The wgbi is a widely used benchmark that currently comprises. Citi fixed income indices the high yield treasury ratehedged index is a us dollardenominated index that measures the performance of high yield debt issued by corporations domiciled in the us or canada. London stock exchange group lseg has reached an agreement with citigroup inc. This web page, created by the soa retirement section council, contains links to the citigroup formerly salomon brothers pension discount curve and liability index, and to related explanatory material.
About the yield book and citi fixed income indices the yield books highly respected analytics platform is operating in its third decade and serves approximately 350 institutions globally including investment management firms, banks, central banks, insurance companies, pension funds, brokerdealers, hedge funds and investment management firms. Citi fixed income indices have been producing fixed income indexes for more than 30 years. Access marketleading data and models for indepth fixed income security and portfolio analysis ranging from vanilla bonds to highly structured mortgages and complex derivatives. Citi sells fixed income analytics and index businesses to. Lse bolsters ftse russell franchise with acquisition of citi. Lseg to acquire the yield book and citi fixed income. London stock exchange group acquires the yield book and citi fixed income indices. Yield book incthe company profile and news bloomberg.
Consolidated listing of yield book related news, updates, and announcements. Aug 31, 2017 okan pekin, global head of investor services and dcc at citi. In addition, the short position is calculated at the index fixing date. Citigroup said to explore sale of yield book bloomberg. Total fund flow is the capital inflow into an etf minus the capital outflow from the etf for a particular time period. Citi us broad investment grade corporate index 2007 vs. Citi risk aversion indicator index methodology 11 calculation of the index level the index sponsor is citigroup global markets limited. Yield book is a leading provider of fixed income analytics for institutional investors worldwide. Nov 05, 20 yield book s treasury future delivery option model.
Brieflse completes acquisition of yield book, citi fixed. Debt capacity world government bond index dcwgbi 03 11 additional details of the index s design criteria and calculation methodology are available in the introduction paper. Access the rich functionality using simple function calls from microsoft excel. Citi goldman sachs high yield corporate bond index etf. Compare their price, performance, expenses, and more.
Yield book server could not find the requested webpage. Ftse world government bond index developed markets wgbidm. Okan pekin, global head of investor services and dcc at citi. The additional rates are calculated using the same discount curve and.
Deal to acquire citis fixed income indices and the yield book announced in may this year has closed. Yield book suite of products and solutions offers a comprehensive package of analytical tools that combine markettested. Member since 1997 and head since 2012 of the yield book analytics. The yields of the cpdc are used to discount pension liabilities. Etfs tracking the citi goldman sachs high yield corporate bond index etf fund flow the table below includes fund flow data for all u. The acquisition of the yield book and citi fixed income indices is. Lseg to acquire citigroups yield book and citi fixed. Subject to regulatory clearance and other customary closing conditions, the transaction is anticipated to close in the second half of 2017. The company has grown its dividend for the last 1 consecutive years and is increasing its dividend by an average of 28. May 30, 2017 the yield book and citi s fixed income indices service a client base of over 350 institutions globally and are used in analyzing a broad array of fixed income instruments, and in particular. London stock exchange buys citigroups yield book business for. May 30, 2017 london stock exchange group lseg has reached an agreement with citigroup inc. Bob kopprasch associate editor journal of investment. Subject to regulatory clearance and other customary closing conditions, the.
The citi pension liability index cpli reflects the discount rate that can be used to value liabilities for gaap reporting purposes. Ftses range of fixed income indexes are designed, calculated, and published by ftse index and may be licensed for use as underlying indexes for otc or exchangetraded derivatives and investment products, including etfs, swaps, structured products, warrants, and certificates. May 30, 2017 the yield book and citi fixed income indices are both leading providers of fixed income indices and analytics globally enhances and complements lsegs information services data and analytics offering, building on ftse russells us market presence and fixed income client base globally. Citis yield book which has been headed by former global head of retail. For eurozone markets, fixedrate bonds originally issued in. These indices, designed to appeal to a wide range of. London stock exchange buys citigroups yield book business. These measures can be used by employers to satisfy sec guidelines when determining the discount rates used for pension and postretirement benefit accounting under fasb statement of financial. For over 30 years, leading asset owners, asset managers. The yield book is a registered service mark of the yield book inc.
Citi s sale of its yield book fixed income analytics system, and the fixed income indicesincluding the world government bond index wgbiisnt a surprise, as the company has been looking to. The acquisition of this worldclass fixed income analytics and index business enhances lsegs information services division, allowing ftse russell a dedicated, independent global index specialist to offer clients a comprehensive fixed income index. Lse eyes more index deals after agreeing to buy citis yield book. The index consists of a long position in high yield bonds and a duration dollarmatched short position in us treasury securities.
Lse has agreed to purchase citigroups fixedincome analytics. The yield book s highly respected analytics platform is operating in its third decade and serves approximately 350 institutions globally including investment management firms, banks, central banks, insurance companies, pension funds, brokerdealers, hedge funds and investment management firms. The index is based on the citi world government bond index wgbi1 which measures the performance of fixedrate, local currency, investmentgrade sovereign bonds. The businesses mortgage models are widely considered to set the industry standard. Cs next quarterly dividend payment will be made to shareholders of record on friday, may 28. About the yield book and citi fixed income indices.
May 30, 2017 this transaction is a positive outcome for yield book and citi fixed income indices for both clients and employees, okan pekin, citigroup s global head of investor services, said in a statement. Lseg completion of acquisition of the yield book and citi. May 30, 2017 according to citis global head of investor services okan pekin, the yield book and citi fixed income indices, which includes the world government bond index, will become part of a global. Lseg to acquire the yield book and citi fixed income indices. Aug 31, 2017 following satisfaction of closing conditions, has completed acquisition of yield book and citi fixed income indices from citigroup source text for eikon. The transaction includes citigroups fixedincome analytics platform, the yield book, and indexes including the world government bond index. Mar 06, 2021 shares of citigroup are trading lower than they did prior to the pandemic, and below tangible book value, so its dividend yield is a little higher than what it would be if the bank was valued more.
The market data giant acquired barclays risk analytics and index solutions. Citi world government bond index developed markets yield book. Announcement the yield book and citi fixed income acquisition. Codes 3 days ago citi pension discount curve a set of yields on hypothetical aa zero coupon bonds whose maturities range from 6 months up to 30 years. As at the date of this index methodology, citigroup global markets limited also acts as index calculation agent, calculating and publishing the index in accordance with the index conditions. Ftse, russell, mts, ftse tmx and ftse russell and other service marks and trademarks related to the ftse or russell indexes are trademarks of. Lse closes deal on citis fixed income indices and yield book. I very much look forward to working together with the team at the yield book and citi fixed income indices as we develop our businesses over the coming months. The partnership between citi and the yield book, which has spanned over 30 years, will continue into the future. On august 31, 2017 london stock exchange group lseg completed the acquisition of the yield book and citi fixed income indices businesses from citi. Lseg completes acquisition of the yield book and citi.
Christopher jenkins director ftse russell linkedin. I originally joined the yield book in 2002 to create our successful effort to distribute the yield book analytical system to broker dealers outside of citi. A leading global provider of benchmarks, analytics, and data solutions with multiasset capabilities ftse russells expertise and products are used extensively by institutional and retail investors globally. The citi rafi bonds index series is available in yield book, citis webbased analytical tool that enables clients to manage their portfolios against various. Citi, citi and arc design, and citi velocity are trademarks and service marks of citigroup inc. Lse eyes more index deals after agreeing to buy citis. The partnership between citi and the yield book, which has. Reproduction of the data and information herein collectively, citi data in any form is prohibited except with the prior written permission of citigroup index llc citigroup. Fixedrate noncallable bonds unless otherwise stated in figure 3. Etf providers, and investment banks have chosen ftse russell indexes to benchmark their investment performance and create. Lseg completes acquisition of the yield book and citi fixed.
Assumes a switch into a similar bond price, yield, maturity assuming selling at midmarket and buying new security at offer side. The acquisition represents a significant opportunity for londonheadquartered lseg to enhance its fixed income data and analytics capabilities and strengthen its ftse russell index franchise, bringing an. Citi announces sale of its fixed income analytics and. Access the rich functionality using simple function calls. Citi announces sale of its fixed income analytics and index. Additionally, citi will continue to be a significant customer of the yield book. Derek gustafson, phd vice president, quantitative analyst. These indexes, designed to appeal to a wide range of market. Citigroup indexes are also available in the yield book, our fixedincome. The yield book and citis fixed income indices service a client base of over 350 institutions globally and are used in analyzing a broad array of fixed income instruments, and in particular, mortgage, government, corporate and derivative securities. The ftse discount curve and liability index include two additional discount rates calculated for pensions with shorter liabilities than those of the standard rates. Citi world government bond index developed markets june 29, 2017 03 figure 1 design criteria and calculation assumptions for the citi world government bond index, continued composition sovereign debt denominated in the domestic currency. Bobs guide entry for citi the yield book fixed income analytics addin.
May 30, 2017 the transaction includes citi s fixed income analytics platform, the yield book, and citi fixed income indices which include the world government bond index wgbi. Yield book incthe company profile and news bloomberg markets. Citi goldman sachs high yield corporate bond index etf tracker. Yield book 28 liberty street 58th floor new york, new york 5 tel. London stock exchange to acquire the yield book and fixed. Ftse russells markettested, comprehensive fixed income index solutions are used by investors to measure and analyze the performance of global, regional, and countryfocused debt markets. Detailed index view for citi s global debt market indices, widely used by the investment community as the benchmark of choice.
Yield book is a leading provider of fixed income analytics for. Citi to acquire the yield book and citi fixed income indices, a fixed income analytics platform and index business. Citi corporate investment grade treasury ratehedged index. Citi the yield book fixed income analytics addin the yield book provides fixed income analytics using our premier proprietary models. Salesrelationship management for yield book and citi fixed income indices in emea. The name has been changed from the salomon smith barney world government bond index, to the citigroup world government bond index and now the ftse world government bond index. Lse bolsters ftse russell franchise with acquisition of. The transaction includes citis fixed income analytics platform, the yield book, and citi fixed income indices which include the world. See index profile under the methodology for citi fixed income indices below. The yield book and citi fixed income indices businesses have a client base of more than 350 institutions offering services used to analyze fixed income instruments including mortgage, government.
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