Americas Fixed Income Indexes
FTSE Russell offers a comprehensive range of indexes to measure the performance of the US fixed
income market. Indexes covering a multitude of asset classes across multiple maturities and credit qualities
FTSE US Broad Investment-Grade Bond Index (USBIG®)
- Designed to track the performance of US dollar-denominated bonds issued in
the US investment-grade bond market. It includes US Treasury, governmentsponsored,
collateralized, and corporate debt.
FTSE US High-Yield Market Index
- A US dollar-denominated index that measures the performance of high–
yield debt issued by corporations domiciled in the US or Canada. It includes
cash-pay, deferred-interest securities, and debt issued under Rule 144A in
FTSE US Municipal Tax-Exempt
Investment-Grade Bond Index
- Designed to provide broad, representative coverage of the US municipal
bond market, including granular sub-indexes to allow for greater visibility and
analysis of the municipal bond market structure.
FTSE US Treasury Bill Indexes
- Designed to measure the return equivalents of yield averages and are not
marked to market. For example, the FTSE US Six-Month Treasury Bill Index
is an average of the last six 6-month Treasury bill month-end rates. Versions
comprised of the last one 1-month Treasury bill month-end rate and the last
three 3-month Treasury bill month-end rates are available.
FTSE US Treasury STRIPS Index
- Represents a comprehensive selection of long-duration market sectors,
thereby improving the customization possibilities otherwise unavailable. The
index offers a wide range of duration choices and can also be combined with a
variety of USBIG sectors if a core spread product exposure is desired.
FTSE US Mortgage Index
- The FTSE US Mortgage Index comprises 30- and 15-year TBA deliverable pass-through mortgage backed securities (MBS) guaranteed by Freddie Mac (FHLMC), Fannie Mae (FNMA), and Ginnie Mae (GNMA). It is rebalanced each month to reflect new issuance and principal pay-downs. The index is represented by cohorts which are constructed by aggregating all mortgage pools by coupon, agency, programs and origination years.
FTSE Mortgage Float-Adjusted Index
- This index measures the mortgage component of the US Broad Investment-
Grade Bond Index excluding all pass-throughs currently backing CMOs.
FTSE US Large Pension Fund Index
- The index provides a benchmark for pension funds seeking to establish longterm
core portfolios that more closely match the longer duration of their
nominal dollar liabilities.
FTSE Russell offers over 600 indexes across more than 20 series measuring the performance of the Canadian
bond market, including the flagship FTSE Universe Bond Index. This comprehensive suite of indexes covers
a multitude of debt types across multiple maturities, sectors, and credit qualities. A variety of thematic and
alternatively-weighted indexes are also available.
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.