Version 1.0 October 2015 GROUND RULES FOR THE. FTSE Cürex Securitized Currency Index Series

Transcription

1 GROUND RULES FOR THE FTSE Cürex Securitized Currency Index Series

2 TABLE OF CONTENTS 1.0 Introduction 2.0 Management Responsibilities 3.0 Eligible Securities 4.0 Index Methodology 5.0 Periodic Changes to the Portfolio APPENDICES A B FTSE Cürex Securitized Currency Index Series Calculation Formulae Further Information Ground Rules for the FTSE Cürex Securitized Currency Index Series 2

3 SECTION INTRODUCTION 1.1 This document sets out the Ground Rules for the construction and management of the FTSE Cürex Securitized Currency Index Series. 1.2 The FTSE Cürex Securitized Currency Index Series is designed to represent the performance of 3 6 Month US Treasury Bills as priced in a foreign currency The index series consists of the following indexes: FTSE Cürex Securitized AUD Index FTSE Cürex Securitized EUR Index FTSE Cürex Securitized GBP Index FTSE Cürex Securitized CAD Index FTSE Cürex Securitized CHF Index FTSE Cürex Securitized JPY Index FTSE Cürex Securitized MXN Index FTSE Cürex Securitized RUB Index 1.4 FTSE Russell FTSE Russell is a trading name of Frank Russell Company (FRC), FTSE International Limited (FTSE) and FTSE TMX Global Debt Capital Markets, Inc. (FTSE TMX). FRC, FTSE and FTSE TMX are each benchmark administrators of indexes. References to FTSE Russell should be interpreted as a reference to the relevant benchmark administrator for the relevant index series. 1.5 FTSE Russell hereby notifies users of the index series that it is possible that circumstances, including external events beyond the control of FTSE Russell, may necessitate changes to, or the cessation, of the index series and therefore, any financial contracts or other financial instruments that reference the index series should be able to withstand, or otherwise address the possibility of changes to, or cessation of, the index series. Ground Rules for the FTSE Cürex Securitized Currency Index Series 3

4 SECTION Index users who choose to follow this index or to buy products that claim to follow this index should assess the merits of the index s rules-based methodology and take independent investment advice before investing their own or client funds. No liability whether as a result of negligence or otherwise is accepted by FTSE Russell (or any person concerned with the preparation or publication of these Ground Rules) for any losses, damages, claims and expenses suffered by any person as a result of: any reliance on these Ground Rules, and/or any errors or inaccuracies in these Ground Rules, and/or any non-application or misapplication of the policies or procedures described in these Ground Rules, and/or any errors or inaccuracies in the compilation or any constituent data in the Index. 1.7 These Ground Rules should be read in conjunction with the FTSE Cürex FX Index Series Methodology Document that can accessed using the following link: Ground Rules for the FTSE Cürex Securitized Currency Index Series 4

5 SECTION MANAGEMENT RESPONSIBILITIES 2.1 FTSE International Limited (FTSE) FTSE is responsible for the operation of the FTSE Cürex Securitized Currency Index Series. FTSE maintains records of all constituent instruments and will make changes to the instruments and their weightings in accordance with the Ground Rules Changes to constituent weightings are made by FTSE in accordance with the Ground Rules. FTSE will also be responsible for publicising such changes to constituent weightings. 2.2 Amendments to these Ground Rules These Ground Rules shall be subject to regular review by FTSE Russell to ensure that they continue to meet the current and future requirements of investors and other index users. The review process will include consultation on any proposed changes with the FTSE Russell Governance Board. Ground Rules for the FTSE Cürex Securitized Currency Index Series 5

6 SECTION ELIGIBLE SECURITIES 3.1 Eligible Universe US Treasury Bills with available price information and with a maturity between 3 and 6 months (90 and 180 days) are eligible for inclusion in the FTSE Cürex Securitized Currency Index Series. Ground Rules for the FTSE Cürex Securitized Currency Index Series 6

7 SECTION INDEX METHODOLOGY 4.1 The FTSE Cürex Securitized Currency Index Series is constructed using a Treasury Bill Component Index and applying FTSE Cürex 4 pm New York time Spot FX Snap Mid Index to the end of day Treasury Bill Index value, for each respective currency The FTSE Cürex 4 pm New York time Spot FX Snap Mid Index price will be adjusted by adding the FTSE Cürex Tom Next Mid rate to reflect the spot FX daily roll. Please see Section the FTSE Cürex FX Index Series Ground Rules for a definition of the Tom Next Mid rate FTSE 3-6 Month US Treasury Bill Index The FTSE 3-6 Month US Treasury Bill Index is market capitalisation weighted. Index weights are based on the total amount outstanding of each security The prices for the treasury bills are sourced from Thomson Reuters End-of-Day Pricing. The arithmetic mean between bid and ask quotes (mid prices) is used in the indexes A Price Index is calculated every business day. A business day is any valid trading day according to the Securities Industry and Financial Markets Association (SIFMA). If the FX market is open on a bond holiday, the index will be closed. The Price Index is an arithmetically weighted index based on the calculated prices and weighted by market capitalisation. 4.3 FTSE Cürex 4 pm New York time Spot FX Snap Mid Index FTSE Cürex 4 pm New York time Spot FX Snap Mid Indexes with Tom Next Mid rate adjustment are applied to the end of day value of the FTSE 3-6 month US Treasury Bill Index, to price the US Treasury Bills in a foreign currency FTSE Cürex 4 pm New York time Spot FX Snap Mid Indexes are the arithmetic average of the FTSE Cürex 4 pm New York time Spot FX Snap Bid and FTSE Cürex 4 pm New York time Spot FX Snap Index Offer Indexes FTSE Cürex FX Tom-Next Mid Indexes are the arithmetic average of the FTSE Cürex FX Tom- Next Bid and FTSE Cürex FX Tom-Next Offer Indexes. For more information on the computation of the FTSE Cürex FX Tom-Next Indexes please see the FTSE Cürex FX Index Series Methodology Document that can be found at Ground Rules for the FTSE Cürex Securitized Currency Index Series 7

8 SECTION PERIODIC CHANGE TO THE PORTFOLIOS 5.1 Rebalancing the Indexes The FTSE Cürex Securitized Currency Index and component FTSE 3-6 Month US Treasury Bill Index are reviewed monthly based on data as at the close of business on the last trading day of the previous month At each monthly review if a US Treasury Bill is less than 90 days to maturity, it will be removed from the index Changes arising from the monthly review are announced on the Monday after the first Friday of each month, 9 trading days prior to the implementation of the index review. The review is implemented after the close of business on the third Friday (i.e. effective Monday) of each month. 5.2 Addition of Constituents There are no intra-review additions. Eligible new issues are considered for inclusion at the next monthly review. If additional issues of the same Treasury Bill are auctioned intra-review the change will be reflected in the total amount outstanding used to calculate index weights. 5.3 Removal of Constituents Bills are deleted from the Index if they are completely called or repurchased by the issuer during the course of the month. Ground Rules for the FTSE Cürex Securitized Currency Index Series 8

9 APPENDIX A FTSE CÜREX SECURITIZED CURRENCY INDEX SERIES CALCULATION FORMULAE Treasury Bill Index Calculation PI 0 = 100 PI t = PI t 1 i i P P i, t i, t 1 N N i, t 1 i, t 1 Where PP ii,tt is the price of the bill at time t, N is the amount outstanding, and the summations are over the bills currently in the index. FTSE Cürex Securitized Single Currency Index Calculation For currencies that are quoted USD per base currency (AUD, GBP, EUR), the index is calculated as II 0 = 1 1 II tt = 1 PPPP tt TTTT tt SSSS tt 1 II tt 1 PPPP tt 1 SSSS tt 1 Where II tt is the index value at t, PPPP tt is the T-bill index value at t, SSSS tt is the spot rate at t, TTTT tt is the outright tomorrow-next rate at t For currencies that are quoted base currency per USD (JPY, CHF, CAD, MXN, RUB), the index is calculated as II 0 = 1 1 II tt = 1 PPPP tt SSSS II tt 1 PPPP tt tt 1 TTTT tt SSSS tt 1 Where II tt is the index value at t, PPPP tt is the T-bill index value at t, SSSS tt is the spot rate at t, TTTT tt is the outright tomorrow-next rate at t Ground Rules for the FTSE Cürex Securitized Currency Index Series 9

10 APPENDIX B FURTHER INFORMATION A Glossary of Terms used in FTSE Russell s Ground Rule documents can be found using the following link: Further information on the FTSE Cürex Securitized Currency Index Series is available from FTSE. For contact details please visit the FTSE website, Russell website, or contact FTSE client services at info@ftse.com. Website: London Stock Exchange Group companies. All rights reserved. The FTSE Cürex Securitized Currency Index Series is calculated by FTSE International Limited FTSE or its agent. All rights in the Index Series vest in FTSE. London Stock Exchange Group companies includes FTSE International Limited ( FTSE ), Frank Russell Company ( Russell ), MTS Next Limited ( MTS ), and FTSE TMX Global Debt Capital Markets Inc. ( FTSE TMX ). All rights reserved. FTSE, Russell, MTS, FTSE TMX and FTSE Russell and other service marks and trademarks related to the FTSE or Russell indexes are trade marks of the London Stock Exchange Group companies and are used by FTSE, MTS, FTSE TMX and Russell under licence. All information is provided for information purposes only. Every effort is made to ensure that all information given in this publication is accurate, but no responsibility or liability can be accepted by the London Stock Exchange Group companies nor its licensors for any errors or for any loss from use of this publication. Neither the London Stock Exchange Group companies nor any of their licensors make any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE Cürex Securitized Currency Index Series or the fitness or suitability of the Indexes for any particular purpose to which they might be put. The London Stock Exchange Group companies do not provide investment advice and nothing in this document should be taken as constituting financial or investment advice. The London Stock Exchange Group companies make no representation regarding the advisability of investing in any asset. A decision to invest in any such asset should not be made in reliance on any information herein. Indexes cannot be invested in directly. Inclusion of an asset in an index is not a recommendation to buy, sell or hold that asset. The general information contained in this publication should not be acted upon without obtaining specific legal, tax, and investment advice from a licensed professional. No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without prior written permission of the London Stock Exchange Group companies. Distribution of the London Stock Exchange Group companies index values and the use of their indexes to create financial products require a licence with FTSE, FTSE TMX, MTS and/or Russell and/or its licensors. The Industry Classification Benchmark ( ICB ) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB. Ground Rules for the FTSE Cürex Securitized Currency Index Series 10