- Introduces framework for calibrating ‘Market Accessibility Levels’ for local currency, fixed-rate government bond markets
- Countries tracked by our indexes will be assigned an accessibility level of 0,1 or 2, with 2 representing the highest level
- A transparent, process-orientated framework assessing market accessibility for foreign investors measured across four market criteria; 17 separate indicators
- Complements existing equity country classification process
- FTSE Russell will publish inaugural Watch List of local fixed income markets being considered for potential reclassification
FTSE Russell today confirmed the introduction of a country classification process for fixed income. The newly introduced fixed income framework, which will complement the firm’s existing equity country classification process, was developed in consultation with market participants. The framework will assign countries tracked by our fixed income indexes a level of 0,1 or 2, with 2 representing the highest level of accessibility for foreign investors. Minimum Market Accessibility Levels will replace the barriers-to-entry criteria for the methodology for the flagship FTSE World Government Bond Index (WGBI) and FTSE Emerging Markets Government Bond Index (EMGBI)*, effective 30 March 2019. These levels will be reviewed annually in September and are also available for use in bespoke index construction.
This transparent, process-orientated framework will assess countries based on four market criteria dimensions using 17 separate indicators:
- Market, Macroeconomic and Regulatory Environment
- Investment restrictions; Sustainable issuance and debt management practices; Sound regulatory environment; Foreign exchange policy and communication; Taxation regime; and Registration process for foreign investors
- Foreign Exchange Market Structure
- FX liquidity and investability; Currency convertibility; and Currency hedging
- Bond Market Structure
- Bond liquidity; Transaction costs; Fixed income dealing and trading landscape; Bond conventions; and Bond pricing
- Global Settlement and Custody
- Global settlement; Availability of Delivery vs Payment (DvP); and Competitive custody market
FTSE Russell will publish a Watch List of local currency, fixed-rate government bond markets being considered for potential reclassification of their Market Accessibility Level for either failing to meet the accessibility thresholds of their existing level or are close to meeting the thresholds for a higher level. Inclusion of a market on the Watch List indicates our intention to engage with governments, central banks and regulators to address specific feedback from investors on the fulfilment of the criteria for the proposed accessibility level. Importantly, it also provides transparency for index users into future evolution of our benchmarks. The inaugural watch list of fixed income markets being considered for potential reclassification will be published following completion of the initial review of markets in March 2019.
Chris Woods, Managing Director Governance and Index Policy, FTSE Russell, said:
“The introduction of minimum Market Accessibility Levels provides an evidence-driven, robust framework, which can be applied across both flagship and bespoke benchmarks and draws on our FTSE Russell index governance capabilities and heritage in equities. We developed the framework in consultation with market participants and look forward to further engagement as we roll it out.”
More information on the new framework can be found on our website
*including indexes that derive their membership from them
For further information:
Lucie Holloway: +44 (0)20 7797 1222
Tim Benedict: +1 917 582 0641
newsroom@lseg.com
Notes to editors:
About FTSE Russell
FTSE Russell is a global index leader that provides innovative benchmarking, analytics and data solutions for investors worldwide. FTSE Russell calculates thousands of indexes that measure and benchmark markets and asset classes in more than 70 countries, covering 98% of the investable market globally.
FTSE Russell index expertise and products are used extensively by institutional and retail investors globally. Approximately $16 trillion is currently benchmarked to FTSE Russell indexes. For over 30 years, leading asset owners, asset managers, ETF providers and investment banks have chosen FTSE Russell indexes to benchmark their investment performance and create ETFs, structured products and index-based derivatives.
A core set of universal principles guides FTSE Russell index design and management: a transparent rules-based methodology is informed by independent committees of leading market participants. FTSE Russell is focused on applying the highest industry standards in index design and governance and embraces the IOSCO Principles. FTSE Russell is also focused on index innovation and customer partnerships as it seeks to enhance the breadth, depth and reach of its offering.
FTSE Russell is wholly owned by London Stock Exchange Group.
For more information, visit FTSE-Russell site.
© 2019 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 Global Debt Capital Markets Inc. and FTSE Global Debt Capital Markets Limited (together, “FTSE Canada”), (4) FTSE Fixed Income Europe Limited (“FTSE FI Europe”), (5) FTSE Fixed Income LLC (“FTSE FI”), (6) The Yield Book Inc (“YB”) and (7) Beyond Ratings S.A.S. (“BR”). All rights reserved.
FTSE Russell® is a trading name of FTSE, Russell, FTSE Canada, FTSE FI, FTSE FI Europe, YB and BR. “FTSE®”, “Russell®”, “FTSE Russell®”, “FTSE4Good®”, “ICB®”, “The Yield Book®”, “Beyond Ratings®” and all other trademarks and service marks used herein (whether registered or unregistered) are trademarks 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, FTSE Canada, FTSE FI, FTSE FI Europe, YB or BR. FTSE International Limited is authorised and regulated by the Financial Conduct Authority as a benchmark administrator.
All information is provided for information purposes only. All information and data contained in this publication is obtained by the LSE Group, from sources believed by it to be accurate and reliable. Because of the possibility of human and mechanical error as well as other factors, however, such information and data is provided "as is" without warranty of any kind. No member of the LSE Group nor their respective directors, officers, employees, partners or licensors make any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to the accuracy, timeliness, completeness, merchantability of any information or of results to be obtained from the use of FTSE Russell products, including but not limited to indexes, data and analytics, or the fitness or suitability of the FTSE Russell products for any particular purpose to which they might be put. Any representation of historical data accessible through FTSE Russell products is provided for information purposes only and is not a reliable indicator of future performance.
No responsibility or liability can be accepted by any member of the LSE Group nor their respective directors, officers, employees, partners or licensors for (a) any loss or damage in whole or in part caused by, resulting from, or relating to any error (negligent or otherwise) or other circumstance involved in procuring, collecting, compiling, interpreting, analysing, editing, transcribing, transmitting, communicating or delivering any such information or data or from use of this document or links to this document or (b) any direct, indirect, special, consequential or incidental damages whatsoever, even if any member of the LSE Group is advised in advance of the possibility of such damages, resulting from the use of, or inability to use, such information.
No member of the LSE Group nor their respective directors, officers, employees, partners or licensors provide investment advice and nothing in 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 or whether such investment creates any legal or compliance risks for the investor. A decision to invest in any such asset should not be made in reliance on any information herein. Indexes cannot be invested in directly. Inclusion of an asset in an index is not a recommendation to buy, sell or hold that asset nor confirmation that any particular investor may lawfully buy, sell or hold the asset or an index containing the asset. The general information contained in this publication should not be acted upon without obtaining specific legal, tax, and investment advice from a licensed professional.
Past performance is no guarantee of future results. Charts and graphs are provided for illustrative purposes only. Index returns shown may not represent the results of the actual trading of investable assets. Certain returns shown may reflect back-tested performance. All performance 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 of an index may change from month to month based on revisions to the underlying economic data used in the calculation of the index.
This document may contain forward-looking assessments. These are based upon a number of assumptions concerning future conditions that ultimately may prove to be inaccurate. Such forward-looking assessments are subject to risks and uncertainties and may be affected by various factors that may cause actual results to differ materially. No member of the LSE Group nor their licensors assume any duty to and do not undertake to update forward-looking assessments.
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 of the LSE Group data requires a licence from FTSE, Russell, FTSE Canada, FTSE FI, FTSE FI Europe, YB, BR and/or their respective licensors.
