Ground Rules. FTSE ORB Index Series v1.5

Transcription

1 Ground Rules FTSE ORB Index Seres v1.5 fserussell.com January 2018

2 Conens 1.0 Inroducon Managemen Responsbles Elgble Secures rce Sources erodc Change o he Indexes... 9 ppendx B: FTSE ORB Index Seres Calculaon Formulae.. 11 ppendx : Furher Informaon FTSE Russell FTSE ORB Index Seres v1.5 January of 14

3 Secon 1 Inroducon 1.0 Inroducon 1.1 Ths documen ses ou he Ground Rules for he consrucon and managemen of he FTSE ORB Index Seres. The Ground Rules are avalable from FTSE Russell on The FTSE ORB Index Seres consss of he followng ndexes: FTSE ORB Index FTSE ORB Fnancals Index FTSE ORB on-fnancals Index FTSE ORB Under 5Y Unl Maury Index FTSE ORB Over 5Y Unl Maury Index 1.3 Index Seres Objecves The FTSE ORB Index Seres s a se of rules-based ndexes ha measure he performance of corporae bonds radng on he London Sock Exchange s Order Book for Real Bonds across dfferen maury bands and ndusry segmens The ndexes o whch each bond are assgned depend on he maury erm on he frs busness day of he monh. 1.4 Index Mehodology Ths documen ses ou he Ground Rules for he consrucon and manenance of he FTSE ORB Index Seres The purpose of he famly of FTSE ORB Index Seres s o measure he performance of corporae bonds radng on he London Sock Exchange s Order Book for Real Bonds. Ths s acheved by creang an ndex of elgble bonds and calculang he ndex performance. he end of each monh he consuens of he ndex are revewed. Bonds may be removed or added o he ndex durng he revew. I s assumed ha any rebalancng occurs a zero cos. The consuens of an ndex do no change durng a monh excep n exceponal crcumsances see Secons 4 and 5. The rules used n he ndex consrucon broadly follow he EFFS European Federaon of Fnancal nalyss Socees sandardsed rules for bond ndexes. The formulae used are descrbed n ppendx. 1.5 Capal Index also known as he rce Index or he Clean rce Index FTSE Russell FTSE ORB Index Seres v1.5 January of 14

4 1.5.1 The Capal Index of all he lsed ndexes s calculaed every busness day. Each capal ndex s an arhmecally weghed ndex based on he clean prce and weghed by he nomnal amoun ousandng. 1.6 Toal Reurn Index also known as he erformance Index 1.7 Oher Daa rovded In addon o he Capal Index and Toal Reurn Index he followng are also calculaed: verage Coupon verage Gross Redempon Yeld verage Tme o Maury verage Macaulay Duraon verage Modfed Duraon verage Convexy The sum of he nomnal value of all bonds n each ndex The number of bonds n each ndex 1.8 Toal Reurn ndex s calculaed for all he ndexes. oal reurn ndex akes no accoun he prce changes and neres accrual and paymens of each bond. 1.9 The base currency of he benchmark s GB FTSE Russell FTSE Russell s a radng name of FTSE Inernaonal Lmed Frank Russell Company and FTSE TMX Global Deb Capal Markes Lmed and s subsdares ncludng MTSex Lmed. FTSE Inernaonal Lmed s he admnsraor of all FTSE Russell ndexes FTSE Russell hereby nofes users of he ndex ha s possble ha crcumsances ncludng exernal evens beyond he conrol of FTSE Russell may necessae changes o or he cessaon of he ndex and herefore any fnancal conracs or oher fnancal nsrumens ha reference he ndex or nvesmen funds whch use he ndex o measure her performance should be able o whsand or oherwse address he possbly of changes o or cessaon of he ndex Index users who choose o follow hs ndex or o buy producs ha clam o follow hs ndex should assess he mers of he ndex s rules-based mehodology and ake ndependen nvesmen advce before nvesng her own or clen funds. o lably wheher as a resul of neglgence or oherwse s acceped by FTSE Russell for any losses damages clams and expenses suffered by any person as a resul of: any relance on hese Ground Rules and/or any errors or naccuraces n hese Ground Rules and/or any non-applcaon or msapplcaon of he polces or procedures descrbed n hese Ground Rules and/or any errors or naccuraces n he complaon of he ndex or any consuen daa. FTSE Russell FTSE ORB Index Seres v1.5 January of 14

5 Secon 2 Managemen Responsbles 2.0 Managemen Responsbles 2.1 FTSE Inernaonal Lmed FTSE FTSE s he benchmark admnsraor of he ndex seres FTSE s responsble for he daly calculaon producon and operaon of he FTSE ORB Index Seres and wll: manan records of all he consuens; carry ou he perodc revews of he ndex seres and apply he changes resulng from he revews as requred by he Ground Rules; be responsble for he addon and deleon of bonds and changes of nomnal amouns n accordance wh he Ground Rules. 2.2 mendmens o hese Ground Rules These Ground Rules shall be subjec o regular revew by FTSE Russell o ensure ha hey connue o mee he curren and fuure requremens of nvesors and oher ndex users. ny proposals for sgnfcan amendmens o hese Ground Rules wll be subjec o consulaon wh FTSE Russell advsory commees and oher sakeholders f approprae. The feedback from hese consulaons wll be consdered by he FTSE Russell roduc Governance Board before approval s graned Where FTSE Russell deermnes ha he Ground Rules are slen or do no specfcally and unambguously apply o he subjec maer of any decson any decson shall be based as far as praccal on he Saemen of rncples. fer makng any such deermnaon FTSE Russell shall advse he marke of s decson a he earles opporuny. ny such reamen wll no be consdered as an excepon or change o he Ground Rules or o se a preceden for fuure acon bu FTSE Russell wll consder wheher he Rules should subsequenly be updaed o provde greaer clary In he even ha FTSE Russell consders ha a change of prncple should be made o any of he Ground Rules he ssue mus be brough o he aenon of he Charman of he FTSE Russell roduc Governance Board for approval. FTSE Russell FTSE ORB Index Seres v1.5 January of 14

6 Secon 3 FTSE Russell Index olces 3.0 FTSE Russell Index olces These Ground Rules should be read n conjuncon wh he followng polcy documens whch can be accessed usng he lnks below: 3.1 olcy for Benchmark Mehodology Changes Deals of FTSE Russell s polcy for makng benchmark mehodology changes can be accessed usng he followng lnk: olcy_for_benchmark_mehodology_changes.pdf FTSE Russell FTSE ORB Index Seres v1.5 January of 14

7 Secon 3 Elgble Secures 4.0 Elgble Secures 4.1 Elgbly of Bonds Bonds radng on he LSE ORB plaform wll be consdered for ncluson n he FTSE ORB Index Seres Only bonds sasfyng he followng crera wll be elgble for ncluson n he FTSE ORB Index Seres Bonds mus be GB denomnaed Bonds mus be classfed as corporae bonds Bonds mus have a fxed coupon paymen To be elgble for he FTSE ORB Fnancals Index a bond mus have an ssuer ICB code n he 8000 seres. The oppose mus be rue for a bond o be elgble for he FTSE ORB on-fnancals Index Bonds excluded from he FTSE ORB Index Seres are: Hybrd/converble bonds Mul-sep coupon bonds Inflaon-lnked bonds Conngen converble bonds erpeual Bonds Bonds wh embedded opons Callable and puable bonds are elgble. Callable and puable bonds wh no avalable daa for nex call/pu dae and nex call/pu prce a he me of he calculaon are reaed as plan vanlla bonds. For callable and puable bonds wh avalable nex call/pu dae and nex call/pu prce yeld o he nex call/pu dae whchever s sooner f dfferen s calculaed as he bond s redempon yeld There s no lm on he mnmum ssuance of a bond. FTSE Russell FTSE ORB Index Seres v1.5 January of 14

8 Secon 4 rce Sources 5.0 rce Sources 5.1 The prces used for he calculaon of he ndexes are LSE ORB closng prces. The arhmec mean beween he bd and ask quoes md prce s used n he ndexes. FTSE Russell FTSE ORB Index Seres v1.5 January of 14

9 Secon 5 erodc Change o he Indexes 6.0 erodc Change o he Indexes 6.1 Rebalancng he Indexes The FTSE ORB Index Seres s rebalanced monhly a he close of busness on he las busness day of each monh. ew ssues are bough a he fxng prce 16:30 UK me on he las radng day of he rebalance monh and negraed no he ndex. 6.2 Monhly Rebalance Index membershp for he subsequen monh s deermned hree busness days before he las busness day of he monh and changes are effecve a he close on he las busness day of he monh Bonds o be removed from he ndex e.g. because her resdual lfe a he begnnng of he new monh s less han a year are reaed as sold a he fxng prce 16:30 UK me on he las radng day of he prevous monh. The resdual lfe of he bonds wh embedded opons s based on he nex call/pu dae where avalable else he acual maury dae Where a bond s moved a s fxng prce from one maury sub ndex o a shorer maury sub ndex hs occurs afer he close of he las busness day of he monh precedng he monh n whch he resdual lfe of hs bond s whn he shorer maury ndex Deleons from and addons o he ndex are announced o he marke hree busness days before he las busness day of he monh. 6.3 Inra-Revew ddon of Large Consuens: If a new ssue s so large.e. s full par amoun ousandng s greaer han or equal o 1.0% of he oal par amoun ousandng of he exsng ndex ha he effecveness of he ndex as a marke ndcaor would be sgnfcanly and adversely affeced by s omsson he new ssue wll be ncluded as a consuen of he ndex a he open on he frs day of offcal radng Removal of Consuens: If a Bond defauls and he defaul announcemen s made avalable from a repuable daa vendor hen he deleon s announced mmedaely and he bond s reaned n he ndex a he las raded prce for wo days. o neres accrues durng hs perod. The bond s deleed a he close wo busness days afer he announcemen a a prce of zero. FTSE Russell FTSE ORB Index Seres v1.5 January of 14

10 6.3.3 djusmens o Consuens: djusmens o nomnal amouns ousandng n he ndex are announced a he close on he day hey are effecve n he marke. Changes o nomnal amouns ousandng are effecve n he ndex wo busness days afer hey are effecve n he marke. FTSE Russell FTSE ORB Index Seres v1.5 January of 14

11 ppendx B: Calculaon Formulae ppendx B: FTSE ORB Index Seres Calculaon Formulae The followng noaon s used n he followng calculaons. clean prce of bond a me accrued neres o he normal selemen dae for bond a me nomnal value of amoun ousandng for bond a me C coupon of bond a me L remanng lfe of bond a me Y redempon yeld o maury for bond a me D Macaulay duraon for bond a me M Modfed duraon for bond a me X Convexy for bond a me G value of any coupon paymen receved from bond for he assumed selemen dae a me or snce me -1. If none he value = 0 Clean rce Index Capal Index The clean prce I or capal ndex s gven by: I0 100 I I 1 1 where he summaons are over he bonds currenly n he ndex. FTSE Russell FTSE ORB Index Seres v1.5 January of 14

12 FTSE Russell FTSE ORB Index Seres v1.5 January of 14 Toal Reurn Index The oal reurn ndex TR s calculaed as follows: G TR TR TR where he summaons are over he bonds currenly n he ndex. verage Coupon The average coupon CO for an ndex s gven by: C CO where he summaons are over he bonds currenly n he ndex. verage Gross Redempon Yeld The average gross redempon yeld RY s he average of he bond yelds weghed by boh her szes and her modfed duraons. M M Y RY where he summaons are over he bonds currenly n he ndex. The yelds are usually compounded on an annual bass. However for hose markes where coupons are pad on a sem-annual bass sem-annual yelds are also shown. The relaonshp beween a sem-annual redempon yeld Y s and an annualsed yeld Y a s gven by: s Y a Y verage Tme o Maury The average lfe LF or me o maury for an ndex s gven by: L LF where he summaons are over he bonds currenly n he ndex. verage Macaulay Duraon The average Macaulay duraon DU for an ndex s gven by: D DU

13 FTSE Russell FTSE ORB Index Seres v1.5 January of 14 where he summaons are over he bonds currenly n he ndex. verage Modfed Duraon The average modfed duraon MD for an ndex s gven by: M MD where he summaons are over he bonds currenly n he ndex. verage Convexy The average convexy CX of an ndex s gven by: X CX where he summaons are over he bonds currenly n he ndex. omnal sze of Index The sum SZ of he nomnal values of all he bonds n an ndex s gven by: SZ where he summaons are over he bonds currenly n he ndex.

14 ppendx : Furher Informaon Glossary of Terms used n FTSE Russell s Ground Rule documens can be found usng he followng lnk: Fxed_Income_Glossary_of_Terms.pdf Furher nformaon on he FTSE ORB Index Seres s avalable from FTSE Russell. For conac deals please vs he FTSE Russell webse or conac FTSE Russell clen servces a nfo@fserussell.com. Webse: London Sock Exchange Group plc and s applcable group underakngs he LSE Group. The LSE Group ncludes 1 FTSE Inernaonal Lmed FTSE 2 Frank Russell Company Russell 3 FTSE TMX Global Deb Capal Markes Inc. and FTSE TMX Global Deb Capal Markes Lmed ogeher FTSE TMX and 4 MTSex Lmed MTSex 5 Mergen Inc. Mergen 6 FTSE Fxed Income LLC FTSE FI and 7 The Yeld Book Inc YB. ll rghs reserved. The FTSE ORB Index Seres s calculaed by or on behalf of FTSE or s afflae agen or parner. FTSE Russell s a radng name of FTSE Russell FTSE TMX and MTS ex Lmed. FTSE Russell FTSE Russell MTS TMX FTSE4Good and ICB Mergen WorldBIG USBIG EuroBIG usbig The Yeld Book and all oher rademarks and servce marks used heren wheher regsered or unregsered are rade marks and/or servce marks owned or lcensed by he applcable member of he LSE Group or her respecve lcensors and are owned or used under lcence by FTSE Russell MTSex or FTSE TMX Mergen FTSE FI or YB. TMX s a regsered rade mark of TSX Inc. ll nformaon s provded for nformaon purposes only. Every effor s made o ensure ha all nformaon gven n hs publcaon s accurae bu no responsbly or lably can be acceped by any member of he LSE Group nor her respecve drecors offcers employees parners or lcensors for any errors or for any loss from use of hs publcaon or any of he nformaon or daa conaned heren. o member of he LSE Group nor her respecve drecors offcers employees parners or lcensors make any clam predcon warrany or represenaon whasoever expressly or mpledly eher as o he resuls o be obaned from he use of he FTSE ORB Index Seres or he fness or suably of he Index Seres for any parcular purpose o whch mgh be pu. o member of he LSE Group nor her respecve drecors offcers employees parners or lcensors provde nvesmen advce and nohng n hs documen should be aken as consung fnancal or nvesmen advce. o member of he LSE Group nor her respecve drecors offcers employees parners or lcensors make any represenaon regardng he advsably of nvesng n any asse. decson o nves n any such asse should no be made n relance on any nformaon heren. Indexes canno be nvesed n drecly. Incluson of an asse n an ndex s no a recommendaon o buy sell or hold ha asse. The general nformaon conaned n hs publcaon should no be aced upon whou obanng specfc legal ax and nvesmen advce from a lcensed professonal. o par of hs nformaon may be reproduced sored n a rereval sysem or ransmed n any form or by any means elecronc mechancal phoocopyng recordng or oherwse whou pror wren permsson of he applcable member of he LSE Group. Use and dsrbuon of he LSE Group ndex daa and he use of her daa o creae fnancal producs requre a lcence wh FTSE Russell FTSE TMX MTSex Mergen FTSE FI YB and/or her respecve lcensors. FTSE Russell FTSE ORB Index Seres v1.5 January of 14