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Citi Fixed Income Indices

Citi RAFI Bonds Index Series

Citi Fixed Income Indices (Citi) and Research Affiliates have developed a new series of investable bond indices based on the Research Affiliates' Fundamental Index1 (RAFI1) methodology. The Citi RAFI Bonds Index Series includes sovereign and corporate bond indices and uses fundamental measures to weight the index components. The Citi RAFI Bonds Index Series weights index components by the issuer's economic footprint and proxies for ability to service debt. This provides an alternative to market capitalization weighting, where index components are weighted by the issuer's amount of outstanding debt.

Index Description  
Citi RAFI Sovereign Developed Markets Bond Index Series

This index series seeks to reflect exposure to the government securities of a universe of 23 developed markets. By weighting components by their fundamentals, the indices aim to represent each country's economic footprint and proxies for its ability to service debt.

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Citi RAFI Sovereign Emerging Markets Local Currency Bond Index Series

This index series seeks to reflect exposure to the government securities of a universe of 14 emerging markets. By weighting components by their fundamentals, the indices aim to represent each country's economic footprint and ability to service debt.

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Citi RAFI World Corporate Investment-Grade Bond Index

This index seeks to reflect exposure to global corporate investment-grade securities denominated in AUD, EUR, GBP, JPY and USD. By weighting components by their fundamentals, the index aims to represent each issuer's economic footprint.

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1 Please see important information at the bottom of this page.

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Additional Information

About Index Series
Methodology
Citi Expertise
Accessing Index Data

  • A Strategic Partnership

    Citi brings its expertise and experience in fixed income index related products and services to provide stable and replicable indices.

    Research Affiliates brings its research strength, product development capabilities and pioneering proprietary methodology on securities selection and weighting based on fundamental measures.

    The Citi RAFI Bonds Index Series is available in Yield Book, Citi's web-based analytical tool that enables clients to manage their portfolios against various indices, analyze portfolio positions, quantify risk and identify drivers of performance.
    Citi RAFI Bonds Index Series
    Citi RAFI Sovereign Developed Markets Bond Index Series
    Citi RAFI Sovereign Emerging Markets Local Currency Bond Index Series
    Citi RAFI World Corporate Investment-Grade Bond Index
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    A Strategic Partnership

    Citi brings its expertise and experience in fixed income index related products and services to provide stable and replicable indices. Research Affiliates brings its research strength, product development capabilities and pioneering proprietary methodology on securities selection and weighting based on fundamental measures. The Citi RAFI Bonds Index Series is available in Yield Book, Citi's web-based analytical tool that enables clients to manage their portfolios against various indices, analyze portfolio positions, quantify risk and identify drivers of performance.

    Citi RAFI Bonds Index Series Breakdown Chart

  • Research Affiliates' Innovative Fundamental Index® Methodology

    An alternative approach to securities weighting
    Traditional fixed income indices use market capitalization weights which tend to increase exposure to issuers as they become more indebted.

    Research Affiliates has developed an innovative methodology for constructing indices which determines component weightings based on fundamental measures.

    The essence of this approach is to focus on capturing the economic “footprint” of a sovereign or company, which is correlated with its ability to service its debt

    Simultaneously, Research Affiliates' Fundamental Index® methodology preserves the advantages of passive investing:

    • Diversification
    • Liquidity
    • Transparency
    • Broad economic representation
    • Limited transaction costs

    Sovereign index methodology
    Holdings are weighted based on metrics that signify the importance of a country in the world economy: Population, GDP, Energy consumption, Rescaled land area

    Corporate index methodology
    Holdings are weighted based on two measures that reflect a company’s debt service capacity: Cash flow and Long-term assets

    Note that the Fundamental Index® factors:

    • are not correlated, or have very low correlation, with market value
    • are not affected by investor behavior
    • reflect objective measures of relative size

    An approach for an inefficient market
    Research Affiliates believes that markets are not perfectly efficient and that this inefficiency is particularly evident in the sovereign debt markets.

    Why should someone deliberately choose to lend more to entities who are more deeply in debt?

    Weighting countries based on their economic fundamentals instead of their outstanding debt moderates exposure to more indebted countries.

  • Citi's Expertise in Index Design and Production


    A recognized fixed income index provider with more than 30 years of experience

    Experience in Indexing
    Citi has been producing fixed income indices for more than 30 years. Citi's indices have been widely used in ETFs, structured products and swaps.

    Desirable Index Qualities
    Indices are governed by objective design criteria, striking a balance between comprehensiveness and replicability. These index qualities are important to active managers, who strive to beat their benchmark, and to passive managers, who strive to minimize tracking error.

    Coverage
    Citi's fixed income indices offer a broad array of currencies, regions, asset classes, and credit qualities.

    Fixed Income Analytics
    All Citi's fixed income indices are available in Yield Book, Citi's portfolio analytics system for index analysis and risk management.

    Citi's Expertise in Index Design and Production Graph
  • For more information about the Citi RAFI Bonds Index Series, please go to:
    Bloomberg
    • CRFDMU Citi RAFI Sovereign Developed Markets Bond Index Master in USD terms
    • CRFDU Citi RAFI Sovereign Developed Markets Bond Index Liquid in USD terms
    • CRFELMU Citi RAFI Sovereign Emerging Markets Local Currency Bond Index Master in USD terms
    • CRFEMLU Citi RAFI Sovereign Emerging Markets Local Currency Bond Index Liquid in USD terms
    • CRFWCIGU Citi RAFI World Corporate Investment-Grade Bond Index in USD terms

NOTICE: The names of the indexes are changing from “Citi [Name of Index]” to “FTSE [Name of Index]”. By July 31, 2018, the transition will be complete and the use of the “Citi” name in the name of the indexes will cease. A full list of the Citi index names and the new FTSE names can be found here.

FTSE Fixed Income LLC and Research Affiliates, LLC have agreed to jointly create and distribute investable fixed income indices (the "Citi RAFI Bonds Index Series") based on Research Affiliates' patented Fundamental Index® methodology. All intellectual property, including trademarks, contributed by Research Affiliates, LLC and FTSE Fixed Income LLC shall remain solely vested with the respective contributor.

As of August 31, 2017 Citi Fixed Income LLC has changed its name to FTSE Fixed Income LLC ("FTSE"). Citi is a trademark and service mark of Citigroup Inc. or its affiliates, is used and registered throughout the world and is used by FTSE under license. The trade names Fundamental Index®, RAFI®, and the Research Affiliates corporate name and logo are the exclusive intellectual property of Research Affiliates, LLC and are registered trademarks in the United States and other countries. Any use of Research Affiliates, LLC's trade names and logos without the prior written permission of Research Affiliates, LLC is expressly prohibited and Research Affiliates, LLC reserves the right to take any and all necessary action to preserve all of its rights, title and interest in and to these marks. Various features of the Fundamental Index® methodology, including an accounting data-based non-capitalization data processing system and method for creating and weighting an index of securities, are protected by various patents, and patent-pending intellectual property of Research Affiliates, LLC. (See all applicable US Patents, Patent Publications, and Patent Pending intellectual property located at http://www.researchaffiliates.com/Pages/legal.aspx#d, which are fully incorporated herein.)

© 2018, FTSE Fixed Income LLC. All rights reserved. © 2018, Research Affiliates, LLC. All rights reserved.

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