DBIQ Municipal Infrastructure Revenue Bond Index

Transcription

1 March 2013 DBIQ Index Gude DBIQ Muncpal Infrastructure Revenue Bond Index Summary The DBIQ Muncpal Infrastructure Revenue Bond Index (the Index ) s a rules-based ndex amng to track the returns of the U.S. long term tax-exempt bond market, specfcally nfrastructure revenue bonds. The Index s comprsed of tax-exempt muncpal securtes ssued by states, ctes, countes, dstrcts, ther respectve agences and other taxexempt ssuers. It s desgned to only hold those bonds ssued by state and local muncpaltes where the nterest and prncpal repayments are generated from dedcated revenue streams or double-barreled enttes (whose bonds are backed by both a dedcated revenue stream and a general oblgaton pledge). The Index s reconsttuted and rebalanced on the last busness day of each month. Index Publcaton The Index s calculated and publshed to Bloomberg as follows Index Name DBIQ Regulated Muncpal Infrastructure Revenue Bond Index Return Type Total Return Currency Bloomberg Tcker Reuters Tcker USD DBIQRVNU.DBIQRVNU Index Development Contacts: London: +44 (0) Hong Kong: New York:

2 Index Descrpton The Index s a rules-based ndex amng to track the returns of the U.S. long term tax-exempt bond market, specfcally nfrastructure revenue bonds. The Index s comprsed of tax-exempt muncpal securtes ssued by states, ctes, countes, dstrcts, ther respectve agences and other tax-exempt ssuers. The Index s ntended to track bonds that have been ssued wth the ntenton of fundng federal, state and local nfrastructure projects such as water and sewer systems, publc power systems, toll roads, brdges, tunnels, and many other publc use projects. The Index s desgned to only hold those bonds ssued by state and local muncpaltes where the nterest and prncpal repayments are generated from dedcated revenue streams or double-barreled enttes (whose bonds are backed by both a dedcated revenue stream and a general oblgaton pledge). The unverse of muncpal securtes elgble for ncluson n the Index (the Selecton Pool ) are those muncpal bonds that fulfll the followng condtons: (a) Muncpal bonds (b) Bonds must be subject to a publc offerng (c) Amount Outstandng of each bond must be at least $40 mllon where 1. Bonds wth an amount outstandng of less than $100 mllon wll need to be ssued after 1st Jan Bonds wth an amount outstandng of more than $100 mllon wll not have any ssue date restrant (d) Deal Sze of at least $100 mllon (e) Federal tax free (bonds subject to the Alternatve Mnmum Tax and state and local taxes are satsfactory for ncluson n ndex) (f) Investment grade ratng by ether Standard & Poor s Ratngs Group or Moody s Investors Servce, Inc. (g) Fxed-rate coupon payment (zero coupon bonds are specfcally excluded) (h) Bonds must not be prerefunded / escrowed to maturty () Tme to maturty must be at least 10 years or longer (j) Callable securtes must not be callable wthn the next 5 years. For the avodance of doubt, ths means the next call date must not le n the next 5 years (k) Purpose of the bond proceeds must be for one of the followng areas: 1. Transportaton (arports, seaports, brdges, toll roads, tunnels, parkng facltes, or smlar) 2. Recreaton (conventon centers, stadums, sports complexes, or smlar) 3. Utlty (electrc publc power, water/sewer, santaton, or smlar.) 4. Industral Economc Development (sold waste recovery, malls, shoppng centers, or smlar) 5. The followng ndustres are excluded: hgher educaton, polluton control, housng, health care and tobacco) (l) Proceeds of debt must be used for nfrastructure purposes and prncpal and nterest repayment must come from a pledged revenue source (e.g. tolls, sales tax, regstraton fees, user fees.) or a double-barreled revenue stream ( pledged revenue stream + general oblgaton pledge) (n) Muncpal bonds, whch are pad back solely usng a general oblgaton pledge or an appropraton, are excluded (o) Muncpal bonds from Puerto Rco, whch are classfed as Sales Tax wll be explctly excluded (p) Muncpal bonds, where the oblgor s a corporaton are explctly excluded The Index s calculated on each Busness Day usng the mean bd and ask prces provded by J.J. Kenny Drake, Inc. Busness Days are defned as days on whch the New York Stock Exchange (NYSE) s open for busness. A commttee composed of staff from DBIQ (the Index Commttee ) s responsble for amendments to the rules and the Index Admnstrator s responsble for decsons regardng the composton of the Index. Oversght of the Index s the responsblty of the Index Commttee. Each member of the Index Commttee s subject to procedures desgned to prevent the use and dssemnaton of materal non-publc nformaton regardng the Index. 2

3 The future composton of the Index s set by the Index Admnstrator on the Selecton Days (as defned heren). The Index Admnstrator also makes decsons regardng the future composton of the Index f any Extraordnary Events (as defned heren) should occur and the mplementaton of any necessary adjustments. Members of the Index Admnstrator can recommend at any tme changes to the composton of the Index or to the rules and submt them to the Index Commttee for approval n order to address extraordnary crcumstances. Index Calculaton and Publcaton Structured Solutons AG ( Structured Solutons ) serves as the Index Admnstrator and Calculaton Agent. The prce of the Index s calculated on each Busness Day based on the mean bd and ask prces provded by J.J. Kenny Drake, Inc. for the Index components ( Index Components ). The most recent prces of all Index Components are used. Prces of Index Components not lsted n U.S. Dollars are translated usng spot foregn exchange rates quoted by Reuters. Should there be no current prce avalable on Reuters, the most recent prce or the Tradng Prce on Reuters for the precedng Tradng Day s used n the calculaton. The Index s calculated every Busness Day from 9:00 am 5.00 pm New York tme. The Index s publshed va the prce marketng servces of Reuters and Boerse Stuttgart AG and s dstrbuted to all afflated vendors. All specfcatons and nformaton relevant for calculatng the Index are made avalable on the web page and sub-pages. Index Rebalancng and Weghtng The composton of the Index s determned fve days pror to the last Busness Day of each month (the Selecton Day ). The composton of the Index s ordnarly adjusted monthly on the last Busness Day of each month (the Adjustment Day ). The frst adjustment wll take place on the last busness day n March As of each Selecton Day, all muncpal bonds whch meet the requrements of the Selecton Pool are ncluded n the Index. Addtonally, on the Selecton Day of each month, the Index Commttee evaluates whether all current Index Components stll meet the requrements of the Selecton Pool and f necessary any Index Components whch do not pass ths screen are removed from the Index as soon as reasonably practcable. On each Selecton Day, Structured Solutons dentfes the Selecton Pool. On each Adjustment Day each Index Component s weghted accordng to ts market captalzaton n proporton to the aggregated market captalzaton of all Index Components n the Index. Index Components that n aggregate account for at least 80% of the weght of the Index each shall have a mnmum orgnal prncpal amount outstandng of 100 mllon USD or more per ISIN. The new ndex composton and weghtngs are mplemented after the close of tradng on the Adjustment Day. The Index Commttee wll decde about the future composton and the mplementaton of any necessary adjustments of the Index f an Extraordnary Event (as defned below) regardng one or more Index Components occurs. DBIQ Regulated Muncpal Infrastructure Index Calculaton Index formula The Index s an ndex whose value reflects the relatve changes n bond values. Therefore the composton and weghtng s adjusted every month. As a formula: Totalreturn Drty Pr cet, PadCasht Drty Pr ce, t, t1, 1 weghtng t, Drty Pr ce t, a Drty ce Pr 1, t * WeghtngFactor rb, * WeghtngFactor rb,

4 Index Index t t a 1 *(1 ( Totalreturnt, 1 * weghtng t1, ) Whereas: Totalretur n t, = Total return of the bond on tradng day t Index t = Value of the ndex on tradng day t Index t1 = Value of the ndex on the last tradng day t-1 Drty Pr ce, t = Drty prce of the bond on tradng day t, whereas drty prce t s the sum of the clean prce of the bond on tradng day t and the accrued nterest on tradng day t. Drty Prce, t1 = Drty prce of the bond on tradng day t-1, whereas drty prce t-1 wll be the sum of the clean prce of the bond on tradng day t-1 and the accrued nterest on tradng day t-1. Weghtng t, = weghtng of the bond on tradng day t WeghtngF actor rb, = weghtng factor of bond on the last Selecton Day rb PadCash, t = a) Value of the coupon payment for bond on tradng day t b) If a bond wll be removed from the ndex, the resultng payment of the bond wll be ncluded n the pad cash component. The value of the Index wll be rounded to four decmal places. Accordng to the terms of the bond, the Calculaton Agent wll take the followng conventons nto account: Act/Act Act/360 Act/365 30/360 ISMA 30/360 The Index does not take taxes nto account and assumes gross coupon payments. Adjustments Indces need to be adjusted for systematc changes n prces once these become effectve. Followng the Index Commttee s decson the Index s adjusted for specal payments, bankruptcy, nomnal value changes, captal reductons and redemptons. Thereby possble payments are ncluded n the calculaton as Pad Cash. Defntons An Extraordnary Event s - An early redempton of the bond - A credt event

5 A credt event s the suspenson of debt servce, nsolvency or falure to pay. "Last prce" s (asde from the rules referred to n extraordnary events ) the last avalable evaluated prce. A Busness Day s a day on whch New York Stock Exchange s open for tradng. The Calculaton Agent s Structured Solutons or any other approprately apponted successor n ths functon. The ndex currency s the U.S. dollar. 5

6 Index Gude Dsclamers Ths document s ntended for nformaton only and does not create any legally bndng oblgatons on the part of Deutsche Bank AG and/or ts afflates ( DB ). Ths document s ntended to provde a summary of the ndex t purports to descrbe. No warranty or representaton s made as to the correctness, completeness and accuracy of the nformaton. Wthout lmtaton, ths document does not consttute an offer, an nvtaton to offer or a recommendaton to enter nto any transacton. When makng an nvestment decson, you should rely solely on the fnal documentaton relatng to the transacton. Products based on the ndex or ndces descrbed n ths document may not be approprate for all nvestors and before enterng nto any transacton you should take steps to ensure that you fully understand the transacton and have made an ndependent assessment of the approprateness of the transacton n the lght of your own objectves and crcumstances, ncludng the possble rsks and benefts of enterng nto such transacton. 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