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. Please note that during this transition period, there may be a short time where updated materials that contain the new FTSE index names will co-exist with legacy materials that still contain the legacy Citi index names.

Effective April 29, 2022, the Index Data Subscription Service page on the Yield Book Website will be decommissioned and its content will no longer be updated. For information on FTSE Fixed Income Indices, please visit FTSE Fixed Income Indices or contact fi.index@lseg.com.
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Data Subscription Services

There's More Than One Way to Access Fixed Income Indexes

Index Web Site

Qualified institutional buy-side investors can register on the Web site to access a wealth of index information such as sector-level profile and returns reports, historical data, index-related publications, periodic news and announcements and some basic constituent data.

Additional data sets covering detailed index constituents (issue-level data) are available upon request for a fee (Premium Packages).

Data is offered only to qualified institutional buy-side investors and usage is subject to specific restrictions including prohibition on redistribution. If you are not a qualified institutional buy-side investor, please contact us for our commercial terms.

 


 

Financial News Organizations and Data and Analytic Vendors

Information on fixed income indexes is made available through financial news and other organizations, as well as data and analytic vendors.

One can also get extensive information from many independent sources. The level of data carried by these services varies from monthly sector level returns to details on the individual security holdings of each index. The level of detail and coverage is solely at the discretion of each representative vendor.

To view the complete list, visit the Index Guide.

 


 

Yield Book

Fixed income indexes are also available in Yield Book, a leading portfolio analytics platform for benchmark analysis and risk management.

To access index data via Yield Book, please contact sales@yieldbook.com.

 

Source: FTSE Russell. For illustrative purposes only.

 



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Copyright © 2020 FTSE Fixed Income LLC

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Our Index Family

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Customization Capabilities

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Citi Fixed Income Indices Family Tree

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WGBI Monthly Returns

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Index Custom Report

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Yield Book - Return Attribution Summary

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Citi Fixed Income Indices on Citi Velocity

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Sector Level - Monthly Profile

This report provides monthly index profile information, at a sector level.

Reported analytics include:
  • number of issues
  • par value
  • market value
  • market weight
  • coupon
  • average life
  • credit quality
  • different types of yield (e.g. yield-to-maturity, yield-to-worst)
  • different measures of duration (e.g. modified duration, effective duration)
  • different types of spreads (e.g. OAS to Treasury, OAS to Swap)
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Sector Level - Monthly Profile

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Sector Level - Monthly Returns

This report provides monthly index returns, at a sector level. Returns are provided in local currency terms or in selected currencies (such as USD, EUR, JPY, GBP) hedged or unhedged.

Reported analytics include:
  • index level
  • monthly returns
  • cumulative returns
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Sector Level - Monthly Returns

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Sector Level - Monthly Profile Fixing

On each monthly index fixing date, publically available information is used to determine index eligibility and indicative values for the following month's index profile. This report is the index's preliminary profile, setting out the anticipated composition of the index.

The purpose of the report is to enable those tracking Citi's fixed income indices to anticipate changes to index composition, providing clarity and time to effect any consequent portfolio rebalancing.

Information, that is provided at a sector level, includes:
  • Market weight changes (%) from the previous month-end
  • Duration changes from the previous month-end
  • Spread changes from previous month-end
  • Preliminary index profile for the coming month

A separate report is published on monthly changes, at a constituent level, as a result of the monthly fixing. The report includes securities added, deleted, and changes, such as rating or outstanding amount, along with their their descriptive characteristics (i.e. cusip, ISIN, ticker, coupon, maturity, par amount, currency, industry code classification and credit quality).

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Sector Level - Monthly Profile Fixing

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Sector Level - Daily Profile and Returns

This data file provides daily index profile and index return information, at a sector level.

Reported analytics include:
  • number of issues
  • par value
  • market value
  • coupon
  • average life
  • credit quality
  • price
 
  • different types of yield (e.g. yield-to-maturity, yield-to-worst)
  • different measures of duration (e.g. modified duration, effective duration)
  • different types of spreads (e.g. OAS to Treasury, OAS to Swap)
  • returns (in local currency terms or in selected currencies such as USD, EUR, JPY, GBP, hedged or unhedged)
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Issue Level - Monthly Profile

This data file provides basic monthly profile information, at a constituent (issue) level.

Descriptive information provided on each issue includes:
  • cusip
  • ISIN
  • SEDOL
  • ticker
  • description
  • coupon
  • maturity date
 
  • country
  • currency
  • credit quality
  • industry classification
  • rating sector
  • security sector
  • index weight
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Issue Level - Detailed Monthly Profile

This data file provides detailed monthly profile information, at a constituent (issue) level.

Descriptive information on each issue includes all the data that is available in the basic monthly profile report and additionally:
  • par amount
  • market value
  • average life
  • accrued interest
  • price
  • call date
  • coupon frequency
  • different types of yield (e.g. yield to maturity, yield to worst)
  • different measures of duration (e.g. modified duration, effective duration)
  • different types of spread (e.g. OAS to treasury, OAS to swap)
  • convexity
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Issue Level - Detailed Monthly Profile and Returns

This data file provides detailed monthly profile and return information, at a constituent (issue) level.

This report supplements the information available on the detailed monthly profile report with measures of return:
  • monthly principle return
  • monthly income return
  • monthly reinvestment return
  • monthly total return
  • year-to-date total return
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Issue Level - Detailed Daily Profile and Returns

This data file provides detailed daily profile and return information, at a constituent (issue) level.

The report includes the same information as the detailed monthly profile and return report.

Additionally, it includes daily total returns on each issue.
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Licensing

FTSE's range of fixed income indexes are designed, calculated, and published by FTSE Index and may be licensed for use as underlying indexes for OTC or exchange-traded derivatives and investment products, including ETFs, swaps, structured products, warrants, and certificates. Leading financial institutions that issue these instruments depend on FTSE Fixed Income Indexes for the creation of their index-based investment products.