The FTSE Nomura Climate Risk-Adjusted Carry and Roll Down World Government Bond Index Series (FTSE Nomura Climate CaRD WGBI) seeks to reflect a targeted exposure to the sovereign bonds in the FTSE Climate Risk-Adjusted World Government Bond Index (FTSE Climate WGBI, the “base universe”). The index series aims to maximize the carry and roll down of the index subject to duration and country weight constraints of the Climate WGBI, supporting global fixed income investors to incorporate climate risk considerations while providing flexibility on optimizing factor variants.
The weightings for each security within the Index are determined by an optimization process that aims to maximize the rolling yield return, i.e., Carry (yield) and Roll Down (returns from shortening of bond maturity and positive yield curve roll down) of the Index subject to duration and country weight constraints of the Base Universe.
The base universe measures the performance of fixed-rate, local currency, investment-grade sovereign bonds based on the market capitalization of its index eligible debt in the FTSE World Government Bond Index, as well as by incorporating a tilting methodology that adjusts index weights according to each country’s relative climate risk performance, measured across three distinct and quantitative, climate-related pillars: transition risk; physical risk; and resilience.
The series comprises:
Index rules should be read in conjunction with supportingFTSE Russell noticesThese notices advise of advance changes in index methodology, which may not be reflected in index rules until the change effective date. The notices may also communicate revisions in index treatment in the period up to a rule change.