Citi expands WGBI and onshore China bond index suites

Jun 29th, 2017 | By | Category: Fixed Income

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Citi has introduced several new additions to its flagship Citi World Government Bond Index (WGBI) family and its Onshore Chinese Bond Index family.

Citi expands WGBI and onshore China bond index suites

Citi expands WGBI and onshore China bond index suites.

The Citi World Government Bond Index – Developed Markets measures the performance of fixed-rate, local currency, investment-grade sovereign bonds issued in developed markets. The index composition is based on the global sovereign markets and constituents of the WGBI, excluding any markets that are classified as emerging.

Citi classifies a country to be “emerging” if it is defined by the International Monetary Fund World Economic Outlook to be among “emerging and developing economies” or if it is defined by the World Bank to be among “low-income economies” or “lower middle-income economies” or “upper-middle-income economies.”

Malaysia, Mexico, Poland and South Africa are part of the WGBI, but as these markets are classified as emerging, they are not eligible for the new index.

The Citi World Government Bond Index – Extended measures the performance of fixed-rate, local currency, investment-grade sovereign bonds. The index includes any market that meets the size and credit criteria of the WGBI and is also a market that is already present in or eligible to be in one of the four regional government bond indices. These regional indices are the Citi Asia Pacific Government Bond Index, Citi Central Eastern Europe, Middle East, and Africa Government Bond Index, Citi Emerging Markets Government Bond Index and Citi Latin American Government Bond Index.

As of June 2017, China and Korea met the criteria for the WGBI-Extended for three consecutive months; as such, they will be part of the WGBI-Extended in July 2017. Israel met the criteria in June 2017 and if it continues to meet the criteria for two consecutive months, namely July and August 2017, it will join the WGBI-Extended in December 2017.

The expansions to the onshore Chinese bond index family, which currently comprises the Citi Chinese Government Bond Index and the Citi Chinese Government and Policy Bank Bond Index, are as follows.

The Citi Chinese (Onshore CNY) Broad Bond Index comprises yuan-denominated debt issued by governments, agencies, and corporations domiciled in mainland China. The index provides a comprehensive measure of the Chinese fixed income market across various asset classes and credit sectors, and is scheduled to launch at the end of August 2017.

The Citi Chinese (Onshore CNY) Broad Bond Index – Interbank covers a subset of bonds from the Chinese (Onshore CNY) Broad Bond Index that are traded on the China Interbank Bond Market. This market represents the largest trading venue by volume for onshore bonds and has allowed access by foreign institutional investors since February 2016. The new index is scheduled to launch at the end of September 2017.

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