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Fixed Income Indexes

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Fixed Income Indexes

Daily Returns for Major Fixed Income Indexes for November 17 2009 in USD Terms

Run Date: 13:16 EST on November 18 2009
Sector Local Currency Unhedged Hedged
Index Value
Daily Return
MTD
YTD
Index Value
Daily Return
MTD
YTD
Index Value
Daily Return
MTD
YTD
US BIG 1283.12 0.00 0.73 6.24 1283.12 0.00 0.73 6.24 1283.12 0.00 0.73 6.24
- Treasury 1188.25 0.07 0.57 -1.95 1188.25 0.07 0.57 -1.95 1188.25 0.07 0.57 -1.95
- Govt. Sponsored 1219.71 0.04 0.41 1.93 1219.71 0.04 0.41 1.93 1219.71 0.04 0.41 1.93
- Agency 1216.79 0.04 0.38 1.67 1216.79 0.04 0.38 1.67 1216.79 0.04 0.38 1.67
- Supranational 1307.36 0.05 0.61 3.71 1307.36 0.05 0.61 3.71 1307.36 0.05 0.61 3.71
- Collateralized 1382.74 -0.09 0.79 6.90 1382.74 -0.09 0.79 6.90 1382.74 -0.09 0.79 6.90
- Mortgage 1383.00 -0.09 0.79 6.75 1383.00 -0.09 0.79 6.75 1383.00 -0.09 0.79 6.75
- ABS 391.60 0.11 0.84 27.63 391.60 0.11 0.84 27.63 391.60 0.11 0.84 27.63
- Credit 1423.73 0.07 0.90 16.88 1423.73 0.07 0.90 16.88 1423.73 0.07 0.90 16.88
US LPF 1539.04 0.05 0.79 5.37 1539.04 0.05 0.79 5.37 1539.04 0.05 0.79 5.37
EuroBIG 166.19 0.26 0.40 6.73 210.03 -0.66 0.99 13.94 175.09 0.27 0.40 6.53
- EMU Govts. (EGBI) 166.44 0.34 0.37 4.81 210.34 -0.58 0.95 11.89 175.30 0.35 0.36 4.62
- Govt./Govt. Sponsored* 166.26 0.16 0.40 5.81 210.12 -0.76 0.99 12.97 175.10 0.16 0.40 5.59
- Collateralized 163.49 0.16 0.29 7.27 206.62 -0.76 0.88 14.52 172.00 0.16 0.29 7.09
- Corporate 167.89 0.15 0.60 14.79 212.18 -0.77 1.19 22.55 177.31 0.15 0.60 14.53
EuroDollar Index 274.33 0.05 0.75 11.06 274.33 0.05 0.75 11.06 274.33 0.05 0.75 11.06
EuroYen Index 149.83 0.19 0.77 6.26 167.18 0.07 2.01 7.73 265.22 0.19 0.79 6.80
EuroSterling Index 292.24 0.74 0.24 11.85 313.73 0.88 2.14 30.66 248.59 0.76 0.23 11.64
AusBIG 177.13 0.45 0.69 1.56 272.88 -0.84 3.06 34.73 141.12 0.45 0.54 -1.22
- Aus. Govts. 174.18 0.52 0.73 -2.85 268.33 -0.77 3.11 28.88 138.56 0.52 0.58 -5.64
- Semi-Govts. 179.60 0.49 0.72 1.11 276.69 -0.81 3.10 34.14 143.10 0.49 0.57 -1.63
- Corporate 179.48 0.30 0.67 8.14 276.50 -0.99 3.05 43.47 143.43 0.30 0.52 5.34
US HY Market 530.63 0.06 0.84 49.78 530.63 0.06 0.84 49.78 530.63 0.06 0.84 49.78
US HY Cash Pay 523.29 0.06 0.81 48.13 523.29 0.06 0.81 48.13 523.29 0.06 0.81 48.13
US HY Market Capped N/A 0.08 0.77 49.05 N/A 0.08 0.77 49.05 N/A 0.08 0.77 49.05
US HY Cash Pay Capped N/A 0.07 0.73 47.55 N/A 0.07 0.73 47.55 N/A 0.07 0.73 47.55
ESBI 477.48 0.12 1.09 27.59 477.48 0.12 1.09 27.59 477.48 0.12 1.09 27.59
ESBI-Extended 476.48 0.12 1.09 28.03 476.48 0.12 1.09 28.03 476.48 0.12 1.09 28.03
ESBI-Capped 494.89 0.06 0.90 30.54 494.89 0.06 0.90 30.54 494.89 0.06 0.90 30.54
ESBI-Capped Extended 495.45 0.06 0.89 31.12 495.45 0.06 0.89 31.12 495.45 0.06 0.89 31.12


* Govt./Gov.Sponsored excludes EGBI
N/A=Not Available for this Index.NC=Today's data not yet calculated.
MTD=Month To Date.YTD=Year To Date.Cap=Capped.
BIG=Broad Investment Grade.WGBI=World Government Bond Index.HY=High Yield.
LPF=Large Pension Fund.AusBIG=Australia Broad Investment Grade.
Base Dates:
AusBIG 30 Jun 00 = 100
US BIG 31 Dec 79 = 100
EGBI 31 Dec 98 = 100
ESBI 31 Dec 95 = 100
EuroBIG 31 Dec 98 = 100
Eurodollar 30 Jun 93 = 100
Eurosterling 30 Dec 94 = 100
Euroyen 30 Dec 94 = 100
High Yield 31 Dec 88 = 100
WGBI 31 Dec 84 = 100
WorldBIG 31 Dec 98 = 100
The data for all indexes except World BIG will be available after 10am EST.
The World BIG related return calulcations will be available after 2pm EST.




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