The S&P International Sovereign Ex-U.S. Bond Indices measure the performance of developed-market sovereign debt issued by countries included in the underlying S&P Global Developed Sovereign Ex-U.S. Bond Index. Country weights are capped. The indices are capped market value weighted. The total return is calculated by aggregating the interest return, reflecting the return due to paid and accrued interest, and price return, reflecting the gains or losses due to changes in end-of-day price and principal repayments.
To be eligible for index inclusion, the issuing country must be a member of the S&P Global Developed Sovereign Ex-U.S. Bond Index and meet specific weight requirements. Each bond must have a maturity of at least one year from the rebalancing date. For the S&P International Sovereign Ex-U.S. 1-3 Year Bond Index, the maturity of each bond must also be less than three years.
Key Features and Coverage on RIMES
For this data source, RIMES hosts the following indices:
- S&P International Sovereign Ex-US Bond Index
- S&P International Sovereign Ex-US 1-3 yr Bond Index
Some of the data items available include:
- Average Convexity, Average Coupon, Average Effective Duration, Average Fitch Rating, Average Modified Duration, Average Moody’s Rating, Average Notional Outstanding in Mexican UPI, Average Notional Outstanding in US Dollars, Average Option Adjusted Spread, Average Option Adjusted Yield to Worst, Average Price, Average S&P Rating, Average Yield, Average Yield to Maturity, Average Yield to Worst, Branding, Country Code, Daily Total Return in Mexican UPI, Daily Total Return in US Dollars, Database Domain Code, Database Symbol, Description, Factor, Hedged Total Return in US Dollars, Index Family, Index Type, Last Price Date, Market Capitalization in Mexican UPI, Market Capitalization in US Dollars, Number of Constituents, Price Index in Mexican UPI, Price Index in US Dollars, Total Return in Mexican UPI, Total Return in US Dollars, Weight Type, etc.
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