Global Bond
Index Family
Fixed Income

The Bloomberg global bond indices offer the first truly independent, truly global comprehensive benchmarks of the global fixed income universe, backed by Bloomberg’s industry leading bond reference data, pricing and technology. The series also provides a rich dataset to construct the next generation of index-linked products that target specific market niches or enhanced index strategies.

Overview Brochure

Bloomberg Global Bond Index Family (as of 27 June 2017)
Composite Indices
+ Global Developed Sovereign Bond BGSV
Level113.18
OAS16.44
Yield to Worst0.89
Effective Duration9.49
3 Month Return %1.75
+ Global Investment Grade Corporate Bond BCOR
Level130.45
OAS104.92
Yield to Worst2.35
Effective Duration9.22
3 Month Return %3.26
+ Global High Yield Corporate Bond BHYC
Level169.67
OAS360.67
Yield to Worst5.17
Effective Duration4.75
3 Month Return %3.34
+ USD Emerging Market Composite Bond BEM
Level164.65
OAS270.64
Yield to Worst4.66
Effective Duration9.60
3 Month Return %2.35
Sovereign Indices
+ Canada Sovereign Bond BCAN
Level131.51
OAS0.13
Yield to Worst1.34
Effective Duration8.78
3 Month Return %1.20
+ U.K. Sovereign Bond BRIT
Level160.32
OAS0.20
Yield to Worst1.09
Effective Duration16.41
3 Month Return %0.63
+ Eurozone Sovereign Bond BEUR
Level140.06
OAS58.03
Yield to Worst0.63
Effective Duration9.12
3 Month Return %1.48
+ Pacific Rim Developed Sovereign Bond BPAC
Level99.01
OAS0.66
Yield to Worst0.24
Effective Duration10.02
3 Month Return %-1.08
+ US Treasury Bond BUSY
Level127.04
OAS-0.46
Yield to Worst1.84
Effective Duration7.59
3 Month Return %1.54
Corporate Indices
+ EUR Investment Grade European Corporate Bond BERC
Level138.25
OAS91.07
Yield to Worst0.74
Effective Duration5.81
3 Month Return %0.82
+ US Corporate Bond BUSC
Level149.82
OAS113.17
Yield to Worst3.15
Effective Duration10.86
3 Month Return %2.91
+ GBP Investment Grade European Corporate Bond BGBP
Level177.03
OAS112.65
Yield to Worst2.26
Effective Duration13.42
3 Month Return %1.64
+ EUR High Yield Corporate Bond BEUH
Level179.50
OAS252.44
Yield to Worst2.28
Effective Duration3.61
3 Month Return %2.37
+ USD High Yield Corporate Bond BUHY
Level178.24
OAS380.49
Yield to Worst5.72
Effective Duration4.92
3 Month Return %2.82
Emerging Market Indices
+ USD Emerging Market Sovereign Bond BEMS
Level168.53
OAS253.66
Yield to Worst4.55
Effective Duration11.48
3 Month Return %2.63
+ USD Emerging Market Corporate Bond BEMC
Level162.18
OAS285.09
Yield to Worst4.75
Effective Duration8.00
3 Month Return %2.11
+ Emerging Market Local Sovereign BLCSV
Level130.22
OAS0.85
Yield to Worst4.72
Effective Duration9.37
3 Month Return %1.90
Other Indices
+ Covered Bond BCOV
Level106.14
OAS46.75
Yield to Worst0.24
Effective Duration5.07
3 Month Return %4.05
+ US Treasury Floating Rate Bond BUSYFL
Level101.43
OAS6.66
Yield to Worst1.04
Effective Duration1.43
3 Month Return %0.34

The Bloomberg Global Bond index family covers Global Corporates (both Investment Grade and High Yield), Global Sovereigns and Securitized Bonds (U.S. MBS and European Covered). We intend to extend the family to emerging market local currency, bank loans and inflation linkers. Not only are these indices integrated with all of Bloomberg’s analytics, but also offer opportunities to customize using our robust index calculation engine and bond optimizer.

Global Fixed Income Family Methodology
Fixed Income Family Ticker List
European Banks Funding Margin Methodology
Methodology Changes – Supporting Documentation, July 2015

Additional
Indices
Fixed Income

Bloomberg FINRA Active U.S. Corporate Bond Indices

Bloomberg and Financial Industry Regulatory Authority (FINRA) collaborate to produce indices of the most frequently traded fixed coupon U.S. corporate bonds as represented by TRACE. TRACE is FINRA’s transaction reporting facility that disseminates all over-the-counter secondary market transactions in these public bonds. As the only indices that represent the most frequently traded bonds, these indices are widely used in the media and academia.

VRDO

The Bloomberg U.S. Municipal AMT Free Weekly VRDO Index is the leading measure of the municipal variable rate demand obligation bond market. Variable Rate Demand Obligations (VRDOs) are long-term, tax-exempt bonds whose interest rates generally reset on a daily, weekly or monthly basis. The index underlies the industry’s largest VRDO ETF.

VRDO Index Methodology

Sukuk Index

The Bloomberg Malaysian Sukuk Ex-MYR Index provides a benchmark for foreign currency sukuk (non-Ringgit denominated) bonds issued in Malaysia.

SUKUK Index Methodology

BOND INDEX
PRICING
Fixed Income

Independent and transparent pricing is a key difference of Bloomberg’s index family versus other index families that rely on single dealer pricing or composite pricing across a small number of dealers. Bloomberg Fixed Income Indices use Bloomberg Valuation Service (BVAL) pricing. BVAL starts with the highest quality data integrated across a wide cross section of market contributors—more than 4,000 sources. The data, which is completely transparent and defensible, is then scrubbed, cleansed, verified with every input and output and tested for quality and consistency.

An important and complementary component of BVAL is the BVAL Score. This innovative metric is designed to provide a consistent and quantifiable means to assess the quantity and quality of market observations supporting each price. BVAL ‘scores’ may be used as a screen in index selection, potentially enhancing the tradability of an index, especially for enhanced or dynamic indices.

Visit our BVAL website for more information.

Sector
Classification
Fixed Income

Bloomberg’s indices use the Bloomberg Industry Classification System for Fixed Income (BICS FI). BICS FI is a hierarchical system that classifies the marketplace for fixed income security issuers. The system uses two levels of detail (Sector and Industry Group) to classify issuers with similar businesses and characteristics.

Bloomberg classifies companies by tracking their primary business as measured first by the source of revenue and second by operating income, assets and market perception.

Consistent history and deep coverage across Bloomberg’s bond universe enable BICS FI to provide a rich framework for analyzing sector risk exposures of indices. It also provides a tool set to build customized indices that constrain the weight of single issuers (for example, per UCITS in Europe or IRS limits in U.S.) or sectors in enhanced or dynamic indices.