DB Global Short Maturity High Yield Bond Index

Transcription

1 21-Nov-2016 DBIQ Index Gude DB Global Short Maturty Hgh Yeld Bond Index Summary The DB Global Short Maturty Hgh Yeld Bond Index, STHY, tracks the performance of a selected basket of short term US dollar denomnated, publcly ssued, nsttutonally traded hgh yeld debt. The ndex ncludes soveregn, quasgovernment and corporate bonds. The ndex s rebalanced quarterly and re-weghted annually end of February Transacton cost s deducted as a runnng cost. The rules below are effectve from 30-Nov Detals of rules used pror to ths date are avalable from DBIQ. The ncepton day of the ndex s 29-Feb Bloomberg tcker: DBLQSTHY Index Development Contacts: London: +44 (0) Hong Kong: New York:

2 Index Rules The ndex rebalances quarterly,.e. last busness day n February, May, August and November. Selecton happens at the close 5 busness days 1 before the last busness day of the rebalancng perod (For hstorcal calculaton pror to ndex launch date, the selectons were done on the same day as the relevant rebalancng day). The Index Membershp s generated by applyng the followng crtera: Market Issue: soveregn, quas-government, corporate bonds. The followng market types are excluded: 144As, prvate placements, muncpal bonds, Brady bonds, restructured bonds; Country of ssuance or country guarantor: The followng ultmate countres/regons of guarantee, or f none, ssuance, are excluded: Channel Islands, Bermuda, Bahamas, Isle of Man, Cayman Islands; Bond Type: Fxed coupon bonds only. The followng bond types are excluded: zero coupon bonds, floatng/varable coupon bonds, convertbles, nflaton-lnked bonds, putable bonds, snkers, perpetual bonds, accrued only bonds Collateral Type: Covered s excluded Credt Ratng: Must be rated by ether of Standard & Poor s, Moody s or Ftch. A composte ratng s calculated (see Composte and Average Ratng Calculaton ) from avalable ratngs. The composte ratng must be between C and BB+ (both nclusve). If any ratng agency has the bond marked as defaulted t s consdered defaulted and treated as per the default rule below. Tme to maturty: Must have a remanng lfe of 3 months to 36 months nclusve, as of the correspondng rebalancng day. Any bond n the ndex for the prevous rebalancng perod and wth less than 3 months remanng at rebalancng wll be kept n the ndex untl maturty. Currency: US Dollar Amount Outstandng: Mnmum $250 mllon are elgble. Bonds not meetng outstandng crtera at the end of each month wll be removed. Settlement: Must be able to settle n US, Euroclear or both Default Event: Defaulted bonds are not elgble for the ndex. Further to an announced default, f any ratng agency has the bond marked as defaulted t s consdered defaulted. For any quas-government or corporate defaults, only the bonds of that entty are removed; the bonds of other enttes from the same country wll reman provded they meet all other ndex elgblty crtera. Enttes removed due to default provsons are not allowed to re-on the ndex untl the next annual rebalancng Called Bonds: Any bond that has been called for any future date (ncludng make whole call bonds) s nelgble. Monthly Membershp Adustments Bonds no longer meetng the followng crtera wll be removed on a monthly bass Credt Ratng: Must be rated by ether of Standard & Poor s, Moody s or Ftch. A composte ratng s calculated (see Composte and Average Ratng Calculaton ) from avalable ratngs. The composte ratng must be between C and BB+ (both nclusve). If any ratng agency has the bond marked as defaulted t s consdered defaulted and treated as per the default rule below. Amount Outstandng: Mnmum $250 mllon are elgble. Bonds not meetng outstandng crtera at the end of each month wll be removed. 1 Pror to March 2015 the selecton occurred four busness days before the 1 st. day n the new rebalancng perod. 2

3 Default Event: Defaulted bonds are not elgble for the ndex. If any ratng agency has the bond marked as defaulted t s consdered defaulted. For any quas-government or corporate defaults, only the bonds of that entty are removed; the bonds of other enttes from the same country wll reman provded they meet all other ndex elgblty crtera. Enttes removed due to default provsons are not allowed to re-on the ndex untl the next annual rebalancng. Called Bonds: Any bond that has been called for any future date (ncludng make whole call bonds) s nelgble Calculaton Procedures Cash from coupon payment for matured, defaulted or called bonds wll be kept n the ndex wthout nterest untl the end of each month 2. On the last busness day of a non quarterly rebalancng month, the cumulated cash ncludng the value of any bonds leavng on the rebalancng date shall be nvested nto remanng bonds proportonally. If t s a quarterly rebalancng month, the cumulated cash plus proceed from leavng bonds shall be nvested nto new bonds. Transacton cost at month end s deducted as a runnng cost. eght Calculaton Bond weghts are calculated dfferently at February rebalancng (annual rebalancng) and non-annual rebalancng. eghts calculaton at annual rebalancng: On selecton day, equal weght s gven to each selected bond as the ntal weght. Cumulatve weght for bonds ssued by each country s calculated. If cumulatve weght for any country exceeds 40%, the cumulatve weght for that country s capped at 40% whch s dstrbuted equally to all of the bonds n the country. The remanng weght s equally dstrbuted to all remanng bonds n the ndex. Based on the weghts calculated and the Index Level on selecton date, prelmnary bond notonal s calculated. On rebalance date a target weght s calculated usng the prelmnary notonals calculated on selecton date wth rebalance date prce and analytcs. eghts calculaton at non-annual quarterly rebalancng: On a selecton day weghts for any bonds that are n the prevous rebalancng perod are kept unchanged. Cumulatve weghts from the leavng bonds, redempton value from matured bonds as well as coupon payments are dstrbuted to each new oner equally. Based on the weghts calculated and the Index level on selecton date, prelmnary bond notonal s calculated. On rebalance date target weght s calculated usng the prelmnary notonals calculated on selecton date and rebalance date prce and analytcs. eghts calculaton at non-rebalancng month-end: Relatve weghts of the remanng bonds are kept as s and re-normalzed so that they add up to 100%. Prces The prmary prcng source for ths ndex s Interactve Data (IDC) and Reuters s a secondary source. Other thrd party prcng sources are used n the verfcaton process and also used when prces from the prmary sources are unavalable for a partcular bond and date. DB does not use algorthm to automatcally generate or ncorporate thrd party prcng sources. Md prces are used to calculate ndex end of day (EOD) levels. Bd and ask spread prces are used to deduct transacton cost. 2 Cash s kept n the ndex untl end of each quarter from 28-Feb-2008 tll 31-May Cash cumulated from end of 1-un untl 31-ul-2013 s renvested to the remanng bonds proportonally. On 30-Aug-2013, cash cumulated from 1-Aug untl 30-Aug-2013 along wth proceed from leavng bonds are re-nvested nto new enterng bonds equally. For tme perod after ths quarter, cash re-nvestment follows the general rules. 3

4 Composte and Average Ratng Calculaton Bond ratngs from Standard and Poor s, Moody s and Ftch are mapped to numercal ratngs as below: SP Moody Ftch Numercal AAA Aaa AAA 1 AA+ Aa1 AA+ 2 AA Aa2 AA 3 AA- Aa3 AA- 4 A+ A1 A+ 5 A A2 A 6 A- A3 A- 7 BBB+ Baa1 BBB+ 8 BBB Baa2 BBB 9 BBB- Baa3 BBB- 10 BB+ Ba1 BB+ 11 BB Ba2 BB 12 BB- Ba3 BB- 13 B+ B1 B+ 14 B B2 B 15 B- B3 B- 16 CCC+ Caa1 CCC+ 17 CCC Caa2,caa CCC 18 CCC- Caa3 CCC- 19 CC Ca CC 20 C C C 21 D,SD D D,DD,DDD 22 Composte numercal ratng of a bond s calculated as the average numercal ratngs from all avalable ratngs, rounded to sngle dgt, wth.5 rounded up. The composte numercal ratng can then be mapped to a DB composte ratng n strng as below: 4

5 Numercal DB Ratng AAA 1 AA+ 2 AA 3 AA- 4 A+ 5 A 6 A- 7 BBB+ 8 BBB 9 BBB- 10 BB+ 11 BB 12 BB- 13 B+ 14 B 15 B- 16 CCC+ 17 CCC 18 CCC- 19 CC 20 C 21 D 22 5

6 Index Calculaton Index level s calculated as: IL( t) N( P ( t) AI( t) CPN ( t) C( t eghts at annual rebalancng At annual rebalancng, weght for bond s calculated followng below steps: On selecton day: 0 1/ n( s) 0 0 ) max 0 COUNTRY If max COUNTRY For each bond n country, the weght s calculated as: / n For each bond not ssued by country, the weght s calculated as: NON NON 1 max / n NON NON Usng the weghts calculated prelmnary notonal s calculated for each bond: PN IL( s) /( P AI ) On rebalance day target weghts are calculated as: PN ( P AI ) / PN ( P AI ) On rebalance day the fnal notonal s calculated as: N IL( / P AI eghts at non-annual quarterly rebalancng eght for remanng bond at non-annual rebalancng s calculated as: P AI / IL( ) N ( r 1) s eght for new oner at non-annual rebalancng s calculated as: 6

7 Usng the weghts calculated prelmnary notonal s calculated for each bond: On rebalance day target weghts for remanng bond at non-annual rebalancng s calculated as NE P AI / IL( ) PN r On rebalance day target weghts are calculated as: On rebalance day the fnal notonal s calculated as: N IL( / P AI 1 / nne ( ) s PN IL( s) /( P AI ) NE 1 PN NE ( P NE AI NE ) / PN NE ( P NE AI NE ) eghts at non-rebalancng month-end eght for remanng bond at non- rebalancng month-end s calculated as: On rebalance day the fnal notonal s calculated as: N IL( / P AI Cost On day t, runnng cost s calculated as: Runnng cost rate 3 for t s calculated as: ( s the begnnng weght for the new rebalancng perod, whch has been descrbed separately for annual rebalancng and non-annual rebalancng as above; ( P AI / N ( r 1) P AI ( ) N ( r 1) r C( t) CR( ( t / D( r, r 1) BID ASK P AI( / P AI( ) CR IL( 1 max 0, ( r s the endng weght n current month. It s calculated as: P AI / IL( ) N ( r 1) r 3 For hstorcal cost rate tll the end of May 2013, proxy cost rates are appled. Comparable ndex a bd-ask spread of 0.5 s appled wth an assumpton of 10% turnover at each quarterly rebalancng. Accrued nterests are gnored n the calculaton. 7

8 For any new bond, ( s 0. here: IL (t) Index level on day t IL ( Index level on prevous month-end r IL (s) Index level on prevous selecton s N ( Notonal of bond calculated on prevous month-end r N ( r 1) Notonal of bond calculated on the second last month-end r-1 PN (s) Prelmnary Notonal of bond calculated on prevous selecton s P BID, Clean bd prce of bond on prevous month-end r P ASK, Clean ask prce of bond on prevous month-end r P ( Clean md prce of bond on prevous month-end r P (s) Clean md prce of bond on prevous selecton s P (t) Clean md prce of bond on day t P ( Clean prce of remanng bond on prevous month-end r P (s) Clean prce of remanng bond on prevous selecton s AI ( Accrued nterest of bond on prevous month-end r AI (s) Accrued nterest of bond on prevous selecton s AI (t) Accrued nterest of bond on day t AI ( Accrued nterest of remanng bond on prevous month-end r AI (s) Accrued nterest of remanng bond on prevous selecton s CPN (t) Cumulatve coupon pad by bond between prevous month-end r (excluded) and t (ncluded) ( eght of bond calculated on prevous month-end r (s) eght of bond calculated on prevous selecton s 8

9 0 Intal weght of bond calculated on prevous selecton s 0 Intal cumulatve weght of bonds ssued by country on prevous selecton s (s) Fnal cumulatve weght of bonds ssued by country on prevous selecton s NON (s) Fnal cumulatve weght of bonds ssued by other countres than calculated on prevous selecton s (s) eght of ssued by country calculated on prevous selecton s NON (s) eght of bond ssued by other countres than calculated on prevous selecton s (s) eght of remanng bond calculated on prevous selecton s NE (s) eght of new bond calculated on prevous selecton s ( eght of remanng bond calculated on prevous month end r max COUNTRY 40%, Maxmum cumulatve weght for fnancal bond at annual rebalancng n (s) Number of bonds ssued by country selected on prevous selecton s nnon (s) Number of bonds ssued by other countres than selected on prevous selecton s n NE (s) Number of new bonds selected on prevous selecton s n (s) Number of bonds selected on prevous selecton s CR ( Runnng cost rate for the month mmedately after r C (t) Runnng cost charged on day t D ( r, r 1) Total number of calendar days between the prevous month-end and the next month-end, r+1 ncluded, r excluded 9

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