Listed Debt Securities Indices

Track price movements and distributions made over time of debt securities traded on the ASX with Australia Ratings’ Listed Debt Securities Indices. Based on the debt securities we rate, the indices is a valuable benchmarking tool for investors assessing their portfolio performance.

Compiled monthly, investors can access:

  • individual indices according to the securities’ complexity (product complexity indicator scale)
  • a combined (composite) index tracking all individual indices
  • weighted average yields of all indices
  • sub-indices for franked and un-franked distributions

About the Indices
Introduction to Australia Ratings Listed Debt Indices

Monthly Indices performance commentaries:
Australia Ratings' Aug Performance Commentary >>
Australia Ratings' July Performance Commentary >>
Australia Ratings' June Performance Commentary >>
Australia Ratings' May Performance Commentary >>
Australia Ratings' April Performance Commentary >>
Australia Ratings' 2017 First Quarter (March) Performance Commentary>>
Australia Ratings' February Performance Commentary >>
Australia Ratings' January Performance Commentary >>
Australia Ratings' Indices Performance Review 2015 to 2016>>

Australia Ratings' November Performance Commentary >>
Australia Ratings' October Performance Commentary >>
Australia Ratings' September Performance Commentary >>
Australia Ratings' August Performance Commentary >>
Australia Ratings' July Performance Commentary >>
Australia Ratings' June Performance Commentary >>
Introduction to Australia Ratings Listed Debt Indices & April Performance Commentary >>

About the Indices
The index is an accumulation or total return index with a start date of 1 January 2015 and tracks both price movements and distributions paid over time.

The Combined index covers all non-government, ASX-listed debt securities that pay floating rate distributions and have more than one year to go before reaching their call or maturity date.

The Combined index is the largest and main index in a family of indices based on the product complexity indicators (PCIs) used by Australia Ratings – Green, Blue, Yellow, Orange & Red.

The Green index covers simple, senior ranking debt securities and the Blue index covers simple subordinated debt securities. The latter has been suspended, as there are no securities rated by Australia ratings that currently fit this category.

The Yellow index covers securities with deferrable but cumulative distributions, while the Orange index covers securities with deferrable, non-cumulative distributions. The Orange index also includes securities with a non-viability trigger for recapitalisation of the issuer, and the Red index covers those securities with all of these complexities and a capital event trigger, as found in bank issued hybrid securities.

A Franked index and an Unfranked index have also been produced to isolate the differing performance of securities that pay franked distributions relative to those that don’t.

Australia Ratings has been assigning credit ratings and product complexity indicators to most listed debt securities since 1 January 2015 under the ASX Research Scheme.

Contact us for more information about our listed debt securities indices. 


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