Fixed Income indices (2024)

FTSE Russell offers a comprehensive, modular range of indices designed to measure the performance of fixed income markets globally. Broad-based indices that measure government, government-sponsored, collateralised and corporate bonds from both developed and emerging countries are available. Our extensive fixed income database covers more than 100 countries and includes 18,000+ unique bonds.

Within each index, specific currencies and terms can be selected and customised to meet different investment needs.

FTSE World Government Bond Index (WGBI)

A broad index providing exposure to the global sovereign fixed income market, the FTSE World Government Bond Index measures the performance of fixed-rate, local currency, investment-grade sovereign bonds. It comprises sovereign debt from over 20 countries, denominated in a variety of currencies. Sub-indices are available by currencies and terms.

• FTSE Non-JPY World Government Bond Index
• FTSE Non-JPY and Non-CNY Government Bond Index

FTSE World Government Bond Index - Japanese Investment Trust (WGBI-JIT)

This index is designed to serve as a benchmark for performance evaluation by Japanese investment trusts. The calculation methodology is based on the evaluation standards of the Investment Trusts Association of Japan.

• FTSE Non-JPY World Government Bond Index - Japanese Investment Trust
• FTSE Non-JPY and Non-CNY Government Bond Index - Japanese Investment Trust

FTSE World Broad Investment-Grade Bond Index (WorldBIG®)

A multi-asset, multi-currency index that provides a broad-based measure of the global fixed income markets. The index includes investment-grade government, government-sponsored/supranational, collateralized and corporate debt.

• FTSE Non-JPY World Broad Investment-Grade Bond Index

FTSE World Inflation-Linked Securities Index (WorldILSI)

The index measures the returns of inflation-linked bonds with fixed-rate coupon payments that are linked to an inflation index. Tracking debt from 13 countries denominated in their respective currencies, its focus is real, rather than notional, returns.

FTSE World High-Yield Bond Index (WHYM)

The FTSE World High-Yield Bond Index provides a broad measure of the global high-yield bond market. This multi-currency benchmark measures the performance of global high-yield CHF, EUR, GBP and USD denominated debt tracked by the FTSE US High-Yield Market and the Pan-European High-Yield Bond indices. Sub-indices are available in any combination of currency, industry sector, maturity and rating. The index is part of the broader FTSE High-Yield Bond Index Series.

FTSE World Money Market Indices (WMMI)

The index measures the performance of money-market instruments in 18 currencies tracking one, two, three, six and 12-month Eurodeposits, offering a measure of short-term markets.

FTSE 0+ Years Fixed Income Index Series

FTSE Russell offers a comprehensive, flexible range of 0+ Years indices designed to track fixed income markets across all maturity segments. The 0+ Years Fixed Income indices are launched with comprehensive daily historical time series data and granular sub-indices, including 0-1 year and monthly term buckets as standard, allowing investors to easily track or customise exposures to bonds across the curve.

FTSE Eurobond Indices

The indices comprise investment-grade issues with at least one year until maturity and provide a comprehensive and relevant measure of performance for Eurodollar, Eurosterling and Euroyen bonds.

FTSE Global Treasury Bill 0-1 Year Index Series

This series is designed to measure the performance of local currency sovereign treasury bill markets, where treasury bills are defined as short term treasury securities issued with time-to-maturity less than one year. Short term aggregated indices are available for each country, combining the FTSE World Government Bond 0-1 Year Index with the associated treasury bill indices as covered within the FTSE Global Treasury Bill 0-1 Year Index Series. Sub-indices are available by country and term.

FTSE Russell offers a range of indices that measure the performance of European, Middle Eastern and African (EMEA) fixed income securities including government, government-sponsored, collateralised and corporate debt. Broadly focused indices that span the entire EMEA region and measure both investment-grade and high-yield bonds are available, as are indices more narrowly focused on specific countries and/or sectors.

FTSE Pan-European Broad Investment-Grade Bond Index (PEUBIG)

Our Pan-European Bond Investment Grade Bond Index series tracks government, government-sponsored, collateralised and corporate bonds, denominated in Euro (EUR), Swiss Franc (CHF) and UK Sterling (GBP).

• FTSE Swiss Broad Investment-Grade Bond Index (CHBIG)
• FTSE UK Broad Investment-Grade Bond Index (UKBIG)

FTSE UK Domestic Broad Investment-Grade Bond Index (UKDIGBI)

This index captures the same investment choice set as the UKBIG, but with a lower minimum amount outstanding threshold, for a deeper view of the domestic market.

FTSE Euro Broad Investment-Grade Bond Index (EuroBIG®)

This index is a multi-asset benchmark for investment-grade, euro denominated, fixed income bonds. It includes government, government-sponsored, collateralised and corporate debt.

FTSE EMU Government Bond Index (EGBI)

This index measures the performance of fixed-rate, local currency, investment-grade sovereign bonds. It consists of the European Monetary Union (EMU) participating countries that meet specific criteria for market size, credit quality and barriers-to-entry.

FTSE Danish Inflation-Linked Securities Index (DKILSI)

This index measures the returns of fixed rate, local currency inflation-linked sovereign bonds that are linked to an inflation index. It tracks sovereign inflation-linked debt denominated in the domestic Danish currency.

FTSE Pan-European High-Yield Bond Index

This index comprises cash-pay, zero-to-full (ZTF), pay-in-kind (PIK) and step coupon bonds and measures the performance of high-yield corporate debt denominated in Euro, Swiss Franc and UK Sterling. To facilitate modular sub-asset class analysis and performance tracking, indices by currency denomination are available and include the FTSE Euro High-Yield Bond Index and the FTSE Sterling High-Yield Bond Index. The index is part of the broader FTSE High-Yield Bond Index Series.

• FTSE Euro High-Yield Bond Index (EHYMEUR)
• FTSE Sterling High-Yield Bond Index (EHYMGBP)

FTSE Central and Eastern Europe, Middle East, and Africa Government Bond Index (CEEMEAGBI)

This index comprises government bonds from seven CEEMEA markets, denominated in local currencies and provides a broad benchmark to measure sovereign CEEMEA markets.

FTSE Middle East and North Africa Broad Bond Index (MENABBI)

This index measures the performance of both investment-grade and highyield US dollar denominated debt issued by governments, agencies and corporations domiciled in the Middle East and North Africa. The Middle East and North Africa Broad Bond Index Excluding Israel (MENABBI Ex. Israel) excludes issuers domiciled in Israel in the Middle East and North Africa Broad Bond Index (MENABBI).

FTSE Actuaries UK Gilt Indices

A broad-based, comprehensive family of indices designed to measure the performance of eligible British Government securities, covering the conventional gilt and index-linked gilt markets.

FTSE Eurozone Bond Index Series

The Eurozone Bond Index Series measure the performance of the largest and most widely traded securities in the eurobond market. Data underlying the indices is drawn from real-time tradable prices on MTS, the first and leading electronic marketplace for cash bond trading across Europe.

FTSE/JSE Indices

FTSE Russell and the Johannesburg Stock Exchange (JSE) have developed a long-standing partnership that combines FTSE Russell’s world-class multi-asset capabilities with the regional expertise of the JSE in Africa. A diverse range of FTSE/JSE equity and fixed income indices designed to represent the perspective of both domestic and international investors are the result of this collaboration.

FTSE Euro FRN Investment Grade Bond Index (EuroFIG)

The FTSE Euro FRN Investment Grade Bond Index (EuroFIG) tracks -investment grade, Euro-denominated, government-sponsored, collateralised, and corporate floating rate notes (FRNs).

US

Canada

Latin America

FTSE Latin American Government Bond Index (LATAMGBI)

The index measures the performance of government bonds from five Latin American markets denominated in local currencies, providing a broad benchmark for sovereign Latin American markets.

FTSE Russell offers a variety of fixed income indices designed to measure the performance of the Asia Pacific region’s bond markets across various asset classes and currencies (local and USD). Particularly for China, indices are available measuring the performance of the Chinese offshore and onshore bond markets.

FTSE Asian Government Bond Index (AGBI)

Designed to measure the performance of Asian government bonds, the index provides a broad benchmark for the Asian sovereign debt market. Rules and methodologies employed are consistent with those of the FTSE World Government Bond Index (WGBI), enabling performance comparisons across sovereign debt markets.

FTSE Asia Pacific Government Bond Index (APGBI)

This index covers all FTSE Asian Government Bond Index (AGBI) countries with the addition of Australia and New Zealand, providing a broad benchmark for sovereign markets in the Asia Pacific region.

FTSE Asian Broad Bond Index (ABBI)

This index measures the performance of both investment-grade and high yield US dollar-denominated debt issued by governments, agencies and corporations domiciled in Asia (excluding Japan).

FTSE Australian Broad Investment-Grade Bond Index (AusBIG)

This index measures the performance of the Australian fixed-coupon bond market, including government, semi-government and credit markets. It covers most sectors of the investment-grade, Australian Dollar-denominated fixed income market that are accessible to Australian institutional investors.

FTSE Chinese Government and Policy Bank Bond Index (CNGPBI)

This index measures the performance of yuan-denominated fixed-rate government bonds and policy bank bonds issued in mainland China. The eligible Chinese policy bank bonds are those issued by the China Development Bank, the Agricultural Development Bank of China and the Export-Import Bank of China. Sub-indices are available by sector, including:

• FTSE Chinese Government Bond Index (CNGBI)
• FTSE Chinese Policy Bank Bond Index (CNPGI)

FTSE Chinese (Onshore CNY) Broad Bond Index (CNYBBI)

This index measures the performance of the onshore Chinese yuan denominated fixed-rate debt issued by the government, agencies and corporations in mainland China.

The FTSE Chinese (Onshore CNY) Broad Bond Index – Interbank (CNYBBI – IB) is an Interbank version of the index for investors looking to establish their exposure to Chinese onshore bonds through either China Interbank Bond Market (CIBM) direct access or the Bond Connect program. The CNYBBI – IB measures the performance of a subset of bonds from the CNYBBI and includes bonds that are traded on the CIBM.

FTSE Chinese (Onshore CNY) Broad Investment-Grade Bond Index (CNYBIG)

This index measures the performance of onshore Chinese yuan-denominated investment-grade bonds issued in mainland China. The CNYBIG includes bonds issued by Chinese government, policy bank, regional and other governments, agencies and corporations.

FTSE Chinese (Onshore CNY) Green Bond Index

Designed to provide comprehensive coverage of China’s green bond market, with sub-indices that segment the market by local vs. internationally recognised definitions. The Chinese Green Bond Index also includes indices covering the Carbon Neutrality Bond (CNB) universe whose use of proceeds are dedicated to projects that have carbon reduction benefits.

FTSE Chinese USD Broad Bond Index (CNUSDBBI)

This index measures the performance of both investment-grade and high-yield US Dollar-denominated debt issued by governments, agencies, and corporations domiciled in China. The CNUSDBBI is part of the Asian Broad Bond Index (ABBI).

Sub-indices are available in any combination of sector, maturity, and rating, e.g., FTSE Chinese USD Broad Bond Investment-Grade Index (CNUSDBBI – IG) and FTSE Chinese USD Broad Bond High-Yield Index (CNUSDBBI – HY).

FTSE Dim Sum (Offshore CNY) Bond Index

This index measures the performance of RMB-denominated “Dim Sum” bonds issued and settled outside mainland China. It includes fixed-rate securities issued by governments, agencies, supranationals and corporations.

FTSE Indian Government Bond Index

This index measures the performance of fixed-rate, local currency Indian government bonds. Sub-indices are available by maturity, and for bonds specified under the Fully Accessible Route (FAR).

FTSE Japanese Broad Investment-Grade Bond Index (JPBIG)

This index is designed to measure the performance of Japanese yen-denominated investment-grade bonds issued in the Japanese bond market. It includes fixed-rate securities that are accessible to both international and Japanese institutional investors. The JPBIG includes Japanese government bonds (JGB), government-related securities, mortgages and corporate debt. This index covers a broad array of asset classes, and sub-indices are available in any combination of asset class, maturity and rating.

FTSE Japanese Broad Bond Index (JPBBI)

This index is designed to measure the performance of Japanese yen-denominated bonds issued in the Japanese Bond market. It includes fixed-rate securities that are accessible to Japanese institutional investors. The JPBBI includes Japanese government bonds (JGB), government-related securities, mortgages and corporate debt. This index covers a broad array of asset classes, and sub-indices are available in any combination of asset class, maturity and rating.

FTSE Vietnamese Government Bond Index (VNGBI)

This index measures the performance of fixed-rate, local-currency Vietnamese government bonds.

FTSE Russell offers a range of fixed income indices designed to measure the performance of bonds issued across emerging markets globally. The indices include local currency and US dollar-denominated bonds, as well as inflation-linked, investment-grade and high yield bonds.

FTSE Emerging Markets Government Bond Index (EMGBI)

This index comprises local currency government bonds from 14 countries. Its rules and methodologies are consistent with those of the FTSE World Government Bond Index (WGBI) to enable performance comparisons across sovereign debt markets.

• FTSE Emerging Markets Government Bond Index - Capped

FTSE Emerging Markets Government Bond Index – Japanese Investment Trust (EMGBI-JIT)

This index is designed to serve as a benchmark for performance evaluation by Japanese investment trusts. The calculation methodology is based on the evaluation standards of the Investment Trusts Association of Japan.

FTSE Emerging Markets Inflation-Linked Securities Index (EMILSI)

The index measures the returns of inflation-linked bonds with fixed-rate coupon payments that are linked to an inflation index. It tracks debt from seven emerging market countries: Brazil, Chile, Colombia, Mexico, Poland, South Africa and Turkey, denominated in their respective currencies.

FTSE Argentine Inflation-Linked Securities Index (ARILSI)

This index measures the returns of fixed rate, local currency inflation-linked sovereign bonds that are linked to an inflation index. It tracks sovereign inflation-linked debt denominated in the domestic Argentine currency.

FTSE Uruguayan Inflation-Linked Securities Index

This index measures the returns of fixed rate, local currency inflation-linked sovereign bonds that are linked to an inflation index. It tracks inflation-linked debt denominated in the domestic Uruguayan currency. Wage Linked and Dual currency bonds are excluded from this index.

FTSE Emerging Markets US Dollar Government Bond Index (EMUSDGBI)

This index includes US dollar-denominated emerging market sovereign debt issued in the global, yankee and eurodollar markets. It comprises debt of more than 50 countries from Latin America, Eastern Europe, Middle East, Africa and Asia and offers geographical diversification without exposure to local currency fluctuations.

• FTSE Emerging Markets US Dollar Government Bond Index - Capped

FTSE Emerging Markets Broad Bond Index (EMUSDBBI)

This index measures the performance of investment-grade and high yield US dollar-denominated debt issued by governments, regional governments, government-sponsored entities and corporations domiciled in over 60 emerging markets.

FTSE Frontier Emerging Markets Government Bond Index Series (FRNTEMGBI)

This index series measures the performance of fixed-rate, local currency government bond markets that are classified as Frontier EM according to FTSE Russell. It is designed to provide transparency to a universe of emerging local currency government bond markets that may not yet be considered mainstream emerging markets but are sufficiently investable for global portfolio managers based on an objective set of technical criteria.

• FTSE Frontier Emerging Markets Government Bond Index Series - Capped

FTSE ESG Emerging Markets Government Bond Indices

The FTSE ESG Emerging Markets US Dollar Government Bond Index (ESG EMUSDGBI) and FTSE ESG Emerging Markets Government Bond Capped Index (ESG EMGBI-Capped) are components of the FTSE ESG Government Bond Index Series which measures the performance of sovereign bonds while incorporating a tilting methodology that adjusts index weighs according to each country’s relative Environmental, Social and Governance (ESG) performance.

FTSE Emerging Markets SDG-Aligned Bond Index Series

The FTSE Emerging Market SDG-Aligned Bond Index Series (FTSE EM SDG-Aligned Bond Index) comprises a set of indices that are designed to align aspects of the United Nation’s Sustainable Development Goals (SDGs) to an emerging markets bond universe while also incorporating additional Carbon Emissions reductions.

FTSE Emerging Markets 0+ Years Indices

The FTSE Emerging Markets Government Bond 0+ Years Index and the FTSE Emerging Markets Inflation-Linked Securities 0+ Years Index are components of the FTSE 0+ Years Fixed Income Index Series, which consists of indices tracking the universe of securities that meet the eligibility criteria for existing FTSE Fixed Income Indices through to maturity, providing both the short-term view, as well as hold-to-maturity functionality. Indices are constructed using logical, granular building blocks, allowing for flexible customisation across any combination of sector, quality or term depending on the index universe.