Fixed Income Country Classification

A distinguishing feature of multi-currency fixed income benchmarks is their approach to local market inclusion. There are a number of dimensions across which global debt markets can be evaluated to determine how they are represented as peer groups in broad-based benchmarks including market size, credit rating, asset type, designation as an emerging or developed market and degree of market accessibility.

To enhance the foundation of its benchmarking approach, FTSE Russell has implemented a similar robust, evidence-driven and process-oriented framework assessing the index eligibility of local currency government markets in January 2019 assigns a Market Accessibility Level for each market. The transparent nature of the assignment of these levels allows engagement with central banks and regulators in those countries where the market is being considered for potential reclassification and provides portfolio managers and asset allocators with a clear view of expected future index evolution.

The framework has been incorporated in the methodology for the FTSE World Government Bond Index (WGBI), FTSE Emerging Markets Government Bond Index (EMGBI) and indices that explicitly derive their membership from them, since 30 March 2019.

Effective from 30 March 2021, the framework was expanded to include global inflation-linked government bond markets tracked by FTSE fixed income indices. Market Accessibility Levels will be incorporated in the index methodology of the FTSE World Inflation-Linked Securities Index (WorldILSI) and the FTSE Emerging Markets Inflation-Linked Securities Index (EMILSI) with effect from 30 June 2021.

In April 2021, the FTSE Frontier Emerging Markets Government Bond Index was launched to measure the performance of countries classified as Frontier Emerging by FTSE Russell. Its methodology incorporates market accessibility levels into its design and follows the same semi-annual review cadence of the FTSE Fixed Income Country Classification framework.

FTSE Fixed Income Market Accessibility Levels can be viewed using the following link FTSE Fixed Income Country Classification Table.

FTSE Fixed Income Market Accessibility Levels for Inflation Linked Government Markets can be viewed using the following link FTSE Fixed Income Country Classification for Inflation Linked Government Markets Table.