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PLEASE SEE ANALYST CERTIFICATIONS AND IMPORTANT DISCLOSURES STARTING AFTER PAGE 60.
RESEARCH Barclays Capital Index Products | December 2008
THE BENCHMARK IN FIXED INCOME:BARCLAYS CAPITAL INDICESREBRANDING THE UNIFIED BARCLAYS CAPITAL INDICES
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Barclays Capital Index Products 1
Table of Contents
Barclays Capital Indices Rebranding 3
Official benchmark index names and rebranding guidelines 3
List of official index names 5
Figure 1: Combined Inflation-Linked Index Family 7
Figure 2: Combined Government/Treasury Index Family (Nominal Indices) 8
Figure 3: Combined Sterling Benchmark Index Family 9
Figure 4: Rebranded Lehman Brothers Global Benchmarks 10
Figure 5: Rebranded Lehman Brothers U.S. and Canadian Benchmarks 11
Figure 6: Rebranded Lehman Brothers Pan-European Benchmarks 13
Figure 7: Rebranded Lehman Brothers Asian-Pacific Benchmarks 14
Figure 8: Combined Swaps/Derivatives Indices Family 15
Other Barclays Capital Indices branding initiatives: Rebranded index publications 16
Access to Barclays Capital Indices through the internet 16
Access to Barclays Capital Indices on Bloomberg 19
Index factsheets for major Barclays Capital Indices 22
Barclays Capital Universal Govt IL Bond Index 22
Barclays Capital World Govt Inflation-Linked Bond Index 24
Barclays Capital EM Govt Inflation-Linked Bond Index 26
Barclays Capital Euro Government Inflation-Linked Bond Index 28
Barclays Capital U.S. Government Inflation-Linked Bond Index 30
Barclays Capital U.S. Govt Public Float ILB Index 32
Barclays Capital Global Aggregate Bond Index 34
Barclays Capital U.S. Aggregate Bond Index 37
Barclays Capital Pan-European Aggregate Bond Index 39
Barclays Capital Euro Aggregate Bond Index 41
Barclays Capital Sterling Aggregate Bond Index 43
Barclays Capital Asian-Pacific Aggregate Bond Index 45
Barclays Capital Japanese Aggregate Bond Index 47
Barclays Capital Global Treasury Bond Index 49
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2 Index Products December 2008
Barclays Capital U.S. Universal Bond Index 51
Barclays Capital U.S. Government/Credit Bond Index 53
Barclays Capital U.S. Corporate High-Yield Bond Index 55
Barclays Capital Pan-European High-Yield Bond Index 57
Barclays Capital U.S. Municipal Bond Index 59
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Barclays Capital Index Products 3
Barclays Capital Indices Rebranding On November 3, 2008, Barclays Capital announced the rebranding of its unified family of indices under the �Barclays Capital Indices� name. This combines the existing Lehman Brothers and Barclays Capital indices into a single platform.
It is Barclays Capital�s intention to maintain the existing Lehman Brothers indices, with the principal rebranding concern being to change the name of the index from �Lehman Brothers� to �Barclays Capital.� Barclays Capital will be working closely with our clients and partners to assist them in addressing the rebranding in connection with index-linked products. Our primary aim will be to ensure that our clients suffer as little inconvenience as possible during the transition.
In the few cases in which there are two legacy indices of similar composition, we will ensure that clients that have dependencies on the legacy indices will continue to have access to them. Over time, and with ample notice, we will work toward merging them. When that happens, we will maintain historical data on the legacy benchmarks, so that all client needs are met.
As a unified brand, Barclays Capital Indices will be dedicated to innovations in index development and analysis. We have taken two excellent index platforms, combined them, and now plan to make that platform better than ever. Thank you for your continued support, and we look forward to working with you in the future.
This rebranding is effective immediately, although certain aspects of the initiative will take additional time to complete across all index data platforms. This document provides additional details about many of the completed and ongoing rebranding initiatives and should answer many of the questions index users have had since the initial announcement.
The integration of the two platforms will be an ongoing process. As additional details of the rebranding and integration emerge, we will provide updates on any changes that may affect our index users beyond what is outlined in this reference. We recognize that index users will also need time to implement these changes, and we will continue to work to ensure that index production and publication with minimal interruption remains our highest priority.
Official benchmark index names and rebranding guidelines This reference document lists the official index names of all Barclays Capital Indices for the unified index platform. In many cases, there is little or no overlap between legacy Lehman Brothers indices and the existing Barclays Capital Indices. In cases in which there is overlap, this document will serve as the naming reference to be used for all client documentation.
For rebranded Lehman Brothers indices, official index names will contain several elements and adhere to the following guidelines:
! Name of Index Provider: All previous references to Lehman Brothers in index names will change to Barclays Capital.
! Guidelines: The full firm name of Barclays Capital should be used in both official index names and when cited as a source for index data. Barclays
Barclays Capital Index Products London 44-207-773-3744 [email protected] New York 212-526-7400 [email protected] Tokyo 81-3-4530-1760 [email protected] Hong Kong/Singapore 852-2903-2652 [email protected]
We will provide updates as additional details are
announced
This document provides the naming conventions
to be used for all client documentation
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4 Index Products December 2008
Capital should not be abbreviated as BC or BarCap when formally referring to an index name.
! Geography/Currency: Many indices within an index family are differentiated by currency or geography. For example, within the Aggregate Index family, we publish a U.S. Aggregate Index, Pan-European Aggregate Index, Sterling Aggregate Index, etc. If a benchmark�s composition is defined by currency or geography (including multi-currency macro or global indices such as the Global Aggregate), the index name will contain those details in the formal name. Several common questions about index names are addressed in the following guidelines.
! For rebranded Lehman Brothers indices, U.S. should be listed as U.S. (not US) and Pan-European and Asian-Pacific should be fully spelled out and hyphenated. If an index user is limited by space constraints in their documentation or display names, it is acceptable to abbreviate U.S. as US, Pan-European as Pan-Euro and Asian-Pacific as Asia-Pac.
! If a formal index name contains a three letter currency code, it must always be capitalized (USD, GBP, EUR, JPY, etc.).
! Index Name/Family: This element represents the actual index name, such as Aggregate, Government, Credit, Corporate, Inflation-Linked, Universal, High-Yield, Emerging Markets, etc. Several common questions about index names and abbreviations are addressed in the following guidelines.
! If an index user is limited by space constraints in documentation or display names, it is acceptable to abbreviate Aggregate as Agg, Government/ Credit as Gov/Credit, and Government as Govt.
! Acceptable spellings of Securitized indices include both Securitized and Securitised
! Government-Related should by hyphenated, but can be abbreviated as Govt.-Related
! Sub-index Definitions: If an index is further published into more granular sub-indices, the official index name of each sub-index will contain descriptive elements reflecting these index rules. The most common sub-indices include variations by sector, credit quality, maturity range, duration bucket, country, currency, issuer caps, etc. This reference guide will list only the official name for major indices/benchmarks and not the large number of available sub-indices that may exist for each index on this list. In most cases, the official index name can be easily modified to include sub-index information, but for formal clarification on the official index name of a specific sub-index, please contact your regional Barclays Capital Index Products group. Several common questions about sub-index names are addressed in the following guidelines.
! For maturity-based sub-indices, existing naming will remain intact. Rebranded Lehman Brothers Indices that have the word Intermediate in their names include bonds with a maturity/average life between 1-10 years, while Long indices include bonds with a maturity/average life of 10 years or greater. Intermediate and Long should always follow the region/currency and precede the index name when formally referencing the index. Examples include the U.S. Intermediate Aggregate and U.S. Long Government/Credit Indices. While several legacy index names use
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Barclays Capital Index Products 5
Intermediate or Long in the official name, others use 1-10 Year or 10+ Year in the formal sub-index name.
! For ratings/credit quality-based sub-indices, index names for rebranded Lehman Brothers indices tend to use Moody�s conventions in the index name. For investment-grade indices that exclude Baa-rated securities, it is acceptable to refer to the sub-index as either �A or better,� �A+,� or �Excluding Baa.�
! Sub-index names that are defined by an exclusionary rule may be abbreviated as �Ex� or �Ex-�in the formal index name. For example, the Global Aggregate Excluding USD Bond Index may be abbreviated as Global Aggregate Ex USD Bond Index.
! If an index user is limited by space constraints in documentation or display names, it is acceptable to abbreviate High-Yield (HY), Floating Rate Note (FRN), Emerging Markets (EM), Mortgage Backed Securities (MBS), Asset Backed Securities (ABS), and Commercial Mortgage Backed Securities (CMBS).
Note: For bond indices, the word �bond� is listed as part of the official index name. Acceptable usage allows the word to be removed if other elements are properly presented and if there are space constraints on the display name.
List of official index names The following tables list the official index names of the combined index platform. Index names will fall into three basic categories
! Existing Barclays Capital Indices with no Lehman Brothers Index equivalent (no overlap). In most cases, the existing index name will remain unchanged.
! Legacy Lehman Brothers Indices rebranded as Barclays Capital Indices (no overlap). In most cases, the only change that is being made to these index names is replacing Lehman Brothers with Barclays Capital.
! Overlapping Indices between the Lehman Brothers and Barclays Capital Platform. Our primary objective for rebranding overlapping indices was to maintain continuity in index rules and naming conventions for existing users of these indices, but still providing a way to differentiate between the overlapping index families. There are four general areas of index overlap:
! Inflation-Linked Indices: For these indices, the legacy Barclays Capital Index names will remain unchanged. Legacy Lehman Brothers Inflation-Linked Indices that overlap with existing Barclays Capital indices will be rebranded as Barclays Capital Indices, but will be differentiated with (Series-L) after the index name to reflect any historical differences in index rules and composition. For example, the legacy Lehman Brothers Global Inflation-Linked Index will be renamed as the Barclays Capital Global Inflation-Linked Index (Series-L).
Note: For the combined inflation-linked index family, �government� is currently defined as local currency treasury securities issued by central governments. It does not include other local currency agency securities.
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6 Index Products December 2008
! Sterling Bond Indices: The Lehman Brothers Sterling Aggregate Bond Indices will be rebranded as Barclays Capital Sterling Aggregate Bond Indices, retaining Aggregate in the index name to differentiate and identify it as a subcomponent of the Global Aggregate Index that conforms to Global Aggregate Index rules and index conventions. The legacy Barclays Capital Sterling Bond Index name will be differentiated with (Series-B) after the index name to reflect any historical differences in index rules and composition.
! Nominal Government (Treasury) Bond Indices: Barclays Capital Global Treasury Indices are the rebranded Lehman Brothers Global Treasury Indices that are a subcomponent of the Global Aggregate Index. Legacy Barclays Capital Government Bond Indices (which also consist of nominal local currency Treasury securities) will be differentiated with (Series-B) after the index name to reflect historical differences in index rules, definitions, and composition.
Note: Rebranded Lehman Brothers Government indices (such as the U.S. Government Bond Index) are composed of both Treasury and agency securities and cover a broader universe of securities than the Barclays Capital Government Bond Indices (Series-B), which includes only treasury securities.
! Swaps Indices: For these indices, the existing Barclays Capital Index names will remain unchanged. Legacy Lehman Brothers Swaps Indices that overlap with existing Barclays Capital Swaps indices will be rebranded and differentiated with (Series-L) after the index name to reflect any historical differences in index rules and mechanics. Lehman Brothers swaps indices for which there is no current overlap with existing Barclays Capital Indices will also be branded as Series-L indices for consistency.
The additional use of (Series-B) or (Series-L) in cases of overlap allows index users to easily identify which set of rules, definitions, and index conventions are being used for specific benchmarks until such indices are merged. After any future merging of overlapping indices, historical time series data using legacy rules will not be re-stated. Time series data will be preserved and available for index users who had been benchmarked to an index prior to any consolidation. These histories will retain the (Series-B) or (Series-L).
As highlighted above, one notable difference in index rules between the overlapping index families concerns the definition of �government� securities for index purposes. Legacy Barclays Capital indices, including both Barclays Capital Government Inflation-Linked and Barclays Capital Government Indices (Series-B), define �government� to include only treasury bonds (local currency debt issued by central governments). On the other hand, rebranded Lehman Brothers Government indices such as the U.S. Government Index use a broader definition of �government� to include both treasury bonds and agency bonds. In the future, this inconsistency in the definition of �government� will be addressed, but initially, the differences will be preserved for users of each legacy index family. Any changes to the index definition will be announced in advance for our index users.
Note: This document outlines the standards and guidelines for the official index names of Barclays Capital Indices and takes precedence over any independently published references or prior information relating to Barclays Capital Indices that may not conform to the names and guidelines referenced herein. Barclays Capital index data accessed through licensed third party distributors may not have been abbreviated or named in conformity with the names and guidelines set forth in this document. In the event of any inconsistency or doubt, index users should refer to and use the official names and applicable guidelines indicated in this document.
Series-B or Series-L in an index name identifies
which set of legacy rules, definitions, and index conventions are being used for specific
benchmarks
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Barclays Capital Index Products 7
Figure 1: Barclays Capital Indices: Combined Inflation-Linked Index Family
Benchmark Index Family Former/Current Index Name Official Index Name
Universal Barclays Capital Universal Government Inflation-Linked Bond Index (UGILB) Same
World Barclays World Government Inflation-Linked Bond Index (GILB) Barclays Capital World Government Inflation-Linked Bond Index (GILB)
Govt Barclays Euro Government Inflation-Linked Bond Index Barclays Capital Euro Government Inflation-Linked Bond Index
Barclays France Government Inflation-Linked Bond Index Barclays Capital France Government Inflation-Linked Bond Index
Barclays Italy Government Inflation-Linked Bond Index Barclays Capital Italy Government Inflation-Linked Bond Index
Barclays Germany Government Inflation-Linked Bond Index Barclays Capital Germany Government Inflation-Linked Bond Index
Barclays Greece Government Inflation-Linked Bond Index Barclays Capital Greece Government Inflation-Linked Bond Index
Barclays Australia Government Inflation-Linked Bond Index Barclays Capital Australia Government Inflation-Linked Bond Index
Barclays Canada Government Inflation-Linked Bond Index Barclays Capital Canada Government Inflation-Linked Bond Index
Barclays US Government Inflation-Linked Bond Index Barclays Capital U.S. Government Inflation-Linked Bond Index
Barclays UK Government Inflation-Linked Bond Index Barclays Capital U.K. Government Inflation-Linked Bond Index
Barclays Sweden Government Inflation-Linked Bond Index Barclays Capital Sweden Government Inflation-Linked Bond Index
Barclays Japan Government Inflation-Linked Bond Index Barclays Capital Japan Government Inflation-Linked Bond Index
Euro I/L Barclays Euro Inflation-Linked Bond Index Barclays Capital Euro Inflation-Linked Bond Index
Barclays Euro Government Inflation-Linked Bond Index Barclays Capital Euro Government Inflation-Linked Bond Index
Barclays Euro Non-Government Inflation-Linked Bond Index Barclays Capital Euro Non-Government Inflation-Linked Bond Index
Barclays Euro EMU HICP-Linked Bond Index Barclays Capital Euro EMU HICP-Linked Bond Index
Barclays Euro FRCPI-Linked Bond Index Barclays Capital Euro FRCPI-Linked Bond Index
Barclays Euro ITCPI-Linked Bond Index Barclays Capital Euro ITCPI-Linked Bond Index
EM Govt Barclays Capital EM Government Inflation-Linked Bond Index Same
Barclays Capital Argentina Government Inflation-Linked Bond Index Same
Barclays Capital Brazil Government Inflation-Linked Bond Index Same
Barclays Capital Chile Government Inflation-Linked Bond Index Same
Barclays Capital Colombia Government Inflation-Linked Bond Index Same
Barclays Capital South Korea Government Inflation-Linked Bond Index Same
Barclays Capital Mexico Government Inflation-Linked Bond Index Same
Barclays Capital Poland Government Inflation-Linked Bond Index Same
Barclays Capital BESA South Africa Government Inflation-Linked Same
Barclays Capital Turkey Government Inflation-Linked Bond Index Same
Barclays Capital EM LATAM Government Inflation-Linked Bond Index Same
Barclays Capital EM EEMEA Government Inflation-Linked Bond Index Same
Series-L Lehman Brothers Global Inflation-Linked Index Barclays Capital Global Inflation-Linked Index (Series-L)
Lehman Brothers Global Inflation-Linked: U.S. TIPS Index Barclays Capital Global Inflation-Linked: U.S. TIPS Index (Series-L)
Lehman Brothers Global Inflation-Linked: Canada Bond Index Barclays Capital Global Inflation-Linked: Canada Bond Index (Series-L)
Lehman Brothers Global Inflation-Linked: U.K. Bond Index Barclays Capital Global Inflation-Linked: U.K. Bond Index (Series-L)
Lehman Brothers Global Inflation-Linked: Sweden Bond Index Barclays Capital Global Inflation-Linked: Sweden Bond Index (Series-L)
Lehman Brothers Global Inflation-Linked: Japan Bond Index Barclays Capital Global Inflation-Linked: Japan Bond Index (Series-L)
Lehman Brothers Global Inflation-Linked: Eurozone Bond Index Barclays Capital Global Inflation-Linked: Eurozone Bond Index (Series-L)
Lehman Brothers Global Inflation-Linked: Germany Bond Index Barclays Capital Global Inflation-Linked: Germany Bond Index (Series-L)
Lehman Brothers Global Inflation-Linked: Italy Bond Index Barclays Capital Global Inflation-Linked: Italy Bond Index (Series-L)
Lehman Brothers Global Inflation-Linked: Greece Bond Index Barclays Capital Global Inflation-Linked: Greece Bond Index (Series-L)
Lehman Brothers Global Inflation-Linked: France Bond Index Barclays Capital Global Inflation-Linked: France Bond Index (Series-L)
Lehman Brothers Pan European Inflation-Linked Bond Index Barclays Capital Pan European Inflation-Linked Bond Index (Series-L)
Lehman Brothers U.S. Treasury Inflation Protected Securities (TIPS) Index Barclays Capital U.S. Treasury Inflation Protected Securities (TIPS) Index (Series-L)*
Note: The standalone Lehman Brothers U.S. TIPS Index has an earlier inception date than the U.S. TIPS component of the Global Inflation-Linked Index (Series-L) and is listed as a separate index here.
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8 Index Products December 2008
Figure 2: Barclays Capital Indices: Combined Government/Treasury Index Family (Nominal Indices) Benchmark Index Family Former/Current Index Name Official Index Name Global Treasury Index (Part of Global Aggregate) Lehman Brothers Global Treasury Bond Index Barclays Capital Global Treasury Bond Index Lehman Brothers Global Treasury: G7 Bond Index Barclays Capital Global Treasury: G7 Bond Index Lehman Brothers Global Treasury: Majors Bond Index Barclays Capital Global Treasury: Majors Bond Index Lehman Brothers Global Treasury: U.S. Bond Index Barclays Capital Global Treasury: U.S. Bond Index Lehman Brothers Global Treasury: Euro Bond Index Barclays Capital Global Treasury: Euro Bond Index Lehman Brothers Global Treasury: Austria Bond Index Barclays Capital Global Treasury: Austria Bond Index Lehman Brothers Global Treasury: Belgium Bond Index Barclays Capital Global Treasury: Belgium Bond Index Lehman Brothers Global Treasury: Cyprus Bond Index Barclays Capital Global Treasury: Cyprus Bond Index Lehman Brothers Global Treasury: France Bond Index Barclays Capital Global Treasury: France Bond Index Lehman Brothers Global Treasury: Germany Bond Index Barclays Capital Global Treasury: Germany Bond Index Lehman Brothers Global Treasury: Greece Bond Index Barclays Capital Global Treasury: Greece Bond Index Lehman Brothers Global Treasury: Ireland Bond Index Barclays Capital Global Treasury: Ireland Bond Index Lehman Brothers Global Treasury: Italy Bond Index Barclays Capital Global Treasury: Italy Bond Index Lehman Brothers Global Treasury: Malta Bond Index Barclays Capital Global Treasury: Malta Bond Index Lehman Brothers Global Treasury: Netherlands Bond Index Barclays Capital Global Treasury: Netherlands Bond Index Lehman Brothers Global Treasury: Portugal Bond Index Barclays Capital Global Treasury: Portugal Bond Index Lehman Brothers Global Treasury: Slovakia Bond Index Barclays Capital Global Treasury: Slovakia Bond Index Lehman Brothers Global Treasury: Slovenia Bond Index Barclays Capital Global Treasury: Slovenia Bond Index Lehman Brothers Global Treasury: Spain Bond Index Barclays Capital Global Treasury: Spain Bond Index Lehman Brothers Global Treasury: Japan Bond Index Barclays Capital Global Treasury: Japan Bond Index Lehman Brothers Global Treasury: United Kingdom Bond Index Barclays Capital Global Treasury: United Kingdom Bond Index Lehman Brothers Global Treasury: Canada Bond Index Barclays Capital Global Treasury: Canada Bond Index Lehman Brothers Global Treasury: Australia Bond Index Barclays Capital Global Treasury: Australia Bond Index Lehman Brothers Global Treasury: Denmark Bond Index Barclays Capital Global Treasury: Denmark Bond Index Lehman Brothers Global Treasury: Sweden Bond Index Barclays Capital Global Treasury: Sweden Bond Index Lehman Brothers Global Treasury: Finland Bond Index Barclays Capital Global Treasury: Finland Bond Index Lehman Brothers Global Treasury: New Zealand Bond Index Barclays Capital Global Treasury: New Zealand Bond Index Lehman Brothers Global Treasury: Norway Bond Index Barclays Capital Global Treasury: Norway Bond Index Lehman Brothers Global Treasury: Malaysia Bond Index Barclays Capital Global Treasury: Malaysia Bond Index Lehman Brothers Global Treasury: South Korea Bond Index Barclays Capital Global Treasury: South Korea Bond Index Lehman Brothers Global Treasury: Singapore Bond Index Barclays Capital Global Treasury: Singapore Bond Index Lehman Brothers Global Treasury: Taiwan Bond Index Barclays Capital Global Treasury: Taiwan Bond Index Lehman Brothers Global Treasury: Thailand Bond Index Barclays Capital Global Treasury: Thailand Bond Index Lehman Brothers Global Treasury: Hong Kong Bond Index Barclays Capital Global Treasury: Hong Kong Bond Index Lehman Brothers Global Treasury: Chile Bond Index Barclays Capital Global Treasury: Chile Bond Index Lehman Brothers Global Treasury: Czech Bond Index Barclays Capital Global Treasury: Czech Bond Index Lehman Brothers Global Treasury: Hungary Bond Index Barclays Capital Global Treasury: Hungary Bond Index Lehman Brothers Global Treasury: Mexico Bond Index Barclays Capital Global Treasury: Mexico Bond Index Lehman Brothers Global Treasury: Poland Bond Index Barclays Capital Global Treasury: Poland Bond Index Lehman Brothers Global Treasury: South Africa Bond Index Barclays Capital Global Treasury: South Africa Bond Index Government Bond Indices (Series-B) (not Global Aggregate Subcomponents) Barclays Euro Government Bond Index Barclays Capital Euro Government Bond Index (Series-B) Barclays Austria Government Bond Index Barclays Capital Austria Government Bond Index (Series-B) Barclays Belgium Government Bond Index Barclays Capital Belgium Government Bond Index (Series-B) Barclays Finland Government Bond Index Barclays Capital Finland Government Bond Index (Series-B) Barclays France Government Bond Index Barclays Capital France Government Bond Index (Series-B) Barclays Germany Government Bond Index Barclays Capital Germany Government Bond Index (Series-B) Barclays Greece Government Bond Index Barclays Capital Greece Government Bond Index (Series-B) Barclays Ireland Government Bond Index Barclays Capital Ireland Government Bond Index (Series-B) Barclays Italy Government Bond Index Barclays Capital Italy Government Bond Index (Series-B) Barclays Netherlands Government Bond Index Barclays Capital Netherlands Government Bond Index (Series-B) Barclays Portugal Government Bond Index Barclays Capital Portugal Government Bond Index (Series-B) Barclays Spain Government Bond Index Barclays Capital Spain Government Bond Index (Series-B) Barclays UK Gilt Bond Index Barclays Capital U.K. Gilt Bond Index (Series-B) Barclays Sweden Government Bond Index Barclays Capital Sweden Government Bond Index (Series-B) Barclays U.S. Treasury Bond Index Barclays Capital U.S. Treasury Bond Index (Series-B) Tradeable & Fixed Duration Indices Barclays Capital Euro Government Fixed Duration Indices Same Barclays Capital Euro Government Term Indices Same Barclays Capital U.S. Treasury Term Indices Same Barclays Capital Tradeable U.S. Treasury Index Same
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Barclays Capital Index Products 9
Figure 3: Barclays Capital Indices: Combined Sterling Benchmark Index Family
Benchmark Index Family Former/Current Index Name Official Index Name
Sterling Agg Lehman Brothers Sterling Aggregate Bond Index Barclays Capital Sterling Aggregate Bond Index
Lehman Brothers Sterling Gilts Bond Index Barclays Capital Sterling Aggregate Gilts Bond Index
Lehman Brothers Sterling Non-Gilts Bond Index Barclays Capital Sterling Aggregate Non-Gilts Bond Index
Lehman Brothers Sterling Government-Related Bond Index Barclays Capital Sterling Aggregate Government-Related Bond Index
Lehman Brothers Sterling Corporate Bond Index Barclays Capital Sterling Aggregate Corporate Bond Index
Lehman Brothers Sterling Securitized Bond Index Barclays Capital Sterling Aggregate Securitized Bond Index
Other Lehman Brothers Sterling High-Yield Bond Index Barclays Capital Sterling High-Yield Bond Index
Lehman Brothers Sterling Fixed-Rate ABS Bond Index Barclays Capital Sterling Fixed-Rate ABS Bond Index
Lehman Brothers Sterling Floating Rate ABS Bond Index Barclays Capital Sterling Floating Rate ABS Bond Index
Lehman Brothers Sterling High-Yield Bond Index Barclays Capital Sterling High-Yield Bond Index
Series-B Barclays Sterling Bond Index Barclays Capital Sterling Bond Index (Series-B)
Barclays Sterling Gilts Index Barclays Capital Sterling Gilts Index (Series-B)
Barclays Sterling Non Gilts Bond Index Barclays Capital Sterling Non Gilts Bond Index (Series-B)
Barclays Sterling Non Gilts Credit Bond Index Barclays Capital Sterling Non Gilts Credit Bond Index (Series-B)
Barclays Sterling Non Gilts Sovs/Supras Credit Bond Index Barclays Capital Sterling Non Gilts Sovs/Supras Credit Bond Index (Series-B)
Barclays Sterling Non Gilts Corporate Credit Bond Index Barclays Capital Sterling Non Gilts Corporate Credit Bond Index (Series-B)
Barclays Sterling Non Gilts Finance Credit Bond Index Barclays Capital Sterling Non Gilts Finance Credit Bond Index (Series-B)
Barclays Sterling Non Gilts Utilities Credit Bond Index Barclays Capital Sterling Non Gilts Utilities Credit Bond Index (Series-B)
Barclays Sterling Non Gilts Structured Bond Index Barclays Capital Sterling Non Gilts Structured Bond Index (Series-B)
Inflation-Linked Barclays Sterling Inflation-Linked Bond Index Barclays Capital Sterling Inflation-Linked Bond Index
Barclays Sterling Inflation-Linked Gilts Index Barclays Capital Sterling Inflation-Linked Gilts Index
Barclays Sterling Inflation-Linked Non Gilts Index Barclays Capital Sterling Inflation-Linked Non Gilts Index
Barclays Sterling Inflation-Linked Non Gilts Agency/ Supras Bond Index
Barclays Capital Sterling Inflation-Linked Non Gilts Agency/ Supras Bond Index
Barclays Sterling Inflation-Linked Non Gilts Corporate Bond Index Barclays Capital Sterling Inflation-Linked Non Gilts Corporate Bond Index
Barclays Sterling Inflation-Linked Non Gilts Wrapped Bond Index Barclays Capital Sterling Inflation-Linked Non Gilts Wrapped Bond Index
Barclays Sterling Inflation-Linked Non Gilts Utilities Bond Index Barclays Capital Sterling Inflation-Linked Non Gilts Utilities Bond Index
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Figure 4: Barclays Capital Indices: Rebranded Lehman Brothers Global Benchmarks
Benchmark Index Family Former Index Name Official Index Name
Multiverse Lehman Brothers Multiverse Bond Index Barclays Capital Multiverse Bond Index
Index Lehman Brothers Global Government-Related (IG + HY) Bond Index Barclays Capital Global Government-Related (IG + HY) Bond Index
Lehman Brothers Global Corporate (IG + HY) Bond Index Barclays Capital Global Corporate (IG + HY) Bond Index
Lehman Brothers Global Securitized (IG + HY) Bond Index Barclays Capital Global Securitized (IG + HY) Bond Index
Global Agg Lehman Brothers Global Aggregate Bond Index Barclays Capital Global Aggregate Bond Index
Lehman Brothers U.S. Aggregate 300 MM Bond Index Barclays Capital U.S. Aggregate 300 MM Bond Index
Lehman Brothers Pan European Aggregate Bond Index Barclays Capital Pan European Aggregate Bond Index
Lehman Brothers Asia-Pacific Aggregate Bond Index Barclays Capital Asia-Pacific Aggregate Bond Index
Lehman Brothers Eurodollar 300 MM Bond Index Barclays Capital Eurodollar 300 MM Bond Index
Lehman Brothers 144A 300 MM Bond Index Barclays Capital 144A 300 MM Bond Index
Lehman Brothers Canadian Aggregate Bond Index Barclays Capital Canadian Aggregate Bond Index
Lehman Brothers Euroyen Bond Index Barclays Capital Euroyen Bond Index
Lehman Brothers Mexico, Chile, South Africa Treasury Bond Index Barclays Capital Mexico, Chile, South Africa Treasury Bond Index
Sect Lehman Brothers Global Aggregate: Treasury Bond Index Barclays Capital Global Aggregate: Treasury Bond Index
Sub-indices Lehman Brothers Global Aggregate: Government-Related Bond Index Barclays Capital Global Aggregate: Government-Related Bond Index
Lehman Brothers Global Aggregate: Corporates Bond Index Barclays Capital Global Aggregate: Corporates Bond Index
Lehman Brothers Global Aggregate: Securitized Bond Index Barclays Capital Global Aggregate: Securitized Bond Index
Lehman Brothers Global Aggregate 500 MM Bond Index Barclays Capital Global Aggregate 500 MM Bond Index
Global HY Lehman Brothers Global High-Yield Bond Index Barclays Capital Global High-Yield Bond Index
EM Lehman Brothers Global Emerging Markets Bond Index Barclays Capital Global Emerging Markets Bond Index
Lehman Brothers U.S. Emerging Markets Bond Index Barclays Capital U.S. Emerging Markets Bond Index
Lehman Brothers Pan-European Emerging Markets Bond Index Barclays Capital Pan-European Emerging Markets Bond Index
Lehman Brothers Mexican Peso Bond Index Barclays Capital Mexican Peso Bond Index
Lehman Brothers Local Currency Emerging Markets Bond Index Barclays Capital Local Currency Emerging Markets Bond Index
Cap. Lehman Brothers Global Capital Securities Bond Index Barclays Capital Global Capital Securities Bond Index
Securities Lehman Brothers U.S. Capital Securities Bond Index Barclays Capital U.S. Capital Securities Bond Index
Lehman Brothers Euro Capital Securities Bond Index Barclays Capital Euro Capital Securities Bond Index
Lehman Brothers Sterling Capital Securities Bond Index Barclays Capital Sterling Capital Securities Bond Index
Alternative Assets
Lehman Brothers/Hedgefund.net (HFN) Global Hedge Fund Bond Index Barclays Capital/Hedgefund.net (HFN) Global Hedge Fund Index
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Barclays Capital Index Products 11
Figure 5: Barclays Capital Indices: Rebranded Lehman Brothers U.S. and Canadian Benchmarks
Benchmark Index Family Former Index Name Official Index Name
Universal Lehman Brothers U.S. Universal Bond Index Barclays Capital U.S. Universal Bond Index
U.S. Lehman Brothers U.S. Aggregate Bond Index Barclays Capital U.S. Aggregate Bond Index
Aggregate Lehman Brothers U.S. Intermediate Aggregate Bond Index Barclays Capital U.S. Intermediate Aggregate Bond Index
Lehman Brothers U.S. Treasury Bond Index Barclays Capital U.S. Treasury Bond Index
Lehman Brothers U.S. 1-3 Year Treasury Bond Index Barclays Capital U.S. 1-3 Year Treasury Bond Index
Lehman Brothers U.S. 3-7 Year Treasury Bond Index Barclays Capital U.S. 3-7 Year Treasury Bond Index
Lehman Brothers U.S. 7-10 Year Treasury Bond Index Barclays Capital U.S. 7-10 Year Treasury Bond Index
Lehman Brothers U.S. 10-20 Year Treasury Bond Index Barclays Capital U.S. 10-20 Year Treasury Bond Index
Lehman Brothers U.S. 20+ Year Treasury Bond Index Barclays Capital U.S. 20+ Year Treasury Bond Index
Lehman Brothers U.S. Government-Related Bond Index Barclays Capital U.S. Government-Related Bond Index
Lehman Brothers U.S. Agencies Bond Index Barclays Capital U.S. Agencies Bond Index
Lehman Brothers U.S. Local Authorities Bond Index Barclays Capital U.S. Local Authorities Bond Index
Lehman Brothers U.S. Sovereign Bond Index Barclays Capital U.S. Sovereign Bond Index
Lehman Brothers U.S. Supranational Bond Index Barclays Capital U.S. Supranational Bond Index
Lehman Brothers U.S. Corporate Bond Index Barclays Capital U.S. Corporate Bond Index
Lehman Brothers U.S. Industrial Bond Index Barclays Capital U.S. Industrial Bond Index
Lehman Brothers U.S. Utility Bond Index Barclays Capital U.S. Utility Bond Index
Lehman Brothers U.S. Financial Institutions Bond Index Barclays Capital U.S. Financial Institutions Bond Index
Lehman Brothers U.S. Securitized Bond Index Barclays Capital U.S. Securitized Bond Index
Lehman Brothers U.S. MBS Index Barclays Capital U.S. MBS Index
Lehman Brothers U.S. MBS Fixed Rate Index Barclays Capital U.S. MBS Fixed Rate Index
Lehman Brothers U.S. Hybrid ARMs Index Barclays Capital U.S. Hybrid ARMs Index
Lehman Brothers U.S. ABS Index Barclays Capital U.S. ABS Index
Lehman Brothers U.S. CMBS (ERISA Only) Index Barclays Capital U.S. CMBS (ERISA Only) Index
U.S. Lehman Brothers U.S. Government/Credit Bond Index Barclays Capital U.S. Government/Credit Bond Index Gov/Credit Lehman Brothers U.S. Intermediate Government/Credit Index Barclays Capital U.S. Intermediate Government/Credit Bond Index
Lehman Brothers U.S. Long Government/Credit Bond Index Barclays Capital U.S. Long Government/Credit Bond Index
Lehman Brothers Short-term Government/Corp Bond Index Barclays Capital Short-term Government/Corp Bond Index
Lehman Brothers U.S. Government Bond Index Barclays Capital U.S. Government Bond Index
Lehman Brothers U.S. Agency Bond Index Barclays Capital U.S. Agency Bond Index
Legacy Indices Still in Use
Lehman Brothers U.S. Credit Bond Index Barclays Capital U.S. Credit Bond Index
Lehman Brothers U.S. Intermediate Credit Bond Index Barclays Capital U.S. Intermediate Credit Bond Index
Lehman Brothers U.S. 1-3 Year Credit Bond Index Barclays Capital U.S. 1-3 Year Credit Bond Index
Lehman Brothers Yankee Bond Index Barclays Capital Yankee Bond Index
High-Yield Lehman Brothers U.S. Corporate High-Yield Bond Index Barclays Capital U.S. Corporate High-Yield Bond Index
Lehman Brothers U.S. High-Yield Issuer Capped Bond Indices Barclays Capital U.S. High-Yield Issuer Capped Bond Indices
Lehman Brothers U.S. High-Yield 1% Issuer Capped Bond Index Barclays Capital U.S. High-Yield 1% Issuer Capped Bond Index
Lehman Brothers U.S. High-Yield 2% Issuer Capped Bond Index Barclays Capital U.S. High-Yield 2% Issuer Capped Bond Index
Lehman Brothers High-Yield Very Liquid Bond Index (VLI) Barclays Capital High-Yield Very Liquid Bond Index (VLI)
Lehman Brothers U.S. High-Yield Loan Index Barclays Capital U.S. High-Yield Loan Index
Lehman Brothers U.S. High-Yield Floating Rate Note (FRN) Index Barclays Capital U.S. High-Yield Floating Rate Note (FRN) Index
Convertibles Lehman Brothers U.S. Convertibles Index Barclays Capital U.S. Convertibles Index
CMBS Lehman Brothers U.S. Investment-Grade CMBS Index Barclays Capital U.S. Investment-Grade CMBS Index
Lehman Brothers CMBS High-Yield Index Barclays Capital CMBS High-Yield Index
Canadian Lehman Brothers Canadian Aggregate Bond Index Barclays Capital Canadian Aggregate Bond Index Agg Lehman Brothers Canadian Aggregate: Treasury Bond Index Barclays Capital Canadian Aggregate: Treasury Bond Index
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
12 Index Products December 2008
Benchmark Index Family Former Index Name Official Index Name
Lehman Brothers Canadian Aggregate: Govt-Related Bond Index Barclays Capital Canadian Aggregate: Government-Related Bond Index
Lehman Brothers Canadian Aggregate: Corporate Bond Index Barclays Capital Canadian Aggregate: Corporate Bond Index
Lehman Brothers Canadian Aggregate: Securitized Bond Index Barclays Capital Canadian Aggregate: Securitized Bond Index
Eurodollar Lehman Brothers Eurodollar Composite Bond Index Barclays Capital Eurodollar Composite Bond Index
Lehman Brothers USD Covered Bonds Bond Index Barclays Capital USD Covered Bonds Bond Index
Municipals Lehman Brothers Municipal Bond Index Barclays Capital Municipal Bond Index
Lehman Brothers Municipal Insurance Mandate Bond Index Barclays Capital Municipal Insurance Mandate Bond Index
Lehman Brothers Municipal Managed Money Bond Index Barclays Capital Municipal Managed Money Bond Index
Lehman Brothers Municipal Index Swaps Indices Barclays Capital Municipal Index Swaps Indices
Others Lehman Brothers Hourly Treasury Bond Index Barclays Capital Hourly Treasury Bond Index
Lehman Brothers U.S. Short Treasury Bond Index Barclays Capital U.S. Short Treasury Bond Index
Lehman Brothers U.S. Treasury Bellwether Indices Barclays Capital U.S. Treasury Bellwether Indices
Lehman Brothers 144-A Bond Index Barclays Capital 144-A Bond Index
Lehman Brothers U.S. Strips Index Barclays Capital U.S. Strips Index
Lehman Brothers U.S. Corporate Floating Rate Notes (FRN) Index Barclays Capital U.S. Corporate Floating Rate Notes (FRN) Index
Lehman Brothers U.S. ABS Floating Rate Index Barclays Capital U.S. ABS Floating Rate Index
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Barclays Capital Index Products 13
Figure 6: Barclays Capital Indices: Rebranded Lehman Brothers Pan-European Benchmarks Benchmark Index Family Former Index Name Official Index Name
Universal (IG + HY) Lehman Brothers Pan-European Universal Bond Index Barclays Capital Pan-European Universal Bond Index
Lehman Brothers Euro Universal Bond Index Barclays Capital Euro Universal Bond Index
Pan Euro Agg Lehman Brothers Pan-European Aggregate Bond Index Barclays Capital Pan-European Aggregate Bond Index
Lehman Brothers Pan-European Treasury Bond Index Barclays Capital Pan-European Treasury Bond Index
Lehman Brothers Pan-European Government-Related Bond Index Barclays Capital Pan-European Government-Related Bond Index
Lehman Brothers Pan-European Corporate Bond Index Barclays Capital Pan-European Corporate Bond Index
Lehman Brothers Pan-European Securitized Bond Index Barclays Capital Pan-European Securitized Bond Index
Lehman Brothers Pan-European 500 MM Bond Index Barclays Capital Pan-European 500 MM Bond Index
Euro Agg Lehman Brothers Euro-Aggregate Bond Index Barclays Capital Euro-Aggregate Bond Index
Lehman Brothers Euro Treasury Bond Index Barclays Capital Euro Treasury Bond Index
Lehman Brothers Euro Government-Related Bond Index Barclays Capital Euro Government-Related Bond Index
Lehman Brothers Euro Corporate Bond Index Barclays Capital Euro Corporate Bond Index
Lehman Brothers Euro Securitized Bond Index Barclays Capital Euro Securitized Bond Index
Lehman Brothers Pfandbriefe Index Barclays Capital Pfandbriefe Index
Lehman Brothers Euro Covered Bond Index Barclays Capital Euro Covered Bond Index
Lehman Brothers Euro-Aggregate 500MM Bond Index Barclays Capital Euro-Aggregate 500MM Bond Index
Euro Agg Legacy Lehman Brothers Euro Government Bond Index Barclays Capital Euro Government Bond Index
Lehman Brothers Euro Credit Bond Index Barclays Capital Euro Credit Bond Index
Lehman Brothers Sterling Aggregate Bond Index Barclays Capital Sterling Aggregate Bond Index Other Local Currency Aggregates Lehman Brothers Swedish Krona Aggregate Bond Index Barclays Capital Swedish Krona Aggregate Bond Index
Lehman Brothers Danish Krone Aggregate Bond Index Barclays Capital Danish Krone Aggregate Bond Index
Lehman Brothers Norwegian Krone Aggregate Bond Index Barclays Capital Norwegian Aggregate Krone Bond Index
Lehman Brothers Central European Treasury Bond Index Barclays Capital Central European Treasury Bond Index
Lehman Brothers Czech Koruna Bond Index Barclays Capital Czech Koruna Bond Index
Lehman Brothers Hungarian Forint Bond Index Barclays Capital Hungarian Forint Bond Index
Lehman Brothers Polish Zloty Bond Index Barclays Capital Polish Zloty Bond Index
Lehman Brothers Slovakia Koruna Bond Index Barclays Capital Slovakia Koruna Bond Index
Non PE Agg Eligible Lehman Brothers Russian Aggregate Bond Index Barclays Capital Russian Aggregate Bond Index
Lehman Brothers Swiss Franc Aggregate Bond Index Barclays Capital Swiss Franc Aggregate Bond Index
Pan Euro HY Lehman Brothers Pan-European High-Yield Bond Index Barclays Capital Pan-European High-Yield Bond Index
Lehman Brothers Pan-European High-Yield Issuer Capped Bond Indices Barclays Capital Pan-European High-Yield Issuer Capped Bond Indices
Lehman Brothers Pan-European High-Yield 1% Issuer Capped Bond Index Barclays Capital Pan-European High-Yield 1% Issuer Capped Bond Index
Lehman Brothers Pan-European High-Yield 2% Issuer Capped Bond Index Barclays Capital Pan-European High-Yield 2% Issuer Capped Bond Index
Lehman Brothers Euro High-Yield Bond Index Barclays Capital Euro High-Yield Bond Index
Lehman Brothers Euro High-Yield Issuer Capped Bond Index Barclays Capital Euro High-Yield Issuer Capped Bond Index
Lehman Brothers Sterling High-Yield Bond Index Barclays Capital Sterling High-Yield Bond Index
Euro ABS Lehman Brothers Euro Fixed ABS Bond Index Barclays Capital Euro Fixed ABS Bond Index
Lehman Brothers Euro Floating Rate ABS Bond Index Barclays Capital Euro Floating Rate ABS Bond Index
Lehman Brothers Sterling Fixed ABS Bond Index Barclays Capital Sterling Fixed ABS Bond Index
Lehman Brothers Sterling Floating Rate ABS Bond Index Barclays Capital Sterling Floating Rate ABS Bond Index
Other Indices Lehman Brothers Danish Mortgage Bond Index Barclays Capital Danish Mortgage Bond Index
Lehman Brothers Euro Corporate Floating Rate Notes Bond Index Barclays Capital Euro Corporate Floating Rate Notes Bond Index
Lehman Brothers Euro Short Treasury (0-12 Months) Bond Index Barclays Capital Euro Short Treasury (0-12 Months) Bond Index
Lehman Brothers Euro Treasury Bills Index Barclays Capital Euro Treasury Bills Index
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
14 Index Products December 2008
Figure 7: Barclays Capital Indices: Rebranded Lehman Brothers Asian-Pacific Benchmarks
Benchmark Index Family Former Index Name Official Index Name
Asia-Pac Agg Lehman Brothers Asian-Pacific Aggregate Bond Index Barclays Capital Asian-Pacific Aggregate Bond Index
Lehman Brothers Asian-Pacific Aggregate: Treasury Bond Index Barclays Capital Asian-Pacific Aggregate: Treasury Bond Index
Lehman Brothers Asian-Pacific Aggregate: Govt-Related Bond Index Barclays Capital Asian-Pacific Aggregate: Govt-Related Bond Index
Lehman Brothers Asian-Pacific Aggregate: Corporate Bond Index Barclays Capital Asian-Pacific Aggregate: Corporate Bond Index
Lehman Brothers Asian-Pacific Aggregate: Securitized Bond Index Barclays Capital Asian-Pacific Aggregate: Securitized Bond Index
Japanese Agg Lehman Brothers Japanese Aggregate Bond Index Barclays Capital Japanese Aggregate Bond Index
Lehman Brothers Japanese Aggregate: JGB Index Barclays Capital Japanese Aggregate: JGB Index
Lehman Brothers Japanese Aggregate: Government-Related Bond Index Barclays Capital Japanese Aggregate: Government-Related Bond Index
Lehman Brothers Japanese Aggregate: Corporate Bond Index Barclays Capital Japanese Aggregate: Corporate Bond Index
Lehman Brothers Japanese Aggregate: Securitized Bond Index Barclays Capital Japanese Aggregate: Securitized Bond Index
Lehman Brothers Asian-Pacific Non-Japan Bond Index Barclays Capital Asian-Pacific Non-Japan Bond Index Asia-Pac Ex Japan Agg Lehman Brothers Australian Aggregate Bond Index Barclays Capital Australian Aggregate Bond Index
Lehman Brothers Asian-Pacific Aggregate: New Zealand Bond Index Barclays Capital Asian-Pacific Aggregate: New Zealand Bond Index
Lehman Brothers Asian-Pacific Aggregate: Thailand Bond Index Barclays Capital Asian-Pacific Aggregate: Thailand Bond Index
Lehman Brothers Asian-Pacific Aggregate: Malaysia Bond Index Barclays Capital Asian-Pacific Aggregate: Malaysia Bond Index
Lehman Brothers Asian-Pacific Aggregate: South Korea Bond Index Barclays Capital Asian-Pacific Aggregate: South Korea Bond Index
Lehman Brothers Asian-Pacific Aggregate: Hong Kong Dollar Bond Index Barclays Capital Asian-Pacific Aggregate: Hong Kong Dollar Bond Index
Lehman Brothers Asian-Pacific Aggregate: Singapore Dollar Bond Index Barclays Capital Asian-Pacific Aggregate: Singapore Dollar Bond Index
Non-AP Lehman Brothers/Xinhua China Aggregate Bond Index Barclays Capital/Xinhua China Aggregate Bond Index
App Eligible Lehman Brothers Indian Government Bond Index Barclays Capital Indian Government Bond Index
Others Lehman Brothers Euroyen Bond Index Barclays Capital Euroyen Bond Index
Lehman Brothers Non-Japan Asia USD Credit Bond Index Barclays Capital Non-Japan Asia USD Credit Bond Index
Lehman Brothers Non-Japan Asia USD Cap Sec Bond Index Barclays Capital Non-Japan Asia USD Cap Sec Bond Index
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Barclays Capital Index Products 15
Figure 8: Barclays Capital Indices: Combined Swaps/Derivatives Indices Family
Benchmark Index Family
Former Index Name Official Index Name
Nominal Swaps Indices (Coupon and Zero Coupon: Total Return (funded) and Excess Return(unfunded))
Barclays Capital USD Nominal Swaps Indices Same
Barclays Capital EUR Nominal Swaps Indices Same
Barclays Capital GBP Nominal Swaps Indices Same
Inflation Swaps Indices (Zero Coupon and Real Rate: Total Return (funded) and Excess Return (unfunded))
Barclays Capital USD Inflation Swaps Indices Same
Barclays Capital EUR Inflation Swaps Indices Same
Barclays Capital GBP Inflation Swaps Indices Same
Credit Barclays Capital Europe Long-Short Total Return Indices (BLSC) Same
Barclays Capital Europe Credit Steepener and Flattener Indices Same
Barclays Capital North America Long -Short Total Return Indices (BLSC) Same
Barclays Capital North America Credit Steepener and Flattener Indices Same
Series-L Swaps (Par Swaps, Zero Coupon, Fixed Maturity: Funded and Unfunded)
US Lehman Brothers USD Swaps Indices Barclays Capital USD Swaps Indices (Series-L)
Europe Lehman Brothers EUR Swaps Indices Barclays Capital EUR Swaps Indices (Series-L)
Lehman Brothers GBP Swaps Indices Barclays Capital GBP Swaps Indices (Series-L)
Lehman Brothers SEK Swaps Indices Barclays Capital SEK Swaps Indices (Series-L)
Lehman Brothers CHF Swaps Indices Barclays Capital CHF Swaps Indices (Series-L)
Lehman Brothers DKK Swaps Indices Barclays Capital DKK Swaps Indices (Series-L)
Lehman Brothers NOK Swaps Indices Barclays Capital NOK Swaps Indices (Series-L)
Asia Lehman Brothers JPY Swaps Indices Barclays Capital JPY Swaps Indices (Series-L)
Lehman Brothers AUD Swaps Indices Barclays Capital AUD Swaps Indices (Series-L)
Lehman Brothers NZD Swaps Indices Barclays Capital NZD Swaps Indices (Series-L)
Canada Lehman Brothers CAD Swaps Indices Barclays Capital CAD Swaps Indices (Series-L)
EM Swaps Lehman Brothers CZK Swaps Indices Barclays Capital CZK Swaps Indices (Series-L)
Lehman Brothers HUF Swaps Indices Barclays Capital HUF Swaps Indices (Series-L)
Lehman Brothers SKK Swaps Indices Barclays Capital SKK Swaps Indices (Series-L)
Lehman Brothers ZAR Swaps Indices Barclays Capital ZAR Swaps Indices (Series-L)
Lehman Brothers MXN Swaps Indices Barclays Capital MXN Swaps Indices (Series-L)
Series-L Inflation Swaps (Fixed Maturity & Rolling Maturity Zero Coupon)
Lehman Brothers Eurozone Inflation Swaps Indices Barclays Capital Eurozone Inflation Swaps Indices (Series-L)
Lehman Brothers French Inflation Swaps Indices Barclays Capital French Inflation Swaps Indices (Series-L)
Lehman Brothers U.S. Inflation Swaps Indices Barclays Capital U.S. Inflation Swaps Indices (Series-L)
Lehman Brothers U.K. Inflation Swaps Indices Barclays Capital U.K. Inflation Swaps Indices (Series-L)
CDS/CDX/iTraxx Lehman Brothers CDS Equal Weighted Indices Barclays Capital CDS Equal Weighted Indices
Lehman Brothers CDS Market Weighted Indices Barclays Capital CDS Market Weighted Indices
Lehman Brothers CDX/iTraxx Basket Total Returns Barclays Capital CDX/iTraxx Basket Total Returns
Lehman Brothers CDX/iTraxx Tranche Total Returns Barclays Capital CDX/iTraxx Tranche Total Returns
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
16 Index Products December 2008
Other Barclays Capital Indices branding initiatives: Rebranded index publications
Index factsheets Index factsheets for major ex-Lehman Brothers indices have been revised to reflect the rebranding. These factsheets follow a similar layout and format as previous versions, but reflect Barclays Capital Indices branding elements and include updated contact information for the regional Barclays Capital Index Products groups.
Index users that have saved previous versions of these factsheets as an internal reference should replace archived versions with the latest versions, which will also available as standalone pdf files on the Barclays Capital Indices sites.
Index guides A single and updated comprehensive index guide for the unified Barclays Capital Indices family is planned for 2009 and will incorporate content from both of the existing index guides from the legacy platforms that are currently in use. In the interim, please use the existing shelf publications and reference materials (in concert with this rebranding document) for specific details on index rules, mechanics, and methodologies. Existing index-specific guides/primers for legacy Lehman Brothers indices will be updated on an as needed basis.
Global Family of Indices publication The monthly Global Family of Indices publication that details monthly index returns and statistics for most published indices and includes articles and announcements on the latest product launches, rules changes, and topical index and portfolio management research studies will continue to be published.
Access to Barclays Capital Indices through the internet Barclays Capital is in the process of launching an integrated index website platform that is expected to be available to index users in 2009. In the interim, users will still be able to access each existing index website (www.barcap.com/indices and www.lehmanlive.com keyword: index), although user ID and password authentication may be required for certain content on each respective site.
Though some colours on the integrated site will have changed, index users will have access to the same content and analysis tools as before. Index descriptions and index names will be updated to reflect the new naming conventions outlined in this document. The following pages display a rebranded index map for the legacy Lehman Brothers indices as it will appear to index users.
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Barclays Capital Index Products 17
As the two index platforms are more fully integrated, there will be additional enhancements to the combined index website, which will continue to evolve from the initial pages shown here.
Figure 9: Initial Integrated Barclays Capital Indices Website (www.barcap.com/indices)
Links to Legacy Lehman Brothers Index pages
(ID and password required)
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
18 Index Products December 2008
Figure 10: Interim Index Map for Rebranded Lehman Brothers Indices
Links to www.barcap.comIndex Products pages
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Barclays Capital Index Products 19
Access to Barclays Capital Indices on Bloomberg (BCIX <GO> and LEHM <GO>) Barclays Capital currently maintains two Bloomberg pages for its indices, LEHM for the legacy Lehman Brothers Index platform and BCIX for existing Barclays Capital Indices.
In the short term, LEHM will remain the ticker on Bloomberg for the rebranded Lehman Brothers Index pages. However, LEHM will ultimately be redirected to a single unified Barclays Capital index page. Until that time, the LEHM page will remain operational and continue to offer the same content and page views as before. In addition, there will be a link to BCIX on the LEHM front page and a link to LEHM on the BCIX index page, so users will be able to access indices of the unified platform through each page. Over time, these pages will evolve and include more integrated index content for our index users.
Bloomberg index tickers for more than 1,400 legacy Lehman Brothers Indices will remain unchanged for an interim period in order to maintain continuity and consistency for users of these tickers. However, the ticker descriptions will be updated on Bloomberg to reflect the new index names in accordance with this publication. The revision of Bloomberg ticker descriptions will be completed in 2009. Further details on any modifications to index tickers will be announced at a later date in advance of any changes.
Figure 11: Current Index Map on Bloomberg LEHM page
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
20 Index Products December 2008
Figure 12: Current BCIX Index Page
If index users have any additional questions about any of the index rebranding initiatives or other non-benchmark indices within the Barclays Capital Indices family, please contact your regional Barclays Capital Index Products team or check the index website at www.barcap.com/indices.
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Barclays Capital Index Products 21
Figure 13. Barclays Capital Benchmark Indices: Index Map-November 2008
Euroyen
CanadianAgg.
Investment-Grade EM
ZAR, CHF, MXN
Treasury
Eurodollar
Asia-Pacific Treasury
Asia-Pacific Gov-Related
Asia-Pacific Corporate
Asia-Pacific Securitized
Other Global Agg.
ComponentsAsian-Pacific
Aggregate
Non-Japan
Euro Securitized
Gilt
Non-Gilt
EuroTreas
Euro Corporate
Euro Gov-Related
Danish Aggregate
Swedish Aggregate
Norwegian Aggregate
Eastern Europe
Treasury
Danish MBS
Series-L Nominal Par Swap Indices(USD, EUR, GBP, JPY,
CAD, SEK)
�Series-L� Inflation Swaps Indices (USD,
EUR, GBP)
CDX / iTraxx Total Returns
Short U.S. Gov /
Credit
U.S. Securitized
ERISA CMBS
ABS
U.S. HY Corp.
EuroDollar
144A
U.S. EM
CMBS Non-ERISA
Emerged
Non-U.S. Aggregate
U.S. Gov-Related
U.S. Corporate
U.S. Treasury
Multiverse
EuroAggregate
Non-EMU
Sterling Aggregate
Fixed-Rate Passthrough
Hybrid ARM
(U.S. Agg Only)
MBS
Swaps / Derivatives Indices(BarCap and Series-L Indices)
Coupon & Zero Coupon
�Series-L� EM Swaps Indices (SKK, ZAR, MXN, PLN, HUF, CZK)
Fixed Maturity
Swaps
Funded & Unfunded
Swaps
Tranches
Baskets
U.S. HY
Pan Euro HY
CMBS HY
EM HY
MBS
CMBS
ABS
Covered
Global Inv-Grd Corp
144-A�s
Eurodollar
Global HY Corp
G-7
Majors
Others
Global Credit Global Securitized
Global Treasury
USD
EUR
GBP
Local EM
BRIC
Capped
JGB FRN
U.S. ABS FRN
Pan Euro ABS FRN
U.S. Corp FRN
Pan Euro Corp FRN
U.S. HY FRN
U.S. HY Loan
Floating-Rate Indices
Global Capital
Securities
High-Yield Capped /VLIs
U.S. Convertibles
Index
Indian Government
Chinese Aggregate
Index
U.S. Municipals
CMBS IO, Private
Placement
Mexican Government Bond Index
Swiss Franc Aggregate
Russian Aggregate
Japan Agg
JHFA RMBS
U.S. Aggregate
U.S. Universal
Barclays Capital Indices
Pan-EuropeanAggregate
Global Asset Class Indices Emerging Markets
Global
Other Debt Indices Global Aggregate Global High-Yield Inflation-Linked
Bonds
Inflation-Linked
Funded & Unfunded
Swaps
Nominal Swap Indices
(USD, EUR, GBP)
Inflation Swap Indices (USD,
EUR, GBP)
Credit Strategies (CDX / iTraxx)
Europe & North
America
Steepener & Flattener
Total Return (Long & Short)
�Series-L�Swaps Indices
Rolling/Fixed Maturity Zero
Coupon
Coupon & Zero Coupon
Funded & Unfunded
Swaps
Real Coupon & Zero
Coupon
Barclays Capital Swaps Indices
French CPI
Gilt
Non-Gilt
�Series-B�Sterling Bond
Indices
Credit
Structured
U.S. TIPS (Series-L)
Eurozone(Series-L)
JGB (Series-L)
Global Inflation-
Linked (Series-L)
Euro Govt
U.K. Gilt
U.S. Govt
World Government
Sweden Govt
Canada
Australia Govt
Japan Govt
Euro I/L: Govt & Non-
Govt
Sterling I/L: Gilt & Non-Gilt
Emerging Markets
(LATAM, S. Korea,
Poland, S. Africa,
Turkey)
Universal GovtInflation-
Linked
Canada Govt
Euro Govt(Series-B)
U.K. Gilt (Series-B)
Government (Series-B)
Indices
U.S. Treasury (Series-B)
Sweden Govt(Series-B)
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Barclays Bank PLC is registered in England No. 1026167. Registered Office: 1 Churchill Place, London E14 5HP. Copyright Barclays Bank PLC, 2008 (all rights reserved). This document is confidential, and no part of it may be reproduced, distributed or transmitted without the prior written permission of Barclays. Barclays Capital is the investment banking division of Barclays Bank PLC, which is authorised and regulated by the UK Financial Services Authority and a member of the London Stock Exchange. 22
Barclays Capital Universal Govt IL Bond Index The Barclays Capital Universal Government Inflation-Linked Bond Index combines the World, Euro and EM government indices to measure the performance of the major developed and emerging government inflation-linked bond markets.
The index has a market capitalisation of over US$1.5 trillion and includes inflation-linked government bonds from 19 countries; in order of size, the US, UK, France, Brazil, Italy, Japan, Canada, Sweden, Germany, Argentina, Mexico, Greece, South Africa, Australia, Turkey, Colombia, Chile, Poland and South Korea.
Barclays Capital Universal Govt Index historical returns
-16
-8
0
8
16
24
01 02 03 04 05 06 07 08YTD
Peri
od R
etur
n (%
)
Local Currency UnHedged in US$ Hedged in US$
Barclays Capital Universal Government Inflation-Linked Bond Index Characteristics
30 November 2008 Market Cap
$ bn Weight % No of Issues Average
Real Yield Average
Life Average
Mod Duration
Universal 1343.9 100.0 147 3.11 10.60 8.54
By country
US 483.8 36.0 26 3.38 8.79 7.38
UK 239.3 17.8 14 1.83 18.30 13.27
France 170.0 12.6 11 2.59 9.32 7.78
Brazil 94.2 7.0 9 8.82 10.36 4.91
Italy 99.6 7.4 7 3.36 10.03 7.77
Japan 86.2 6.4 16 3.34 7.97 7.44
Canada 28.7 2.1 5 2.71 22.39 15.19
Sweden 29.6 2.2 5 1.80 10.52 9.15
Germany 28.8 2.1 2 2.50 6.14 5.70
Argentina 6.0 0.4 6 33.20 11.38 3.32
Mexico 20.4 1.5 8 4.61 12.10 8.10
Greece 17.0 1.3 2 3.91 19.19 14.22
South Africa 9.6 0.7 4 2.90 12.79 9.00
Australia 6.2 0.5 3 2.75 7.56 6.27
Turkey 5.3 0.4 2 17.46 3.40 2.57
Colombia 6.8 0.5 7 5.87 5.66 4.20
Chile 7.5 0.6 18 3.33 5.94 5.01
Poland 3.4 0.3 1 3.27 7.73 6.84
South Korea 1.3 0.1 1 4.30 8.27 7.19
By Maturity
1-5 yrs 415.9 30.9 46 4.47 3.07 2.86
5-10 yrs 449.6 33.5 53 3.63 7.48 6.74
>10 yrs 478.3 35.6 48 2.68 20.59 15.19
Source for all tables and charts: Barclays Capital
Index Products
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
This document has been prepared by Barclays Capital, the investment banking division of Barclays Bank PLC ("Barclays"), for information purposes only. Barclays is not acting as advisor or fiduciary. Accordingly you must independently determine, with your own advisors, the appropriateness for you of the index. Barclays and its affiliates accepts no liability whatsoever (i) for the accuracy, completeness or currency of the index, or for delays or omissions therein, or for interruptions in the delivery of the index, or (ii) for any indirect, incidental or consequential losses arising from the use of this document or reliance on the index referred to, or other information contained, herein. Barclays has no obligation to take the needs of investors into consideration in determining, composing or calculating the index. Barclays does not guarantee the accuracy or completeness of information which is contained in this document. Any data on past performance, modelling or back-testing contained herein is no indication as to future performance. No representation is made as to the reasonableness of the assumptions made within or the accuracy or completeness of any modelling or back-testing. All opinions and estimates are given as of the date hereof and are subject to change. The information in this document is not intended to predict actual results and no assurances are given with respect thereto. Barclays makes no warranty, express or implied, as to results to be obtained for the use of the index or any other information contained herein. Barclays makes no warranties, express or implied, and hereby expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the index or any data contained herein. In the UK, this document directed only at persons who are investment professionals as defined in Article 19 of the FSMA 2000 (Financial Promotion Order) 2001. Outside of the UK, it is directed at persons who have professional experience in matters relating to investments. Any service to which this document relates will be provided only to such persons. This document is not intended for distribution to retail customers. 23
General Characteristics and Index Rules Index characteristics
Base date 31 December 1996. Many country indices are available since the inception of each market
Indices Available A standard maturity breakdown is 1-3yr, 3-5yr, 5-7yr, 7-10yr, 10-15yr and >15yrs. 1-5yr, 5-10yr, 5-15yr, 1-10yrs, >10yrs indices are also available. The index is currently calculated as an aggregate local currency index and hedged and un-hedged in USD. The index will also be available in other currencies later in the year.
Criteria for inclusion in the index
Inclusion of markets in the Universal Govt index
The Universal Government Index is built bottom-up from the country/currency indices available from the Barclays Capital World, Euro and EM Government inflation-linked indices. Countries included with the year of inclusion are as follows: Inception UK, Australia, Canada, Sweden 1997 US 1998 France 2000 South Africa 2002 Chile 2003 Greece, Italy, Brazil, Colombia, Mexico 2004 Argentina, Poland 2005 Japan 2006 Germany 2007 Turkey, South Korea For detailed inclusion rules for the Word, Euro and EM Government inflation-linked indices please see the relevant fact sheets.
Maturity and Issue Bonds must settle on or before the rebalancing date and have a minimum remaining life of greater than one year.
Index calculation and monthly review
Pricing Methodology
The index uses mid-market prices from local market close. Barclays Capital market maker closes are used for US, UK, Euro, Japan, Chile, Colombia, Mexico, Brazil, Argentina, Poland, Turkey and South Korea. Prices for Australia are from ABN Amro. Canada from RBC Dominion, Sweden from PMI Exchange, and South Africa from the Bond Exchange of South Africa (BESA). All spot and forward foreign exchange rates used are official WM Company mid rates from London market at 4pm.
Settlement conventions
The index uses standard settlement conventions for all calculations. Market calendars most appropriate for international investors are used.
Index frequency and reinvestment
The index is calculated daily and has a value for each calendar day. For details on reinvestment rules please refer to fact sheets for World and EM govt indices.
Review procedure The index is reviewed and rebalanced once a month, on the last calendar day of the month. New bonds and taps/increases entering the index must have settled on or before the rebalancing date.
Maturity Bands Maturity bands are exclusive at the lower bound. Bonds are allocated to maturity bands based on their maturity date.
Index Holdings The index holding of each bond for the next month is set to the amount outstanding on the review date. The face values are used rather than an inflation-adjusted value. The indices are weighted using the market capitalisation as standard.
Data Publication, Distribution and licensing Publication The Barclays Capital Universal Govt Inflation-Linked Index is calculated daily on UK business days and published on the Barclays
Capital Indices Website.
Distribution
Index data is available via the Barclays Capital Indices website and other data vendors: Barclays Capital Global Inflation-Linked Bond Index Website: www.barcap.com/indices Bloomberg: Data will be available soon.
Contact Barclays Capital Index Products Team London New York Tokyo Hong Kong/Singapore www.barcap.com/indices [email protected] [email protected] [email protected] [email protected] www.lehmanlive.com (keyword:
index)
+44 207 773 3744 +1 212 526 7400 +81 3 4530 1760 +852 2903 2652 General Inquiries: [email protected]
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Barclays Bank PLC is registered in England No. 1026167. Registered Office: 1 Churchill Place, London E14 5HP. Copyright Barclays Bank PLC, 2008 (all rights reserved). This document is confidential, and no part of it may be reproduced, distributed or transmitted without the prior written permission of Barclays. Barclays Capital is the investment banking division of Barclays Bank PLC, which is authorised and regulated by the UK Financial Services Authority and a member of the London Stock Exchange. 24
Barclays Capital World Govt Inflation-Linked Bond Index Barclays Capital World Government Inflation-Linked Bond Index measures the performance of the major government inflation-linked bond markets. The index is designed to include only those markets in which a global government linker fund is likely to invest.
Markets currently included in the index, in the order of inclusion, are the UK, Australia, Canada, Sweden, the US, France, Italy, Japan, Germany and Greece.
Barclays Capital is a world-leader in inflation-linked products. We are the key market-maker in global inflation-linked securities, top-tier lead manager of issuance and a major innovator in this asset class.
Barclays Capital World Govt Index historical returns
-14
-9
-4
1
6
11
16
21
02 03 04 05 06 07 YTD
Peri
od R
etur
n (%
)
Local Currency UnHedged in US$ Hedged in US$
Barclays Capital World Government Inflation-Linked Bond Index Characteristics
30 November 2008 Market Cap $ bn
Weight % of World
Weight % of Sector
No of Issues Average Real Yield
Average Life Average Mod Duration
US 483.8 40.7 26 3.38 8.79 7.38
Euro-zone 315.4 26.5 22 2.95 9.87 7.93
France 170.0 14.3 53.9 11 2.59 9.32 7.78
Italy 99.6 8.4 31.6 7 3.36 10.03 7.77
Germany 28.8 2.4 9.1 2 2.50 6.14 5.70
Greece 17.0 1.4 5.4 2 3.91 19.19 14.22
UK 319.0 26.8 14 1.83 18.30 13.27
Japan 86.2 7.3 16 3.34 7.97 7.44
Sweden 29.6 2.5 5 1.80 10.52 9.15
Canada 28.7 2.4 5 2.71 22.39 15.19
Australia 6.2 0.5 3 2.75 7.56 6.27
World Govt 1189.3 100.0 91 2.74 10.63 8.94
Barclays Capital World Govt IL Index historical weights
0%
20%
40%
60%
80%
100%
98 99 00 01 02 03 04 05 06 07 08 YTD
Japan
Euro
US
UK
Sweden
Canada
Australia
Barclays Capital World Govt IL Index historical market cap ($ bn)
0
200
400
600
800
1000
1200
1400
98 99 00 01 02 03 04 05 06 07 08 YTD
Japan
Euro
US
UK
Sweden
Canada
Australia
Source for all tables and charts: Barclays Capital.
Index Products
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
This document has been prepared by Barclays Capital, the investment banking division of Barclays Bank PLC ("Barclays"), for information purposes only. Barclays is not acting as advisor or fiduciary. Accordingly you must independently determine, with your own advisors, the appropriateness for you of the index. Barclays and its affiliates accepts no liability whatsoever (i) for the accuracy, completeness or currency of the index, or for delays or omissions therein, or for interruptions in the delivery of the index, or (ii) for any indirect, incidental or consequential losses arising from the use of this document or reliance on the index referred to, or other information contained, herein. Barclays has no obligation to take the needs of investors into consideration in determining, composing or calculating the index. Barclays does not guarantee the accuracy or completeness of information which is contained in this document. Any data on past performance, modelling or back-testing contained herein is no indication as to future performance. No representation is made as to the reasonableness of the assumptions made within or the accuracy or completeness of any modelling or back-testing. All opinions and estimates are given as of the date hereof and are subject to change. The information in this document is not intended to predict actual results and no assurances are given with respect thereto. Barclays makes no warranty, express or implied, as to results to be obtained for the use of the index or any other information contained herein. Barclays makes no warranties, express or implied, and hereby expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the index or any data contained herein. In the UK, this document directed only at persons who are investment professionals as defined in Article 19 of the FSMA 2000 (Financial Promotion Order) 2001. Outside of the UK, it is directed at persons who have professional experience in matters relating to investments. Any service to which this document relates will be provided only to such persons. This document is not intended for distribution to retail customers. 25
General Characteristics and Index Rules Index characteristics Base date 31 December 1996. Country indices are available since the inception of each market
Indices Available A standard maturity breakdown is 1-3yr, 3-5yr, 5-7yr, 7-10yr, 10-15yr and >15yrs. 1-5yr, 5-10yr, 5-15yr, 1-10yrs, >10yrs indices are also available. Foreign and hedged indices are available in AUD, CAD, CHF, GBP, JPY, SEK, SGD, USD and ZAR. The World Govt index is also available as an aggregate local currency index.
Criteria for inclusion in the index Inclusion of markets in the World Govt index
The World Government Index is built bottom-up from a selection of country/currency indices based on rating and size. Rating: Long-term local currency ratings from S&P and Moody�s are considered, and the lower of the two is used for the index. Minimum rating for inclusion is: A3/A- for G7 and euro-zone markets and, Aa3/AA- otherwise. Market Size: Minimum aggregate issuance (non inflation-adjusted) for inclusion of bonds from a currency zone is $4bn. Limits are set in local currency terms using WM closing spot rates from the last business day of the year. These are in force for a full year, effective at the end of the first quarter the next year, and will be reviewed annually.
Underlying Market/Bond type
Government domestic inflation-linked debt issued in the domestic currency of that country only. Bonds must be capital-indexed and linked to a commonly used domestic inflation index. In the Euro-zone domestic inflation indices and the EMU HICP are eligible. The notional coupon of a bond must be fixed or zero. Issues that are not available in whole or part to international investors are not eligible for the index
Min issue size Minimum issue sizes are set in local currency terms and may be reviewed annually by the Barclays Capital Inflation-linked index committee taking into account local market conditions, issuance trends and movements in exchange rates. The following minimum issue sizes will be effective from the end of June 2006 until further notice: AUD 700mn, CAD 600mn, EUR 500mn, JPY 50bn, SEK 4bn, GBP 300mn, and USD 500mn.
Maturity and Issue Bonds must settle on or before the rebalancing date and have a minimum remaining life of greater than one year. Index calculation and monthly review Pricing Methodology
The index uses mid-market prices from local market close. Euro government, US TIPS, UK linkers and Japanese linker prices come from Barclays Capital market makers. Prices for Australian linkers are taken from ABN Amro. Canadian linker prices are taken from RBC Dominion and Swedish linker prices are taken from PMI Exchange. All spot and forward foreign exchange rates used are official WM Company mid rates from London market at 4pm.
Settlement conventions
The index uses standard settlement conventions for all calculations. Market calendars most appropriate for international investors are used.
Index frequency and reinvestment
The index is calculated daily and has a value for each calendar day. This allows simple calculation of returns without going to the bother of adjusting start and end dates according to the business calendar. Income received during the month is put on deposit until the month-end rebalancing, at which point it is reinvested back into the index. Reference deposit rates are set on the last business day of the month for the next month. Reference rates are 1M LIBOR � 15 bp (if LIBOR is not available in the market currency a local equivalent will be used).
Review procedure The index is reviewed and rebalanced once a month, on the last calendar day of the month. New bonds and taps/increases entering the index must have settled on or before the rebalancing date.
Maturity Bands In the Barclays Capital indices, maturity bands are exclusive at the lower bound. Bonds are allocated to maturity bands based on their maturity date.
Index Holdings The index holding of each bond for the next month is set to the amount outstanding on the review date. The face values are used rather than an inflation-adjusted value. The indices are weighted using the market capitalisation as standard.
Data Publication, Distribution and licensing Publication The Barclays Capital World Govt Inflation-Linked Index is calculated daily on UK and US business days and published on the
Barclays Capital Indices Website. Distribution Index data is available via the Barclays Capital Indices website and other data vendors:
Barclays Capital Global Inflation-Linked Bond Index Website: www.barcap.com/indices Bloomberg: The index data is available via BCIX
Contact Barclays Capital Index Products Team London New York Tokyo Hong Kong/Singapore www.barcap.com/indices [email protected] [email protected] [email protected] [email protected] www.lehmanlive.com (keyword: index) +44 207 773 3744 +1 212 526 7400 +81 3 4530 1760 +852 2903 2652 General Inquiries: [email protected]
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Barclays Bank PLC is registered in England No. 1026167. Registered Office: 1 Churchill Place, London E14 5HP. Copyright Barclays Bank PLC, 2008 (all rights reserved). This document is confidential, and no part of it may be reproduced, distributed or transmitted without the prior written permission of Barclays. Barclays Capital is the investment banking division of Barclays Bank PLC, which is authorised and regulated by the UK Financial Services Authority and a member of the London Stock Exchange. 26
Barclays Capital EM Govt Inflation-Linked Bond Index
The Barclays Capital Emerging Markets Government Inflation-linked bond index (EMGILB) is the first comprehensive index to measure the performance of inflation-linked bonds from the major emerging markets countries. The index includes government debt, i.e. direct obligations of the state issuer. Quasi-government and corporate debt is not included in the index.
The index currently includes the bonds from the following markets; Brazil, Argentina, Mexico, South Africa, Turkey, Colombia, Chile, Poland and South Korea.
Barclays Capital EMGILB historical returns
-30
-20
-10
0
10
20
30
40
2004 2005 2006 2007 YTD
Peri
od R
etur
n (%
)
Local Currency UnHedged in US$ Hedged in US$
Barclays Capital EMGILB Characteristics
30 November 2008 Market Cap
$ bn
Weight
% of overall No of Issues Average
Real Yield Average Life Average
Mod Duration
Brazil 94.2 61.0 9 8.82 10.36 4.91
Mexico 20.4 13.2 8 4.61 12.10 8.10
Argentina 6.0 3.9 6 33.20 11.38 3.32
South Africa 9.6 6.2 4 2.90 12.79 9.00
Chile 7.5 4.8 18 3.33 5.94 5.01
Turkey 5.3 3.5 2 17.46 3.40 2.57
Colombia 6.8 4.4 7 5.87 5.66 4.20
Poland 3.4 2.2 1 3.27 7.73 6.84
South Korea 1.3 0.8 1 4.30 8.27 7.19
EMGILB 154.5 100.0 56 7.67 10.23 5.48
Barclays Capital EMGILB historical weights
0%
20%
40%
60%
80%
100%
05 06 07 08
South KoreaPolandChileColombiaTurkeySouth AfricaMexicoArgentinaBrazil
Issuer and rating breakdown on 30 November 2008
Source for all tables and charts: Barclays Capital.
Brazil62%
Argentina4%
Turkey3%
Mexico13%
South Africa
6%
Other3%
Colombia4%
Chile5%
0%10%20%30%40%50%60%70%80%90%
100%
Rating
B
BB
BBB
A
Index Products
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
This document has been prepared by Barclays Capital, the investment banking division of Barclays Bank PLC ("Barclays"), for information purposes only. Barclays is not acting as advisor or fiduciary. Accordingly you must independently determine, with your own advisors, the appropriateness for you of the index. Barclays and its affiliates accepts no liability whatsoever (i) for the accuracy, completeness or currency of the index, or for delays or omissions therein, or for interruptions in the delivery of the index, or (ii) for any indirect, incidental or consequential losses arising from the use of this document or reliance on the index referred to, or other information contained, herein. Barclays has no obligation to take the needs of investors into consideration in determining, composing or calculating the index. Barclays does not guarantee the accuracy or completeness of information which is contained in this document. Any data on past performance, modelling or back-testing contained herein is no indication as to future performance. No representation is made as to the reasonableness of the assumptions made within or the accuracy or completeness of any modelling or back-testing. All opinions and estimates are given as of the date hereof and are subject to change. The information in this document is not intended to predict actual results and no assurances are given with respect thereto. Barclays makes no warranty, express or implied, as to results to be obtained for the use of the index or any other information contained herein. Barclays makes no warranties, express or implied, and hereby expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the index or any data contained herein. In the UK, this document directed only at persons who are investment professionals as defined in Article 19 of the FSMA 2000 (Financial Promotion Order) 2001. Outside of the UK, it is directed at persons who have professional experience in matters relating to investments. Any service to which this document relates will be provided only to such persons. This document is not intended for distribution to retail customers. 27
General Characteristics and Index Rules
Index characteristics and calculation
Base date 31 December 2003. Longer history for country and regional indices may be available. Indices available The standard maturity breakdown is 1-3 yr, 3-5 yr, 5-7 yr, 7-10 yr >10 yr. Additional maturity indices are also available.
Regional indices are also available for LATAM, EEMEA and Asia broken down by maturity. Indices are available in local currency and hedged and un-hedged into USD, EUR, GBP, JPY and SGD. Other currencies may be available on request. A constrained index with max country weight of 25% is also available.
Index pricing methodology
The index uses daily mid-market closes from Barclays Capital market-makers taken at local market close except for South Africa where quotes come from the Bond Exchange of South Africa (BESA). Hedged and un-hedged currency indices are calculated using 4pm London rates from WM Company.
Treatment of income
Income from coupon payments is held in cash until the month-end when it is re-invested into the index. For South Africa the cash is re-invested intra-month into 1M JIBAR � 15 bp. In other markets the cash is not re-invested intra-month.
Criteria for inclusion in the index
Markets included Markets are included based on quantitative and qualitative criteria including, size, and depth of market, general investability and availability of pricing information. At launch, countries included in the index are: LATAM: Argentina, Brazil, Chile, Colombia, Mexico. EEMEA: South Africa, Poland, Turkey Asia: South Korea From time to time, Barclays Capital will review the market inclusion list and consult with the independent index committee regarding the make-up of the index.
Country rating If an index eligible country defaults on all of its inflation-linked debt, the market will be removed from the index at the earliest opportunity. If individual bonds default but not the whole market, these bonds will be removed from the index at the earliest opportunity, and the eligibility of the overall market will be reviewed.
Bond inclusion rules (minimum issue size in brackets)
Argentina: CER-linked Bodens (CER5bn), Bocones (CER750mn) and peso bonds (CER705mn) from debt restructuring. Brazil: NTN-B linked to IPCA consumer price index, denominated in BRL (BRL400mn). Chile: BCU linked to Chilean CPI (UF), denominated in UF, payable in CLP (UF1mn). Colombia: TES linked to Colombian CPI (UVR), denominated in UVR, payable in COP (UVR1bn). Mexico: UDIBONOS linked to UDI, denominated in UDI, payable in MXN (UDI300mn). Note UNIBONOS issued before 2003 are excluded. South Africa: issued by South Africa bonds linked to South Africa CPI and denominated in ZAR (ZAR400mn). Poland: bonds issued by Poland linked to Polish CPI and denominated in PLN (PLN500mn). Turkey: bonds issued by Turkey linked to Turkey CPI and denominated in TRY (TRY500mn). South Korea: bonds issued by South Korea linked to Korean CPI and denominated in KRW (KRW500bn).
Data Publication, Distribution and licensing Publication The Barclays Capital EMGILB is calculated daily on UK business days and published on the Barclays Capital Index Website.
Distribution Index data is available via the Barclays Capital Index website and other data vendors: Barclays Capital EMGILB Website: www.barcap.com/indices Bloomberg: The index data will be available on Bloomberg soon
Licensing The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.
Contact Barclays Capital Index Products Team
London New York Tokyo Hong Kong/Singapore www.barcap.com/indices
[email protected] [email protected] [email protected] [email protected] www.lehmanlive.com (keyword: index)
+44 207 773 3744 +1 212 526 7400 +81 3 4530 1760 +852 2903 2652 General Inquiries: [email protected]
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Barclays Bank PLC is registered in England No. 1026167. Registered Office: 1 Churchill Place, London E14 5HP. Copyright Barclays Bank PLC, 2008 (all rights reserved). This document is confidential, and no part of it may be reproduced, distributed or transmitted without the prior written permission of Barclays. Barclays Capital is the investment banking division of Barclays Bank PLC, which is authorised and regulated by the UK Financial Services Authority and a member of the London Stock Exchange. 28
Barclays Capital Euro Government Inflation-Linked Bond Index
The Barclays Capital Euro Government Inflation-linked bond index measures the performance of the euro zone government inflation-linked bond market. The index currently includes bonds from France, Italy, Germany and Greece.
Since its inception the index has become the leading benchmark for euro inflation-linked funds.
Barclays Capital is a world-leader in inflation-linked products. We are the key market-maker in global inflation-linked securities, top-tier lead manager of issuance and a major innovator in this asset class.
Barclays Capital Euro Government IL Index historical returns
-2
2
6
10
14
00 01 02 03 04 05 06 07 08YTD
Peri
od R
etur
n (%
)
Barclays Capital Euro Government Inflation-Linked Bond Index Characteristics
30 November 2008 Market Cap
¤ bn Weight
% of overall No of Issues Average
Real Yield Average Life Average
Mod Duration
Euro Government Index 248.5 100.0 22 2.97 9.87 7.82
FRCPI-Linked 63.3 25.5 5 2.60 7.91 6.90
EMU HICP-Linked 185.2 74.5 17 3.08 10.51 8.13
France 133.9 53.9 11 2.61 9.32 7.68
Italy 78.5 31.6 7 3.38 10.03 7.64
Germany 22.7 9.1 2 2.51 6.14 5.63
Greece 13.4 5.4 2 3.95 19.19 13.95
Barclays Capital Euro Govt IL Index historical weights
0%
20%
40%
60%
80%
100%
99 00 01 02 03 04 05 06 07 08
France FRCPI-linked
France EMU HICP-Linked
Italy
Greece
Germany
Issuer and rating breakdown on 30 November 2008
Source for all tables and charts: Barclays Capital.
France54%
Italy32%
Greece5%
Germany9%
0%
20%
40%
60%
80%
100%
120%
Rating
A
AAA
Index Products
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
This document has been prepared by Barclays Capital, the investment banking division of Barclays Bank PLC ("Barclays"), for information purposes only. Barclays is not acting as advisor or fiduciary. Accordingly you must independently determine, with your own advisors, the appropriateness for you of the index. Barclays and its affiliates accepts no liability whatsoever (i) for the accuracy, completeness or currency of the index, or for delays or omissions therein, or for interruptions in the delivery of the index, or (ii) for any indirect, incidental or consequential losses arising from the use of this document or reliance on the index referred to, or other information contained, herein. Barclays has no obligation to take the needs of investors into consideration in determining, composing or calculating the index. Barclays does not guarantee the accuracy or completeness of information which is contained in this document. Any data on past performance, modelling or back-testing contained herein is no indication as to future performance. No representation is made as to the reasonableness of the assumptions made within or the accuracy or completeness of any modelling or back-testing. All opinions and estimates are given as of the date hereof and are subject to change. The information in this document is not intended to predict actual results and no assurances are given with respect thereto. Barclays makes no warranty, express or implied, as to results to be obtained for the use of the index or any other information contained herein. Barclays makes no warranties, express or implied, and hereby expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the index or any data contained herein. In the UK, this document directed only at persons who are investment professionals as defined in Article 19 of the FSMA 2000 (Financial Promotion Order) 2001. Outside of the UK, it is directed at persons who have professional experience in matters relating to investments. Any service to which this document relates will be provided only to such persons. This document is not intended for distribution to retail customers. 29
General Characteristics and Index Rules Index characteristics Base date 31 December 1999. Country indices are available since the inception of each market. Maturity Indices A standard maturity breakdown is 1-3yr, 3-5yr, 5-7yr, 7-10yr, 10-15yr and >15yrs. In addition, 1-5yr, 5-10yr, 5-15yr, 1-10yrs,
>10yrs indices are also available Additional indices Foreign and hedged indices are available in AUD, CAD, CHF, GBP, JPY, SEK , SGD, USD and in ZAR. Criteria for inclusion in the index Issuer type Issuer must be an EMU member state
Bond type Bonds must be capital-indexed and linked to an eligible inflation index. They should be denominated in euros and pay coupon and principal in euros.
Linking index The linking index can either be a domestic inflation index or the harmonised EMU HICP.
Rating Long-term local currency ratings from S&P and Moody�s are considered, and the lower of the two is used for the index. All issues must have a rating of A3/A- or above.
Coupon type The notional coupon of a bond must be fixed or zero. Maturity Bonds must have a minimum remaining life of greater than one year on the rebalancing date. Issue date Bonds must settle on or before the rebalancing date to be eligible for the index. Min issue size The issue size must be equal to or in excess of ¤500mn. Index calculation and monthly review Pricing Methodology
The index uses mid-market real prices from the Barclays Capital market makers at 4.15pm London time. All spot and forward foreign exchange rates used are official WM Company mid rates from London market at 4pm.
Settlement conventions
The index uses standard settlement conventions for all calculations. Market calendars most appropriate for international investors are used.
Index frequency and reinvestment
The index is calculated daily and has a value for each calendar day. This allows simple calculation of returns without going to the bother of adjusting start and end dates according to the business calendar. From 30 June 2006 income from coupon is reinvested monthly at re-balancing. Income received during the month is invested until the end of month at a 1M Euro LIBOR -15bp set at the end of the month for the next month. Prior to 30 June 2006 income from coupon was reinvested in the index as soon as it was received.
Review procedure The index is reviewed and rebalanced once a month, on the last calendar day of the month. New bonds and taps/increases entering the index must have settled on or before the rebalancing date.
Maturity Bands In the Barclays Capital indices, maturity bands are exclusive at the lower bound. Bonds are allocated to maturity bands based on their maturity date.
Index Holdings The index holding of each bond for the next month is set to the amount outstanding on the review date. The face values are used rather than an inflation-adjusted value. The indices are weighted using the market capitalisation as standard.
Data Publication, Distribution and licensing Publication The Barclays Capital Euro Govt Inflation-Linked Index is calculated daily on UK business days and published on the Barclays
Capital Indices Website. Distribution Index data is available via the Barclays Capital Indices website and other data vendors:
Barclays Capital Global Inflation-Linked Bond Index Website: www.barcap.com/indices Bloomberg: The index data is available via BEIG Index <GO>
Licensing The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.
Contact Barclays Capital Index Products Team
London New York Tokyo Hong Kong/Singapore www.barcap.com/indices
[email protected] [email protected] [email protected] [email protected] www.lehmanlive.com (keyword: index)
+44 207 773 3744 +1 212 526 7400 +81 3 4530 1760 +852 2903 2652 General Inquiries: [email protected]
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Barclays Bank PLC is registered in England No. 1026167. Registered Office: 1 Churchill Place, London E14 5HP. Copyright Barclays Bank PLC, 2005 (all rights reserved). This document is confidential, and no part of it may be reproduced, distributed or transmitted without the prior written permission of Barclays. Barclays Capital is the investment banking division of Barclays Bank PLC, which is authorised and regulated by the UK Financial Services Authority and a member of the London Stock Exchange. 30
Barclays Capital US Government Inflation-Linked Bond Index
A part of the Barclays Capital family of global inflation-linked bond indices, the Barclays Capital US Government Inflation-linked bond index (US TIPS) measures the performance of the TIPS market.
TIPS form the largest component of the Barclays Capital Global Inflation-Linked Bond Index. Inflation-linked indices include only capital indexed bonds with a remaining maturity of one year or more.
Barclays Capital is a world-leader in inflation-linked products. We are the key market-maker in global inflation-linked securities, top-tier lead manager of issuance and a major innovator in this asset class.
Barclays Capital US TIPS Index historical returns
-8
-4
0
4
8
12
16
20
98 99 00 01 02 03 04 05 06 07 YTD
Peri
od R
etur
n (%
)
Barclays Capital US TIPS Index Characteristics
30 November 2008 Market Cap
$ bn Weight
% of overall No of Issues Average
Real Yield Average Life Average
Mod Duration
Barclays Capital US TIPS Index 483.8 100.0 26 3.38 8.79 7.38
1-10yrs 345.3 71.4 19 3.70 5.23 4.66>10yrs 138.6 28.6 7 3.11 18.38 14.15
1-5yrs 168.1 34.8 9 4.18 2.90 2.715-10yrs 177.1 36.6 10 3.51 7.24 6.51
>5yrs 315.7 65.2 17 3.26 11.80 9.87
Barclays Capital US TIPS Index historical weights
0%
20%
40%
60%
80%
100%
98 99 00 01 02 03 04 05 06 07 08
>10Yrs
5-10Yrs
1-5Yrs
Market size growth since 1998 to end November 2008
0
100
200
300
400
500
600
98 99 00 01 02 03 04 05 06 07 08
Mar
ket
size
($
bn)
US TIPS
1-5Yrs
5-10Yrs
>10Yrs
Source for all tables and charts: Barclays Capital.
Index Products
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
This document has been prepared by Barclays Capital, the investment banking division of Barclays Bank PLC ("Barclays"), for information purposes only. Barclays is not acting as advisor or fiduciary. Accordingly you must independently determine, with your own advisors, the appropriateness for you of the index. Barclays and its affiliates accepts no liability whatsoever (i) for the accuracy, completeness or currency of the index, or for delays or omissions therein, or for interruptions in the delivery of the index, or (ii) for any indirect, incidental or consequential losses arising from the use of this document or reliance on the index referred to, or other information contained, herein. Barclays has no obligation to take the needs of investors into consideration in determining, composing or calculating the index. Barclays does not guarantee the accuracy or completeness of information which is contained in this document. Any data on past performance, modelling or back-testing contained herein is no indication as to future performance. No representation is made as to the reasonableness of the assumptions made within or the accuracy or completeness of any modelling or back-testing. All opinions and estimates are given as of the date hereof and are subject to change. The information in this document is not intended to predict actual results and no assurances are given with respect thereto. Barclays makes no warranty, express or implied, as to results to be obtained for the use of the index or any other information contained herein. Barclays makes no warranties, express or implied, and hereby expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the index or any data contained herein. In the UK, this document directed only at persons who are investment professionals as defined in Article 19 of the FSMA 2000 (Financial Promotion Order) 2001. Outside of the UK, it is directed at persons who have professional experience in matters relating to investments. Any service to which this document relates will be provided only to such persons. This document is not intended for distribution to retail customers. 31
General Characteristics and Index Rules Index characteristics
Base date 28 February 1997 Maturity Indices A standard maturity breakdown is 1-3yr, 3-5yr, 5-7yr, 7-10yr, 10-15yr and >15yrs. In addition, 1-5yr, 5-10yr, 5-15yr, 1-10yrs,
>10yrs indices are also available Additional indices Foreign and hedged indices are available in AUD, CAD, CHF, EUR, GBP, JPY, SEK, SGD and in ZAR.
Criteria for inclusion in the index
Issuer type Only government domestic debt, i.e. debt issued by government in US dollars
Bond type Bonds must be capital-indexed and linked to an eligible inflation index. They should be denominated in US dollars and pay coupon and principal in US dollars.
Coupon type The notional coupon of a bond must be fixed or zero. Maturity Bonds must have a minimum remaining life of greater than one year on the rebalancing date. Issue date Bonds must settle on or before the rebalancing date to be eligible for the index. Min issue size The issue size must be equal to or in excess of $500mn.
Index calculation and monthly review
Pricing Methodology
The index uses mid-market real prices from the Barclays Capital market makers at local market close. All spot and forward foreign exchange rates used are official WM Company mid rates from London market at 4pm.
Settlement conventions
The index uses standard settlement conventions for all calculations. Market calendars most appropriate for international investors are used.
Index frequency and reinvestment
The index is calculated daily and has a value for each calendar day. This allows simple calculation of returns without going to the bother of adjusting start and end dates according to the business calendar. From 30 June 2006 income from coupon is reinvested monthly at re-balancing. Income received during the month is invested until the end of month at a 1M $ LIBOR -15bp set at the end of the month for the next month. Prior to 30 June 2006 income from coupon was reinvested in the index as soon as it was received.
Review procedure The index is reviewed and rebalanced once a month, on the last calendar day of the month. New bonds and taps/increases entering the index must have settled on or before the rebalancing date.
Maturity Bands In the Barclays Capital indices, maturity bands are exclusive at the lower bound. Bonds are allocated to maturity bands based on their maturity date.
Index Holdings The index holding of each bond for the next month is set to the amount outstanding on the review date. The face values are used rather than an inflation-adjusted value. The indices are weighted using the market capitalisation as standard.
Data Publication, Distribution and licensing Publication The Barclays Capital US Govt Inflation-Linked Index is calculated daily on UK and US business days and published on the
Barclays Capital Indices Website. Distribution Index data is available via the Barclays Capital Indices website and other data vendors:
Barclays Capital Global Inflation-Linked Bond Index Website: www.barcap.com/indices Bloomberg: The index data is available via BCIT Index <GO>
Licensing The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.
Contact Barclays Capital Index Products Team
London New York Tokyo Hong Kong/Singapore
www.barcap.com/indices
[email protected] [email protected] [email protected] [email protected] www.lehmanlive.com (keyword: index)
+44 207 773 3744 +1 212 526 7400 +81 3 4530 1760 +852 2903 2652 General Inquiries: [email protected]
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Barclays Bank PLC is registered in England No. 1026167. Registered Office: 1 Churchill Place, London E14 5HP. Copyright Barclays Bank PLC, 2005 (all rights reserved). This document is confidential, and no part of it may be reproduced, distributed or transmitted without the prior written permission of Barclays. Barclays Capital is the investment banking division of Barclays Bank PLC, which is authorised and regulated by the UK Financial Services Authority and a member of the London Stock Exchange. 32
Barclays Capital US Govt Public Float ILB Index The Barclays Capital US Government Public Float Inflation-linked bond index (US TIPS) measures the performance of the publicly available portion of the TIPS market. The holdings of the Federal Reserve System Open Market Account (SOMA) are excluded from the index
The public float TIPS index is a stand-alone index which includes all TIPS with a remaining maturity of one year or more.
Barclays Capital is a world-leader in inflation-linked products. We are the key market-maker in global inflation-linked securities, top-tier lead manager of issuance and a major innovator in this asset class.
Barclays Capital US Govt Public Float ILB Index historical returns
-10
-5
0
5
10
15
20
98 99 00 01 02 03 04 05 06 07 YTDPe
riod
Ret
urn
(%)
Barclays Capital US Govt Public Float Inflation-Linked Bond Index
30 November 2008 Market Cap
$ bn
Weight
% of overall No of Issues Average
Real Yield Average Life Average
Mod Duration
US Govt Public Float ILB Index 441.6 100.0 26 3.39 8.63 7.26
1-10yrs 321.3 72.8 19 3.71 5.24 4.67>10yrs 120.3 27.2 7 3.11 18.39 14.16
1-5yrs 153.9 34.8 9 4.18 2.91 2.715-10yrs 167.4 37.9 10 3.52 7.19 6.47
>5yrs 287.7 65.2 17 3.27 11.55 9.68
Source: Barclays Capital
Barclays Capital US Govt Public Float ILB historical weights
0%
20%
40%
60%
80%
100%
98 99 00 01 02 03 04 05 06 07 08
>10Yrs
5-10Yrs
1-5Yrs
Market size growth since 1997 to end November 2008
0
100
200
300
400
500
600
99 00 01 02 03 04 05 06 07 08
Mar
ket
size
($
bn)
US TIPS
1-5Yrs
5-10Yrs
>10Yrs
Source for all tables and charts: Barclays Capital. Year-to-date (YTD) return is to 31 October 2006.
Index Products
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
This document has been prepared by Barclays Capital, the investment banking division of Barclays Bank PLC ("Barclays"), for information purposes only. Barclays is not acting as advisor or fiduciary. Accordingly you must independently determine, with your own advisors, the appropriateness for you of the index. Barclays and its affiliates accepts no liability whatsoever (i) for the accuracy, completeness or currency of the index, or for delays or omissions therein, or for interruptions in the delivery of the index, or (ii) for any indirect, incidental or consequential losses arising from the use of this document or reliance on the index referred to, or other information contained, herein. Barclays has no obligation to take the needs of investors into consideration in determining, composing or calculating the index. Barclays does not guarantee the accuracy or completeness of information which is contained in this document. Any data on past performance, modelling or back-testing contained herein is no indication as to future performance. No representation is made as to the reasonableness of the assumptions made within or the accuracy or completeness of any modelling or back-testing. All opinions and estimates are given as of the date hereof and are subject to change. The information in this document is not intended to predict actual results and no assurances are given with respect thereto. Barclays makes no warranty, express or implied, as to results to be obtained for the use of the index or any other information contained herein. Barclays makes no warranties, express or implied, and hereby expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the index or any data contained herein. In the UK, this document directed only at persons who are investment professionals as defined in Article 19 of the FSMA 2000 (Financial Promotion Order) 2001. Outside of the UK, it is directed at persons who have professional experience in matters relating to investments. Any service to which this document relates will be provided only to such persons. This document is not intended for distribution to retail customers. 33
General Characteristics and Index Rules Index characteristics Base date 28 February 1997 Maturity Indices A standard maturity breakdown is 1-3yr, 3-5yr, 5-7yr, 7-10yr, 10-15yr and >15yrs. In addition, 1-5yr, 5-10yr, 5-15yr, 1-10yrs,
>10yrs indices are also available Additional indices Foreign and hedged indices are available in AUD, CAD, CHF, EUR, GBP, JPY, SEK, SGD and ZAR. Criteria for inclusion in the index Issuer type Only government domestic debt, i.e. debt issued by government in US dollars
Bond type Bonds must be capital-indexed and linked to an eligible inflation index. They should be denominated in US dollars and pay coupon and principal in US dollars.
Coupon type The notional coupon of a bond must be fixed or zero. Maturity Bonds must have a minimum remaining life of one year on the rebalancing date. Issue date Bonds must settle on or before the rebalancing date to be eligible for the index. Min issue size The issue size must be equal to or in excess of $500mn. Index calculation and monthly review Pricing Methodology
The index uses mid-market real prices from the Barclays Capital market makers at local market close. All spot and forward foreign exchange rates used are official WM Company mid rates from London market at 4pm.
Settlement conventions
The index uses standard settlement conventions for all calculations. Market calendars most appropriate for international investors are used.
Index frequency and reinvestment
The index is calculated daily and has a value for each calendar day. This allows simple calculation of returns without going to the bother of adjusting start and end dates according to the business calendar. From 30 June 2006 income from coupon is reinvested monthly at re-balancing. Income received during the month is invested until the end of month at a 1M $ LIBOR -15bp set at the end of the month for the next month. Prior to 30 June 2006 income from coupon was reinvested in the index as soon as it was received.
Review procedure The index is reviewed and rebalanced once a month, on the last calendar day of the month. New bonds and taps/increases entering the index must have settled on or before the rebalancing date. The Federal Reserve Bank�s TIPS holdings in its SOMA account will be excluded from the index
Maturity Bands In the Barclays Capital indices, maturity bands are inclusive at the lower bound. Bonds are allocated to maturity bands based on their maturity date.
Index Holdings The index holding of each bond for the next month is set to the amount outstanding on the review date, less any Federal Reserve Bank holdings in it SOMA account. The face values are used rather than an inflation-adjusted value. The indices are weighted using the market capitalisation as standard.
Data Publication and Distribution Publication The Barclays Capital US Govt Public Float Inflation-Linked Index is calculated daily on UK and US business days and published
on the Barclays Capital Indices Website. Distribution Index data is available via the Barclays Capital Indices website:
Barclays Capital Global Inflation-Linked Bond Index Website: www.barcap.com/indices Licensing The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of
these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.
Contact Barclays Capital Index Products Team
London New York Tokyo Hong Kong/Singapore
www.barcap.com/indices
[email protected] [email protected] [email protected] [email protected] www.lehmanlive.com (keyword: index)
+44 207 773 3744 +1 212 526 7400 +81 3 4530 1760 +852 2903 2652 General Inquiries: [email protected]
34
Sector Breakdown as of Oct 31, 2008 Access to the Index
Quality Breakdown as of Oct 31, 2008
Rebalancing
The Global Aggregate Index provides a broad-based measure of the global investment-grade fixed-rate debt markets. The Global Aggregate Index contains three major components: the U.S. Aggregate Index (USD 300 million), the Pan-European Aggregate Index (EUR 300 million), and the Asian-Pacific Aggregate Index (JPY 35 billion). In addition to securities from these three benchmarks (94.9% of the overall Global Aggregate market value), the Global Aggregate Index includes Global Treasury, Eurodollar (USD 300 million), Euro-Yen (JPY 35 billion), Canadian (USD 300 million equivalent), and Investment-Grade 144A (USD 300 million) index-eligible securities not already in the three regional aggregate indices. The Global Aggregate Index family includes a wide range of standard and customized subindices by liquidity constraint, sector, quality, and maturity. The Global Aggregate Index is a component of the Multiverse Index. The Global Aggregate Index was created in 1999, with index history backfilled to January 1, 1990.
www.barcap.com/indiceswww.lehmanlive.com (keyword: index)
KEY FEATURESDaily index returns and statisticsHistorical index time series downloadable into ExcelStandardized market structure reportsFully customizable viewsIndex primers and shelf reference documentsLatest index and portfolio strategies research publications
Bloomberg Index Page <LEHM> <2> Key statistics and returns<LEGA> <INDEX>
TICKERSTotal Return Index Value: LEGATRUUSince Inception Total Return: LEGASIUUMonth to Date Excess Return: LEGAERMarket Value (USD): LEGAMVUYield to Worst: LEGAYWMod. Adj. Duration: LEGAMDReturns Mod. Adj. Duration: LEGARMDAverage OAS: LEGAOASMaturity: LEGAMAT
POINT (Portfolio and Index Tool)Name: Global Agg
KEY FEATURESIndex level returns and statisticsHistorical index constituentsFully customizable market structure reportsIndex dynamics and turnover reportsPortfolio upload/analysisMulti-factor Global Risk ModelPortfolio performance attribution
Frequency The composition of the Returns Universe is rebalanced monthly at each month end and represents the set of bonds on which index returns are calculated. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but is not used for return calculation. On the last business day of the month, the composition of the latest Statistics Universe becomes the Returns Universe for the following month.
Reinvestment of Cash flows
Interest and principal payments earned by the Returns Universe are held in the index without a reinvestment return until month-end when it is removed from the index.
Index Changes During the month, indicative changes to securities (maturity, credit rating change, sector reclassification, amount outstanding)are reflected in both the Statistics and Returns Universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the Statistics Universe of the index on a daily basis, but will affect the composition of the Returns Universe only at month-end when the index is rebalanced.
New Issues Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in the following month’s Returns Universe.
Barclays Capital Global Aggregate Bond Index
Securitized21.4%Corporate
15.3%
Government-Related14.3%
Treasury49.0%
Aaa54.8%
Aa30.6% A
10.3%
Baa4.3%
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Contacts: Barclays Capital Index Products Team
Index Products
The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.
35
Rules for Inclusion
Amount Outstanding The minimum liquidity criterion is based on eligible currencies, as follows:For U.S. Aggregate, Canadian, Eurodollar, and Investment-Grade 144A Index securities, USD 300 million (or equivalent) minimum par amount outstanding. CMBS and ABS securities must belong to a deal with a minimum aggregate transaction size of USD 500 million.For Pan-European Aggregate Index securities, EUR 300 million currency equivalent minimum par amount outstanding.For Asian-Pacific Aggregate and Euro-Yen Index securities, JPY 35 billion minimum par amount outstanding.For GBP-denominated securities, GBP 200 million currency equivalent minimum par amount outstanding.For securities in other eligible currencies, minimum amount outstanding is pegged to one of the four major currencies above, using an exchange rate that is reset once a year on the last business day of November. WM/Reuters exchange rates are used.
Quality Must be rated investment grade (Baa3/BBB-/BBB- or above) using the middle rating of Moody’s, S&P, and Fitch, respectively.
When all three agencies rate an issue, a median or “two out of three” rating is used to determine index eligibility by dropping the highest and lowest rating. When a rating from only two agencies is available, the lower (“most conservative”) of the two is used.When a rating from only one agency is available, that rating is used to determine index eligibility.Unrated securities are included provided that an issuer rating is applicable.Unrated subordinated securities are included if a subordinated issuer rating is applicable. Domestic local currency sovereign bonds will be rated by calculating the most observed bond level rating for all outstanding bonds.German Pfandbriefe are assigned ratings that are one full rating category above the issuer’s unsecured debt.
Coupon Fixed-rate. Step-up coupons and coupons that change according to a predetermined schedule are also included. Capital securities with coupons that convert from fixed to floating-rate are index-eligible, given that they are currently fixed-rate; the maturity date then equals the conversion date. Fixed-to-floating rate perpetual capital securities that do not have coupon rate step-ups on their first call date will remain index eligible for their fixed-rate term provided that they meet all other index inclusion rules and exit the index one year prior to their conversion to floating coupon securities.
Maturity At least 1 year until final maturity, regardless of optionality. For securities with coupon that converts from fixed to floating-rate, at least 1 year until the conversion date. MBS must have a weighted average maturity of at least 1 year; CMBS and ABS must have a remaining average life of at least 1 year.Perpetual securities are included in the index provided they are callable or their coupons switch from fixed to variable rate. These are included until one year before their first call date, providing they meet all other index criteria.
Seniority of Debt Senior and subordinated issues are included.
Excluded:Bonds with equity-type features (e.g., warrants, convertibility) Private placements Floating-rate issuesStripsCHF denominated bondsInflation-linked bondsPrivately placed Japanese Government Bonds (JGB)Non-ERISA eligible U.S. CMBS issuesUSD 25/ USD 50 par bondsLoan Participation Notes (LPN) and other structured productsU.S. Agency Hybrid ARMs/JFHA RMBS
Currency Currencies eligible for inclusion must be freely tradable and hedgeable; local currencies’ sovereign bonds (both local and foreign) must have an investment-grade sovereign rating using the middle rating. The list of eligible currencies is reviewed once a year.
U.S. and Canadian Aggregate Index securities: USD, CAD. Pan-European Aggregate Index securities: EUR, GBP, CZK, DKK, HUF, NOK, PLN, SEK, SKK (to be redenominated to EUR onJanuary 1, 2008).Asian-Pacific Aggregate Index securities: JPY, AUD, HKD, KRW, NZD, SGD, TWD, MYR, THB.Additional eligible currencies: CLP, MXN, ZAR.
Market of Issue Fully taxable, publicly issued in the global and regional markets.
Security Types Included:Fixed-rate bullet, puttableand callable bondsSoft bulletsOriginal issue zero coupon, step-ups, and underwritten MTNU.S. Certificates of DepositFixed-rate and fixed to floating capital securities
Barclays Capital Global Aggregate Bond Index
36
Index History
Pricing and Related Issues
November 1, 2008July 1, 2008April 1, 2008January 1, 2008
March 1, 2007January 1, 2006July 1, 2005January 1, 2005
September 1, 2004July 1, 2004October 1, 2003January 1, 2002
June 1, 2001October 1, 2000
July 1, 2000January 1, 1999
January 1, 1990
Index rebranded as Barclays Capital Global Aggregate IndexThai baht debt added back to the Global Aggregate IndexCAD-denominated Euro MTNs and deposit notes eligible for inclusion.Fixed-to-floating rate perpetual securities that do not have coupon rate step-ups on their first call date eligible for inclusion. U.S. MBS Fixed-Rate Balloons and U.S. ABS Manufactured Housing removed.Thai baht debt removed from Global Aggregate IndexTaiwan dollar and Malaysian ringgit eligible for inclusion in the index.Fitch ratings added to Moody’s and S&P to determine index eligibility. Sector re-classification into Treasury, Government-Related, Corporate, and Securitized.South African rand, Chilean peso, Mexican peso, Czech koruna, Hungarian forint, Polish zloty, Slovenian tolar, and Slovakian koruna eligible for inclusion in the index.Local currency government debt from Hong Kong included in the index.Danish MBS without embedded optionality joined the index.Capital and senior unsecured securities with fixed-to-variable coupons added to the index.Liquidity constraint changed to multiple regional currency constraints from the sole USD 300 million equivalent criterion.Local currency government debt from Thailand, South Korea and Singapore included in the index.Local currency government debt from Greece included in the index.Asian-Pacific Aggregate Index joined the Global Aggregate Index.Liquidity constraint for all securities in the index raised to USD 300 million (or currency equivalent) from USD 150 million.Euro-Dollar and U.S. Investment-Grade 144A Indices joined the Global Aggregate index.Creation of Global Aggregate Index with index history backfilled to January 1, 1990. At inception, Global Aggregate index included the U.S. Aggregate Index, Pan-European Aggregate Index, and Global Treasury Index (ex-U.S. and European government securities).Inception date of the Global Aggregate Index data time series.
Sources & Frequency Unless noted otherwise, index bonds are priced by Barclays Capital traders at mid month and month end. On a daily basis, a subset of the index continues to be trader priced, with the remaining bonds model/matrix priced using actively traded benchmark securities to generate issuer pricing curves and populate a spread matrix algorithm.
U.S. Aggregate Index (refer to U.S. Aggregate Index Fact Sheet): Treasuries are trader priced daily; up to 1,000 benchmark Corporate securities are trader priced daily; some Agency debentures are trader priced daily; MBS bonds are priced by traders on a daily basis for fixed-rate and weekly for hybrid ARMs, with generic prices derived from these marks; ABS spreads are marked weekly for autos/credit cards/utilities and semi-monthly or monthly for home equity to generate daily prices using changes in the Treasury and swap curves; CMBS spreads are updated as needed, as often as daily. Pan-European Aggregate Index: Barclays Capital traders price more than 50% of the market value of the index; the remainder is priced by vendors and exchanges or by a spread matrix algorithm. Traditional Pfandbriefe are curve-based, Jumbo Pfandbriefe and Danish MBS are vendor priced.Asian-Pacific Aggregate Index, Euro-Yen Index, and Other Currencies: Daily prices provided by third party sources, with the exception of the JGB Index, which is priced by Barclays Capital traders on a daily basis.Canadian Index: Daily pricing is provided by TSX Group.144A/Eurodollar Indices: Priced by Barclays Capital traders at mid month and month end; in between, bonds are priced using a spread matrix algorithm, supplemented with third party pricing sources.
Pricing Quotes Bonds can be quoted in a variety of ways including nominal spreads over benchmark securities/treasuries, spreads over swap curves, or direct price quotes as a percentage of par. In most instances the quote type used is a spread measure that results indaily security price changes from the movement of the underlying curve (swap or treasury) and/or changes in the quoted spread.
Timing If the last business day of the month is a public holiday in a major regional market, prices from the previous business day are used to price bonds in the particular market.
North American currency bonds: 3:00 pm (New York time).European currency bonds: 4:15 pm (GMT time).Asian currency bonds: at each local market’s own closing time; 3:00 pm (Tokyo time) for JPY denominated securities.
Bid or Offer Side Bonds in the index are priced on the bid side. The initial price for new corporate issues entering the index is the offer side; after that, the bid side price is used. Euro and Sterling Treasury bonds use mid dollar prices.
SettlementAssumptions
T+1 settlement basis for all bonds except U.S. MBS. U.S. MBS are priced for Public Securities Association (PSA) settlement in the following month and discounted back to same-day settlement at the mortgage repurchase rate.
Verification Multi-contributor verification: The primary price for each security is analyzed and compared to other third-party pricing sources through both statistical routines and scrutiny by the research staff. Significant discrepancies are researched and corrected, asnecessary. On occasion, index users may also challenge price levels, which are then reviewed by the pricing team. Prices are then updated as needed using input from the trading desk.
Barclays Capital Global Aggregate Bond Index
37
U.S. Aggregate Index
Sector Breakdown as of Oct 31, 2008 Access to the Index
Quality Breakdown as of Oct 31, 2008
Pricing and Related Issues
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KEY FEATURESDaily index returns and statisticsHistorical index time series downloadable into ExcelStandardized market structure reportsFully customizable viewsIndex primers and shelf reference documentsLatest index and portfolio strategies research publications
Bloomberg Index Page <LEHM> <12> Key statistics and returns<LBUS> <INDEX>
TICKERSTotal Return Index Value: LBUSTRUUSince Inception Total Return: LBUSSIUUMonth to Date Excess Return: LBUSERMarket Value (USD): LBUSMVUYield to Worst: LBUSYWMod. Adj. Duration: LBUSMDReturns Mod. Adj. Duration: LBUSRMDAverage OAS: LBUOAS
POINT (Portfolio and Index Tool)Long Name: US AggregateShort Name: Agg
KEY FEATURESIndex level returns and statisticsHistorical index constituentsFully customizable market structure reportsIndex dynamics and turnover reportsPortfolio upload/analysisMulti-factor Global Risk ModelPortfolio performance attribution
The U.S. Aggregate Index covers the USD-denominated, investment-grade, fixed-rate, taxable bond market of SEC-registered securities. The index includes bonds from the Treasury, Government-Related, Corporate, MBS (agency fixed-rate and hybrid ARM passthroughs), ABS, and CMBS sectors. The U.S. Aggregate Index is a component of the U.S. Universal Index in its entirety. The index was created in 1986, with index history backfilled to January 1, 1976.
Sources & Frequency
All index-eligible bonds are priced on a daily basis, predominantly by Barclays Capital traders. Pricing sources by sector:Treasury: Priced by Barclays Capital traders on a daily basis.Corporate: All bonds are marked by traders at mid month and month end. Up to 1,000 actively traded benchmark corporatesecurities continue to be priced by traders on a daily basis. Less liquid bonds are model/ matrix priced daily using these actively traded benchmark securities to generate issuer pricing curves and populate a spread matrix algorithm that accounts for changes in the yield and swap curves. Government-Related: A subset of approximately 200 liquid Agency debentures are priced by Barclays Capital traders on a daily basis, with the remaining bonds model priced using trader marks and updated curves. All bonds are trader priced at mid month and month end. MBS Fixed Rate: MBS TBA securities are priced by traders on a daily basis, with generic prices derived from these marksHybrid ARM: OAS updated weekly by traders to generate daily prices using curve and volatility changes. ABS: ABS spreads are marked weekly for autos/credit cards/utilities and monthly or semi-monthly for home equity to generate daily prices using changes in the Treasury and swap curves. CMBS: CMBS spreads are updated as needed, as often as daily.
Pricing Quotes Bonds can be quoted in a variety of ways including nominal spreads over benchmark securities/treasuries, spreads over swap curves, or direct price quotes as a percentage of par. In most instances the quote type used is a spread measure that results in daily security price changes from the movement of the underlying curve (swap or treasury) and/or changes in the quoted spread.
Timing 3:00 pm (New York time) each day. On early market closes, prices may be taken earlier in the day. If the last business day of the month is a public holiday in the U.S. market, prices from the previous business day are used.
Bid or Offer Side
Bonds in the index are priced on the bid side. The initial price for new corporate issues entering the index is the offer side; after that, the bid side price is used.
Settlement Assumptions
T+1 settlement basis for all bonds except MBS. MBS are priced for Public Securities Association (PSA) settlement in the following month and discounted back to same-day settlement at the mortgage repurchase rate.
Verification Multi-contributor verification: The primary price for each security is analyzed and compared to other third-party pricing sources through both statistical routines and scrutiny by the research staff. Significant discrepancies are researched and corrected, as necessary.
Barclays Capital U.S. Aggregate Bond Index
Treasury23.9%
Govt. Related13.5%
Corporate17.2%
ABS0.7%
Hybrid ARMs3.3%
CMBS4.2%
Fixed-Rate MBS37.3%
Aaa81.4%
Aa4.2%
A8.0%
Baa6.4%
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Contacts: Barclays Capital Index Products Team
The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.
Index Products
38
Barclays Capital U.S. Aggregate Bond Index
Index History
Rebalancing
Rules for Inclusion
Amount Outstanding For Treasury, Government-Related, MBS, and Corporate securities, USD 250 million minimum par amount outstanding. For ABS securities, USD 500 million minimum deal size and USD 25 million tranche size for specific ABS issuers where Barclays Capital can accurately price the securities. The list of index-eligible issuers is available on www.lehmanlive.com.For CMBS securities, USD 500 million minimum original deal size with at least USD 300 million amount outstanding remaining in the deal; USD 25 million minimum tranche size.
Quality Must be rated investment grade (Baa3/BBB-/BBB- or above) using the middle rating of Moody’s, S&P, and Fitch, respectively.When all three agencies rate an issue, a median or “two out of three” rating is used to determine index eligibility by dropping the highest and lowest rating. When a rating from only two agencies is available, the lower (“most conservative”) of the two is used.When a rating from only one agency is available, that rating is used to determine index eligibility.
Coupon Fixed-rate. Step-up coupons and coupons that change according to a predetermined schedule are also included. Capital securities with coupons that convert from fixed to floating-rate are index-eligible, given that they are currently fixed-rate; the maturity date then equals the conversion date. Fixed-to-floating rate perpetual capital securities that do not have coupon rate step-ups on their first call date will remain index eligible for their fixed-rate term provided that they meet all other index inclusion rules and exit the index one year prior to their conversion to floating coupon securities.
Maturity At least 1 year until final maturity, regardless of optionality. For securities with coupon that converts from fixed to floating-rate, at least 1 year until the conversion date. MBS must have a weighted average maturity of at least 1 year; CMBS and ABS must have a remaining average life of at least 1 year.Perpetual securities are included in the index provided they are callable fixed-to-floating rate structures with a coupon step-up. These are included until one year before their first call date, providing they meet all other index criteria.
Seniority of Debt Senior and subordinated issues are included.
Excluded:Bonds with equity-type features (e.g., warrants, convertibility) Private placements Floating-rate issuesStripsInflation-linked bondsNon-ERISA eligible CMBS issuesSecurities with both Regulation S and SEC Rule 144A without Registration Rights tranchesUSD 25/ USD 50 par bonds
Currency Denominated in USD.
Market of Issue SEC-registered, fully taxable issues. SEC Rule 144A securities with Registration Rights are included; a security with both SEC Regulation S and SEC Rule 144A tranches is treated as one security. To prevent double-counting, we include the 144A tranche and exclude the Reg-S tranche; Issues with global market of issue are included.
Security Types Included:Hybrid ARMs as of April 1, 2007Fixed-rate bullet, puttable and callable bondsSoft bulletsSEC Rule 144A with Registration Rights and Regulation S securities Original issue zero coupon and underwritten MTNCertificates of DepositFixed-rate and fixed to floating capital securities
Interest and principal payments earned by the Returns Universe are held in the index without a reinvestment return until month-end when it is removed from the index.
Reinvestment of Cash flows
The composition of the Returns Universe is rebalanced monthly at each month end and represents the set of bonds on which index returns are calculated. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but is not used for return calculation. On the last business day of the month, the composition of the latest Statistics Universe becomes the Returns Universe for the following month.
Frequency
During the month, indicative changes to securities (maturity, credit rating change, sector reclassification, amount outstanding)are reflected in both the Statistics and Returns Universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the Statistics Universe of the index on a daily basis, but will affect the composition of the Returns Universe only at month-end when the index is rebalanced.
Index Changes
Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in the following month’s Returns Universe.
New Issues
Index rebranded as Barclays Capital U.S. Aggregate IndexU.S. MBS Fixed-Rate Balloons and U.S. ABS Manufactured Housing removedAgency Hybrid Adjustable Rate Mortgage (ARM) securities added to the index, but not eligible for the Global AggregateFitch ratings added to Moody’s and S&P to determine index eligibility.Sector re-classification into Treasury, Government-Related, Corporate, and Securitized.Liquidity constraint raised to USD 250 million/ USD 25 million CMBS tranche size from USD 200 million.Liquidity constraint raised to USD 200 million from USD 150 million. Started using the most conservative rating of Moody’s and S&P to determine index eligibility instead of Moody’s only for split-rated securities.ABS index liquidity constraint raised to USD 500 million for deal size and USD 25 million for tranches. Absorbed all Yankee Corporates into their respective industry and sector classificationLiquidity constraint raised to USD 150 million from USD 100 million. ERISA-eligible CMBS issues added to the index.Removed U.S. TIPS from U.S. Aggregate IndexLiquidity constraint raised to USD 100 million from USD 50 million for non-government securities.ABS and MBS balloon issues added to the index. Liquidity constraint increased to USD 50 million from USD 25 million for non-government securities.Liquidity constraint raised to USD 100 million from USD 25 million.U.S. Aggregate Index introduced, with historical data backfilled to January 1976. Liquidity constraint raised to USD 25 million from USD 1 million.
November 1, 2008January 1, 2008April 1, 2007July 1, 2005January 1, 2005July 1, 2004October 1, 2003
July 1, 2000
July 1, 1999January 1, 1998January 1, 1994January 1, 1992January 1, 1990August 1, 1988January 1, 1986
39
Barclays Capital Pan-European Aggregate Bond Index
Sector Breakdown as of Oct 31, 2008 Access to the Index
Quality Breakdown as of Oct 31, 2008
Pricing and Related Issues
www.barcap.com/indiceswww.lehmanlive.com (keyword: index)
KEY FEATURESDaily index returns and statisticsHistorical index time series downloadable into ExcelStandardized market structure reportsFully customizable viewsIndex primers and shelf reference documentsLatest index and portfolio strategies research publications
Bloomberg Index Page <LEHM> <22> Key statistics and returns<LP06> <INDEX>
TICKERSTotal Return Index Value: LP06TRGU (GBP, Unhedged)Total Return Index Value: LP06TREU (EUR, Unhedged)Since Inception Total Return: LP06SIGU (GBP, Unhedged)Since Inception Total Return: LP06SIEU (EUR, Unhedged)Month to Date Excess Return: LP06ERMarket Value (GBP): LP06MVGMarket Value (EUR): LP06MVEYield to Worst: LP06YWISMA Modified Duration: LP06MDISMA Returns Modified Duration: LP06RMDAverage OAS: LP06OA
POINT (Portfolio and Index Tool)Long Name: Pan Euro AggregateShort Name: peall
KEY FEATURESIndex-level returns and statisticsHistorical index constituentsFully customizable market structure reportsIndex dynamics and turnover reportsPortfolio upload/analysisMulti-factor Global Risk ModelPortfolio performance attribution
The Pan-European Aggregate Index tracks fixed-rate, investment-grade securities issued in the following European currencies: Euro, British pounds, Norwegian krone, Danish krone, Swedish krona, Czech koruna, Hungarian forint, Polish zloty, and Slovakian koruna. Inclusion is based on the currency of the issue, and not the domicile of the issuer. The principal asset classes in the index are Treasuries, Government-Related, Corporate and Securitised, which include Pfandbriefe, other covered bonds and asset-backed securities. Securities in the index are all part of the Global Aggregate Index. The Pan-European Aggregate Index was launched on January 1, 1999.
Sources and Frequency All bonds are priced daily by Barclays Capital traders, third-party vendors or for traditional Pfandbriefe using an interpolated yield curve.
Timing 4:15pm London time. If European markets are open, but the U.K. is closed, then pricing will remain constant until the close of the next U.K. business day. If the last business day of the month is a public holiday in the major European markets, then prices from the previous business day are used.
Bid or Offer Side Outstanding issues are priced on the bid side, with the exception of Euro and Sterling Treasury bonds, which use mid dollar prices. New issues enter the index on the offer side.
Settlement Assumptions T+1 settlement basis
Verification Multi-contributor verification: The primary price for each security is analysed and compared to other third-party pricing sources through both statistical routines and scrutiny by the research staff. Significant discrepancies are researched and corrected as necessary. On occasion, index users may also challenge price levels, which are then reviewed by the pricing team. Prices are then updated as needed using input from the trading desk.
Treasury56.9%
Govt.-Related12.3%
Corporate17.0%
Securitised13.9%
Aaa59.5%
Aa23.9%
Baa3.7%
A12.8%
+1-212-526-7400
+44-207-773-3744
+81-3-4530-1760
Hong Kong/[email protected]
+852-2903-2652
www.barcap.com/indiceswww.lehmanlive.com (keyword: index)General Inquiries: [email protected]
Contacts: Barclays Capital Index Products Team
Index Products
The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.
40
Barclays Capital Pan-European Aggregate Bond Index
Rebalancing Rules
Rules for Inclusion
Amount Outstanding €300 million/£200 million minimum par amount outstanding. For non-Euro currencies, we take the local currency equivalent equal to €300 million using the exchange rates at the end of November of each year.
Quality Must be rated investment grade ( Baa3/BBB-/BBB – or above ) using the middle rating of Moody’s, S&P and Fitch, respectively.
When all three agencies rate an issue, a median or “two out of three” rating is used to determine index eligibility by dropping the highest and the lowest rating.When a rating from only two agencies is available, the lowest (“most conservative”) of the two is used.When a rating from only one agency is available, that rating is used to determine index eligibility.Unrated Pfandbriefe are assigned ratings that are one full rating category above the issuer’s unsecured debt. This is consistent with Moody’s methodology and reflects the underlying collateral.
Seniority of Debt Senior and subordinated issues are included. Undated securities are included provided their coupons switch from fixed to variable rate.
Coupon Fixed-rate. Step-up coupons and coupons that change according to a predetermined schedule are also included. Capital securities with coupons that convert from fixed to floating-rate are index-eligible given that they are currently fixed-rate; the maturity date then equals the conversion date. Fixed-rate perpetual capital securities which remain fixed-rate following their first call date, and which provide no incentives to call the bonds, are excluded.
Excluded:Bonds with equity-type features (e.g., warrants, convertibility to equity) Private placements, including SchuldscheineFloating-rate issuesInflation-linked bondsSwiss franc denominated bonds
Market of Issue Publicly issued in the Eurobond and index –member domestic markets.
Maturity At least one year until final maturity, regardless of optionality. For securities with a coupon that converts from fixed to floating at least one year until the conversion date.Perpetual securities are included in the index provided they are callable or their coupons switch from fixed to variable rate. These are included until one year before their first call date, providing they meet all other index criteria.
Currency Euro or Eurozone legacy currency, British pounds, Norwegian krone, Danish krone, Swedish krona, Czech koruna, Hungarian forint, Polish zloty, and Slovakian koruna (to be redenominated to EUR on January 1, 2008).
Security Types Included:Fixed-rate bullet, puttableand callableSoft bulletsFixed-rate and fixed to floating capital securities
Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in the following month’s Returns universe.
New Issues
Interest and principal payments earned by the Returns universe are held in the index without a reinvestment return until month-end when it is removed from the index.
Reinvestment ofCash flows
The composition of the Returns universe is rebalanced monthly at each month-end and represents the set of bonds on which index returns are calculated. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but is not used for returns calculation. On the last business day of the month, the composition of the latest Statistics universe becomes the Returns universe for the following month.
Frequency
During the month, indicative changes to securities (maturity, credit rating change, sector reclassification, amount outstanding) are reflected in both the Statistics and Returns universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the Statistics universe of the index on a daily basis, but will affect the composition of the Returns universe only at month-end when the index is rebalanced.
Index Changes
41
Euro-Aggregate Index
Sector Breakdown as of Oct 31, 2008 Access to the Index
Quality Breakdown as of Oct 31, 2008
Pricing and Related Issues
The Euro-Aggregate Index tracks fixed-rate, investment-grade Euro-denominated securities. Inclusion is based on the currency of the issue, and not the domicile of the issuer. The principal sectors in the index are Treasury, Corporate, Government-Related and Securitised. Securities in the index are part of the Pan-European Aggregate and the Global Aggregate Indices. The Euro-Aggregate Index was launched on July 1, 1998.
www.barcap.com/indiceswww.lehmanlive.com (keyword: index)
KEY FEATURESDaily index returns and statisticsHistorical index time-series can be downloaded into ExcelStandardized market structure reportsFully customizable viewsIndex primers and shelf reference documentsLatest index and portfolio strategies research publications
Bloomberg Page <LEHM> <23>Key statistics and returns<LBEA> <INDEX>
TICKERSTotal Return Index Value: LBEATREUSince Inception Total Return: LBEASIEUExcess Return: LBEAERMarket Value (EUR): LBEAMVEISMA Yield to Worst: LBEAYWISMA Modified Duration: LBEAMDAverage OAS: LBEAOASMaturity: LBEAMAT
POINT (Portfolio and Index Tool)Long Name: Euro AggregateShort Name: ea
KEY FEATURESIndex level returns and statisticsHistorical index constituentsFully customizable market structure reportsIndex dynamics and turnover reportsPortfolio upload/analysisMulti-factor Global Risk ModelPortfolio performance attributionAutomated batch processing
Sources & Frequency All bonds are priced daily by Barclays Capital traders, third-party vendors or for traditional Pfandbriefe using an interpolated yield curve.
Timing 4:15pm London time. If European markets are open, but the U.K. is closed, then pricing will remain constant until the close of the next U.K. business day. If the last business day of the month is a public holiday in the major European markets, then prices from the previous business day are used.
Bid or Offer Side Outstanding issues are priced on the bid side, with the exception of Euro Treasury bonds, which use mid dollar prices. New issues enter the index on the offer side.
Settlement Assumptions
T+1 settlement basis.
Verification Multi-contributor verification. The primary price for each security is analyzed and compared to other third-party pricing sources through both statistical routines and scrutiny by the research staff. Significant discrepancies are researched and corrected as necessary. On occasion, index users may also challenge price levels, which are then reviewed by the pricing team. Prices are then updated as needed using input from the trading desk.
Barclays Capital Euro Aggregate Bond Index
Treasury56.5%
Govt.-Related12.3%
Corporate16.4%
Securitised14.8%
Aaa57.0%
Aa27.8%
Baa3.7%
A11.6%
+1-212-526-7400
+44-207-773-3744
+81-3-4530-1760
Hong Kong/[email protected]
+852-2903-2652
www.barcap.com/indiceswww.lehmanlive.com (keyword: index)General Inquiries: [email protected]
Contacts: Barclays Capital Index Products Team
Index Products
The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.
42
Rebalancing Rules
Rules for Inclusion
Amount Outstanding €300 million minimum par amount outstanding.
Quality Must be rated investment grade ( Baa3/BBB-/BBB- or above ) using the middle rating of Moody’s, S&P and Fitch, respectively.
When all three agencies rate an issue, a median or “two out of three” rating is used to determine index eligibility by dropping the highest and the lowest rating.When a rating from only two agencies is available, the lowest (“most conservative”) of the two is used.When a rating from only one agency is available, that rating is used to determine index eligibility.Unrated Pfandbriefe are assigned ratings that are one full rating category above the issuer’s unsecured debt. This is consistent with Moody’s methodology and reflects the underlying collateral.
Seniority of Debt Senior and subordinated issues are included. Undated securities are included provided their coupons switch from fixed to variable rate.
Coupon Fixed-rate. Step-up coupons and coupons that change according to a predetermined schedule are also included. Capital securities with coupons that convert from fixed to floating-rate are index-eligible given that they are currently fixed-rate; the maturity date then equals the conversion date. Fixed-rate perpetual capital securities which remain fixed-rate following their first call date, and which provide no incentives to call the bonds, are excluded.
Excluded:Bonds with equity-type features (e.g., warrants, convertibility to equity) Private placements, including SchuldsheineFloating-rate issuesInflation-linked bondsGerman Schuldscheine and Genussscheine
Market of Issue Publicly issued in the Eurobond and Euro-zone domestic markets.
Maturity At least one year until final maturity, regardless of optionality. For securities with a coupon that converts from fixed to floating at least one year until the conversion date.Perpetual securities are included in the index provided they are callable or their coupons switch from fixed to variable rate. These are included until one year before their first call date, providing they meet all other index criteria.
Currency Euro.
Security Types Included:Fixed-rate bullet, puttableand callableSoft bulletsFixed-rate and fixed-to-floating capital securities
Interest and principal payments earned by the Returns universe are held in the index without a reinvestment return until month-end when it is removed from the index.
Reinvestment ofCash flows
Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in the following month’s Returns universe.
New Issues
The composition of the Returns Universe is rebalanced monthly at each month end and represents the set of bonds on which index returns are calculated. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but is not used for return calculation. On the last business day of the month, the composition of the latest Statistics Universe becomes the Returns Universe for the following month.
Frequency
During the month, indicative changes to securities (maturity, credit rating change, sector reclassification, amount outstanding) are reflected in both the Statistics and Returns universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the Statistics universe of the index on a daily basis, but will affect the composition of the Returns universe only at month-end when the index is rebalanced.
Index Changes
Barclays Capital Euro Aggregate Bond Index
43
Barclays Capital Sterling Aggregate Bond Index
Sector Breakdown as of Oct 31, 2008 Access to the Index
Quality Breakdown as of Oct 31, 2008
Pricing and Related Issues
The Sterling Aggregate Index contains fixed-rate, investment-grade Sterling-denominated securities. Inclusion is based on the currency of the issue, and not the domicile of the issuer. The principal asset classes in the index are Treasuries (Gilts), Corporates, Government Related and Securitised. Securities in the index are all eligible for the Pan-European Aggregate and Global Aggregate indices. The Sterling Aggregate Index was launched on January 1, 1999.
www.barcap.com/indiceswww.lehmanlive.com (keyword: index)
KEY FEATURESDaily index returns and statisticsHistorical index time series downloadable into ExcelStandardized market structure reportsFully customizable viewsIndex primers and shelf reference documentsLatest index and portfolio strategies research publications
Bloomberg Index Page <LEHM> <26> Key statistics and returns<LC58> <INDEX>
TICKERSTotal Return Index Value: LC58TRGUSince Inception Total Return: LC58SIGUMonth to Date Excess Return: LC58ERMarket Value (GBP): LC58MVG Yield to Worst: LC58YWISMA Modified Duration: LC58MDAverage OAS: LC58OAS
POINT (Portfolio and Index Tool)Long Name: Sterling AggShort Name: gbpall
KEY FEATURESIndex-level returns and statisticsHistorical index constituentsFully customizable market structure reportsIndex dynamics and turnover reportsPortfolio upload/analysisMulti-factor Global Risk ModelPortfolio performance attributionAutomated batch processing
Sources & Frequency All bonds are priced by daily Barclays Capital traders and third-party vendors.
Timing 4:15pm London time. If European markets are open, but the U.K. is closed, then pricing will remain constant until the close of the next U.K. business day. If the last business day of the month is a public holiday in the major European markets, then prices from the previous business day are used.
Bid or Offer Side Outstanding issues are priced on the bid side, with the exception of Sterling Treasury bonds, which use mid dollar prices. New issues enter the index on the offer side.
Settlement Assumptions T+1 settlement basis.
Verification Multi-contributor verification: The primary price for each security is analyzed and compared to other third-party pricing sources through both statistical routines and scrutiny by the research staff. Significant discrepancies are researched and corrected, asnecessary. On occasion, index users may also challenge price levels, which are then reviewed by the pricing team. Prices are then updated as needed using input from the trading desk.
+1-212-526-7400
+44-207-773-3744
+81-3-4530-1760
Hong Kong/[email protected]
+852-2903-2652
www.barcap.com/indiceswww.lehmanlive.com (keyword: index)General Inquiries: [email protected]
Contacts: Barclays Capital Index Products Team
Index Products
The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.
Gilts54.7%
Govt.-Related15.4%
Corporate25.7%
Securitised4.2%
Aaa72.9%
Aa9.8%
Baa5.3%
A12.0%
44
Rebalancing
Rules for Inclusion
Amount Outstanding £200 million minimum par amount outstanding.
Quality Must be rated investment grade (Baa3/BBB-/BBB- or above) using the middle rating of Moody’s, S&P, and Fitch, respectively.
When all three agencies have a rating for the issue, a median or “two out of three” approach is applied for qualification purposesWhere a rating from only two agencies is available, the lowest of the two is used.Where a rating from only one agency is available, that rating is used to determine the bond’s index ratingUnrated securities are included if an issuer rating is applicableUnrated subordinated securities are included if a subordinated issuer rating is applicable
Seniority of Debt Senior and subordinated issues are included. Undated securities are included provided their coupons switch from fixed to variable rate.
Coupon The index includes fixed-rate bonds. The following fixed to variable-rate security structures will also qualify for the indexIf the holder has the option to force the issuer to issue preference shares post the call dateIf there are other economic incentives for the issuer to call the issue, such as the removal of tax benefits after the first call date
Excluded:Bonds with equity-type features (e.g., warrants, convertibility to equity) Private placementsFloating-rate issuesInflation-linked bonds
Market of Issue Domestic UK and Eurobond
Maturity One year minimum to final maturity on dated bonds, regardless of put or call featuresUndated securities are included in the index provided their coupons switch from fixed to variable rate. These are included until one year before their first call dates, providing they meet all other index criteriaFixed-rate perpetual capital securities which remain fixed-rate following their first call dates, and which provide no economic incentives to call the bonds, are excluded.
Currency of Issue Pounds sterling
Security Types Included:Fixed-rate bullet, puttableand callableSoft bullets
Interest and principal payments earned by the Returns Universe are held in the index without a reinvestment return until month-end when it is removed from the index.
Reinvestment of Cash flows
The composition of the Returns Universe is rebalanced monthly at each month end and represents the set of bonds on which index returns are calculated. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but is not used for return calculation. On the last business day of the month, the composition of the latest Statistics Universe becomes the Returns Universe for the following month.
Frequency
During the month, indicative changes to securities (maturity, credit rating change, sector reclassification, amount outstanding)are reflected in both the Statistics and Returns Universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the Statistics Universe of the index on a daily basis, but will affect the composition of the Returns Universe only at month-end when the index is rebalanced.
Index Changes
Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in the following month’s Returns Universe.
New Issues
Barclays Capital Sterling Aggregate Bond Index
45
Sector Breakdown as of Oct 31, 2008 Access to the Index
Quality Breakdown as of Oct 31, 2008
Rebalancing
www.barcap.com/indiceswww.lehmanlive.com (keyword: index)
KEY FEATURESDaily index returns and statisticsHistorical index time series downloadable into ExcelStandardized market structure reportsFully customizable viewsIndex primers and shelf reference documentsLatest index and portfolio strategies research publications
Bloomberg Index Page <LEHM> <31> Key statistics and returns<LGAP> <INDEX>
TICKERSTotal Return Index Value: LGAPTRJUSince Inception Total Return: LGAPSIJUMonth to Date Excess Return: LGAPERMarket Value (JPY): LGAPMVJYield to Worst:LGAPYWMod. Adj. Duration:LGAPRMDAverage OAS: LGAPOASMaturity: LGAPMAT
POINT (Portfolio and Index Tool)Name: Asia Pac AggregateShort Name: apindex
KEY FEATURESIndex level returns and statisticsHistorical index constituentsFully customizable market structure reportsIndex dynamics and turnover reportsPortfolio upload/analysisMulti-factor Global Risk ModelPortfolio performance attribution
The Asian-Pacific Aggregate Index contains fixed-rate investment-grade securities denominated in Japanese yen, Australian dollar, Hong Kong dollar, Malaysian ringgit, New Zealand dollar, Singapore dollar, South Korean won, and Taiwan dollar. Thai baht debt was removed from the index on March 1, 2007 and was added back on July 1, 2008. Inclusion is based on the currency of the issue, and not the country of domicile of the issuer. The index is composed primarily of local currency sovereign debt but also includes government-related, corporate, and securitized bonds. The Asian-Pacific Aggregate Index family includes a wide range of standard and customized subindices by liquidity constraint, sector, quality, and maturity. This index is a subset of the Global Aggregate Index in its entirety. The Asian-Pacific Aggregate Index was launched on July 1, 2000.
Frequency The composition of the Returns Universe is rebalanced monthly at each month end and represents the set of bonds on which index returns are calculated. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but is not used for return calculation. On the last business day of the month, the composition of the latest Statistics Universe becomes the Returns Universe for the following month.
Reinvestment of Cash flows
Interest and principal payments earned by the Returns Universe are held in the index without a reinvestment return until month-end when it is removed from the index.
Index Changes During the month, indicative changes to securities (maturity, credit rating change, sector reclassification, amount outstanding)are reflected in both the Statistics and Returns Universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the Statistics Universe of the index on a daily basis, but will affect the composition of the Returns Universe only at month-end when the index is rebalanced.
New Issues Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in the following month’s Returns Universe. On occasion, index users may also challenge price levels, which are then reviewed by the pricing team. Prices are then updated as needed using input from the trading desk.
Barclays Capital Asian-Pacific Aggregate Bond Index
Treasury82.6%
Government-Related11.2%
Corporate6.2%
Securitized0.1%
Aaa4.1%
Aa88.3%A
7.2%
Baa0.5%
+1-212-526-7400
+44-207-773-3744
+81-3-4530-1760
Hong Kong/[email protected]
+852-2903-2652
www.barcap.com/indiceswww.lehmanlive.com (keyword: index)General Inquiries: [email protected]
Contacts: Barclays Capital Index Products Team
Index Products
The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.
46
Barclays Capital Asian-Pacific Aggregate Bond Index
Index History
Pricing and Related Issues
Rules for InclusionAmount Outstanding JPY 35 billion for Yen-denominated issues.
For non-Yen issues, JPY 35 billion equivalent at an exchange rate fixed at the end of November each year.
Quality Must be rated investment grade (Baa3/BBB-/BBB- or above) using the middle rating of Moody’s, S&P, and Fitch, respectively.
When all three agencies rate an issue, a median or “two out of three” rating is used to determine index eligibility by dropping the highest and lowest rating. When a rating from only two agencies is available, the lower (“most conservative”) of the two is used.When a rating from only one agency is available, that rating is used to determine index eligibility.Domestic local currency sovereign bonds will be rated by calculating the most observed bond level rating for all outstanding bondsJapan’s local currency sovereign rating is assigned to Japanese government, agency, and local government securities denominated in JPY.
Coupon Fixed-rate. Step-up coupons and coupons that change according to a predetermined schedule are also included. Various types of fixed to variable-rate security structures will also qualify for the index if the holder has the option to force the issuer to issue preference shares post the call date or if there are other economic incentives for the issuer to call the issue, such as the removal of tax benefits after the first call date
Maturity At least 1 year until final maturity, regardless of optionality. For securities with coupon that converts from fixed to floating-rate, at least 1 year until the conversion date.
Undated securities are included in the index provided their coupons switch from fixed to variable rate. These are included until one year before their first call dates, providing they meet all other index criteria.
Seniority of Debt Senior and subordinated issues are included.
Excluded:
Bonds with equity-type features (e.g., warrants, convertibility)Private placements Floating-rate issuesStripsInflation-linked bondsPrivately-placed Japanese Government Bonds (JGB)JFHA RMBS
Currency Japanese yen, Australian dollar, Hong Kong dollar, New Zealand dollar, Singapore dollar, South Korean won, Taiwan dollar (as of January 1, 2006), Malaysian ringgit (as of January 1, 2006). Thai baht debt was removed on March 1, 2007 and added back on July 1, 2008.Currencies eligible for inclusion must be freely tradable and hedgeable; local currencies’ sovereign bonds (both local and foreign) must have an investment-grade sovereign rating following the quality criteria outlined above. The list of eligible currencies is reviewed once a year.
Market of Issue Fully taxable, publicly issued in the global and regional markets.
Security Types Included:
Fixed-rate bullet, puttableand callable bondsSoft bulletsOriginal issue zero coupon, step-ups, and underwritten MTNFixed-rate and fixed to floating capital securitiesThai baht debt (as of July 1, 2008)
Multi-contributor verification: The primary price for each security is analyzed and compared to other third-party pricing sources through both statistical routines and scrutiny by the research staff. Significant discrepancies are researched and corrected, asnecessary.
Verification
T+1 settlement basis for all bondsSettlementAssumptions
Bonds in the index are priced on the bid side. Bid or Offer Side
On a daily basis at each local market’s own closing time and subject to change based on semi-annual reviews: 3:00 pm for Japan and Taiwan; 4:00 pm for Hong Kong and Singapore; 4:30 pm for South Korea and Malaysia; 5:00 pm Australia and New Zealand; 2:30 pm for Thailand. If the last business day of the month is a public holiday in a major regional market, prices from the previous business day are used to price bonds in the particular market.
Timing
Index eligible Japanese Government Bonds are priced by Barclays Capital traders on a daily basis. All other bonds prices provided by third party sources.
Sources & Frequency
Index rebranded Barclays Capital Asian-Pacific Aggregate IndexThai baht debt added back to the indexThai baht debt removed from the indexTaiwan dollar and Malaysian ringgit eligible for inclusion in the index.Fitch ratings added to Moody’s and S&P to determine index eligibility.Sector re-classification into Treasury, Government-Related, Corporate, and Securitized.Capital and senior unsecured securities with fixed-to-variable coupons added to the index.Liquidity constraint raised to JPY 35 billion from JPY 20 billion. Malaysian ringgit, Taiwan dollar, and Chinese yuan excluded from the index.Asian-Pacific Aggregate Index joined the Global Aggregate Index.Creation of Asian-Pacific Aggregate Index.
November 1, 2008July 1, 2008March 1, 2007January 1, 2006July 1, 2005January 1, 2005October 1, 2003January 1, 2002
October 1, 2000July 1, 2000
47
Barclays Capital Japanese Aggregate Bond Index
Sector Breakdown as of Oct 31, 2008 Access to the Index
Quality Breakdown as of Oct 31, 2008
Rebalancing
www.barcap.com/indiceswww.lehmanlive.com (keyword: index)
KEY FEATURES
Daily index returns and statistics
Historical index time series downloadable into Excel
Standardized market structure reports
Fully customizable views
Index primers and shelf reference documents
Latest index and portfolio strategies research publications
Bloomberg Index Page <LEHM> <31> Key statistics and returns
Total Return
Yield
Duration
Issue Count
Average Price
Market Value
POINT (Portfolio and Index Tool)Name: Japanese AggregateShort Name: Japanese Aggregate
KEY FEATURES
Index level returns and statistics
Historical index constituents
Fully customizable market structure reports
Index dynamics and turnover reports
Portfolio upload/analysis
Multi-factor Global Risk Model
Portfolio performance attribution
The Japanese Aggregate Index contains fixed-rate investment-grade securities that are issued in Japanese yen and registered in Japan. The index is composed primarily of Japanese Government Bond (JGB) debt but also includes government-related, corporate, and securitized bonds. The Japanese Aggregate Index is a subset of Asian-Pacific Aggregate and Global Aggregate Indices. The Japanese Aggregate Index was launched on July 1, 2000.
Frequency The composition of the Returns Universe is rebalanced monthly at each month end and represents the set of bonds on which index returns are calculated. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but is not used for return calculation. On the last business day of the month, the composition of the latest Statistics Universe becomes the Returns Universe for the following month.
Reinvestment of Cash flows
Interest and principal payments earned by the Returns Universe are held in the index without a reinvestment return until month-end when it is removed from the index.
Index Changes During the month, indicative changes to securities (maturity, credit rating change, sector reclassification, amount outstanding)are reflected in both the Statistics and Returns Universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the Statistics Universe of the index on a daily basis, but will affect the composition of the Returns Universe only at month-end when the index is rebalanced.
New Issues Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in the following month’s Returns Universe.
Treasury83.1%
Corporate6.2%
Securitized0.0%
Government-Related10.7%
Aa96.8%
Aaa1.4%
Baa0.4%
A1.5%
+1-212-526-7400
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Hong Kong/[email protected]
+852-2903-2652
www.barcap.com/indiceswww.lehmanlive.com (keyword: index)General Inquiries: [email protected]
Contacts: Barclays Capital Index Products Team
Index Products
The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.
48
Index History
Pricing and Related Issues
Rules for Inclusion
Amount Outstanding JPY 35 billion.
Quality Must be rated investment grade (Baa3/BBB-/BBB- or above) using the middle rating of Moody’s, S&P, and Fitch, respectively.
When all three agencies rate an issue, a median or “two out of three” rating is used to determine index eligibility by dropping the highest and lowest rating. When a rating from only two agencies is available, the lower (“most conservative”) of the two is used.When a rating from only one agency is available, that rating is used to determine index eligibility.Domestic local currency sovereign bonds will be rated by calculating the most observed bond level rating for all outstanding bondsJapan’s local currency sovereign rating is assigned to Japanese government, agency, and local government securities denominated in JPY.
Coupon Fixed-rate. Step-up coupons and coupons that change according to a predetermined schedule are also included. Various types of fixed to variable-rate security structures will also qualify for the index if the holder has the option to force the issuer to issue preference shares post the call date or if there are other economic incentives for the issuer to call the issue, such as the removal of tax benefits after the first call date
Maturity At least 1 year until final maturity, regardless of optionality. For securities with coupon that converts from fixed to floating-rate, at least 1 year until the conversion date.
Undated securities are included in the index provided their coupons switch from fixed to variable rate. These are included until one year before their first call dates, providing they meet all other index criteria.
Seniority of Debt Senior and subordinated issues are included.
Excluded:
Bonds with equity-type features (e.g., warrants, convertibility)Private placements Floating-rate issuesStripsInflation-linked bondsPrivately-placed Japanese Government Bonds (JGB)JFHA RMBS
Currency Japanese Yen
Market of Issue Fully taxable, publicly issued in the global and regional markets.
Security Types Included:
Domestic Bonds (issued by resident issuers)Samurai bonds (issued and registered in Japan by non-Japanese issuers)Fixed-rate bullet, puttableand callable bondsSoft bulletsOriginal issue zero coupon, step-ups, and underwritten MTNFixed-rate and fixed to floating capital securities
Multi-contributor verification: The primary price for each security is analyzed and compared to other third-party pricing sources through both statistical routines and scrutiny by the research staff. Significant discrepancies are researched and corrected, asnecessary. On occasion, index users may also challenge price levels, which are then reviewed by the pricing team. Prices are then updated as needed using input from the trading desk.
Verification
T+1 settlement basis for all bondsSettlementAssumptions
Bonds in the index are priced on the bid side. Bid or Offer Side
3:00 p.m. Tokyo timeTiming
Index eligible Japanese Government Bonds are priced by Barclays Capital traders on a daily basis. All other bonds prices provided by Japan Securities Dealers Association or third party sources.
Sources & Frequency
Index rebranded Barclays Capital Japanese Aggregate IndexJFHA RMBS removed from Japanese Aggregate Index.JFHA RMBS added to Japanese Aggregate Index.Fitch ratings added to Moody’s and S&P to determine index eligibility.Sector re-classification into Treasury, Government-Related, Corporate, and Securitized.Capital and senior unsecured securities with fixed-to-variable coupons added to the index.Liquidity constraint raised to JPY 35 billion from JPY 20 billion. Asian-Pacific Aggregate Index joined the Global Aggregate Index.Creation of Japanese Aggregate Index.
November 1, 2008October 31, 2008April 1, 2007July 1, 2005January 1, 2005October 1, 2003January 1, 2002October 1, 2000July 1, 2000
Barclays Capital Japanese Aggregate Bond Index
49
Region Breakdown as of Oct 31, 2008 Access to the Index
Country Breakdown as of Oct 31, 2008
Pricing and Related Issues
www.barcap.com/indiceswww.lehmanlive.com (keyword: index)
KEY FEATURESDaily index returns and statisticsHistorical index time series downloadable into ExcelStandardized market structure reportsFully customizable viewsIndex primers and shelf reference documentsLatest index and portfolio strategies research publications
Bloomberg Index Page <LEHM> <4> Key statistics and returns<LGTR> <INDEX>
TICKERSTotal Return Index Value: LGTRTRUU (USD, Unhedged)Since Inception Total Return: LGTRSIUU (USD, Unhedged)Month to Date Excess Return: LGTRERMarket Value (USD): LGTRMVUYield to Worst: LGTRYWMod. Adj. Duration: LGTRMDReturns Mod. Adj. Duration: LGTRRMDAverage OAS: LGTROASMaturity: LGTRMAT
POINT (Portfolio and Index Tool)Long Name: Global TreasuryShort Name: global
KEY FEATURESIndex level returns and statisticsHistorical index constituentsFully customizable market structure reportsIndex dynamics and turnover reportsPortfolio upload/analysisMulti-factor Global Risk ModelPortfolio performance attribution
The Global Treasury Index tracks fixed-rate local currency sovereign debt of investment-grade countries. The index represents the Treasury sector of the Global Aggregate Index and currently contains issues from 35 countries denominated in 22 currencies. The three major components of this index are the U.S. Treasury Index, the Pan-European Treasury Index, and the Asian-Pacific Treasury Index, in addition to Canadian, Chilean, Mexican, and South-African government bonds. The index was created in 1992, with index history backfilled to January 1, 1987.
Sources & Frequency All index-eligible bonds are marked by Barclays Capital Brothers traders at mid month and month end. On a daily basis, the larger subset of the index continues to be priced by Barclays Capital traders in New York, London, and Tokyo. For Asian markets outside of Japan, as well as for CAD, CLP, MXN and ZAR denominated securities, we use third party pricing sources.
Timing If the last business day of the month is a public holiday in one of the major regional markets, prices from the previous business day are used for that particular market.
North American currency bonds: 3:00 pm (New York time).European currency and South African Rand bonds: 4:15 pm (GMT time).Asian currency bonds: at each local market’s own closing time; 3:00 pm (Tokyo time) for JPY denominated securities.
Bid or Offer Side All bonds in the index are priced on the bid side, with the exception of Euro and Sterling Treasury bonds, which use mid dollar prices.
Settlement Assumptions T+1 settlement basis.
Verification Multi-contributor verification: The primary price for each security is analyzed and compared to other third-party pricing sources through both statistical routines and scrutiny by the research staff. Significant discrepancies are researched and corrected, asnecessary.
Index Products
Barclays Capital Global Treasury Bond Index
+1-212-526-7400
+44-207-773-3744
+81-3-4530-1760
Hong Kong/[email protected]
+852-2903-2652
www.barcap.com/indiceswww.lehmanlive.com (keyword: index)General Inquiries: [email protected]
Contacts: Barclays Capital Index Products Team
The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.
Europe 40.4%
North America21.4%
Asia Pacific36.2%
Other2.1%
G-782.2%
Other Majors7.4% Other
10.4%
50
Barclays Capital Global Treasury Bond Index
Index History
Rebalancing
Rules for Inclusion
Amount Outstanding For U.S. and Canadian Aggregate Index securities, USD 300 million currency equivalent minimum par amount outstanding. For Pan-European Aggregate Index securities, EUR 300 million currency equivalent for non-GBP bonds.For Asian-Pacific Aggregate Index securities, JPY 35 billion currency equivalent.For GBP denominated securities, GBP 200 million minimum par amount outstanding.For bonds in other eligible currencies, minimum amount outstanding is based on one of the four major currencies above, using an exchange rate that is reset once a year on the last business day of November. WM/Reuters exchange rates are used.
Quality Must be rated investment grade (Baa3/BBB-/BBB- or above) using the middle rating of Moody’s, S&P, and Fitch, respectively.
When all three agencies rate an issue, a median or “two out of three” rating is used to determine index eligibility by dropping the highest and lowest rating.When a rating from only two agencies is available, the lower (“most conservative”) of the two is used.When a rating from only one agency is available, that rating is used to determine index eligibility.
Coupon Fixed-rate. Step-up coupons and coupons that change according to a predetermined schedule are included. Original zero coupon issues are also included, but strips are excluded.
Country Countries eligible for inclusion must have an investment grade sovereign rating (Baa3/BBB-/BBB- or above) using the current Barclays Capital rating methodology outlined above.
Maturity At least 1 year until final maturity, regardless of optionality.
Currency Currencies eligible for inclusion must be freely tradable and hedgeable. The list of eligible currencies is reviewed once a year and represents the same set of currencies eligible for inclusion in the Global Aggregate Index.
U.S. and Canadian Aggregate Index securities: USD, CAD. Pan-European Aggregate Index securities: EUR, GBP, CZK, DKK, HUF, NKK, PLN, SEK, SKK (to be redenominated to EUR on January 1, 2008).Asian-Pacific Aggregate Index securities: JPY, AUD, HKD, KRW, NZD, SGD, TWD, THB, MYR.Additional currencies: CLP, MXN, ZAR.
Market of Issue Fully taxable, publicly issued in the global and regional markets.
Excluded:CHF denominated securitiesInflation-linked bondsStripsPrivately placed Japanese Government Bonds (JGBs)Floating-rate issues
Security Types Included:Fixed-rate bullet, puttable, and callable bondsSoft bulletsOriginal issue zero coupon and underwritten MTNThai baht debt (as of July 1, 2008)
Interest and principal payments earned by the Returns Universe are held in the index without a reinvestment return until month-end when it is removed from the index.
Reinvestment of Cash flows
The composition of the Returns Universe is rebalanced monthly at each month end and represents the set of bonds on which index returns are calculated. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but is not used for return calculation. On the last business day of the month, the composition of the latest Statistics Universe becomes the Returns Universe for the following month.
Frequency
During the month, indicative changes to securities (maturity, credit rating change, amount outstanding) are reflected in both the Statistics and Returns Universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the Statistics Universe of the index on a daily basis, but will affect the composition of the Returns Universe only at month-end when the index is rebalanced.
Index Changes
Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in the following month’s Returns Universe.
New Issues
Index rebranded as Barclays Capital Global Treasury IndexThai baht debt added back to indexThai baht debt excluded from index.Taiwan dollar and Malaysian ringgit eligible for inclusion in the index.South African rand, Chilean peso, Mexican peso, Czech koruna, Hungarian forint, Polish zloty, Slovenian tolar, and Slovakian koruna eligible for inclusion in the index.Local currency government debt from Hong Kong included in the index.Regional liquidity constraints introduced.Local currency government debt from Thailand, South Korea and Singapore included in the index.Local currency government debt from Greece included in the index.Global Treasury Index became a subset of the Global Aggregate Index.Inception of Global Treasury Index. Historical data available back to January 1987.
November 1, 2008July 1, 2008March 1, 2007January 1, 2006January 1, 2005
September 1, 2004January 1, 2002
June 1, 2001January 1, 1999April 1, 1992
51
Barclays Capital U.S. Universal Bond Index
Major Components as of Oct 31, 2008 Access to the Index
Quality Breakdown as of Oct 31, 2008
Pricing and Related Issues
www.barcap.com/indiceswww.lehmanlive.com (keyword: index)
KEY FEATURESDaily index returns and statisticsHistorical index time series downloadable into ExcelStandardized market structure reportsFully customizable viewsIndex primers and shelf reference documentsLatest index and portfolio strategies research publications
Bloomberg Index Page <LEHM> <11>
Key statistics and returns
<LC07> <INDEX>
TICKERSTotal Return Index Value: LC07TRUUSince Inception Total Return: LC07SIUUMonth to Date Excess Return: LC07ERMarket Value (USD): LC07MVUYield to Worst: LC07YWMod. Adj. Duration: LC07MDReturns Mod. Adj. Duration: LC07RMDAverage OAS: LC07OAS
POINT (Portfolio and Index Tool)Long Name: US UniversalShort Name: univers_US
KEY FEATURESIndex level returns and statisticsHistorical index constituentsFully customizable market structure reportsIndex dynamics and turnover reportsPortfolio upload/analysisMulti-factor Global Risk ModelPortfolio performance attribution
The U.S. Universal Index represents the union of the U.S. Aggregate Index, U.S. Corporate High-Yield Index, Investment-Grade 144A Index, Eurodollar Index, U.S. Emerging Markets Index, and the non-ERISA eligible portion of the CMBS Index. The index covers USD-denominated, taxable bonds that are rated either investment-grade or below investment-grade. Some U.S. Universal Index constituents may be eligible for one or more of its contributing subcomponents that are not mutually exclusive. These securities are not double-counted in the index. The U.S. Universal index was created on January 1, 1999, with index history backfilled to January 1, 1990.
Sources & Frequency
All bonds are priced by Barclays Capital traders at mid month and month end. On a daily basis, a subset of the index continues to be trader priced, with the remaining bonds model/ matrix priced using actively traded benchmark securities to generate issuer pricing curves and populate a spread matrix algorithm that also accounts for daily changes in the yield and swap curves. The frequency and source of intra-month security level pricing are as follows:
U.S. Aggregate Treasury: Priced by Barclays Capital traders on a daily basis.U.S. Aggregate Government-Related: Some Agency debentures are trader priced on a daily basis.U.S. Aggregate Corporate: Up to 1,000 actively traded benchmark securities are priced by traders on a daily basis.U.S. Aggregate MBS: MBS generics are priced by traders on a daily basis; bonds are model priced daily. U.S. Aggregate ABS: ABS spreads are marked weekly for autos/credit cards/utilities and monthly or semi-monthly for home equity.CMBS: CMBS spreads are updated as needed, as often as daily.U.S. High Yield: Priced by Barclays Capital traders or FT Interactive Data (IDC) on a daily basis.U.S. Emerging Markets: Issues are priced daily by Barclays Capital traders and third party pricing vendors.Eurodollar: A combination of daily pricing by Barclays Capital traders and third party vendors is used.SEC Rule 144A: Priced by Barclays Capital traders at mod month and month end; matrix pricing used in between.
Timing 3:00 pm (New York time) each day. If the last business day of the month is a public holiday in the U.S. market, prices from the previous business day are used.
Bid or Offer Side
Bonds in the index are priced on the bid side. The initial price for new corporate and emerging markets issues entering the index is the offer side; after that, the bid side price is used.
Settlement Assumptions
T+1 settlement basis for all bonds except MBS. MBS are priced for Public Securities Association (PSA) settlement in the following month and discounted back to same-day settlement at the mortgage repurchase rate.
Verification Multi-contributor verification: The primary price for each security is analyzed and compared to other third-party pricing sources through both statistical routines and scrutiny by the research staff. Significant discrepancies are researched and corrected, as necessary.
+1-212-526-7400
+44-207-773-3744
+81-3-4530-1760
Hong Kong/[email protected]
+852-2903-2652
www.barcap.com/indiceswww.lehmanlive.com (keyword: index)General Inquiries: [email protected]
Contacts: Barclays Capital Index Products Team
Index Products
The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.
144A (Ex Agg)2.5%
U.S. High Yield3.8%
Eurodollar Seasnd Ex Agg2.2%
CMBS Other ex HY0.3%
EM (Ex Agg/Eurodollar)
1.2%
U.S. Aggregate90.0%
Baa7.1%
A8.3%
Caa-NR0.8%
Aaa75.3%
Aa4.6%
B1.8%
Ba2.2%
52
Index History
Rebalancing
Rules for Inclusion
Amount Outstanding For U.S. Aggregate Treasury, Government-Related, Corporate, and MBS securities, USD 250 million minimum par amount outstanding. For U.S. Aggregate ABS securities, USD 500 million minimum deal size and USD 25 million tranche size for specific ABS issuers where Barclays Capital can accurately price the securities. For CMBS securities, USD 500 million minimum original deal size with at least USD 300 million amount outstanding remaining in the deal; USD 25 million minimum tranche size.For U.S. High-Yield Index securities, USD 150 million minimum par amount outstanding.For Eurodollar issues, USD 250 million minimum par amount outstanding (or USD 200 million in the case of Japanese ex-warrant bonds).For U.S. Emerging Markets issues, USD 500 million minimum at the security level; corporate issuers must have at least USD 1 billion in outstanding debt trading in the market.For SEC Rule 144A issues, USD 250 million minimum par amount outstanding.
Quality The index includes both investment-grade rated (Baa3/BBB-/BBB- or above) and high-yield (Ba1/BB+/BB+ or below) securities. Bonds are classified using the middle rating of Moody’s, S&P, and Fitch, respectively, as outlined below:
When all three agencies rate an issue, a median or “two out of three” rating is used to determine index eligibility by dropping the highest and lowest rating.When a rating from only two agencies is available, the lower (“most conservative”) of the two is used.When a rating from only one agency is available, that rating is used to determine index eligibility.A small number of unrated U.S. Corporate High Yield and Eurodollar issues are included. These issues must be widely perceived as high-yield (in the case of the U.S. Corporate High-Yield Index) or investment-grade (in the case of the Eurodollar Index) and must trade accordingly.
Coupon Fixed-rate, with the exception of U.S. Emerging Markets issues, which may be floating-rate. Step-up coupons and coupons that change according to a predetermined schedule are also included.
Maturity At least 1 year until final maturity, regardless of optionality. For securities with coupon that converts from fixed to floating-rate, at least 1 year until the conversion date. MBS must have a weighted average maturity of at least 1 year; CMBS and ABS must have a remaining average life of at least 1 yearPerpetual securities are included in the index provided they are callable or their coupons switch from fixed to variable rate. These are included until one year before their first call date, providing they meet all other index criteria.
Seniority of Debt Senior and subordinated issues are included.
Excluded:Bonds with equity-type features (e.g., warrants, convertibility) Private placementsMunicipal debtStripsInflation-linked bondsUSD 25/ USD 50 par bondsCMBS High-Yield (as of January 1, 2007)
Currency Denominated in USD.
Market of Issue Fully taxable issues. Issues with global market of issue are included.
Security Types Included:Bullet, puttable, and callable bondsSoft bulletsOriginal issue zero coupon and underwritten MTNCertificates of Deposit Dollar denominated covered bonds
Interest and principal payments earned by the Returns Universe are held in the index without a reinvestment return until month-end when it is removed from the index.
Reinvestment of Cash flows
The composition of the Returns Universe is rebalanced monthly at each month end and represents the set of bonds on which index returns are calculated. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but is not used for return calculation. On the last business day of the month, the composition of the latest Statistics Universe becomes the Returns Universe for the following month.
Frequency
During the month, indicative changes to securities (maturity, credit rating change, sector reclassification, amount outstanding)are reflected in both the Statistics and Returns Universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the Statistics Universe of the index on a daily basis, but will affect the composition of the Returns Universe only at month-end when the index is rebalanced.
Index Changes
Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in the following month’s Returns Universe.
New Issues
Index rebranded as Barclays Capital U.S. Universal IndexU.S. MBS Fixed-Rate Balloons and U.S. ABS Manufactured Housing removedAgency Hybrid Adjustable Rate Mortgage (ARM) securities added to the index, but not eligible for the Global AggregateCMBS HY bonds dropped from the indexFitch ratings added to Moody’s and S&P to determine index eligibility.Sector re-classification into Treasury, Government-Related, Corporate, and Securitized.Started using the most conservative rating of Moody’s and S&P to determine index eligibility instead of Moody’s only for split-rated securities.CMBS Index started contributing to the U.S. Universal Index.Inception date of the U.S. Universal Index, with index history backfilled to January 1, 1990.
November 1, 2008January 1, 2008April 1, 2007January 1, 2007July 1, 2005January 1, 2005October 1, 2003
July 1, 1999January 1, 1999
Barclays Capital U.S. Universal Bond Index
53
Barclays Capital U.S. Government/Credit Bond Index
Sector Breakdown as of Oct 31, 2008 Access to the Index
Quality Breakdown as of Oct 31, 2008
Pricing and Related Issues
The U.S. Government/Credit Index is the non-securitized component of the U.S. Aggregate Index and was the first macro index launched by Barclays Capital. The U.S. Government/Credit Index includes Treasuries (i.e., public obligations of the U.S. Treasury that have remaining maturities of more than one year), Government-Related issues (i.e., agency, sovereign, supranational, and local authority debt), and Corporates. The U.S. Government/Credit Index was launched on January 1, 1979, with index history backfilled to 1973, and is a subset of the U.S. Aggregate Index.
www.barcap.com/indiceswww.lehmanlive.com (keyword: index)
KEY FEATURESDaily index returns and statisticsHistorical index time series downloadable into ExcelStandardized market structure reportsFully customizable viewsIndex primers and shelf reference documentsLatest index and portfolio strategies research publications
Bloomberg Index Page <LEHM> <13> Key statistics and returns<LUGC> <INDEX>
TICKERSTotal Return Index Value: LUGCTRUUSince Inception Total Return: LUGCSIUUMonth to Date Excess Return: LUGCERMarket Value (USD): LUGCMVUYield to Worst: LUGCYWMod. Adj. Duration: LUGCMDReturns Mod. Adj. Duration: LUGCRMDAverage OAS: LUGCOASMaturity: LUGCMAT
POINT (Portfolio and Index Tool)Long Name: US Government/CreditShort Name: Govcred
KEY FEATURESIndex level returns and statisticsHistorical index constituentsFully customizable market structure reportsIndex dynamics and turnover reportsPortfolio upload/analysisMulti-factor Global Risk ModelPortfolio performance attribution
Source and Frequency All index-eligible bonds are priced on a daily basis, predominantly by Barclays Capital traders. By sector, the source of security level pricing is as follows:
Treasury: Priced by Barclays Capital traders on a daily basis.Government-Related: A subset of approximately 200 liquid Agency debentures are priced by Barclays Capital traders on a daily basis, with the remaining bonds model priced using trader marks and updated curves. All bonds are trader priced at mid month and month end. Corporate: All bonds are marked by traders at mid month and month end. Up to 1,000 actively traded benchmark corporate securities continue to be priced by traders on a daily basis. Less liquid bonds are model/ matrix priced daily using these actively traded benchmark securities to generate issuer pricing curves and populate a spread matrix algorithm that accounts for changes in the yield and swap curves.
Pricing Quotes Bonds can be quoted in a variety of ways including nominal spreads over benchmark securities/treasuries, spreads over swap curves, or direct price quotes as a percentage of par. In most instances the quote type used is a spread measure that results indaily security price changes from the movement of the underlying curve (swap or treasury) and/or changes in the quoted spread.
Timing 3:00 pm (New York time) each day. If the last business day of the month is a public holiday in the U.S. market, prices from the previous business day are used.
Bid or Offer Side Bonds in the index are priced on the bid side. The initial price for new corporate issues entering the index is the offer side; after that, the bid side price is used.
Settlement Assumptions T+1 settlement basis for all bonds
Verification Multi-contributor verification: The primary price for each security is analyzed and compared to other third-party pricing sources through both statistical routines and scrutiny by the research staff. Significant discrepancies are researched and corrected, as necessary. On occasion, index users may also challenge price levels, which are then reviewed by the pricing team. Prices are then updated as needed using input from the trading desk.
Index Products
+1-212-526-7400
+44-207-773-3744
+81-3-4530-1760
Hong Kong/[email protected]
+852-2903-2652
www.barcap.com/indiceswww.lehmanlive.com (keyword: index)General Inquiries: [email protected]
Contacts: Barclays Capital Index Products Team
The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.
Treasury43.8%
Govt. Related24.8%
Corporate31.4%
Aaa66.3%
Aa7.6%
A14.5%
Baa11.7%
54
Barclays Capital U.S. Government/Credit Bond Index
Index History
Rebalancing Rules
Rules for Inclusion
Amount Outstanding USD 250 million minimum par amount outstanding.
Quality Must be rated investment grade (Baa3/BBB-/BBB- or above) using the middle rating of Moody’s, S&P, and Fitch, respectively.
When all three agencies rate an issue, a median or “two out of three” rating is used to determine index eligibility by dropping the highest and lowest rating. When a rating from only two agencies is available, the lower (“most conservative”) of the two is used.When a rating from only one agency is available, that rating is used to determine index eligibility.
Coupon Fixed-rate. Step-up coupons and coupons that change according to a predetermined schedule are also included. Capital securities with coupons that convert from fixed to floating-rate are index-eligible, given that they are currently fixed-rate; the maturity date then equals the conversion date. Fixed-to-floating rate perpetual capital securities that do not have coupon rate step-ups on their first call date will remain index eligible for their fixed-rate term provided that they meet all other index inclusion rules and exit the index one year prior to their conversion to floating coupon securities.
Maturity At least 1 year until final maturity, regardless of optionality. For securities with coupons that convert from fixed to floating-rate, at least 1 year until the conversion date. Perpetual securities are included in the index provided they are callable or their coupons switch from fixed to variable rate. These are included until one year before their first call date, providing they meet all other index criteria.
Seniority of Debt Senior and subordinated issues are included.
Excluded:Bonds with equity-type features (e.g., warrants, convertibility to equity) Private placements Floating-rate issuesStructured notes with embedded swapsSTRIPS, TIPS, T-Bills, and Bellwethers
Currency of Issue Denominated in USD
Market of Issue SEC-registered, fully taxable issues. SEC Rule 144A securities with Registration Rights are included; a security with both SEC Regulation S and SEC Rule 144A tranches is treated as one security. To prevent double-counting, we include the 144A tranche and exclude the Reg-S tranche; Issues with global market of issue are included.
Security Types Included:Fixed-rate bullet, puttableand callable bonds and sinking fundsOriginal issue zero coupon and underwritten MTNCertificates of Deposit SEC Rule 144A with registration rights and Regulation S securitiesFixed-rate and fixed to floating capital securities
Interest and principal payments earned by the Returns Universe are held in the index without a reinvestment return until month-end when it is removed from the index.
Reinvestment of Cash Flows
The composition of the Returns Universe is rebalanced monthly at each month end and represents the set of bonds on which index returns are calculated. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but is not used for return calculation. On the last business day of the month, the composition of the latest Statistics Universe becomes the Returns Universe for the following month.
Frequency
During the month, indicative changes to securities (maturity, credit rating change, sector reclassification, amount outstanding) are reflected in both the Statistics and Returns Universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the Statistics Universe of the index on a daily basis, but will affect the composition of the Returns Universe only at month-end when the index is rebalanced.
Index Changes
Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in the following month’s Returns Universe.
New Issues
Index rebranded as Barclays Capital U.S. Government/Credit IndexFitch ratings added to Moody’s and S&P to determine index eligibility.Sector re-classification into Treasury, Government-Related, Corporate, and Securitized.Liquidity constraint raised to USD 250 million from USD 200 million.Liquidity constraint raised to USD 200 million from USD 150 million. Started using the most conservative rating of Moody’s and S&P to determine index eligibility instead of Moody’s only for split-rated securities.Absorbed all Yankee Corporates into their respective industry and sector classification.Liquidity constraint raised to USD 150 million from USD 100 million.Removed U.S. TIPS from the index.Liquidity constraint raised to USD 100 million from USD 50 million for non-government securities.Liquidity constraint increased to USD 50 million from USD 25 million for non-government securities.Liquidity constraint raised to USD 100 million from USD 25 million for government securities.Liquidity constraint raised to USD 25 million from USD 1 million.U.S. Government/Credit Index introduced, with historical data backfilled to 1973.
November 1, 2008July 1, 2005January 1, 2005July 1, 2004October 1, 2003
July 1, 2000July 1, 1999January 1, 1998January 1, 1994January 1, 1992January 1, 1990August 1, 1988January 1, 1979
55
Barclays Capital U.S. Corporate High-Yield Bond Index
Sector Breakdown as of Oct 31, 2008 Access to the Index
Quality Breakdown as of Oct 31, 2008
Pricing and Related Issues
The U.S. Corporate High-Yield Index the covers the USD-denominated, non-investment grade, fixed-rate, taxable corporate bond market. Securities are classified as high-yield if the middle rating of Moody’s, Fitch, and S&P is Ba1/BB+/BB+ or below. The index excludes Emerging Markets debt. The index was created in 1986, with index history backfilled to January 1, 1983. The U.S. Corporate High-Yield Index is part of the U.S. Universal and Global High-Yield Indices.
www.barcap.com/indiceswww.lehmanlive.com (keyword: index)
KEY FEATURESDaily index returns and statisticsHistorical index time series downloadable into ExcelStandardized market structure reportsFully customizable viewsIndex primers and shelf reference documentsLatest index and portfolio strategies research publications
Bloomberg Index Page <LEHM> <15> Key statistics and returns<LF98> <INDEX>
TICKERSTotal Return Index Value: LF98TRUUSince Inception Total Return: LF98SIUUMonth to Date Excess Return: LF98ERMarket Value (USD): LF98MVUYield to Worst: LF98YWMod. Adj. Duration: LF98MDReturns Mod. Adj. Duration: LF98RMDAverage OAS: LF98OASMaturity: LF98MAT
POINT (Portfolio and Index Tool)Long Name: US HYShort Name: hi-all
KEY FEATURESIndex level returns and statisticsHistorical index constituentsFully customizable market structure reportsIndex dynamics and turnover reportsPortfolio upload/analysisMulti-factor Global Risk ModelPortfolio performance attributionAutomated batch processing
Sources & Frequency All bonds are priced by either Barclays Capital traders or FT Interactive Data (IDC) on a daily basis.
Pricing Quotes Bonds can be quoted in a variety of ways including nominal spreads over benchmark securities/treasuries, spreads over swap curves, or direct price quotes as a percentage of par. In some instances the quote type used is a spread measure that results indaily security price changes from the movement of the underlying curve and/or changes in the quoted spread.
Timing 3:00 pm (New York time) each day. If the last business day of the month is a public holiday in the U.S. market, prices from the previous business day are used.
Bid or Offer Side Bonds in the index are priced on the bid side. The initial price for newly issued corporate bonds entering the index is the offer side; after that, the bid side price is used. Fallen angels use the bid side prices.
Settlement Assumptions T+1 settlement basis
Verification Multi-contributor verification: The primary price for each security is analyzed and compared to other third-party pricing sources through both statistical routines and scrutiny by the research staff. Significant discrepancies are researched and corrected, asnecessary. On occasion, index users may also challenge price levels, which are then reviewed by the pricing team. Prices are then updated as needed using input from the trading desk.
+1-212-526-7400
+44-207-773-3744
+81-3-4530-1760
Hong Kong/[email protected]
+852-2903-2652
www.barcap.com/indiceswww.lehmanlive.com (keyword: index)General Inquiries: [email protected]
Contacts: Barclays Capital Index Products Team
The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.
Index Products
Industrial81.7%
Utility11.7%
Financial6.6%
Ba37.7%
B42.6%
Ca-NR1.1%
Caa18.6%
56
Index History
Rebalancing
Rules for Inclusion
Amount Outstanding Minimum outstanding par value of at least USD 150 million.
Quality Must be rated high-yield (Ba1/BB+/BB+ or below) using the middle rating of Moody’s, S&P, and Fitch, respectively (beforeJuly 1, 2005, the lower of Moody’s and S&P was used).
When a rating from only two agencies is available, the lower (“most conservative”) of the two is used.When a rating from only one agency is available, that rating is used to determine index eligibility.A small number of unrated bonds is included in the index; to be eligible they must have previously held a high-yield rating or have been associated with a high-yield issuer, and must trade accordingly.
Coupon Fixed-rate. Original issue zero coupon bonds, step-up coupons, and coupons that change according to a predeterminedschedule are also included.
Security Types Included:Corporate bondsFixed-rate bullet, puttableand callable bondsSEC Rule 144A securitiesOriginal issue zeros
Excluded:Non-corporate bondsStructured notes with embedded swaps or other special featuresPrivate placementsBonds with equity-type features (e.g., warrants, convertibility) Floating-rate issuesEurobondsDefaulted bondsEmerging market bonds (sovereign rating of Baa1/BBB+ and below using the middle of Moody’s, S&P, and Fitch)Pay-in-kind (PIK) bonds
Maturity At least 1 year until final maturity, regardless of optionality.
Seniority of Debt Senior and subordinated issues are included.
Currency Denominated in USD.
Market of Issue SEC-registered, fully taxable issues or SEC Rule 144A securities (with and without Registration Rights).
Issuer-Capped Indices Barclays Capital provides a rules-based methodology for limiting issuer exposures to specified maximum levels where excess market value is redistributed either index-wide on a prorated basis or according to a sector-neutral basis. 1%, 2%, 3%, and 4% capped versions using the index-wide distribution method have been published for the U.S. HY, U.S. HY Ba, U.S. HY Ba/B, and U.S. HY B indices.
Interest and principal payments earned by the Returns Universe are held in the index without a reinvestment return until month-end when it is removed from the index.
Reinvestment of Cash flows
The composition of the Returns Universe is rebalanced monthly at each month end and represents the set of bonds on which index returns are calculated. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but is not used for return calculation. On the last business day of the month, the composition of the latest Statistics Universe becomes the Returns Universe for the following month. Fallen angels do not enter the index until the next monthly reset.
Frequency
During the month, indicative changes to securities (maturity, credit rating change, sector reclassification, amount outstanding)are reflected in both the Statistics and Returns Universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the Statistics Universe of the index on a daily basis, but will affect the composition of the Returns Universe only at month-end when the index is rebalanced.
Index Changes
Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in the following month’s Returns Universe.
New Issues
Index rebranded as Barclays Capital U.S. Corporate High-Yield IndexFitch ratings added to Moody’s and S&P to determine index eligibility.Started using the most conservative rating of Moody’s and S&P to determine index eligibility instead of Moody’s only for split-rated securities.Liquidity constraint raised to USD 150 million from USD 100 million. Defaulted securities removed.SEC Rule 144A securities added.U.S. Corporate High-Yield Index introduced, with historical data backfilled to 1983.Inception date of U.S. Corporate High-Yield Index.
November 1, 2008July 1, 2005October 1, 2003
July 1, 2000January 1, 1998January 1, 1986January 1, 1983
Barclays Capital U.S. Corporate High-Yield Bond Index
57
Pan-European High-Yield Index
Currency Breakdown as of Oct 31, 2008 Access to the Index
Quality Breakdown as of Oct 31, 2008
Pricing and Related Issues
www.barcap.com/indiceswww.lehmanlive.com (keyword: index)
KEY FEATURESDaily index returns and statisticsHistorical index time series downloadable into ExcelStandardized market structure reportsFully customizable viewsIndex primers and shelf reference documentsLatest index and portfolio strategies research publications
Bloomberg Index Page <LEHM> <24> Key statistics and returns<LP01> <INDEX>
TICKERSTotal Return Index Value: LP01TRGU(GBP, Unhedged)Total Return Index Value: LP01TREU(EUR, Unhedged)Since Inception Total Return: LP01SIGU
(GBP, Unhedged)Since Inception Total Return: LP01SIEU
(EUR, Unhedged)Month to Date Excess Return: LP01ERMarket Value (GBP): LP01MVG Market Value (EUR): LP01MVE Yield to Worst: LP01YWISMA Modified Duration: LP01MDISMA Returns Modified Duration: LP01RMDAverage OAS: LP01OAS
POINT (Portfolio and Index Tool)Long Name: Pan Euro HY
KEY FEATURESIndex-level returns and statisticsHistorical index constituentsFully customizable market structure reportsIndex dynamics and turnover reportsPortfolio upload/analysisMulti-factor Global Risk ModelPortfolio performance attribution
The Pan-European High-Yield Index contains fixed-rate, non-investment grade corporate securities denominated in the following currencies: Euro, Pounds sterling, Norwegian krone, Danish krone, Swedish krona, Czech koruna, Hungarian forint, Polish zloty, and Slovakian koruna. Inclusion is based on the currency of the issue, and not the domicile of the issuer. The index does not contain Government-related, Securitized or EM debt. Securities in the index are also part of the Global High-Yield Index. The Pan-European High-Yield Index was launched on January 1, 1999.
Sources and Frequency All bonds are priced daily by Barclays Capital traders or third-party vendors.
Timing 4:15pm London time. If European markets are open, but the U.K. is closed, then pricing will remain constant until the close of the next U.K. business day. If the last business day of the month is a public holiday in the major European markets, then prices from the previous business day are used.
Bid or Offer Side Outstanding issues are priced on the bid side. Newly issued corporate bonds enter the index on the offer side. Downgraded issues that were part of the Pan-European Aggregate enter on the bid-side.
Settlement Assumptions
T+1 settlement basis
Verification Multi-contributor verification: The primary price for each security is analyzed and compared to other third-party pricing sources through both statistical routines and scrutiny by the research staff. Significant discrepancies are researched and corrected as necessary. On occasion, index users may also challenge price levels, which are then reviewed by the pricing team. Prices are then updated as needed using input from the trading desk.
+1-212-526-7400
+44-207-773-3744
+81-3-4530-1760
Hong Kong/[email protected]
+852-2903-2652
www.barcap.com/indiceswww.lehmanlive.com (keyword: index)General Inquiries: [email protected]
Contacts: Barclays Capital Index Products Team
The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.
Barclays Capital Pan-European High-Yield Bond Index
Index Products
Euro82.4%
Sterling16.6%
Krona1.0%
Ba47.4%
B42.7%
Ca0.5%
Caa9.4%
58
Barclays Capital Pan-European High-Yield Bond Index
Rebalancing Rules
Rules for InclusionAmount Outstanding €100 million minimum par amount outstanding or equivalent. For non-Euro issues we take the local currency amount equal
to €100 million using the exchange rates set at the end of November of each year.Quality Must be rated below investment grade (Ba1/BB+/BB+ or below) using the middle rating of Moody’s, S&P and Fitch,
respectively.When all three agencies rate an issue, a median or “two out of three” rating is used to determine index eligibility by dropping the highest and the lowest rating.When a rating from only two agencies is available, the lowest (“most conservative”) of the two is used.When a rating from only one agency is available, that rating is used to determine index eligibility.Unrated bonds and bonds with a D rating using the middle rating are excluded.
Maturity At least one year until final maturity, regardless of optionality. For securities with a coupon that converts from fixed to floating at least one year until the conversion date.Perpetual securities are included in the index provided they are callable or their coupons switch from fixed to variable rate. These are included until one year before their first call date, providing they meet all other index criteria.
Seniority of Debt Senior and subordinated issues are included. Undated securities are included provided their coupons switch from fixed to variable rate.
Coupon Fixed-rate. Step-up coupons and coupons that change according to a predetermined schedule are also included. Capital securities with coupons that convert from fixed to floating-rate are index-eligible given that they are currently fixed-rate; the maturity date then equals the conversion date. Fixed-rate perpetual capital securities which remain fixed-rate following their first call date, and which provide no incentives to call the bonds, are excluded.
Currency Euro, Pounds sterling, Norwegian krone, Danish krone, Swedish krona, Czech koruna, Hungarian forint, Polish zloty, and Slovakian koruna (to be redenominated to EUR on January 1, 2008) are eligible. As of October 2008, only EUR, GBP, and SEK meet the index rules.
Market of Issue Publicly issued in the Eurobond and index–member domestic markets.
Security Types Included:Fixed-rate bullet, puttableand callableSoft bulletsFixed-rate and fixed to floating capital securities
Excluded:Bonds with equity-type features (e.g., warrants, convertibility to equity) Private placements, including SchuldscheineFloating-rate issuesInflation-linked bondsEmerging markets debtPIK bondsGovt-Related and Securitized issues
During the month, indicative changes to securities (maturity, credit rating change, sector reclassification, amount outstanding) are reflected in both the Statistics and Returns universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the Statistics universe of the index on a daily basis, but will affect the composition of the Returns universe only at month-end when the index is rebalanced.
Index Changes
The composition of the Returns Universe is rebalanced monthly at each month end and represents the set of bonds on which index returns are calculated. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but is not used for return calculation. On the last business day of the month, the composition of the latest Statistics Universe becomes the Returns Universe for the following month.
Frequency
Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in the following months Returns universe.
New Issues
Interest and principal payments earned by the Returns universe are held in the index without a reinvestment return until month-end when it is removed from the index
Reinvestment of Cash flows
59
Sector Breakdown as of Oct 31, 2008 Access to the Index
State Breakdown as of Oct 31, 2008
Pricing and Related Issues
The U.S. Municipal Indices cover the USD-denominated long term tax exempt bond market. The index has four main sectors: state and local general obligation bonds, revenue bonds, insured bonds, and prerefunded bonds. Many of the indices have historical data to January 1980. In addition, several subindices based on maturity and revenue source have been created, some with inception dates after January 1980 but no later than July 1, 1993. In January 1996, Barclays Capital also began publishing a non-investment grade municipal bond index and "enhanced" state-specific indices for Arizona, Connecticut, Maryland, Massachusetts, Minnesota and Ohio. These indices are published separately from the Barclays Capital Municipal Bond Index. In 2005, Barclays Capital began publishing Managed Money Municipal Indices and Insurance Mandate Municipal Indices
Sources & Frequency All bonds are priced daily using MullerData (IDC) as the primary pricing source. Prior to 2000, the index was published weekly, and prior to 1998 it was published monthly
Timing 3:00 pm (New York time) each day. If the last business day of the month is a public holiday in the U.S. market, prices from the previous business day are used.
Bid or Offer Side Bonds in the index are priced on the bid side.
Settlement Assumptions T+1 settlement basis for all bonds.
www.barcap.com/indiceswww.lehmanlive.com (keyword: index)
KEY FEATURES
Daily index returns and statistics
Historical index time series downloadable into Excel
Standardized market structure reports
Fully customizable views
Index primers and shelf reference documents
Latest index and portfolio strategies research publications
Bloomberg Index Page <LEHM> <16>
Key returns
Current Month Returns & StatisticsPrevious Month Returns & Statistics
POINT (Portfolio and Index Tool) KEY FEATURES
Index level returns and statistics
Historical index constituents
Fully customizable market structure reports
Index dynamics and turnover reports
Portfolio upload/analysis
Multi-factor Global Risk Model
Portfolio performance attribution
Automated batch processing
Insured11.9%
Prerefunded14.6%
Revenue49.7%
Local GO10.6%
State GO13.2%
Texas7.6%
New York15.2%
Others50.5%
California16.6%
Massachusetts4.7%
Florida5.4%
Index Products
Barclays Capital U.S. Municipal Bond Index
Contacts: Barclays Capital Municipal Research Team
The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.
Municipal Index [email protected]
+1-212-528-1288
60
Rebalancing
Rules for Inclusion
Amount Outstanding Investment-Grade Municipal Index: Par value of at least $7 million; issued as part of a transaction at least $75 millionHigh-Yield Municipal Index: Par value of at least $3 million; issued as part of a transaction at least $20 millionEnhanced State Specific Indices: Par value of at least $2 million; issued as part of a transaction at least $20 million
Quality Investment-grade indices must have a minimum rating of Baa3/BBB-/BBB-, using the middle rating of Moody’s, S&P, and Fitch, respectively. High-yield indices have a maximum rating of Ba1/BB+/BB+ using the middle rating. Managed Money Indices have a minimum rating of Aa3/AA- and Insurance Mandate Indices have a minimum rating of A3/A-
When all three agencies rate an issue, a median or “two out of three” rating is used to determine index eligibility by dropping the highest and lowest rating. When a rating from only two agencies is available, the lower (“most conservative”) of the two is used.When a rating from only one agency is available, that rating is used to determine index eligibility.
Coupon Fixed-rate.
Published Subindices Type: General ObligationRevenue BondPrerefundedInsured
Maturity:1-year (1-2 Years to Maturity)3-year (2-4 Years to Maturity)5-year (4-6 Years to Maturity)7-year (6-8 Years to Maturity)10-year (8-12 Years to Maturity)15-year (12-17 Years to Maturity)20-year (17-22 Years to Maturity)Long Bond (22+ Years to Maturity)
Revenue Bond Subindices:Electric Housing HospitalsIDR/PCRTransportationEducationWater & SewerResource RecoveryLeasingSpecial Tax
Security Types Included:Mandatory put bondsPartial Pre-refunded bonds
Excluded:Taxable MunicipalsFloating-rateDerivatives
Managed Money Subindex Rules
Must be non-AMT Issued within the last 5 yearsRated at least Aa3May not be an airline, hospital, housing, or tobacco bond
Maturity At least 1 year until final maturityBonds with a dated-date of January 1, 1991 and later are eligible for inclusion into the benchmark.
Currency Denominated in USD.
Interest and principal payments earned by the Returns Universe are held in the index without a reinvestment return until month-end when it is removed from the index.
Reinvestment of Cash flows
The composition of the Returns Universe is rebalanced monthly at each month end and represents the set of bonds on which index returns are calculated. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but is not used for return calculation. On the last business day of the month, the composition of the latest Statistics Universe becomes the Returns Universe for the following month.
Frequency
During the month, indicative changes to securities (maturity, credit rating change, sector reclassification, amount outstanding)are reflected in both the Statistics and Returns Universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the Statistics Universe of the index on a daily basis, but will affect the composition of the Returns Universe only at month-end when the index is rebalanced.
Index Changes
Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in the following month’s Returns Universe.
New Issues
Barclays Capital U.S. Municipal Bond Index
Contacts: Barclays Capital Municipal Research Team
Municipal Index [email protected]
+1-212-528-1288
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Analyst Certification The views expressed in this report accurately reflect the personal views of Brian Upbin, the primary analysts responsible for this report, about the subject securities or issuers referred to herein, and no part of such analysts' compensation was, is or will be directly or indirectly related to the specific recommendations or views expressed herein. Important Disclosures On September 20, 2008, Barclays Capital Inc. acquired Lehman Brothers' North American investment banking, capital markets, and private investment management businesses. During the transition period, disclosure information will be provided via the sources listed below. For complete information, investors are requested to consult both sources listed below. https://ecommerce.barcap.com/research/cgi-bin/public/disclosuresSearch.pl or call 1-212-526-1072; http://www.lehman.com/USFIdisclosures/ Clients can access Barclays Capital research produced after the acquisition date either through Barclays Capital's research website or through LehmanLive. Barclays Capital does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that Barclays Capital may have a conflict of interest that could affect the objectivity of this report. Any reference to Barclays Capital includes its affiliates. Barclays Capital and/or an affiliate thereof (the "firm") regularly trades, generally deals as principal and generally provides liquidity (as market maker or otherwise) in the debt securities that are the subject of this research report (and related derivatives thereof). The firm's proprietary trading accounts may have either a long and / or short position in such securities and / or derivative instruments, which may pose a conflict with the interests of investing customers. Where permitted and subject to appropriate information barrier restrictions, the firm's fixed income research analysts regularly interact with its trading desk personnel to determine current prices of fixed income securities. The firm's fixed income research analyst(s) receive compensation based on various factors including, but not limited to, the quality of their work, the overall performance of the firm (including the profitability of the investment banking department), the profitability and revenues of the Fixed Income Division and the outstanding principal amount and trading value of, the profitability of, and the potential interest of the firms investing clients in research with respect to, the asset class covered by the analyst. To the extent that any historical pricing information was obtained from Barclays Capital trading desks, the firm makes no representation that it is accurate or complete. All levels, prices and spreads are historical and do not represent current market levels, prices or spreads, some or all of which may have changed since the publication of this document. Barclays Capital produces a variety of different types of fixed income research, including fundamental credit analysis, quantitative credit analysis and trade ideas. Recommendations contained in one type of research may differ from recommendations contained in other types, whether as a result of differing time horizons, methodologies, or otherwise. Legal Disclaimer IRS Circular 230 Prepared Materials Disclaimer: Barclays Capital and its affiliates do not provide tax advice and nothing contained herein should be construed to be tax advice. Please be advised that any discussion of U.S. tax matters contained herein (including any attachments) (i) is not intended or written to be used, and cannot be used, by you for the purpose of avoiding U.S. tax-related penalties; and (ii) was written to support the promotion or marketing of the transactions or other matters addressed herein. Accordingly, you should seek advice based on your particular circumstances from an independent tax advisor. This publication has been prepared by Barclays Capital, Inc., a US registered broker/dealer and member of the FINRA. This publication is provided to you for information purposes only. Prices shown in this publication are indicative and Barclays Capital is not offering to buy or sell or soliciting offers to buy or sell any financial instrument. Other than disclosures relating to Barclays Capital, the information contained in this publication has been obtained from sources that Barclays Capital knows to be reliable, but we do not represent or warrant that it is accurate or complete. The views in this publication are those of Barclays Capital and are subject to change, and Barclays Capital has no obligation to update its opinions or the information in this publication. Barclays Capital and its affiliates and their respective officers, directors, partners and employees, including persons involved in the preparation or issuance of this document, may from time to time act as manager, co-manager or underwriter of a public offering or otherwise, in the capacity of principal or agent, deal in, hold or act as market-makers or advisors, brokers or commercial and/or investment bankers in relation to the securities or related derivatives which are the subject of this publication. Neither Barclays Capital, nor any affiliate, nor any of their respective officers, directors, partners, or employees accepts any liability whatsoever for any direct or consequential loss arising from any use of this publication or its contents. The securities discussed in this publication may not be suitable for all investors. Barclays Capital recommends that investors independently evaluate each issuer, security or instrument discussed in this publication, and consult any independent advisors they believe necessary. The value of and income from any investment may fluctuate from day to day as a result of changes in relevant economic markets (including changes in market liquidity). The information in this publication is not intended to predict actual results, which may differ substantially from those reflected. This communication is being made available in the UK and Europe to persons who are investment professionals as that term is defined in Article 19 of the Financial Services and Markets Act 2000 (Financial Promotion Order) 2005. It is directed at persons who have professional experience in matters relating to investments. The investments to which it relates are available only to such persons and will be entered into only with such persons. Barclays Capital - the investment banking division of Barclays Bank PLC, authorised and regulated by the Financial Services Authority (FSA) and member of the London Stock Exchange. Subject to the conditions of this publication as set out above, ABSA CAPITAL, the Investment Banking Division of ABSA Bank Limited, an authorised financial services provider (Registration No.: 1986/004794/06), is distributing this material in South Africa. Any South African person or entity wishing to effect a transaction in any security discussed herein should do so only by contacting a representative of ABSA Capital in South Africa, ABSA TOWERS NORTH, 180 COMMISSIONER STREET, JOHANNESBURG, 2001. ABSA CAPITAL IS AN AFFILIATE OF BARCLAYS CAPITAL. Non-U.S. persons should contact and execute transactions through a Barclays Bank PLC branch or affiliate in their home jurisdiction unless local regulations permit otherwise. Barclays Bank PLC Frankfurt Branch is distributing this material in Germany under the supervision of Bundesanstalt fuer Finanzdienstleistungsaufsicht. © Copyright Barclays Bank PLC (2008). All rights reserved. No part of this publication may be reproduced in any manner without the prior written permission of Barclays Capital or any of its affiliates. Barclays Bank PLC is registered in England No. 1026167. Registered office 1 Churchill Place, London, E14 5HP. Additional information regarding this publication will be furnished upon request.