, Semi Portfolio Yield, Semi-Annual Modified Adjusted Duration, Tax Consideration, Total Return, Year to Date Price, Year to Date Total Return, etc.


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