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Thomson Reuters Canadian Fixed Income Indices

Thomson Reuters Canadian Fixed Income Indices are a series of 70 government, provincial and corporate Canadian bond indices. The series includes bullet bonds, bonds with purchase funds, partly paid bonds, redemption bonds and graduate rate bonds and are based on contributed prices, exchange prices and Thomson Reuters evaluated prices to provide as timely pricing as possible. Indices are weighted by nominal market value outstanding, are rebalanced monthly and follow the European Federation of Financial Analysts Societies (EFFAS) guidelines.

Index Features:

  • Comprised of bullet bonds, bonds with purchase funds, partly paid bonds, serial redemption bonds, graduated rate bonds, etc.
  • Weighted by nominal market value outstanding and provide comprehensive coverage of various asset classes.
  • Pricing from Thomson Reuters Pricing Service (TRPS), composite contributed pricing, and official exchange prices.

Index Benefits:

  • Comprehensive coverage in line with all significant Canadian Fixed Income benchmarks
  • Monthly rebalancing to balance accuracy and turnover

Key Features and Coverage on RIMES:

Index history is available from January 2003, in clean price; gross price and total return variants. Index analytics such as interest paid, average redemption yield, coupon, life, duration, convexity and current yield are also provided.

  • Index coverage includes approximately 2100 bonds and 70 indices (e.g. Thomson Reuters Canadian Bond Indices, Corporate Bond Indices, Financial Bond Indices, Government Indices, Industrial Indices, Non-Financial Indices, Provincial Indices, etc).
  • Some of the data items available include: Average Coupon, Average Convexity, Average Current Yield, Average Macaulay Duration, Average Life, Average Yield, Average Annual Yield, Country Description, Country Code, Description, Ex-Dividend, Gross Index, Last Price Date, Market Capitalization, Price Index, Reuters Identification Code (RIC), Total Return, etc.

Thomson Reuters Fixed Income


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