markit iboxx bond indices - markit products · pdf filemarkit iboxx bond indices content ......
Post on 27-Mar-2018
218 Views
Preview:
TRANSCRIPT
Markit iBoxx Bond Indices
Content. Valuations. Processing. Distribution.www.markit.com.
MK-0001-07 iBoxx 121107 13.11.2007 11:47 Uhr Seite 3
Introduction
Markit is the leading independent fixed income index provider committed to open and transparent markets.Markit iBoxx indices are the benchmarks of choice for asset managers, investors and investment banks. They are designed to be objective representations of the markets, and are produced to the highest qualitystandards. The indices are strictly rules-based and are calculated using the best market prices from multiplecontributors, each a leading market maker. Rigorous controls ensure a robust production process and highquality indices. Markit provides access to all indices, bond levels and detailed analytics, thus making them ideal for fixed income research, essential for asset allocation and indispensable for performance evaluation.
Markit iBoxx Index Families
Markit iBoxx indices are structured in a global hierarchy supported by several regional families to address the needs of international and local fixed income market participants. Each index family has a consistent set of rules governing index membership that reflects local conditions and enables interaction with other index families. The drill-down structure allows investors to select and analyse suitable benchmarks that reflect theirspecific investment profile and shows index details by maturity, rating and sectors.
Markit iBoxx Indices
Global
Markit iBoxx Global Inflation-Linked IndicesMarkit iBoxx Global Inflation-Linked indices cover the sovereign and quasi-sovereign inflation-linked bond markets in investment grade countries. Local currency indices aggregate into regional indices and the top-level global inflation-linked index. All local and aggregate indices are calcu-lated hedged and unhedged in several major currencies. The Markit iBoxx Global Inflation-Linked indices are fully rules-based, transparent, objective and constructed to the same rigorous specifications as other iBoxx index families. International investors and financial institutions now have accurate bench-marks for gauging performance and a platform for producing research and developing structured products.
Country weights – Inflation-Linked Index - 1. Nov. ’07
CanadaGermany
Italy
Greece
France
Japan
United States
UK
Sweden
Inflation-Linked
America
Ben
chm
ark
Indi
ces
Trad
able
Indi
ces
Europe Asia
US Dollar
Euro
Country Indices
$ Liquid
$ Pension Liability
Pound Sterling
€ Liquid
£ Liquid
Euro High Yield
Asia
JGB
MK-0001-07 iBoxx 121107 13.11.2007 11:47 Uhr Seite 4
America
Markit iBoxx USD IndicesThe Markit iBoxx USD index family covers USD investment grade bonds. Following market conventions, theindices offer three distinct views of the market, one for domestic US investors (including domestic and globalbonds), one for international investors focussing on international USD bond issues (global and Eurodollar) andan overall view covering all USD-denominated bonds. Each view is complete with a Treasuries index, an indexfor US Agencies and several indices for other quasi-sovereign issuers. Both industry and sub-sector indices are calculated for corporate bonds. Rating and maturity indices complete the index family.
USD Index (Market Value $ bn) Sector composition USD Corporates
Markit iBoxx USD Liquid IG IndexThe Markit iBoxx USD Liquid IG index is a subset of the broader USD corporate bond market. It is designedto provide balanced representation of the USD investment grade corporate market by means of the most li-quid corporate bonds available. The index may be replicated by portfolio managers or used as the basis of atradable portfolio. The 100 bonds in the index are equally price-weighted.
Markit iBoxx USD Liquid HY IndexThe Markit iBoxx USD Liquid HY index is designed to meet investor demand for a USD-denominated, liquidand representative high yield index. It consists of sub-investment grade USD bonds issued by corporate bor-roweers and is designed to provide a balanced representation of the USD high yield corporate market by themeans of the most liquid high yield corporate bonds available. The 50 bonds in the index are equally price-weighted.
Markit iBoxx US Pension Liability IndicesThe Markit iBoxx US Pension Liability indices, a three-index set of benchmarks that reflects pension liabilityperformance, were launched to help plan sponsors, consultants and investment managers construct moresuccessful liability-based investment strategies:
• iBoxx US Pension Index – Aggregate
• iBoxx US Pension Index – Active Member
• iBoxx US Pension Index – Retired Member
The indices are published daily based on actual liability profiles and provide the flexibility to use combinationsof the three indices in order to accurately represent customized liability profiles.
US Agencies
Non-USAgencies
SovereignsOther
Financials
Non-Financials
Financials Non-Financials
CorporatesTreasuries Sovereigns/Sub-
Sovereigns
Tech.
Telecoms
Oil & Gas
Inds.
Health Care
Cons. Svcs
Utilities
Cons. Goods
Basic Mat.Ins.
Ins.-Wraps.
Fin. Svcs
Banks
1. Nov. ’07
MK-0001-07 iBoxx 121107 13.11.2007 11:47 Uhr Seite 1
Europe
The Markit iBoxx Euro and Sterling indices provide investors with benchmarks for the two largest European fixed income markets. These broad benchmark indices are supplemented by Markit iBoxx Liquid Indices, which serve as the basis for OTC and exchange-traded derivatives and are easily replicable.
Markit iBoxx Euro IndicesThe Markit iBoxx Euro index family represents the investment grade fixed-income universe for Euro-denominated bonds. The overall index is divided into four groups: • Sovereigns • Sub-Sovereigns • Collateralized • Corporates
In addition to an overall index for each index group, various breakdowns are published, including country indices for sovereigns, sector indices for corporate bonds and separate indices for covered and securitised bonds within the collateralized group. The corporate market sector indices enable users to compare or combine equity and fixed income index data. A wide range of maturity and rating indices is also published. All bond prices and major indices are calculated and distributed once a minute. Analytical values areavailable twice daily.
Euro Index (Market Value Euro bn) Sector composition Euro Corporates
Markit iBoxx Euro Liquid IndicesThe Markit iBoxx Euro Liquid indices complement the broad Markit iBoxx Euro indices and are designed to provide a suitable basis for OTC derivatives and exchange-traded funds (ETFs). This is achieved by using additional selection criteria favouring larger, newer (i.e. more liquid) issues and by limiting the number of bonds in each index, to reduce tracking and hedging costs.
Markit iBoxx Euro High Yield Indices The Markit iBoxx Euro High Yield indices track the performance of Euro-denominated corporate high yield debt, and are designed to provide high yield investors with appropriate benchmarks. To address different investors´ requirements, the indices are calculated both with and without crossover bonds.
Markit iBoxx EUR ABS 50 IndexThe Markit iBoxx EUR ABS 50 Index tracks the European market forliquid floating rate securitizations. It consists of the 50 largestand most liquid Euro-denominated AAA-rated tranches of• ABS • MBS • SME CLOs
The 50 securities are selected via a liquidity poll of leading ABS banks from a universe of the 70 largest issues of the previous 12 months. The index composition is updated quarterly in March, June, September and December.
Germany
Italy
France
Other
Agencies
Regions
Supras
Other
Germany
Spain
France
Other
Financials
Non-Financials
Financials Non-Financials
CorporatesSovereigns Sub-Sovereigns
Collateralized/Covered
Tech.
Telecoms
Oil & Gas
Inds.
Health Care
Cons. Svcs
Utilities
Cons. Goods
Basic Mat.Ins.
Fin. Svcs
Banks
Consumers
Energy
TMT
Industrials
Financials
Sector Breakdown – iBoxx Euro High Yield Index
1. Nov. ’07
1. Nov. ’07
MK-0001-07 iBoxx 121107 13.11.2007 11:47 Uhr Seite 5
Markit iBoxx Sterling IndicesThe Markit iBoxx Sterling index family represents the investment grade universe of Sterling-denominated bonds. The index breakdown is similar to the Euro indices and takes into accountmarket specifics by providing sector indices for ABS, MBS and Whole-Business Securitizationsand by calculating additional maturity indices used in the Sterling market.
Sterling Index (Market Value £ bn) Sector composition Sterling Corportes
Markit iBoxx Sterling Liquid IndexThe Markit iBoxx Sterling Liquid Corporates Long-Dated index comprises 40 bonds from largest recentcorporate issuers of Sterling debt.
Asia
Markit iBoxx Asian Indices The Markit iBoxx Asian indices are compiled for JGBs in Japan and local currency sovereign and quasi-sovereign issues in China, Hong Kong, Indonesia, Korea, Malaysia, Philippines, Singapore andThailand (part of the ABF2 project), as well as India and Taiwan. Since the ex-Japan indices covercountries with small, medium and large bond markets at different stages of development, their weightsin the Pan-Asia index combine market size with liquidity, credit quality and market openness factors.
Country weights – iBoxx ABF Pan-Asia Index
Supras
Agencies
Sovereigns
Other
WBS
MBSABSOther
Financials
Non-Financials
Financials
Non-
Financials
CorporatesGilts Sovereigns/Sub-
Sovereigns
Collateralized/Covered
Telecoms
Oil & Gas
Inds.
Health Care
Cons. Svcs
Utilities
Cons. Goods
Basic Mat.
Ins.
Ins. -Wraps
Fin. Svcs
Banks
China
Korea
Indonesia
Hong Kong
Malaysia
Thailand
Singapore
Philippines
Tech.
1. Nov. ’07
1. Nov. ’07
MK-0001-07 iBoxx 121107 13.11.2007 11:47 Uhr Seite 6
Index Calculation
Markit compiles, administers and manages the Markit iBoxx cash bond indices. Prices for the bonds in the European and North American indices are provided by 11 major financial institutions: ABN AMRO, BarclaysCapital, BNP Paribas, Deutsche Bank, Dresdner Kleinwort, Goldman Sachs, HSBC, JP Morgan, MorganStanley, Royal Bank of Scotland and UBS. The Asian indices combine the pricing capability of large interna-tional investment banks (including some of the above) with those of leading local market participants and or-ganisations.
The Markit iBoxx consolidated prices (intraday and end-of-day) are unique in the fixed income market and represent the most accurate and timely bond pricing currently available to investors. Markit has developed rigorous proprietary quality control routines to filter erroneous price contributions and permit only genuinemarket prices to enter the regular index calculation.
Markit iBoxx indices are constructed to conform to the EFFAS European Bond Commission StandardisedRules on Constructing and Calculating Bond Indices. Markit iBoxx benchmark indices are rebalancedmonthly and some liquid indices quarterly. New bonds entering an index for the first time are included atthe ask price, while all bonds already in an index are revalued using bid prices. Each bond is weighted inan index with its market value.
Data and Licences
Bond indices are published both as price and total return indices. Bond and index analytical values are calculated each business day using the daily closing prices. Closing index values, bond prices and keyanalytical values are published on www.iboxx.com and www.markit.com at the end of each business day.The data is also available in a standardized format via an FTP feed. The daily data for Sterling starts from31 December 1997 - for Euro, USD and US Pension Liability from 31 December 1998 - for the Asian andinflation-linked indices from 31 December 2000 - for the Euro High Yield indices from 31 December 2002and for the USD Liquid Indices from 31 October 2006.
Most leading information vendors also provide real-time iBoxx data, includingBloomberg: IBOX Reuters: IBOXX
iBoxx is a registered trademark. Markit owns the intellectual property rights in the indices and their underlying data. A licence is required to create and/or market products that use the data or refer to theiBoxx indices.
Further Information
Markit / International Index CompanyGoetheplatz 5 · 60313 Frankfurt · GermanyTel.: +49 (0)69 299 868 140 · Fax: +49 (0)69 299 868 149 · E-mail: info@indexco.com
ww
w.c
omm
pani
ons.
com
© M
arki
t 20
07
BankQuotes
QualityControl
ApprovedQuotes
PriceConsolidation Dissemination
IndexCalculation
Vendors
Internet
FTP
IndividualChecks
ComparativeChecks
IntradayPrices
End-of-DayPrices
MK-0001-07 iBoxx 121107 13.11.2007 11:47 Uhr Seite 2
top related