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Merrill Lynch Fixed Income


Merrill Lynch Fixed Income Indexes present a comprehensive view of the broad spectrum of fixed income markets, from investment grade to high yield issuers, domiciled in developed to emerging markets. The number of bond indexes exceeds 3,000 and each index is delivered with a spectrum of over 30 price types. The number of series included in these indexes is approximately 110,000. Other attributes include a daily Frequency, data history back to 1970, and a daily update cycle.

Key Features and Coverage on RIMES

For this data source, RIMES hosts over 121400 bonds, 11545 companies and 5280 indices

Primary index coverage includes: 

  • Bofa Merrill Lynch 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.

Some of the data items available include:

  • Bond Items: Bond Equivalent YTM, Convexity/ Convexity To Worst/ Effective Convexity, Coupon, Cusip, Effective Duration, Effective Yield, Exchange Rate, 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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