Ground Rules. FTSE NSE Kenyan Shilling Government Bond Index v1.3

Transcription

1 Ground Rules FTSE SE Kenyan Shllng Governmen Bond Index v1.3 fserussell.com January 2018

2 Conens 1.0 Inroducon Managemen Responsbles FTSE Russell Index olces Elgbly of Secures rce Sources erodc Changes o he orfolos... 9 ppendx : Index Calculaon Formulae ppendx B: Furher Informaon FTSE Russell FTSE SE Kenyan Shllng Governmen Bond Index v1.3 January of 14

3 Secon 1 Inroducon 1.0 Inroducon 1.1 The FTSE SE Kenyan Shllng Governmen Bond Index s desgned o measure he performance of he Kenyan governmen bond marke. 1.2 Ths documen ses ou he Ground Rules for he consrucon and managemen of he FTSE SE Kenyan Shllng Governmen Bond Index. 1.3 The Index has he followng fve maury sub ndexes: 1 3 years 3 5 years 5 7 years 7 10 years Over 10 years The sub ndex n whch each bond s assgned depends on he maury erm from he approprae selemen day T+0 for rades performed on he frs busness day of he monh. 1.4 The purpose of he FTSE SE Kenyan Shllng Governmen Bond Index s o measure he marke capalsaon weghed performance ha holders of he relevan ypes of bonds experence over me. Ths s acheved by creang a represenave porfolo of bonds and measurng her performance. he end of each monh he consuens of he porfolo are revewed. Durng he revew bonds may be removed or added o he ndex porfolo. I s assumed ha any rebalancng does no have a cos. The conens of a porfolo do no change durng any monh excep n exceponal crcumsances. The rules used n her consrucon broadly follow he EFFS sandardsed ones for bond ndex. The formulae used are descrbed n ppendx. 1.5 The capal ndex 1 and sub ndexes are calculaed daly. Each capal ndex s an arhmecally weghed ndex based on he clean prce and weghed by he nomnal amoun ousandng. 1.6 oal reurn ndex 2 s also calculaed for he ndex and sub ndexes. oal reurn ndex akes no accoun he prce changes and neres accrual and paymens of each bond. 1.7 The base currency of he benchmark s KES. 1 lso know as he rce Index or he Clean rce Index 2 lso known as he erformance Index FTSE Russell FTSE SE Kenyan Shllng Governmen Bond Index v1.3 January of 14

4 1.8 In addon o he Capal Index and Toal Reurn Index he followng ndex analycs 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 Index and The wegh of he ndex n relaon o s relevan aggregaed ndex when applcable 1.9 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 TMX hereby nofes users of he Index ha s possble ha crcumsances ncludng exernal evens beyond he conrol of FTSE TMX may necessae changes o or he cessaon of he Index and herefore any fnancal conracs or oher fnancal nsrumens ha reference he Index 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 Index Index users who choose o follow hs Index or o buy producs ha clam o follow hs Index should assess he mers of he Index 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 TMX nor s subsdary underakngs or any person concerned wh he preparaon or publcaon of hese Ground Rules 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 n he ndex. FTSE Russell FTSE SE Kenyan Shllng Governmen Bond Index v1.3 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 FTSE s responsble for he daly calculaon producon and operaon of he FTSE SE Kenyan Shllng Governmen Bond Index and wll: manan records of all he consuens; be responsble for he addon and deleon of gls and changes of nomnal amouns n accordance wh he Ground Rules These Ground Rules se ou he mehodology and provde nformaon abou he publcaon of he FTSE SE Kenyan Shllng Governmen Bond Index. 2.2 mendmens o These 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 s provded for n he Saemen of rncples for FTSE Russell Equy Indexes 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. FTSE Russell FTSE SE Kenyan Shllng Governmen Bond Index v1.3 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 Queres and Complans FTSE Russell s complans procedure can be accessed usng he followng lnk: FTSE_Russell_Benchmark_Deermnaon_Complans_Handlng_olcy.pdf 3.2 Recalculaon olcy and Gudelnes The Recalculaon olcy and Gudelnes for Fxed Income Indexes documen s avalable from he FTSE Russell webse usng he lnk below or by conacng nfo@fserussell.com. Fxed_Income_Recalculaon_olcy_and_Gudelnes.pdf 3.3 FTSE Russell olcy for Benchmark Mehodology Changes Deals of FTSE Russell s polcy for makng benchmark mehodology changes can be accessed usng he followng lnk: FTSE_Russell_olcy_for_Benchmark_Mehodology_Changes.pdf FTSE Russell FTSE SE Kenyan Shllng Governmen Bond Index v1.3 January of 14

7 Secon 4 Elgbly of Secures 4.0 Elgbly of Secures 4.1 Elgbly of Bonds ll sragh bulle bonds plan vanlla denomnaed n he KES Kenyan Shllng and ssued by Kenyan Governmen maurng n one year or more are consdered for ncluson n he FTSE SE Kenyan Shllng Governmen Bond Index Zero coupon bonds may be ncluded. Srppable bonds are ncluded n he ndex wh weghs whch assume ha hey have no been srpped Excluded from he ndex are: Coupon srps and maury srps separaed neres and capal repaymen secures arly-pad bonds Varable neres bonds ncludng floang rae bonds Index lnked bonds Callable puable and exendble bonds Converble bonds Bonds wh no fnal redempon dae Snkng funds The bonds mus have a curren marke quoaon o be ncluded. 4.2 Mnmum omnal Issuance of a Bond The mnmum nomnal ssuance of a bond for FTSE SE Kenyan Shllng Governmen Bond Index s 5 bllon KES. FTSE Russell FTSE SE Kenyan Shllng Governmen Bond Index v1.3 January of 14

8 Secon 5 Daa Sources 5.0 Daa Sources 5.1 The prces used for he calculaon of he ndex are based on daa sourced from SE arob Secures Exchange. To calculae he prce he arhmec mean beween bd and ask quoes md prce s used n he ndex. 5.2 The ndex consss only of bonds ha have prce quoes and are hen flered hrough a qualy conrol process o ensure hey provde an accurae represenaon of he marke. 5.3 In crcumsances such as severe marke dsrupon where prcng s no avalable FTSE Russell reserves he rgh o carry over he prce from he las busness day. 5.4 Terms and condons daa for consuen bonds are provded by Thomson Reuers. FTSE Russell FTSE SE Kenyan Shllng Governmen Bond Index v1.3 January of 14

9 Secon 6 erodc Changes o he orfolos 6.0 erodc Changes o he orfolos 6.1 Rebalancng he Index The FTSE SE Kenyan Shllng Governmen Bond Index s rebalanced afer he close of he las busness day of every monh. 6.2 ddon of Consuens ew ssues are ncluded n he Index afer he close of he las busness day of he every monh. 6.3 Removal of Consuens The bonds are removed from he ndex afer he close of he las busness day of he monh when he maury falls below one year and noonal falls below 5 bllon KES. 6.4 leraons o Consuens leraons o nomnal amouns ousandng are adjused afer he close of las busness day of he monh. 6.5 Implemenaon of Changes n he orfolo The research s made hree busness days before he las busness day of he monh regardng whch bonds wll be par of he ndex n he nex perod. Ths s n accordance wh he ndex scheme and he ssue volume of hese bonds rounded o he neares 1 mllon KES. The resdual lfe s all bonds whch on he frs radng day of he new monh have a full year or more o run as per he value dae plus hree days Bonds o be removed from he ndex e.g. because her resdual lfe a he begnnng of he nex monh s less han a year are reaed as sold a he fxng prce defned as 12:00 am GMT on he las radng day of he prevous monh and renvesed unformly across he whole Index Shorener s where a bond s moved a s fxng prce from one maury sub ndex o a shorer maury sub ndex. Ths occurs afer he close of he las busness day of he prevous monh when he remanng lfeme of hs bond s whn hs shorer lfe band ndex I may occur ha some sub ndexes are only emporarly acve. When a bond n a maury band sub ndex s moved no s neghbourng sub ndex and no oher bond remans n ha porfolo he calculaons wll no longer be performed for he empy sub ndex. If a new ssue makes he reacvaon of hs ndex necessary he new sarng value of hs sub ndex wll be amended o a value ha ncludes he marke changes occurred snce he sub ndex was de-acvaed. FTSE Russell FTSE SE Kenyan Shllng Governmen Bond Index v1.3 January of 14

10 6.5.5 ew ssues are bough a he fxng prce of he las radng day of he prevous monh and negraed no he ndex Changes o amouns n ssue are ncluded or removed by way of sale or purchase a he closng prce on he las radng day of he prevous monh provded ha he change amouns o a mnmum value of 1 mllon KES over he prevous monh fer he decsons o he porfolo changes have been made any removed or newly joned bonds are announced o he marke one day before he las busness day of he monh. These decsons are based on he nformaon avalable hree busness days before he las busness day of he monh. The ssuance applcable o bonds n he porfolo for he comng monh are also publshed If an ssuer fals o pay a coupon on he coupon dae.e. n he even of defaul wll be reaed as f s sold wh he laes prce consdered o be far and he proceeds renvesed n he ndex. In hs case he change of he ndex porfolo s no posponed unl he nex monh-end ll changes ake effec on he frs radng day of he new monh. FTSE Russell FTSE SE Kenyan Shllng Governmen Bond Index v1.3 January of 14

11 ppendx : Index Calculaon Formulae The followng noaon s used n he followng calculaons. Z Z 1 Z 0 Y L D M X G value of creron Z a me value of creron Z a me -1 nal value of creron Z clean prce of he h bond a me accrued neres o he normal selemen dae nomnal value of amoun ousandng redempon yeld o maury lfe o maury Macaulay duraon Modfed duraon Convexy value of any coupon paymen receved from he h 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 1 1 where he summaons are over he bonds currenly n he ndex. I 1 1 FTSE Russell FTSE SE Kenyan Shllng Governmen Bond Index v1.3 January of 14

12 FTSE Russell FTSE SE Kenyan Shllng Governmen Bond Index v1.3 January of 14 Toal Reurn Index For a marke where secures do no go XD he 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: M MD where he summaons are over he bonds currenly n he ndex.

13 FTSE Russell FTSE SE Kenyan Shllng Governmen Bond Index v1.3 January of 14 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: SZ where he summaons are over he bonds currenly n he ndex. Index Wegh The wegh W of he ndex j n relaon o he wegh of he ll Bonds aggregae ndex s: 100 j j SZ SZ W where he summaon s now over all he sub-ndex ha make up he aggregae ndex.

14 ppendx B: Furher Informaon Glossary of Terms used n FTSE Russell s Ground Rule documens can be found usng he followng lnk: Glossary.pdf Furher nformaon on he FTSE SE Kenyan Shllng Governmen Bond Index s avalable from FTSE. For conac deals please vs he FTSE webse or conac FTSE clen servces a nfo@fse.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. ll rghs reserved. The FTSE SE Kenyan Shllng Governmen Bond Index s calculaed by 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 FTSE TMX FTSE4Good and ICB 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. 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 SE Kenyan Shllng Governmen Bond Index 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 and/or her respecve lcensors. FTSE Russell FTSE SE Kenyan Shllng Governmen Bond Index v1.3 January of 14