FTSE Bond Analytics
FTSE Bond AnalyticsIndex and Portfolio Solutions
History of Innovation2016201320061985 – 20021984Launchedby Scotia Index expansionnew asset classes Industry schemaand ratings2003Launched.PerformanceAttribution –BondPerform2004Launch of firstFixed IncomeETFs on coreindexesTMX acquires 100%ownership of PCBondIndex business,including indexes,software, historicaldatabase andend-of-day valuation.Scotia Capital2007Launch of MultiDealer PricingMethodologyNew joint venture:FTSE TMX GlobalDebt Capital MarketsRebrand index toFTSE TMX CanadaTMX GroupFTSE TMX Canadian Bond SeriesTo measure performance in the Canadian domestic bond market, FTSE TMXoffers a multitude of indexes and sub-indexes across various fixed income assetcategories valued on a daily basis. The FTSE TMX Canada Universe Bond IndexSeries is the most widely used performance indicator of marketable governmentand corporate bonds for Canada.CORE INDEXESFTSE TMX Canada Universe Bond Index SeriesThe index is divided into 72 published sub-indexes basedon term, credit rating, and industry groups.FTSE TMX Canada Maple Bond Index SeriesConsists of Canadian-dollar denominated bond, issuedin Canada (or globally inclusive of Canada), by foreigngovernments and corporations.FTSE TMX Canada Real Return Bond Index SeriesA benchmark of the performance of inflation-indexedbonds issued in Canadian dollars.FTSE TMX Canada Strip Bond Index SeriesDesigned to reflect the performance of the Canadian stripmarket.FTSE TMX Canada 20 Bond Index SeriesBroad measure of long-term investment-grade bond marketwhere the effective term for all issues is equal to or exceeds 20years.Product released asFTSE Bond Analytics(formerly PC-Bond)FTSE RussellHighlights 20 Index Families 600 Individual Indexes Multi Dealer Pricing Daily AnalyticsNVCC Bond Index SeriesDesigned to reflect the performance of Non Viablecontingent Capital securities.Money Market Index SeriesConsists of treasury bill rate indexes.BESPOKE INDEXESLaddered Bond Index SeriesMeasures investment-grade government, corporate andstrip bonds, covering 1-3 year, 1-5 year or 1-10 year bondladders.Target Maturity Bond Index SeriesHeld-to-maturity portfolio of Canadian-dollar denominatedinvestment-grade corporate bonds.HYBrid Bond Index SeriesDesigned to track the performance of corporate bonds inthe Canadian market rated BBB and lower.FTSE TMX Canada High Yield Bond Index SeriesMeasures the Canadian non-investment grade fixedincome market.Liquid Bond Index SeriesMeasures the Canadian investment-grade fixed incomemarket with additional requirements for liquidity, issue sizeand credit rating.FTSE TMX Canada Floating Rate Note (FRN)Index SeriesReflects the performance of domestic CanadianGovernment and Corporate Floating Rate Note (FRN)securities, denominated in CAD.Barbell Index SeriesCombines CAD investment-grade bonds and FRNs (term tomaturity 2 years) with the longer end of the curve (term tomaturity 10-20 years).FTSE Russell FTSE Bond Analytics1
FTSE Bond AnalyticsExplore the Canadian fixed income market using a rich historicaldatabase, including proprietary multi-dealer pricing model andcomprehensive measuresA suite of programs with access to a comprehensive historical database with over 60 years of data history orprice, yield, total return, duration, index weights, ratings, historical terms and conditions and moreDepth of CoverageReference Data Bullet Bonds Amortizing Issues Terms and Conditions Amount Outstanding Callable Issues Coupons and Residuals Rating Agencies Cashflow Models FRN Issues MBS and CMBS Issues Corporate Actions Money Market Securities RRB Issues(inflation-linked) Multi-tier SectorClassification Sinking Issues Fixed Income Indexes Trade/LiquidityInformation High Yield Blended IndexCapabilitiesHistoricalPrices andYieldsReferenceDataIndexReturns andAnalyticsSophisticated AnalyticsDepth of Market CoverageQuick Access Investor ToolsFTSE BOND ANALYTICS DATABASEEnhanced Security Screening dialog boxAdvanced Portfolio AnalysisIndex CompositionSecurity and Industry AnalyticsPortfolio to Index ComparisonHistorical Time SeriesCustom Yield CurvesSimulations, ForecastingMarket ExposureTrade CalculatorBondManagerBondDataBondCalcHistorical Price, Yield, Total Return, Weights, Ratings, Terms and ConditionsA comprehensive fixed income databaseFTSE Russell FTSE Bond Analytics2
BondManagerAnalyze and stress test bond portfolios, index constituents, quantify riskand liquidity, index modeling, forecasting, simulationsSecurity AnalysisPortfolio Strategies Holdings-based system with multiple identifiers 450 Key Columns Perform simulations: identify impact of proposedtrades, analyze risk and calculate projected returns Terms and Conditions including amountoutstanding, multi-level industry classificationsand more Assess market exposure and risk sensitivity acrossmultiple sectors Aggregate portfolios for consolidated reporting Risk Metrics – duration, convexity, key rateduration, dollar duration, among others Automate import from accounting systems Trade Information – historical traded volume,frequency, pricing, spread averages overmultiple periods Create and manage custom index blends Comprehensive historical database View risk characteristics of portfolios Custom views and reportsAutomation Templates provide customized environmentScenario analysis Forecast portfolio returns from a selection ofyield curves Keep portfolios and indexes up-to-datewith automated macros Apply spread shifts and shocks to industrysectors and rating subs450 analytics key columns available includingReference/DataTerms and ConditionsIndustry ClassificationRating (multiple sources)IdentifiersPay DatesAmount OutstandingRisk and ReportingDuration: Modified, Macaulay,OAS, EffectiveKey Rate DurationContribution to DurationDollar DurationConvexityYield to WorstStatistical AnalysisYield Spreads to curveand benchmarkTrade Data: volume, spread,price, yield, count for last andhistorical averagesStandard DeviationCustom formulaMatrix PricingBondManager: A complete portfolio analysis solutionCreate custom composite indexes using defined weights or target market‑value weightsFTSE Russell FTSE Bond Analytics3
BondManager ReportingCompare portfolios with index constituents – risk, projected returns,simulations and moreComprehensive index breakdown Drill down to constituent level Perform specific sector/industry analysis Custom index modelling usingsub‑index constituents Historical data – explore index changes over time Create and manage custom indexesReporting Cash flow reports Export or copy to XLS, CSV Save reports for daily/weekly/monthly reviewComparison tab Report templates make it easy to automateportfolio with index analysis reporting Compare multiple portfolios with the index orsub-indexes Pre-defined reports for ease-of-use orcustomizable report options Flexible Delta reportingAutomation Generate latest comparative analysis reportsovernight using automated processes Easily export reports to XLS, CSVSource: FTSE Russell. This chart is for illustrative purposes only.BondManager: A complete portfolio analysis solutionCreate custom composite indexes using defined weights or target market‑value weightsFTSE Russell FTSE Bond Analytics4
BondDataDesktop charting software for historical time series, yield curve andtechnical analysis, including full coverage of index risk metricsTime SeriesYield Curves Plot individual securities or benchmarks Benchmark yield curves Extensive historical time series Create custom yield curves Spread analysis, including credit and industry Historical risk metrics: FTSE TMX Canada BondIndex familiesAutomation Draw user-defined trend lines Automation: build custom views withup-to-date data View trade data – last traded price/yield, volume Save charts for future use Plot historical traded volume Save linear trend lines for enhanced analysis Library of technical indicators Create a chart slideshowSample Value LineSource: FTSE Russell. Charts are for illustrative purposes only.BondData: Historical time series and yield curvesStay on top of market and index trends and technical analysisFTSE Russell FTSE Bond Analytics5
BondCalcExcel-based security analytics for multiple issue types includingmortgage‑backed and asset-backed securities, butterfly and switchtrade calculatorHistorical DatabaseTrade Metrics Bond characteristics Scenario analysis Measures of risk Switch trades – cost, yield, duration, profit/loss Historical views Butterfly trades – both risk and arbitrage-weighted Enhanced MBS and ABS analysis Save trades for later review Single security analysis Projected returns Multiple templates for ease of use Security modelingReports Cashflow reports Copy/paste trade analytics to ExcelSource: FTSE Russell. This chart is included for illustrative purposes only.BondCalc: Lightweight trade calculator and historical security analysis toolUse multiple templates and generate projected horizon returnsFTSE Russell FTSE Bond Analytics6
Technical SpecificationsServer-side installation offers concurrent access to multiple workstations:portfolio and index analytics are just one click away Automated database management – communicatesecurely with the FTSE TMX server via FTP Convenient Excel Add-ins and easy applicationautomation for overnight processing Customize your own environment with flexibleserver and client-side configuration options Insert corporate logo for branded portfolio andindex comparison reportingFTSE BOND ANALYTICS STANDARD CONFIGURATION OPTIONSFileServerFTP to FTSE TMXMarket Data-200 files per day-3MB per day 2GB RAMFTSE Bond Database 10GBProprietary ApplicationsJava RunTimeAuthorization (USB or Softkey)SCNet broadcastWorkstationMicrosoft ExcelFTSE Bond Add-Inc:\edbroRead/ExecuteFull RightsRead/ExecuteWorkstationMicrosoft ExcelFTSE Bond Add-Inc:\edbroNetworkRead/ExecuteFirewallFull RightsRead/ExecuteWorkstationMicrosoft ExcelFTSE Bond Add-Inc:\edbroSTANDALONELocal DriveInstall Database, ProgramsAuthorization (USB or Softkey)WorkstationMicrosoft ExcelFTSE Bond Add-Inc:\edbroStreamlined installation and supportFTSE Russell FTSE Bond Analytics7
Support GuideAn interactive online resource provides streamlined help for users: quicklyaccess key features and functionality through helpful tutorials and screencastsKey Features Frequently Asked QuestionsContent Includes Streamlined Support Custom Blended Indexes Screencasts Understanding Portfolio/Pricing Defaults Troubleshooting Tips Use the File Import Wizard Starter Guide Guide to BondManager Macros Screenshots Screen the FTSE TMX Bond Indexes Search the Guide Technical Indicators Defined Automation Steps Access Trade Information Latest/Popular Articles Switch/Butterfly Trades Portfolio vs Index ComparisonSupport Guide: Subscribers easily access product help and functionality tutorialsFTSE Russell FTSE Bond Analytics8
Toronto70 York Street, Suite 1520Toronto, ON M5J 1S9ftsebond@ftserussell.com 1 416 572-7979For more information about our product offering, please visit ftserussell.comor email us at ftsebond@ftserussell.com 2016 London Stock Exchange Group plc and its applicable group undertakings (the “LSE Group”). The LSE Group includes(1) FTSE International Limited (“FTSE”), (2) Frank Russell Company (“Russell”), (3) FTSE TMX Global Debt Capital Markets Inc. and FTSETMX Global Debt Capital Markets Limited (together, “FTSE TMX”) and (4) MTSNext Limited (“MTSNext”). All rights reserved.FTSE Russell is a trading name of FTSE, Russell, FTSE TMX and MTS Next Limited. “FTSE ”, “Russell ”, “FTSE Russell ” “MTS ”,“FTSE TMX ”, “FTSE4Good ” and “ICB ” and all other trademarks and service marks used herein (whether registered or unregistered) aretrade marks and/or service marks owned or licensed by the applicable member of the LSE Group or their respective licensors and are owned,or used under licence, by FTSE, Russell, MTSNext, or FTSE TMX.All information is provided for information purposes only. Every effort is made to ensure that all information given in this publication is accurate,but no responsibility or liability can be accepted by any member of the LSE Group nor their respective directors, officers, employees, partnersor licensors for any errors or for any loss from use of this publication or any of the information or data contained herein.No member of the LSE Group nor their respective directors, officers, employees, partners or licensors make any claim, prediction, warrantyor representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE Russell Indexes or thefitness or suitability of the Indexes for any particular purpose to which they might be put.No member of the LSE Group nor their respective directors, officers, employees, partners or licensors provide investment advice and nothingin this document should be taken as constituting financial or investment advice. No member of the LSE Group nor their respective directors,officers, employees, partners or licensors make any representation regarding the advisability of investing in any asset. A decision to invest inany such asset should not be made in reliance on any information herein. Indexes cannot be invested in directly. Inclusion of an asset in anindex is not a recommendation to buy, sell or hold that asset. The general information contained in this publication should not be acted uponwithout obtaining specific legal, tax, and investment advice from a licensed professional.No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical,photocopying, recording or otherwise, without prior written permission of the applicable member of the LSE Group. Use and distribution ofthe LSE Group index data and the use of their data to create financial products require a licence from FTSE, Russell, FTSE TMX, MTSNextand/or their respective licensors.Past performance is no guarantee of future results. Charts and graphs are provided for illustrative purposes only. Index returns shownmay not represent the results of the actual trading of investable assets. Certain returns shown may reflect back-tested performance. Allperformance presented prior to the index inception date is back-tested performance. Back-tested performance is not actual performance,but is hypothetical. The back-test calculations are based on the same methodology that was in effect when the index was officially launched.However, back-tested data may reflect the application of the index methodology with the benefit of hindsight, and the historic calculations ofan index may change from month to month based on revisions to the underlying economic data used in the calculation of the index.This publication may contain forward-looking statements. These are based upon a number of assumptions concerning future conditions thatultimately may prove to be inaccurate. Such forward-looking statements are subject to risks and uncertainties and may be affected by variousfactors that may cause actual results to differ materially from those in the forward-looking statements. Any forward-looking statements speakonly as of the date they are made and no member of the LSE Group nor their licensors assume any duty to and do not undertake to updateforward-looking statements.FTSE Russell9
About FTSE RussellFTSE Russell is a leading global provider of benchmarking, analytics anddata solutions for investors, giving them a precise view of the market relevantto their investment process. A comprehensive range of reliable and accurateindexes provides investors worldwide with the tools they require to measure andbenchmark markets across asset classes, styles or strategies.FTSE Russell index expertise and products are used extensively by institutional andretail investors globally. For over 30 years, leading asset owners, asset managers,ETF providers and investment banks have chosen FTSE Russell indexes tobenchmark their investment performance and create ETFs, structured products andindex-based derivatives.FTSE Russell is focused on applying the highest industry standards in indexdesign and governance, employing transparent rules-based methodologyinformed by independent committees of leading market participants.FTSE Russell fully embraces the IOSCO Principles and its Statement ofCompliance has received independent assurance. Index innovation is driven byclient needs and customer partnerships, allowing FTSE Russell to continuallyenhance the breadth, depth and reach of its offering.FTSE Russell is wholly owned by London Stock Exchange Group.For more information, visit ftserussell.com.To learn more, visit ftserussell.com; email info@ftserussell.com;or call your regional Client Service Team office:EMEA 44 (0) 20 7866 1810North America 1 877 503 6437FTSE RussellToronto70 York Street, Suite 1520Toronto, ON M5J 1S9 1 416 572-7979Asia-PacificHong Kong 852 2164 3333Tokyo 81 3 3581 2764Sydney 61 (0) 2 8823 3521
Trade Data: volume , spread, price, yield, count for last and historical averages Standard Deviation Custom fo rm ula Matrix Pricing BondManager: A complete portfolio analysis solution Create custom composite indexes using defined weights or target market-value weights Security Analysis Comprehensive historical database
FTSE Russell An LSEG Business FTSE Global Equity Index Series, v10.9,September 2021 5 of 46 Section 2 Management Responsibilities 2.0 Management Responsibilities 2.1 FTSE International Limited (FTSE) 2.1.1 FTSE is the benchmark administrator of the index series.1 2.1.2 FTSE is responsible for the daily calculatio
FTSE Russell Corporate Actions and Events Guide for Market Capitalisation Weighted Indexes, v5.0, December 2020 3 of 31 FTSE Russell FTSE Russell is a trading name of FTSE International Limited, Frank Russell Company, FTSE Global Debt Capital Markets Limited (and its subsidiaries FTSE Global Debt Capital Markets Inc. and MTSNext Limited),
FTSE Russell An LSEG Business FTSE Blossom Japan Sector Relative Index, v2.5, 2022 年10 月 3 / 24 セクション1 はじめに 1.0 はじめに 1.1 本書は、FTSE Blossom Japan Index �を説明したものです。 本 ルールのコピーはwww.ftserussell.com から入手できます。 1.2 FTSE Blossom Japan Index は、FTSE Japan .
and 31 July 2015. The average quorum for FTSE 100 companies during the 2015 proxy season has been 70.60%. This is similar to the average 2014 quorum, which amounted to 70.70%, and the average 2013 quorum, which amounted to 71%. Graph 1: Shareholder attendance levels: comparison of FTSE 100 and FTSE 250 between 2011 and 2015. FTSE 100 FTSE 250 0 .
Plan 63 Return of your initial deposit, plus: 4.5% return if the FTSE 100 is higher than 100% of its starting . The globalised business of the companies that comprise the FTSE 100 means that an investment in the FTSE 100 also provides currency diversification. The FTSE 100 is accessible to UK investors as it is quoted in Pounds Sterling.
FTSE Russell 17 Index Control and Governance Framework FTSE Russell leads global best practice standards in governance, including those applied to FTSE TMX Canada, with a focus on transparent, robust and rules-driven index construction Index construction, management, and
as at 1st October 2016. The pace of increase on Women on Boards has slowed in the last 12 months, particularly in the FTSE 100. The FSE 350 overall is at 23%, up from 21.9% this time last year. The FTSE 250 is at 21.1%, up form 19.6% with the FTSE 100 only marginally up at 26.6%. There may be a degree of complacency with
Prices Review issued a Request for Proposals (RFP) in July 2016. A number of proposals were received. Tradeweb and FTSE collaborated to provide a joint proposal and were selected as the successor providers of gilt, strips and Treasury bill reference prices: the Tradeweb FTSE Gilt Closing Prices.
