This page breaks down the source of bond returns for various fixed income indices into three major components so that we can see what is driving returns in the fixed income market. The income return is the yield, the price return is the change in price of the fixed income asset and the currency return is the amount gained or lost from a currency weakening or strengthening. This is usually an issue for bonds not denominated in U.S. dollars, as it means investors would have to convert their local currency when buying or selling.