Citi Singapore Government Bond Index INDEX METHODOLOGY

Transcription

1 Citi Singapore Government Bond Index.f INDEX METHODOLOGY 01

2 Citi Singapore Government Bond Index The Citi Singapore Government Bond Index (the Index ) measures the performance of fixed-rate, local currency, Singapore government bonds. Composition and Design Criteria Figure 1 details the design criteria and calculation assumptions for the Citi Singapore Government Bond Index. Figure 1 Citi Singapore Government Bond Index Design Criteria and Calculation Assumptions Currency Coupon Minimum Maturity Minimum Issue Size Composition SGD Fixed-rate At least one year SGD 1.5 billion Sovereign debt denominated in the domestic currency. Weighting Rebalancing Reinvestment of Cash Flow Pricing Calculation Frequency Settlement Date Fixing Date Securities included: Fixed-rate non-callable bonds Securities excluded: Variable rate, floating rate, fixed-to-floating rate, index-linked, retail directed, bills, stripped zero coupon, convertibles, savings, and private placements. Market capitalization Once a month at the end of the month At daily average of the local currency one-month Eurodeposit rate. Calculated from actual scheduled payment date of the cash flow through the end of the reporting period. Pricing provided by Monetary Authority of Singapore as of 4:30 p.m. (Singapore) Daily Index Base Date December 31, 1999 Monthly - Settlement is on the last calendar day of the month. Daily - Same day settlement except if the last business day of the month is not the last calendar day of the month; then, settlement is on the last calendar day of the month. Each month, the upcoming month s Index constituents are fixed on the profile fixing date 1. Each year s scheduled fixing dates are published on the Citi Fixed Income Indices website ( PRICING Citi s fixed income indices are calculated Monday through Friday except Christmas Day (observed) and New Year s Day (observed). When a market observes a holiday, Citi Fixed Income Indices uses the closing prices from the previous available day as the closing prices for index calculations on such holiday for that market. MATURITY SECTORS Maturity sectors are defined by including all underlying issues with a remaining average life at least equal to the lower bound, but less than the upper bound of the particular category. For example, the one-to-three-years sector of the Citi Singapore Government Bond Index includes all securities with a remaining average life of at least one year, but less than three years. The set of bonds is then held constant for the calculation month, even if the average life declines below the lower bound of the maturity bucket. 1 Fixing dates provide a clear reference point for index users to know in advance of any changes to the composition of the index for the upcoming month. On each fixing date, publically available securities information is used to determine index eligibility and indicative values for the following month s index profile 02

3 INDEX QUALITY An index quality is assigned to each index bond as of profile fixing. The quality is first mapped to the Standard & Poor s Financial Services LLC ( S&P ) rating. If a bond is not rated by S&P but it is rated by Moody s Investor Service, Inc. ( Moody s ), the S&P equivalent of the Moody s rating is assigned to the index quality. If a bond is rated by neither S&P nor Moody s, the bond is not assigned an index quality. If a bond is rated as investment-grade by one rating agency and high-yield by the other, the S&P equivalent of the investment-grade rating is assigned to the index quality. These ratings remain unchanged for the entire performance month. EXCHANGE RATES Citi Fixed Income Indices uses the The World Markets Company Plc ( WM )/Reuters closing spot and forward rates. WM takes several snapshots at regular intervals centered on the fixing time of 4:00 p.m. London time and selects the median rate for each currency. All rates are mid-market quotations and appear on Reuters (see WMRSPOT01). RETURN COMPUTATION Total returns are computed on the assumption that each security is purchased at the beginning of the period and sold at the end of the period. An issue s total rate of return is the percentage change in its total value over the measurement period. The components of total return for each security are price change, principal payments, coupon payments, accrued interest, and reinvestment income on intra-month cash flows. The total returns are market capitalization weighted using the security s beginning-of-period market value (see Figure 3). In the case of multi-currency or non-base indices, the total return also includes currency movement (see Figure 4). Figure 3 Total Rate of Return Calculation Methodology Beginning-of-Period Value (Beginning Price + Beginning Accrued) x Beginning Par Amount Outstanding End-of-Period Value [(Ending Price + Ending Accrued) x (Beginning Par Amount Outstanding - Principal Payments)] + Coupon Payments + Principal Payments + Reinvestment Income Total Rate of Return (%) End-of-Period Value [( ) 1] x 100 Beginning-of-Period Value A note on precision: Returns are computed to at least six decimal places but reported to a maximum of five. In addition, owing to rounding errors inherent in computer floating-point arithmetic, the last digit in any reported value may sometimes be off by one from its true value. Figure 4 Total Rate of Return Calculation Methodology for Base Currency Returns, Unhedged Total Rate of Return (%) Local Currency Return End-of-Month Spot Rate {[1 + ( )] x ( ) 1} x Beginning-of-Month Spot Rate This equation holds true only if the spot rates are quoted as base currency per unit of foreign currency. 03

4 DATA CORRECTION Citi Fixed Income Indices strives to produce error-free indices; however, there are occasions when erroneous data is published. These circumstances may be caused by, but not limited to, calculation or pricing errors, missing data, or incorrect indicative data. On rare occasions, and only in extreme cases, the Citi Fixed Income Indices team may conclude that restatement is required. When determining if restatement is necessary, factors such as the magnitude of the error, the overall impact on the data, the sector affected, and whether the error affects daily and/or monthly results are taken into consideration. If Citi Fixed Income Indices finds it necessary to restate, an announcement will be posted on the Citi Fixed Income Indices website ( and the data will be redistributed. Subscribers to Index Production News will automatically receive all correction notifications via . Unless otherwise stated, the index follows the general methodology for Citi s fixed income indices. For details, please see Citi s Index Guide on Figure 6 Ticker* for the Citi Singapore Government Bond Index Ticker SBSGL Index Citi Singapore Government Bond Index, in SGD terms * The ticker can be used to access data for the index on Bloomberg. CITI FIXED INCOME INDICES REGIONAL CONTACTS Americas Asia Pacific EMEA Japan fi.index.tk@citi.com 04

5 The information and data (collectively, Index Data ) contained in this Citi Fixed Income Indices Methodology Paper (the Methodology Paper ) is provided by Citigroup Index LLC ( CitiIndex ) solely for information purposes with respect to the index discussed herein (the Index ) and nothing in this Methodology Paper constitutes (a) a recommendation or an offer to sell or a solicitation to deal in any financial product, enter into any transaction or adopt any investment strategy or (b) legal, tax, regulatory, financial or accounting advice. None of CitiIndex, its directors, officers, employees, representatives, delegates, contractors or agents (each, a CitiIndex Person ) makes any express or implied representations or warranties as to (a) the accuracy, adequacy or completeness of the Index Data, (b) the levels of the Index at any particular time on any particular date, (c) the advisability of purchasing or entering into any financial product the performance of which is linked, in whole or in part, to the Index, (d) the results to be obtained by the issuer of any product linked to the Index or by any other person or entity, from the use of the Index or any data included therein for any purpose, (e) the merchantability or fitness for a particular purpose of the Index, or (f) any other matter. Each CitiIndex Person hereby expressly disclaims, to the fullest extent permitted by applicable law, all warranties of accuracy, completeness, merchantability or fitness for a particular purpose with respect to the Index and any Index Data. To the fullest extent permitted by applicable law, no CitiIndex Person shall have any liability (direct or indirect, special, punitive, consequential or otherwise) to any person even if notified of the possibility of damages. CitiIndex is not under any obligation to continue the calculation, publication and dissemination of the Index nor shall any CitiIndex Person have any liability for any errors, omissions, interruptions or delays relating to the Index. CitiIndex acts as principal and not as agent or fiduciary of any other person. The Index reflects the performance of notional investment positions in its constituents. There is no actual portfolio of assets to which any person is entitled or in which any person has any ownership interest. The Index merely identifies certain hypothetical investment positions, the performance of which will be used as a reference point for the purpose of calculating the level of the Index. The Index and the information contained in this Methodology Paper are CitiIndex s proprietary material. No person may use the Index in any way or reproduce or disseminate the information contained in this Methodology Paper without the prior written consent of CitiIndex. The Index is not in any way sponsored, endorsed or promoted by the issuer or sponsor, as applicable, of any of its constituents. 2016, Citigroup Index LLC. All rights reserved. Citi, and Citi and Arc Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout the world.