FAQs. The FTSE-BOCHK Offshore RMB Bond Index Series
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1 FAQs The FTSE-BOCHK Offshore RMB Bond Index Series ftserussell.com October 2013
2 Contents The FTSE-BOCHK Offshore RMB Bond Index Series What types of bonds are eligible for inclusion? What kinds of issuers are eligible for inclusion? How many sub-indexes are there in the index family? Is there a fixed number of constituents for the index? How are default bonds treated? Is there a minimum credit rating required for the index? What is the pricing source of the index? What is the market coverage of the index? What is a total return index? Can the FTSE-BOCHK Offshore RMB Bond Index Series be customized? What product files will be delivered to subscribers? What is the purpose of the index review?... 6 FTSE Russell The FTSE-BOCHK Offshore RMB Bond Index Series FAQs 2
3 The FTSE-BOCHK Offshore RMB Bond Index Series 1. What types of bonds are eligible for inclusion? Fixed rate and zero coupon bonds issued and settled outside of the People s Republic of China are eligible for inclusion. There are certain types of bonds which are not eligible: Bonds with equity-type features (e.g. warrants, convertibles and contingent capital securities) Bonds with option-type features (e.g. callable and puttable) Certificates of deposit Floating rate notes Inflation-linked bonds Securitized bonds (e.g. MBS, ABS and covered) Private placements or bonds without a reliable daily pricing source Synthetic bonds Default bonds 2. What kinds of issuers are eligible for inclusion? There is no restriction on the type of issuer. Any entity regardless of its place of incorporation or ownership is eligible. Typical issuers are the Central Government or the policy banks in the People s Republic of China, multinational corporations. For example: China Government Bond 1.8% China Development Bank Corp 4.3% Bank of China Ltd 3.1% Volkswagen International Finance NV 2.15% Ford Motor Co 4.875% FTSE Russell The FTSE-BOCHK Offshore RMB Bond Index Series FAQs 3
4 3. How many sub-indexes are there in the index family? FTSE-BOCHK Offshore RMB Bond Index This composite index tracks the total return performance of offshore RMBdenominated bonds which: i. are issued and settled outside the People s Republic of China and ii. fulfil a set of specified and transparent criteria for eligibility. In addition to the composite index, the index series includes the following 3 subindexes: a. FTSE-BOCHK Offshore RMB Chinese Sovereign Bond Index: This subindex contains bonds issued by the Central Government and the policy banks in the People s Republic of China. b. FTSE-BOCHK Offshore RMB Investment Grade Bond Index: This subindex contains bonds issued by the Central Government, the policy banks in the People s Republic of China, the Hong Kong SAR Government and that rated as investment grade. c. FTSE-BOCHK Offshore RMB 1-3 Years Central Government Bond Index: This sub-index contains bonds issued by the Central Government with maturities between one and three years. 4. Is there a fixed number of constituents for the index? The objective of the index is to provide a series of indexes that track the performance of RMB-denominated bonds issued and settled outside the People s Republic of China. In order to capture the expansion/contraction of the market, there is no predetermined number of issues to the composition of the index. 5. How are default bonds treated? If a constituent becomes default on or before the 5 th business day before the end of a month, it will be removed at the end of that month. A constituent which becomes default after the 5 th business day before the end of a month will be removed at the end of the following month. If a constituent becomes ineligible due to default, the total return index will be adjusted to reflect the accrued coupons for the default bond. The default bond is removed at its bid price on the review implementation date or, if no bid price is available, at zero price. FTSE Russell The FTSE-BOCHK Offshore RMB Bond Index Series FAQs 4
5 6. Is there a minimum credit rating required for the index? Investment grade rating is required only for the FTSE-BOCHK Offshore RMB Investment Grade Bond Index. The following bonds are eligible for inclusion in the FTSE-BOCHK Offshore RMB Investment Grade Bond Index: Bonds issued by the Central Government or the policy banks in the People s Republic of China Bonds issued by the Hong Kong SAR Government Bonds rated as investment grade Investment grade eligibility is defined as follows: Bonds with ratings from S&P and Moody s, both at investment grade Bonds with a single rating from either S&P or Moody s at investment grade Bonds with a split rating where one rating is below investment grade will not be eligible Ratings at or above BBB-/Baa3 are considered investment grade. 7. What is the pricing source of the index? Offshore RMB bonds are traded over the counter and hence there is no single market price. For the index, BOCHK will provide daily arithmetic average price quotes from multi brokers as the pricing source. The average of the bid quotes at 17:00 HKT is used in the calculation of the indexes. 8. What is the market coverage of the index? From the index universe of Dim Sum bonds which excludes CDs and synthetics, the maturity screening would remove about 34 % of the shorter maturity bonds and a further 4 percent would be removed failing minimum outstanding requirements based on the October 2013 review. 9. What is a total return index? A total return index is calculated for this index series. The total return index takes into account the price changes, interest accrued and coupon payments of each bond. The full amount of coupon receipts and interim cash flows of each bond are treated as cash earning zero interest intra-month and will be re-invested in the index at the monthly review. 10. Can the FTSE-BOCHK Offshore RMB Bond Index Series be customized? Yes, FTSE understands that some clients are looking for more tailored benchmarks and require increasingly complex and sophisticated solutions for the basis of fund measurement, derivatives and structured products, and can create customized solutions. FTSE Russell The FTSE-BOCHK Offshore RMB Bond Index Series FAQs 5
6 11. What product files will be delivered to subscribers? The index is calculated on an end of day basis. The index will be disseminated by 13:00 GMT via FTP. For subscribers, there are product files for the index series, including the data at index as well as constituent level. In addition, there are tracker files containing information on events which may impact constituents. Finally, there is an index review file which details the monthly index review results such as addition and deletion of constituents. 12. What is the purpose of the index review? The objective of the index review is to keep the index up-to-date based on the ground rules. This includes incorporating additions (new issues that pass all the index screening) and deletions (existing issues which become ineligible due to, e.g. maturity or default). The index is reviewed monthly and review changes are implemented after the close of the last business day of the review month and become effective from the open of the first business day of the following month. Review results will be announced five business days prior to the implementation date. In the event of extended public holidays such as the Chinese New Year, a minimum of three business days will be provided. FTSE Russell The FTSE-BOCHK Offshore RMB Bond Index Series FAQs 6
7 For more information about our indexes, please visit ftserussell.com London Stock Exchange Group companies. London Stock Exchange Group companies includes FTSE International Limited ( FTSE ), Frank Russell Company ( Russell ), MTS Next Limited ( MTS ), and FTSE TMX Global Debt Capital Markets Inc ( FTSE TMX ). All rights reserved. FTSE, Russell, MTS, FTSE TMX and FTSE Russell and other service marks and trademarks related to the FTSE or Russell indexes are trademarks of the London Stock Exchange Group companies and are used by FTSE, MTS, FTSE TMX and Russell under licence. All information is provided for information purposes only. Every effort is made to ensure that all information given in this publication is accurate, but no responsibility or liability can be accepted by the London Stock Exchange Group companies nor its licensors for any errors or for any loss from use of this publication. Neither the London Stock Exchange Group companies nor any of their licensors make any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the FTSE Russell Indexes or the fitness or suitability of the Indexes for any particular purpose to which they might be put. The London Stock Exchange Group companies do not provide investment advice and nothing in this document should be taken as constituting financial or investment advice. The London Stock Exchange Group companies make no representation regarding the advisability of investing in any asset. A decision to invest in any such asset should not be made in reliance on any information herein. Indexes cannot be invested in directly. Inclusion of an asset in an index is not a recommendation to buy, sell or hold that asset. The general information contained in this publication should not be acted upon without obtaining specific legal, tax, and investment advice from a licensed professional. No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without prior written permission of the London Stock Exchange Group companies. Distribution of the London Stock Exchange Group companies index values and the use of their indexes to create financial products require a licence with FTSE, FTSE TMX, MTS and/or Russell and/or its licensors. The Industry Classification Benchmark ( ICB ) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB. Past performance is no guarantee of future results. Charts and graphs are provided for illustrative purposes only. Index returns shown may not represent the results of the actual trading of investable assets. Certain returns shown may reflect back-tested performance. All performance presented prior to the index inception date is back-tested performance. Back-tested performance is not actual performance, but is hypothetical. The back-test calculations are based on the same methodology that was in effect when the index was officially launched. However, back-tested data may reflect the application of the index methodology with the benefit of hindsight, and the historic calculations of an index may change from month to month based on revisions to the underlying economic data used in the calculation of the index. FTSE Russell 7
8 About FTSE Russell FTSE Russell is a leading global provider of benchmarking, analytics and data solutions for investors, giving them a precise view of the market relevant to their investment process. A comprehensive range of reliable and accurate indexes provides investors worldwide with the tools they require to measure and benchmark markets across asset classes, styles or strategies. FTSE Russell index expertise and products are used extensively by institutional and retail investors globally. For over 30 years, leading asset owners, asset managers, ETF providers and investment banks have chosen FTSE Russell indexes to benchmark their investment performance and create ETFs, structured products and index-based derivatives. FTSE Russell is focused on applying the highest industry standards in index design and governance, employing transparent rules-based methodology informed by independent committees of leading market participants. FTSE Russell fully embraces the IOSCO Principles and its Statement of Compliance has received independent assurance. Index innovation is driven by client needs and customer partnerships, allowing FTSE Russell to continually enhance the breadth, depth and reach of its offering. FTSE Russell is wholly owned by London Stock Exchange Group. or more information, visit To learn more, visit index@russell.com, info@ftse.com; or call your regional Client Service Team office: EMEA +44 (0) North America Asia-Pacific Hong Kong Tokyo Sydney +61 (0) FTSE Russell 8
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