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. Liquid Indices allow for standardized Total Return Swap contracts.
- Markit iBoxx EUR High-Yield Indices – tracks the performance of EUR-denominated corporate high yield debt, and is designed to provide high yield investors with appropriate benchmarks. This index represents the sub-investment grade fixed-income market for EUR denominated corporate bonds.
- Markit iBoxx EUR High-Yield Liquid Indices – tracks the market for high yield corporate bonds and currently contains corporate bonds with sub-investment grade rating.
- Markit iBoxx EUR High-Yield Sovereign Indices – based exclusively on sovereign bonds contained in the universe of the Markit iBoxx EUR benchmark indices.
- Markit iBoxx USD High Yield Indices – consists of liquid USD high yield bonds, selected to provide a balanced representation of the broad USD high yield corporate bond universe.
- Markit iBoxx Global Developed Liquid High Yield Indices – These iBoxx indices offer broad benchmarking and liquid tradable index solutions that track bond markets globally.
Key Features and Coverage on RIMES
For this data source, RIMES currently hosts the following indices:
- Markit iBoxx EUR High-Yield Indices (approximately 2400 Bonds, 450 Indices)
- Markit iBoxx EUR High-Yield Liquid Indices (approximately 1500 bonds, indexes 60).
- Markit iBoxx EUR High-Yield Sovereign Indices (approximately 85 Bonds, 4 Indices).
- Markit iBoxx USD High Yield Indices (approximately 1900 Bonds, 440 Indices).
- Markit iBoxx Global Developed Liquid High Yield Indices (25 indices).
Some of the data items available include:
- Bond Items: Accrued Interest, Ask Price, Average Option Adjusted Spread, Base Market Value in Local Currency, Base Market Value Investible Weight, Benchmark ISIN, Bid Price, Bloomberg Ticker, Callable Flag, Cash Paid in Local Currency, Clean Price, Clean Price Weight, Constrained Base Market Value, Constrained Cash Paid in Local Currency, Constrained Investible Weight, Constrained Market Value, Constrained Notional outstanding, Constrained Paid Cash, Constrained Price Return Base, Convexity to Maturity, Convexity to Worst, Country Code, Country Code of Risk, Coupon, Coupon Adjustment, Coupon Frequency, Coupon Payment, Currency Code, Currency Investable Weight, Cusip Code, Daily Total Return in Local Currency, Day Count, Debt, Dirty Price, Ex-Dividend, First Coupon Date, First Settle Date, Index Price, Interest Accrued Date, Investable Weight, Investable Weight in Index, Issuer Description, Level 5 Sector Classification, Market Value in Local Currency, Maturity Date, Modified Duration to Maturity, Modified Duration to Worst, Month to Date Total Return, Notional Outstanding, Option Adjusted Spread Annual Convexity, Option Adjusted Spread Duration, PIK Amount/ interest, Preview Date, Price Return Base Market Value, Price Return Investable Weight, Redemption, Sinking Flag, Total Return Percentage, Weight in Index, Work Out Date, Yield to Maturity, Yield to Worst, Zero Coupon Flag, Z-Spread Duration, etc.
- Index Items: Asset Swap Margin, Average Z-Spread, Base Market Value, Cash Paid in Local Currency, Convexity, Convexity to Worst, Core Index Flag, Coupon Income Index, Crossover Flag, Daily Price Return, Date of Portfolio, Discount Margin, Duration to Maturity, Duration to Worst, Floating Rate Note Flag, Gross Price Index, Income Index, Index Benchmark Spread, ISIN Code, Isin of Price Index, Market Value, Modified Duration to Maturity, Modified Duration to Worst, Month to Date Price Return in Euros, Notional Outstanding, Number of Constituents, Option Adjusted Spread-Shifted Adjusted Macaulay Duration, Paid Cash, PIK Flag, Portfolio Convexity to Maturity, Portfolio Duration to Maturity, Portfolio Yield to Maturity, Previous Price Index, Previous Total Return , Price Index, Price Return Percentage, Rating, Redemption Income Index, Return in Euros, Semi Annual Convexity to Worst, Simple Margin, Time to Maturity, Top Level Index Membership, Total Return, Total Return Percentage Quarter to Date, Year to Date Price, Yield to Maturity, Yield to Worst, etc.
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