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  3. Thematic and Alternatively Weighted Fixed Income Indexes

Thematic and Alternatively Weighted Fixed Income Indexes

FTSE Russell offers a variety of fixed income indexes that are designed to capture particular investment themes. In some cases, the indexes are calculated using alternative weighting methodologies. This includes weighting by the market capitalization of an issuer’s outstanding debt, “fallen angels” weightings and weighting index constituents based on fundamental measures.

FTSE Climate Risk-Adjusted World Government Bond Index

  • The FTSE Climate Risk-Adjusted World Government Bond Index (Climate WGBI) is designed to measure the performance of fixed-rate, local currency, investment-grade sovereign bonds in the FTSE World Government Bond Index (WGBI) incorporating a tilting methodology that adjusts index weights according to each countries’ relative climate risk performance.

FTSE Debt Capacity World Government Bond Index (DCWGBI)

  • The index measures the performance of fixed-rate, local currency investment-grade sovereign bonds with a focus on countries with lower debt issuance relative to their GDP and stronger debt servicing capabilities. Comprising sovereign debt from over 20 countries, it is denominated in a variety of currencies.

FTSE MPF World Government Bond Index (MPF WGBI)

  • The FTSE MPF World Government Bond Index is designed to help users meet the regulatory requirements governing investments in debt securities by Hong Kong Mandatory Provident Fund schemes. The index is based on the FTSE World Government Bond Index (WGBI), which measures the performance of fixed-rate, local currency investment-grade sovereign bonds. The index incorporates additional criteria as stipulated by the Mandatory Provident Fund Schemes (General) Regulation and Guidelines on Debt Securities.

FTSE Time-Weighted US Fallen Angel Bond Index

  • The index measures the performance of “fallen angels” — bonds that were previously rated investment-grade but were subsequently downgraded to high yield. It includes US dollar-denominated bonds issued by corporations domiciled in the US or Canada. The index’s constituent weights are determined based on the time from inclusion in the index.

FTSE RAFI Sovereign Developed Markets Bond Index Series

  • The index series seeks to reflect exposure to the government securities of a universe of developed markets. By weighting components by their fundamentals, the indexes aim to represent each country’s economic footprint, which is correlated to the country’s ability to service its debt.

FTSE RAFI Sovereign Emerging Markets Local Currency Bond Index

  • The index seeks to reflect exposure to the government securities of a universe of emerging markets. By weighting components by their fundamentals, the index aims to represent each country’s economic footprint, which is correlated to the country’s ability to service its debt.

FTSE RAFI World Corporate Investment-Grade Bond Index

  • The index weights a company’s debt according to fundamental measures of the company’s debt service capacity rather than solely on the amount of debt outstanding, providing an alternative approach to investable fixed income indexes.

FTSE Pension Liability Index

  • The index represents the single discount rate that would produce the same present value as calculated by discounting a standardized set of liabilities using the FTSE Pension Discount Curve. Monthly returns and durations for the FTSE Pension Liability Index liabilities are also made available.