Citi has added two new indices to its family of market capitalization-weighted benchmarks, and one new index to its family of alternatively-weighted benchmarks.
The three new fixed income indices include the Citi Emerging Markets Broad Bond Index (EMUSDBBI) and Citi Emerging Markets Corporate Capped Extended Broad Bond Index (EMUSDBBI Corp Capped Extended) as well as the Citi Time-Weighted U.S. Fallen Angel Bond Index.
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The two market capitalization-weighted indices namely EMUSDBBI and EMUSDBBI Corp Capped Extended will boost Citi’s index coverage of emerging markets as well as complement the firm’s local currency government and corporate bond indices by measuring the performance of investment grade and high yield US dollar denominated debt domiciled in emerging markets.
The EMUSDBBI will target governments and corporations from over 60 markets, while the EMUSDBBI Corp Capped Extended will focus on corporate debt in over 45 markets and imposes a maximum par amount with respect to any single issuer.
Additionally, the Citi Time-Weighted U.S. Fallen Angel Bond Index will measure the performance of corporate fallen angels, high yield bonds that were previously rated investment grade.
This index will follow a time-based weighting approach, which will capture the price rebound effect that fallen angels tend to experience soon after their initial downgrade to high yield.
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By GlobalDataCiti Fixed Income Indices head Arom Pathammavong said: "We are excited to offer innovative indices that investors can use to navigate the market and help measure performance or enhance returns."
