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Sector Level - Monthly Profile
This report provides monthly index profile information, at a sector level.
- number of issues
- par value
- market value
- market weight
- coupon
- average life
- credit quality
- different types of yield (e.g. yield-to-maturity, yield-to-worst)
- different measures of duration (e.g. modified duration, effective duration)
- different types of spreads (e.g. OAS to Treasury, OAS to Swap)
Sector Level - Monthly Returns
This report provides monthly index returns, at a sector level. Returns are provided in local currency terms or in selected currencies (such as USD, EUR, JPY, GBP) hedged or unhedged.
- index level
- monthly returns
- cumulative returns
Sector Level - Monthly Profile Fixing
On each monthly index fixing date, publically available information is used to determine index eligibility and indicative values for the following month's index profile. This report is the index's preliminary profile, setting out the anticipated composition of the index.
The purpose of the report is to enable those tracking Citi's fixed income indices to anticipate changes to index composition, providing clarity and time to effect any consequent portfolio rebalancing.
- Market weight changes (%) from the previous month-end
- Duration changes from the previous month-end
- Spread changes from previous month-end
- Preliminary index profile for the coming month
A separate report is published on monthly changes, at a constituent level, as a result of the monthly fixing. The report includes securities added, deleted, and changes, such as rating or outstanding amount, along with their their descriptive characteristics (i.e. cusip, ISIN, ticker, coupon, maturity, par amount, currency, industry code classification and credit quality).
Sector Level - Daily Profile and Returns
This data file provides daily index profile and index return information, at a sector level.
- number of issues
- par value
- market value
- coupon
- average life
- credit quality
- price
- different types of yield (e.g. yield-to-maturity, yield-to-worst)
- different measures of duration (e.g. modified duration, effective duration)
- different types of spreads (e.g. OAS to Treasury, OAS to Swap)
- returns (in local currency terms or in selected currencies such as USD, EUR, JPY, GBP, hedged or unhedged)
Issue Level - Monthly Profile
This data file provides basic monthly profile information, at a constituent (issue) level.
- cusip
- ISIN
- SEDOL
- ticker
- description
- coupon
- maturity date
- country
- currency
- credit quality
- industry classification
- rating sector
- security sector
- index weight
Issue Level - Detailed Monthly Profile
This data file provides detailed monthly profile information, at a constituent (issue) level.
- par amount
- market value
- average life
- accrued interest
- price
- call date
- coupon frequency
- different types of yield (e.g. yield to maturity, yield to worst)
- different measures of duration (e.g. modified duration, effective duration)
- different types of spread (e.g. OAS to treasury, OAS to swap)
- convexity
Issue Level - Detailed Monthly Profile and Returns
This data file provides detailed monthly profile and return information, at a constituent (issue) level.
- monthly principle return
- monthly income return
- monthly reinvestment return
- monthly total return
- year-to-date total return
Issue Level - Detailed Daily Profile and Returns
This data file provides detailed daily profile and return information, at a constituent (issue) level.
Additionally, it includes daily total returns on each issue.
Licensing
FTSE's range of fixed income indexes are designed, calculated, and published by FTSE Index and may be licensed for use as underlying indexes for OTC or exchange-traded derivatives and investment products, including ETFs, swaps, structured products, warrants, and certificates. Leading financial institutions that issue these instruments depend on FTSE Fixed Income Indexes for the creation of their index-based investment products.