Citi RAFI Sovereign Developed Markets Bond Index Series
The Citi RAFI Sovereign Developed Markets Bond 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.
Citi Fixed Income Indices (Citi) and Research Affiliates, creator of Research Affiliates Fundamental Index* (RAFI*) methodology, have developed a new series of fundamentally weighted bond indices. The Citi RAFI Sovereign Developed Markets Bond Index is an index in the Citi RAFI Bond Index Series.
The Master Index represents the entire universe of eligible bonds within the selected countries.
The Liquid Index aims to replicate return and duration of the Master Index using a smaller subset of easily investable bonds within the universe of eligible bonds.
All Citi RAFI Bond Indices will be 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.
*Please see important information at the bottom of this page.
Range of indices combining Citi's expertise in fixed income index design and production with Research Affiliates' innovative Fundamental Index methodology.
Profile and Performance Metrics
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Comparative Analysis of Market Value % by Country (as of 12/31/12)
Source: Citi, Research Affiliates LLC.
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Region Summary (as of 12/31/12)
Regional Breakdown
Source: Citi, Research Affiliates LLC.
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Rating Summary (as of 12/31/12)
Index Rating
Source: Citi, Research Affiliates LLC.
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Returns (in%, as of 12/31/12)
Source: Citi, Research Affiliates LLC.
Performance may be positive or negative. Past performance is not an indication of future results. Backdated data from 09/30/01 through 12/31/11. Live data from 01/01/12 through 12/31/12.
3 Not Annualized.
Additional Information
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Eligibility and selection criteria
The Citi RAFI Sovereign Developed Bond Index selects countries based on Citi's Index eligibility criteria1 for issue size, maturity and credit quality. Each country's eligibility will be verified once per year, except that any country downgraded below investment grade will be removed for the following month's index with the remaining countries rescaled.
The weights for each country also will be determined once per year based on Research Affiliates' Fundamental Index methodology, which determines weights according to fundamentals unrelated to a country's amount of debt outstanding.
Research Affiliates' Innovative Fundamental Index Methodology
Holdings are weighted based on metrics that signify the importance of a country in the world economy:Population Size of the available labor pool GDP Gauge of the size of an economy Energy consumption Measure of the energy that goes into production of goods and services Rescaled land area Gauge of access to resources 1 For more information refer to the Citi Global Fixed Income Index Catalog
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Maturity breakdown A standard maturity breakdown: 1-3,3-5,5-7,7-10 and 10+ is available.
Additional maturity bucketsMinimum maturity One year average life Minimum outstanding Each country will follow the Citi Index Methodology 1 Minimum credit quality BBB- by S&P or Baa3 by Moody's Weighting Fundamental Index Methodology by Research Affiliates Calculation frequency Daily Settlement date convention Monthly - last calendar day
Daily - same day except last business day of the month, when settlement is last calendar day.Rebalancing Monthly Cash flow reinvestment Daily average of local currency one-month Eurodeposit rate Bond valuations Citi Base date September 30th, 2001 Included markets Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Ireland, Israel, Italy, Japan, Korea, Netherlands, New Zealand, Norway, Singapore, Spain, Sweden, Switzerland, United Kingdom, United States Currencies Australian Dollar (AUD), Canadian Dollar (CAD), Danish Krone (DKK), Euro (EUR), Israeli Shekel (ILS), Japanese Yen (JPY), Korean Won (KRW), New Zealand Dollar (NZD), Norwegian Krone (NOK), Singapore Dollar (SGD), Swedish Krona (SEK), Swiss Franc (CHF), UK Sterling (GBP), US Dollar (USD) 1 For more information refer to the Citi Global Fixed Income Index Catalog
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Bloomberg CRFDMU - Citi RAFI Sovereign Developed Markets Bond Index Master in USD terms
CRFDU - Citi RAFI Sovereign Developed Markets Bond Index trquid in USD termsFor more information of the Citi RAFI Sovereign Developed Markets Bond Index Series, please go to:
- • Citi Fixed Income Index website: www.yieldbook.com
- • Research Affiliates website: www.researchaffiliates.com
- • Yield Book
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.