Thematic and Alternatively Weighted Fixed Income Indices

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

The FTSE Fixed Income Core Infrastructure Index Series is comprised of broad market multi-currency indices designed to reflect the performance of infrastructure debt securities issued by corporate and quasi-government issuers worldwide. The indices track investment-grade and high-yield markets across several major currencies, diversified across the three FTSE Russell-defined “core” infrastructure sectors.

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.

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.

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.

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

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