Ground Rules. FTSE Global Bonds Index Series v1.9

Transcription

1 Ground Rules FTSE Global Bonds Index Seres v.9 fserussell.com Sepember 207

2 Conens.0 Inroducon Managemen Responsbles FTSE Russell Index olces Elgble of Secures rce Sources erodc Change o he orfolos... 2 ppendx : FTSE Global Bond Index Seres Famly... 4 ppendx B: FTSE Global Bond Index Seres Calculaon Formulae... 5 ppendx C: Furher Informaon... 8 FTSE Russell FTSE Global Bonds Index Seres v.9 Sepember of 8

3 Secon Inroducon.0 Inroducon. The FTSE Global Bond Index Seres.. The FTSE Global Bond Index Seres was launched n 2002 and s owned by FTSE Inernaonal Lmed. I s a seres of fxed ncome ndexes coverng he prncpal governmen bond markes and seleced corporae markes...2 The seres currenly consss of four homogenously consruced bond famles: FTSE Global Governmen Bond Indexes FTSE Global fandbref Indexes FTSE Corporae Bond Indexes FTSE Euro Emergng Markes Bond Indexes full ls of he ndexes and sub ndexes s avalable n ppendx..2 These Ground Rules.2. Ths documen ses ou he Ground Rules for he consrucon and managemen of he FTSE Global Bond Index Seres..2.2 There s a separae se of Ground Rules avalable for FTSE UK Gls. These can be accessed from FTSE 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..2.4 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 Inernaonal Lmed FTSE 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: FTSE Russell FTSE Global Bonds Index Seres v.9 Sepember of 8

4 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 Index or any consuen daa n he FTSE TMX Canada Index Famly.3 Index seres objecves.3. The objecve s o creae and manan a seres of ndexes for he nernaonal bond markes for use as a benchmark by he global nvesmen communy. To acheve hs we have sough o esablsh he Index Seres as beng:.4 Indexes Comprehensve Conssen Flexble ccurae Invesable Transparen redcable Represenave User-drven.4. ll FTSE Global Bond ndexes excep he FTSE Euro Emergng Markes Bond Indexes are calculaed as real-me ndexes and fxed a he end of each ndvdual counry s busness day. For he Eurozone a busness day s by defnon of he European Cenral Bank when he TRGET sysem s open for busness a TRGET busness day. The FTSE Euro Emergng Markes Bond Index s calculaed once a day only..4.2 ll ndexes have he followng fve maury sub ndexes: 3 years 5 years 5 7 years 7 0 years over 0 years The sub ndexes n whch each bond s assgned depends on he maury erm from he approprae selemen day T3 for rades performed on he frs busness day of he monh. Ths excludes Chna where he approprae selemen day s T2 and Turkey where selemen s T0 durng mornng radng and T n he afernoon..4.3 FTSE Serlng Corporae and Euro Corporae Bond Indexes have he followng addonal subndexes: Maury ICB Indusry Group 5 years Ol & Gas Basc Maerals 5 0 years Indusrals Consumer Goods 5 5 years Healh Care Consumer Servces 0 5 years Telecommuncaons Servces Ules over 5 years Fnancals Technology FTSE Russell FTSE Global Bonds Index Seres v.9 Sepember of 8

5 .4.4 Besdes he maury bands sub ndexes he FTSE Corporae Bond Indexes Euro and Serlng also cover he followng rang ndexes: Sub Indexes Rang gency Equvalen Rangs Defnon Fch S& Moodys aa - o - o a3 o a - o - o 3 o BBB BBB- o BBB BBB- o BBB Baa3 o Baa For Corporae Bond Indexes where Fch S& and Moodys have appled dfferen rangs he lowes cred rang from he rang agences s used aken a he me of he monhly porfolorearrangemen. For new ssues he cred rang assgned on ssue s used. If hs s no avalable he long-erm cred rang of he ssuer wll be used n s place. To be elgble for Emergng Marke Bond Indexes ssues wll need o have cred rang of BBB or hgher. Moreover where Fch S& and Moodys have appled dfferen rangs he hghes cred rang from he rang agences s used aken a he me of he monhly porfolo-rearrangemen. For new ssues he cred rang assgned on ssue s used. If hs s no avalable he long-erm cred rang of he ssuer wll be used n s place..4.5 sub ndex whch begns a a laer me sars wh ndex values of a suable paren ndex as of he sub ndex sar dae..5 Characerscs of he Index Seres.5. FTSE Global Governmen Bond Indexes conss only of ssues by cenral governmens n her home currences or for EMU counres n Euro..5.2 FTSE fandbref Indexes Only Jumbo fandbref bonds from German Issuers or ssues ha are comparable n srucure and qualy o he German Jumbo fandbref marke from oher EU counres n Euro currency are ncluded: Germany fandbref Jumbo fandbref eherlands fandbref Covered Bond Span fandbref Cedulas Hpoecaras Fnland fandbref Covered Bond France fandbref Oblgaons Foncères Luxembourg fandbref Leres de gage Ireland fandbref sse Backed usra fandbref fandbref Secures UK fandbref sse Backed Secures.5.3 FTSE Euro Emergng Marke Bond Index Seres The elgble bonds are governmen secures from cenral saes and auhores cenral banks regons and ces from counres whch belong o he Emergng markes as defned by FTSE counry classfcaon avalable from FTSE Corporae Bond Indexes FTSE Euro and Serlng Corporae Bond Euro and Serlng ssues from corporae enes are ncluded. Ths excludes Governmen auhores or oher publc ssuers. The ndex also ncludes ssues of corporae enes wh a m. Each bond s FTSE Russell FTSE Global Bonds Index Seres v.9 Sepember of 8

6 classfed under he FTSE Indusry Classfcaon Benchmark sysem. on-fnancals headlne ndex less Banks s calculaed as an addonal separae ndex..6 Index Mehodology.6. The purpose of he famly of FTSE Global Bond Indexes s o measure he average performance ha holders of he relevan ypes of bonds experence over me. Ths s acheved by creang for each ndex a represenave porfolo of bonds and measurng her performance. he end of each monh he consuens of he porfolo are revewed. hs 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 sandardzed ones for bond ndexes. The formulae used are descrbed n ppendx B..7 Capal Index also known as he rce Index or he Clean rce Index.7. The capal ndex of all he lsed ndexes n ppendx are calculaed every busness day. Each capal ndex s an arhmecally weghed ndex based on he clean prce and weghed by he nomnal amoun ousandng..8 Toal Reurn Index also known as he erformance Index.8. oal reurn ndex s calculaed for all he ndexes. oal reurn ndex akes no accoun he prce changes and neres accrual and paymens of each bond..8.2 In addon o he Capal Index and Toal Reurn Index he followng fundamenals of bond ndexes 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.8.3 In he case of FTSE Serlng Corporae Bond Indexes sem-annual yelds are calculaed where approprae. FTSE Russell FTSE Global Bonds Index Seres v.9 Sepember of 8

7 Secon 2 Managemen Responsbles 2.0 Managemen Responsbles 2. FTSE Inernaonal Lmed FTSE 2.2 FTSE TMX Global Deb Capal Markes Lmed FTSE TMX Ld 2.2. FTSE TMX Ld s he benchmark admnsraor of he ndex seres FTSE TMX s responsble for he daly calculaon producon and operaon of he FTSE Global Bond Index Seres and wll: manan records of all he consuens; be responsble for he addon and deleon of bonds and changes of nomnal amouns n accordance wh he Ground Rules. 2.3 mendmens o hese Ground Rules 2.3. 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 Governance Board before approval s graned s provded for n he Saemen of rncples for FTSE Russell Fxed Income 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 Global Bonds Index Seres v.9 Sepember of 8

8 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. Saemen of rncples for FTSE Fxed Income Indexes he Saemen of rncples Indexes need o keep abreas of changng markes and he Ground Rules canno ancpae every evenualy. Where he Ground Rules do no fully cover a specfc even or developmen FTSE Russell wll deermne he approprae reamen by reference o he Saemen of rncples for FTSE Fxed Income Indexes whch summarses he ehos underlyng FTSE Russell s approach o ndex consrucon. The Saemen of rncples s revewed annually and any changes proposed by FTSE Russell are presened o he FTSE Russell olcy dvsory Board for dscusson before approval by FTSE Russell s Governance Board. The Saemen of rncples for Bond Indexes can be accessed usng he followng lnk: Saemen_of_rncples_Fxed_Income_Indexes.pdf 3.2 FTSE Russell olcy for Benchmark Mehodology Changes 3.2. 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 Global Bonds Index Seres v.9 Sepember of 8

9 Secon 4 Elgble of Secures 4.0 Elgble of Secures 4. Elgbly of Bonds 4.. ll sragh bulle bonds denomnaed n he approprae currency and ssued by qualfyng ssuers maurng n one year or more are consdered for ncluson n he FTSE Global Bond Index Seres. For he Turksh Lra Governmen Bond Index boh bulle and zero coupon bonds are ncluded wh mnmum maury elgbly beng 6monhs or more Zero coupon bonds may be ncluded. Srppable bonds are ncluded n he ndexes wh weghs whch assume ha hey have no been srpped. Excluded from he ndexes 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 Subordnaed or junor ssues 4..3 The bonds mus have a curren marke quoaon o be ncluded. Governmen bonds radonally have far more prce quoes han corporae bonds. n ssue s generally no ncluded f here are prces avalable from only one marke maker For Jumbo fandbref he German ssocaon of Morgage banks VDH rules ha a mnmum of hree marke maker quoes mus be avalable a he me of ssue launch. If he number of prce conrbuors falls below hree afer some me hs does no auomacally lead o he excluson of he referrng bond from he Index porfolo. FTSE Russell FTSE Global Bonds Index Seres v.9 Sepember of 8

10 4.2 Mnmum omnal Issuance of a Bond 4.2. The mnmum nomnal ssuance of a bond for FTSE Global Governmen Bonds Index Seres s shown n he able: Counry/Regon usrala Canada Chna Denmark Eurozone Japan orway ew Zealand oland Sweden Swzerland Uned Kngdom Uned Saes Turkey Mnmum Issuance 750 mllon UD 750 mllon CD 0 bllon CY 3750 mllon DKK 500 mllon EUR 50 bllon JY 4000 mllon OK 000 mllon ZD 000 mllon L 4000 mllon SEK 800 mllon CHF 000 mllon GB 500 mllon USD 000 mllon TRY The mnmum ssuance of a bond for oher ndexes s shown n he able: Bond Type FTSE fandbref FTSE Euro Corporae Bond FTSE Serlng Corporae Bond FTSE Euro Emergng Markes Bond Mnmum Issuance 500 mllon EUR 500 mllon EUR 00 mllon GB 200 mllon EUR FTSE Russell FTSE Global Bonds Index Seres v.9 Sepember of 8

11 Secon 5 rce Sources 5.0 rce Sources 5. rce sources 5.. The desgn of he mehodology and avalably of he prce sources ensures a sngle prce for each bond n he ndex. FTSE Russell apples qualy conrols o ensure each sngle prce n he ndex s unbased and represenave of he marke. The prces used for he calculaon of he ndexes are based on daa sourced from Dealer Banks accessed va Reuers. To calculae he prce he arhmec mean beween bd and ask quoes md prces s used n he ndexes. Every bond prce s subjec o a qualy conrol procedure ha was developed and s appled by FTSE Russell. The prces are connually monored o ensure prces ha do no represen he marke are removed. In ceran crcumsances FTSE Russell wll reserve her poson o drecly conac bond dealers o clarfy he prce and hen acon as requred. 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. The ndexes 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 Isanbul Sock Exchange prces are used o calculae he Turksh Lra Governmen Bond Index. FTSE Russell FTSE Global Bonds Index Seres v.9 Sepember 207 of 8

12 Secon 6 erodc Change o he orfolos 6.0 erodc Change o he orfolos 6. Rebalancng he Indexes 6.. ll FTSE Global Bond Indexes are rebalanced every monh a he end of he monh and a he close of he las busness day. 6.2 ddon of consuens 6.2. ew ssues are ncluded n he ndexes once a monh afer he close of he las busness day of he monh. 6.3 Removal of consuens 6.3. The bonds are removed from he ndexes a he end of he monh afer he close of las busness day when he maury falls below one year or n he case of he Turksh Lra Governmen Bond Index when maury falls below 6 monhs If bonds are llqud.e. cease o have marke maker prces hey are removed from he ndexes afer he close of he las busness day of he monh. 6.4 leraons o consuens 6.4. leraons o nomnal amouns ousandng are adjused a he close of las busness day of he monh. 6.5 Implemenaon of Changes n he orfolo 6.5. The research s made hree busness days before he monh end 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 mllon of he underlyng currency. The resdual lfe are all bonds whch on he frs radng day of he new monh have a full year 6 monhs for Turkey 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 6 monhs for Turkey are reaed as sold a he fxng prce defned as 4:30pm CET on he las radng day of he old 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. FTSE Russell FTSE Global Bonds Index Seres v.9 Sepember of 8

13 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 ew ssues are bough a he fxng prce of he las radng day of he old 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 old monh provded ha he change amouns o a mnmum value of mllon Euros or he respecve non-eur domesc currency 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 nex monh-end ll changes ake effec on he frs radng day of he new monh. Should counres have dfferen holday regulaons a he begnnng or end of a monh hs wll have no effec. The busness day of he local marke wll be employed TRGET busness days apply n he Eurozone see Rule.4.. FTSE Russell FTSE Global Bonds Index Seres v.9 Sepember of 8

14 ppendx : FTSE Global Bond Index Seres Famly Calculaed FTSE Global Bond Index Seres The followng ndexes are calculaed daly: Turksh Lra Governmen Bond Index FTSE Global Bond Index Seres See he ndexes ncluded n he Global Bond Index Seres n he below dagram. FTSE Russell FTSE Global Bonds Index Seres v.9 Sepember of 8

15 ppendx B: FTSE Global Bond Index Seres Calculaon Formulae The followng noaon s used n he followng calculaons. Z value of creron Z a me Z - value of creron Z a me - Z 0 nal value of creron Z clean prce of he h bond a me Y L D accrued neres o he normal selemen dae nomnal value of amoun ousandng redempon yeld o maury lfe o maury Macaulay duraon M Modfed duraon X Convexy G value of any coupon paymen receved from he h bond for he assumed selemen dae a me or snce me -. If none he value 0 Clean rce Index Capal Index The clean prce I or capal ndex s gven by: I 0 00 I where he summaons are over he bonds currenly n he ndex. I FTSE Russell FTSE Global Bonds Index Seres v.9 Sepember of 8

16 FTSE Russell FTSE Global Bonds Index Seres v.9 Sepember of 8 Toal Reurn Index For a marke where secures do no go XD he oal reurn ndex TR s calculaed as follows: 0 00 G TR TR TR where he summaons are over he bonds currenly n he ndex. For markes where secures do go XD such as UK Governmen Bonds Gl-edged Secures he formulae have o be modfed as follows: 0 00 C G C TR TR TR where he summaons are over he bonds currenly n he ndex and where C s an amoun ha compensaes f necessary for he quoed prce no ncludng he nex coupon paymen. If he prce a me ncludes he nex coupon paymen hen C 0. If he prce a me s ex he nex coupon hen C s he nex coupon paymen. 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 annualzed yeld Y a s gven by: s Y a Y

17 FTSE Russell FTSE Global Bonds Index Seres v.9 Sepember of 8 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: D DU where he summaons are over he bonds currenly n he ndex. 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: 00 j j SZ SZ W where he summaon s now over all he sub-ndexes ha make up he aggregae ndex.

18 ppendx C: Furher Informaon For furher nformaon on he FTSE Global Bond Index Seres Ground Rules please vs or e-mal who wll also welcome commens on hese Ground Rules. Conac deals can also be found on hs webse. 207 London Sock Exchange Group plc and s applcable group underakngs he LSE Group. The LSE Group ncludes 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 Global Bond Index Seres s calculaed by FTSE or s agen. ll rghs n he Index Seres ves n FTSE. 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 Global Bond Index Seres or he fness or suably of he Index 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 Global Bonds Index Seres v.9 Sepember of 8