TMX VettaFi retools fixed-income benchmarks

TMX VettaFi has reengineered its fixed-income benchmarks, replacing traditional market-cap weighting with smart-beta indexes that prioritize structural liquidity and credit quality. The firm also launched a Fixed Income Index Analyzer, a web tool that generates custom index reports in minutes. TMX VettaFi acquired legacy fixed-income indexes from Credit Suisse in early 2025 and is commercializing them for institutional clients.

Market-cap-weighted bond indexes assign larger index weights to issuers with more outstanding debt. TMX VettaFi says this can increase exposure to highly indebted issuers rather than to issuers with stronger credit profiles. To address that, the firm built enhanced passive indexes that decouple weightings from debt volume and instead apply rules based on liquidity and credit metrics.

The index lineup includes VettaFi Liquid Indexes, which select securities by structural liquidity rather than debt size, and the VettaFi US IG Corp Enhanced Yield Index (VFEYUS), which adjusts exposure across investment-grade tiers to target higher yields when spreads compress. Samarth Sanghavi and Brian Coco directed the original index work at Credit Suisse and now lead the product effort at TMX VettaFi. Sanghavi recalled that at Credit Suisse the indexes were used mainly for research and were secondary to trading activity.

The Fixed Income Index Analyzer lets users filter universes by maturity, duration, credit ratings, geography and sector, exclude distressed credits and isolate segments of the yield curve or issuer types. TMX VettaFi provided an example in which a bespoke report that another provider estimated would take two weeks was produced in five minutes using the Analyzer, a timeline Sanghavi recounted.

The Analyzer also produces performance views across multiple dimensions to show the effects of different filters. Sanghavi demonstrated that users can create narrowly defined indexes on the fly, such as a short-term $300 million to $500 million segment of the U.S. high-yield market filtered to BB and B rated Financials in Europe.

Market-cap weighting has been the dominant fixed-income index method for decades. TMX VettaFi describes its work as offering institutional investors more granular, credit-focused index options and faster custom index production based on the repurposed Credit Suisse track records.