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  3. Americas Fixed Income Indexes

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.

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 unregistered form.

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 (USLPF)

  • 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.

Canada

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.

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.