The Bank of America Merrill Lynch Global Bond Index Rules. PIMCO Global Advantage Government Bond Index Fine Specifications
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1 PIMCO Global Advantage Government Bond Index Fine Specifications July 2017
2 1 Index Overview The PIMCO Global Advantage Government Bond Index history starts on December 31, The index has a level of 100 on October 31, The index weights are rebalanced quarterly and the bond selection is performed monthly on the last calendar day of the month. The membership selection for the following month is determined using information available at the close on the third business day before the last business day of the month end ( membership selection date ). 2 Eligibility Rules 2.1 Instrument Categories Only bonds issued by central governments in their domestic currency qualify for the index. Debt issued by central banks is excluded from the index other than where the central bank is acting as the primary issuing agent for the central government. 2.2 Country selection criteria For a country to qualify for the index the following criteria must be met: Size of bond market Credit rating Investibility Number of qualifying bonds EU and US sanctions The list of eligible countries is reviewed annually on June 30. Changes resulting from the June review take effect on October 31 of that year Size of Bond Market To be included in the index on the October 31 annual rebalancing date, a country must have at least USD 10 billion total face value of local currency-denominated nominal government debt. The total includes outstanding debt that meets all qualifying criteria for the index as of June 30 and is converted into USD using the average of the London closing FX rates on the last business day of April, May and June Credit Rating Countries must have a foreign currency sovereign debt rating by at least one of the following rating agencies: Standard & Poor s, Moody s or Fitch. If a country is rated by two or more agencies, then the average rating is used. The rating of the country needs to be BB3 or higher. A country is immediately removed from the index at the end of the month in which it falls below BB3. If it is subsequently upgraded back to BB3 or higher, the country can only re-enter the index on an October 31 annual rebalancing date Investibility The market needs to be investable, i.e. markets with significant capital controls and access restrictions or lack of liquidity are not eligible for the index EU and US sanctions
3 Countries whose internal or external sovereign borrowing is subject to EU or US sanctions are not eligible for the index, even if they fulfill all other criteria. Currently Cuba, Iran, North Korea, Syria and Sudan are on the sanction list Number of Qualifying Bonds All developed markets countries must have a minimum number of 3 bonds that meet all requirements for inclusion in the index as of June 30 to be eligible for inclusion. All emerging markets countries must have a minimum number of 5 bonds that meet all requirements for inclusion in the index as of June 30 to be eligible for inclusion. The developed markets include the following countries: Australia, Canada, Denmark, Euro members, Iceland, Japan, New Zealand, Norway, Sweden, Switzerland, the United Kingdom and the United States. The emerging markets include all other countries. 2.3 Currently Qualifying Countries A list of qualifying countries as of July 31, 2017 is provided in Table 1. 3 Weighting Mechanism 3.1 Country Weight Country weights are based on GDP data updated once a year in October. The new weights are published during August and become effective on October 31. The country weight is equal to the average world GDP weights of the country over the last five years divided by the total of the same for all index-qualifying countries. Every quarter (on January 31, April 30 and July 31) country weights are reset to the prior October 31 levels. In between annual/quarterly reset dates, country weights float based on their relative total return performances. The annual source of the GDP data is the April edition of the World Economic Outlook published by the IMF. The calculation uses the GDP expressed at current prices in USD. Should extraordinary events such as currency crises, rating downgrades to sub investment grade, etc. occur, a special review of country weights may take place on other than the annual cycle with changes in weights, if any, announced prior to the rebalancing date on which they are to take effect. If a country has no qualifying bonds for a given month, or falls below BB3, it is excluded from the index and its weight is redistributed to all other qualifying countries on a pro-rata basis. Once removed, a country cannot be considered for re-entry until the next annual review. The Index Oversight Committee has the discretion to impose a special cap on the allocation to any country where it deems there is insufficient supply/liquidity to support a pure GDP-based weight, or if it believes that its size is so overwhelming in relation to the overall index as to be detrimental to the index. As an example, such a situation might arise when the GDP weight for the country is significantly higher than the weight that would be derived on a market capitalization basis, and the country has insufficient new issuance and/or secondary activity relative to the implied purchases that would be required in order to match the GDP-based index weight. The Index Oversight Committee also has the discretion to phase in any annual rebalancing change that will have a material impact on the allocation to a given country. In such cases, the phase in will take place over a pre-defined period the length of which will be announced concurrent with the annual notice of the new country weights. Each month during the phase-in period, the country s weight is equal to the greater of (i) a straight line amortization of the target allocation and (ii) its current weight in the index (in the event that market appreciation has already increased it over the amortized target). For example, if a new country has a 6% target allocation that will be phased in over a four month period, it would join the index on October 31 with a 1.5% weight. Thereafter, its minimum weight would be 3.0% on November 30 and 4.5% on December 31 and on the January 31 quarterly reset date it would reach its 6% target. If another country is removed from the index due to a downgrade during the phase-in period, the phased in country s amortization schedule is immediately adjusted to reflect its new target allocation. During the phase in period offsetting adjustments are made to all other countries on a pro-rata basis.
4 Country weights as of July 31, 2017 are provided in the Table Rounding Country Weights The weight of a country within the total index is established in percentage terms rounded to one decimal place. If the rounded weights do not add up to 1, the largest countries are adjusted in descending order by 0.1% each until the sum of all weights is 1. If two or more of the largest countries have equal weights the country with the largest unadjusted GDP weight is modified first. 3.3 Bond Weights Within a country all bond weightings are based on the relative market capitalization of the bonds included in the index, where market capitalization is equal to outstanding face value times price plus accrued interest. 4 Bond Selection In addition to the minimum individual bond size requirements listed in Table 1, qualifying securities must have at least one year remaining term to final maturity, at least 18 months to final maturity at time of issuance and a fixed coupon schedule. Callable perpetual securities qualify provided they are at least one year from the first call date. Fixed-tofloating rate securities also qualify provided they are callable within the fixed rate period and are at least one year from the last call prior to the date the bond transitions from a fixed to a floating rate security. Brazil Treasury Bills are included provided they have at least one year to maturity at point of issue and meet all other size and maturity requirements. All other Treasury Bills are excluded along with inflation-linked debt and strips. Original issue zero coupon bonds are included in the index and the amounts outstanding of qualifying coupon securities are not reduced by any portions that have been stripped. Global securities issued in the U.S. and international markets qualify for inclusion in the index. Securities issued or marketed primarily to retail investors do not qualify for inclusion in the index.
5 Country Minimum Size (mm in local currency terms) Country Weight United States 1bn 30.5% Japan 200bn 9.3% Germany 1bn 6.7% United Kingdom 500mn 5.0% France 1bn 5.0% Brazil 1bn 4.3% Italy 1bn 3.8% Russia 10bn 3.6% Canada 1bn 3.2% Australia 1bn 2.6% Spain 1bn 2.5% South Korea 1tn 2.4% Mexico 5bn 2.2% Indonesia 5tn 1.6% Netherlands 1bn 1.5% Turkey 2bn 1.4% Switzerland 500mn 1.2% Sweden 5bn 1.0% Norway 5bn 0.9% Belgium 1bn 0.9% Poland 2bn 0.9% Austria 1bn 0.8% South Africa 5bn 0.7% Thailand 10bn 0.7% Denmark 5bn 0.6% Colombia 500bn 0.6% Malaysia 1bn 0.6% Finland 1bn 0.5% Chile 100bn 0.5% Israel 1bn 0.5% Philippines 10bn 0.5% Hong Kong 800mn 0.5% Singapore 1bn 0.5% Ireland 1bn 0.4% Portugal 1bn 0.4% Czech Republic 10bn 0.4% New Zealand 1bn 0.3% Peru 1bn 0.3% Romania 1bn 0.3% Slovak Republic 1bn 0.2% Hungary 50bn 0.2%
6 Copyright 2016 Merrill Lynch, Pierce Fenner & Smith Incorporated (MLPF&S). All rights reserved. Any unauthorized use or disclosure is prohibited. MLPF&S retains exclusive ownership of the BofA Merrill Lynch Indices and the analytics used to create this analysis. MLPF&S may in its absolute discretion and without prior notice, revise or terminate the Indices and analytics at any time. The information in this analysis is for internal use only and redistribution of this information to third parties is expressly prohibited. Neither the analysis nor the information contained therein constitutes investment advice or an offer, or an invitation to make an offer, to buy or sell any securities or any options, futures or other derivatives related to such securities ("related securities"). The information and calculations contained in this analysis have been obtained from a variety of sources, including those other than MLPF&S and are based on a variety of assumptions and MLPF&S does not guarantee their accuracy. There is no assurance that hypothetical results will be equal to actual performance under any market conditions. MLPF&S or its affiliates, directors, officers, employees and employee benefit programs may have a long or short position in and may buy and sell for its own account or the accounts of others, securities referred to in the Application or related investments. The prices are not the actual bids MLPF&S offers for these securities. Therefore there can be no assurance that these securities could be sold at such or bought at such prices from MLPF&S or another party. Foreign currency rates of exchange may adversely affect the value, price or income of any security or related investment mentioned in the analysis. In no event shall MLPF&S or any of its partners, affiliates, related companies, employees, officers, directors or agents of any such persons have any liability to any person or entity relating to or arising out of this analysis, or the indices, application or information contained therein. Reference is also made to for a complete set of terms and conditions of use concerning the applications and calculators used to generate this analysis.
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