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Morningstar Fixed Income Indexes

The Morningstar® Fixed-Income Index family covers all aspects of the global fixed-income market by sector and maturity range. Designed to offer a passive replication of active management strategies, the fixed-income indices strike a balance that remains broad enough to reveal a true picture of market trends and conditions, yet the focus is on liquid issues only. A high minimum liquidity threshold for individual bonds keeps the bond indices fully investible and easily manageable.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 8200 bonds and 8 indexes, including:

  • Broad Market Index: Morningstar Core Bond Index – Broad investment-grade U.S. bond market index covering the investable universe of bonds.
  • Sector Indices: U.S. Government (exposure to U.S. Treasuries and U.S. Agency bonds), Corporate (exposure to dollar-denominated investment-grade corporate bonds), Mortgage (exposure to fixed-rate mortgages backed by the three leading US agencies).
  • Term Indices: Short-Term Core (exposure to investment grade bonds with maturities of between one and four years), Intermediate Core (exposure to investment grade bonds with maturities between four and seven years), Long-Term Core: (exposure to investment grade bonds with maturities of seven years or longer).

Some of the data items available include:

  • Bond items – Annual Yield, Average Life, Beginning of Month Investable Weight/Market Value, Broad Sector, Country Code, Currency Code, Daily Price Return, Daily Total Return, Excess Return, Excess Swap Return, Fitch Rating, Index Ratio, ISIN Code, Issuer Spread, Market Value, Maturity Date, Month to Date Total Return, Moody’s Rating, Notional Outstanding, Option Adjusted Spread, Price Return, Profile Date, Rating, Sector, Semi Annual Yield, Spread, Spread to Spot Curve, Stripped Spread, Subsector, Super Sector, Total Return, etc.
  • Index items – Accrued Interest, Average Issuer Spread, Average Rating Code, Average Spread, Average Spread to Spot Curve, Average Stripped Spread, Benchmark Spread, Clean Price, Convexity, Coupon, Date of Portfolio, Dirty Price, Dollar Value Change for 1 Basis Point, Excess Return, Excess Swap Return, Hedged Total Return, Macaulay Duration, Market Capitalization, Modified Duration, Notional Outstanding, Number of Constituents, Price Index, Term of Security, Total Return, Yield, etc.

Morningstar Indexes Full List

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