Americas Fixed Income Indexes

US

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 are available.

Russell Fixed Income Index Series

• This series is designed to track the US corporate bond market by focusing on the debt of the large, publicly traded companies (and the debt of their US-domiciled subsidiaries) that make up the Russell 3000® equity index. The Russell 3000 Fixed Income Index comprises the Russell 1000® Fixed Income Index and the Russell 2000® Fixed Income Index sub-indices.

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, government sponsored, collateralized, and corporate debt.

FTSE US Preferred Stock and Hybrids Index

• Designed to provide a performance measure of preferred stock and other hybrid instruments issued in the US and denominated in USD. Hybrid securities exhibit both bond- and equity-like features.

FTSE US High-Yield Market Index

• The FTSE US High-Yield Market Index is a US Dollar-denominated index which measures the performance of high–yield debt issued by corporations where Country is assigned as Australia, Belgium, Canada, France, Germany, Italy, Japan, the Netherlands, Sweden, Switzerland, the United Kingdom and the United States according to FTSE Fixed Income Methodology. The index is part of the broader FTSE High-Yield Bond Index Series.

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 Treasury 0-1 Year Index

• The FTSE US Treasury 0-1 Year Index is designed to measure the performance of US Treasury bills, US Treasury notes, and US Treasury bonds with time-to-maturity greater than or equal to one month and less than 1 year.

FTSE US Treasury Floating-Rate Note Index

• The FTSE US Treasury Floating-Rate Note Index is designed to measure the performance of US Treasury floating-rate notes with time-to-maturity greater than or equal to one month.

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 US Large Pension Fund Index (USLPF)

• The index provides a benchmark for pension funds seeking to establish long-term core portfolios that more closely match the longer duration of their nominal dollar liabilities.

Canada

FTSE Canada Fixed Income Indexes [local market indexes]

• 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 Canada Broad Investment Grade Bond Index (Canada BIG)

• The FTSE Canadian Broad Investment Grade Index is a component of the FTSE World BIG Index and measures the performance of the Canadian dollar investment-grade fixed income market and includes debt issued by government, government sponsored, and corporate entities.

The FTSE Canada Broad Bond Index (Canada BBI)

• The FTSE Canada Broad Bond Index is a component of the FTSE World BBI Index and measures the performance of the Canadian dollar investment-grade and high-yield fixed income market and includes debt issued by government, government sponsored, and corporate entities.

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.