Fixed Income Indices

Benchmarks covering global sovereign bonds; Canadian, Singapore and Malaysia corporate bonds; Sukuk and CDS.

Highlights

  • Transparent methodologies
  • Multiple bond classes covered
  • Offer various liquidity levels

Intended for

  • Custodian
  • Fund Manager
  • Research Analyst

Description

Used as benchmarks for bond portfolio management and indicators of bond market performance for over 20 years, Thomson Reuters provides high quality measurement of multiple developed and emerging markets at various levels of liquidity, maturity and risk.

Thomson Reuters Global Sovereign Bond Indices cover 24 developed and 7 emerging markets. In addition, Thomson Reuters Canadian Fixed Income Indices and Thomson Reuters/SGX Singapore Fixed Income indices (SFI) offer comprehensive sovereign and corporate bond benchmarks for each respective market.

Investors and analysts focusing on and holding Malaysian bonds and Sukuk can benefit from Thomson Reuters BPA Malaysia indices which offer the most comprehensive, independent and transparent benchmarks available for these markets.

CDS indices are also available in order to track credit risk in various regions.

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Features

Benefits

Thomson Reuters Sovereign Bond Indices:

Calculated  for over 20 years  according to the EFFAS rules for bond indices. Each index only contains bonds that follow the agreed rules and all indices have been rigorously back tested, resulting in indices that are as transparent and internationally recognized as possible. The indices enable analysts and investors to fairly compare bond market trends across various geographical regions.

Thomson Reuters Canadian Fixed Income Indices:

Utilize the same EFFAS index methodology as Thomson Reuters Sovereign Bond indices, offering 9 bond maturity bands for corporate, provincial and government issues divided into financial, non-financial and industrial sectors. The indices benefit from Comprehensive coverage of all Canadian bonds, offering many alternatives to existing local bond indices.

Thomson Reuters/SGX Singapore Fixed Income Indices (SFI):

Are the first fixed income indices to include Singapore sovereign, corporate and statutory board issues, with history available from January 2009, based on Thomson Reuters evaluated prices. The SFI series offers independently priced, deep and representative index coverage of Singapore bond markets at varying levels of maturity, risk and focus.

Thomson Reuters Bond Pricing Agency Malaysia Indices:

Cover the entire local bond universe, offering government bonds, corporate bonds and Sukuk. The series offers the most representative Malaysian fixed income indices available for benchmarking and analytical purposes whilst providing more liquid variants for the purpose of building investment products.

Thomson Reuters Global Sukuk Index:

Covers zero coupon and fixed coupon global Sukuk for both government and corporate sectors. The index offers an independent and comprehensive benchmark for investors seeking access to Shariah compliant fixed income investments across the world.

Thomson Reuters CDS Indices:

Volume weighted indices, with constituents handpicked by major regional dealers to reflect liquidity, offering investors the option to hedge against movements in credit across a range of  sovereign names across Latin America, Europe and Asia.

Press Release

Thomson Reuters and SGX launch a comprehensive, independently priced index series for Singapore bonds.

Comprehensive index series for Singapore bonds supports market participants' need for independently priced investments

Press Release

Thomson Reuters announces Northern Trust as the first asset servicing provider to adopt equity and fixed income benchmarks

Northern Trust is first asset servicing provider to offer the new solution to institutional fund clients for benchmarking purposes

Video

Thomson Reuters Knowledge Network: Canadian Fixed Income Indices

Client training video for accessing Thomson Reuters Canadian Fixed Income indices on Thomson Reuters Datastream

Thomson Reuters Sovereign and Canadian Bond Index Basic Principles

Indices include straight bullet bonds; callable bonds; bonds with serial redemptions; bonds with purchase funds; partly paid bonds and graduated rate bonds with more than 1 year maturity. They are weighted by nominal market value outstanding and are rebalanced on a monthly basis. Constituent bond prices are provided by Thomson Reuters Pricing Service, contributed composite pricing and official exchange prices. Clean price, gross price and total returns are available for each index as well as a number of analytics such as duration, convexity, current yield and more.

Thomson Reuters/SGX Singapore Bond Index Basic Principles

Indices follow the same basic principles as Thomson Reuters Global Sovereign and Canadian Bond Indices. Bond prices are provided exclusively by Thomson Reuters Pricing Service to maximise independence.

Thomson Reuters Bond Pricing Agency Malaysia index series details

Thomson Reuters BPA Malaysia indices combine BPA Malaysia’s extensive experience of consistent and market neutral valuations with years of index calculation experience at Thomson Reuters.
The family of indices include 369 Malaysian Ringgit Sukuk and bond indices comprising 123 Thomson Reuters-BPAM Malaysian Sukuk Indices, 123 Thomson Reuters-BPAM Malaysian Bond Indices and 123 Thomson Reuters-BPAM All Bond and Sukuk Indices covering 876 issues. The Indices cover six bond classes, are archived back to 2007 and have total market capitalization of MYR709,600 million (US$229 billion).
Highly liquid index variants which feature only the top 5 bonds by volume are also available, making them ideal for use as investment products.
To view the indices on Thomson Reuters Eikon or Reuters 3000 Xtra, please use the RIC: 0#BPAMINDEX

Thomson Reuters Global Sukuk Index rules overview

Pricing evaluations are produced using two primary methodologies: Model and Dollar Pricing. Most issues priced by the model approach incorporate a benchmark for each market, credit spreads and other variables. Dollar pricing is applied mainly to issues that are unique in their structure or to high –yield securities particularly when the issuer of those securities has defaulted on a bond or has fallen below investment grade. All issues are individually priced and inputs include quotes from the primary dealer and other market makers, and traded prices in the security.
The index is dollar denominated and rules for inclusion will be sukuk with amount outstanding of not less than $100 million and above.
For more information, download the fact sheet.

Thomson Reuters CDS index series details

Thomson Reuters CDS indices are volume-weighted and comprise constituents hand picked by major regional dealers to reflect liquidity. Index constituents are reviewed with participating dealers every six months prior to rolls.
Thomson Reuters CDS Indices are available on Thomson Reuters Eikon andReuters 3000 Xtra from the speedguide and include the following markets:

  • Reuters Insider Eurozone Index
  • Thomson Reuters Emerging Europe Index
  • Thomson Reuters Reinsurance Index
  • Thomson Reuters Emerging Asia Index
  • Thomson Reuters Latam Index
  • Thomson Reuters Counterparty Default Senior Index
  • Thomson Reuters Counterparty Default Subordinate Index
  • Lucas Garland

    Head of Product Management, Indices

Download Fact Sheet

Fact Sheets