DBIQ Australian Bond Indices

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1 db Index Development 25 November 2014 DBIQ Index Gude DBIQ Australan Bond Indces The DBIQ Australan Bond Indces have been developed to allow transparent, replcable rules based selecton of bonds for ease of understandng and mplementaton In partcular these ndces have been desgned wth an equally weghted approach for the bonds selected as opposed to the more common market captalsaton weghted calculaton of fxed ncome ndces n order to reduce portfolo turnover. Furthermore by flterng for Issuers va the specfed rules the expectaton s that ths wll also reduce turnover at the quarterly rebalance The Indces are DBIQ 5-10 year Australan Government Bond Index DBIQ 0-5 year Australan Sem- Government Bond Index DBIQ 0-4 year Investment Grade Australan Corporate Bond Index Index Constructon Index Return Rebalance frequency Rebalance date Selecton date Prcng Source Prce Quote Consttuents weghtng Busness Calendar Coupon Total Return Quarterly : Feb, May, August, November Last calendar day of each Quarter 3 busness day pror to Rebalance IDC Interactve Data Corporaton Md equally weghted at rebalance Sydney Renvested nto payng bond on Coupon day Specfc Index rules

2 DBIQ 5-10 year Australan Government Bond Index The ndex provdes the largest and most lqud Commonwealth Government fxed ncome securtes to provde as dversfed a unverse wthn the Selecton crtera Index Incepton Date 30 Nov 2005 SELECTION 1. Elgble Issuers: Commonwealth Government Securtes (Australan Treasury) 2. Mnmum Amount Outstandng: $2.0 bllon on day of Selecton 3. Term to Maturty (TTM) and Dversfcaton: For securtes havng TTM between 4.75 Years and 10.5 Years on day of selecton 4. Maxmum ten securtes wth greatest TTM are selected RULES 1. Rebalance frequency: Quarterly 2. On rebalance date, weght of each securty s equally dstrbuted amongst the number of bonds selected 3. Cash from coupons are renvested on the day nto the payng bond 2

3 DBIQ 0 5 year Australan Sem Government Bond Index The ndex provdes the largest and most lqud State Government fxed ncome securtes Index Incepton Date 30 Nov 2005 SELECTION 1. Elgble Issuers: Australan state government agences. Specfcally; a. NSW T/Corp ( NSWTC ) b. Vctoran T/Corp ( TCV ) c. Queensland T/Corp ( QTC ) d. Western Australa T/Corp ( WATC ) e. South Australan Fnancal Authorty ( SAFA ) f. Tasmanan Treasury Corp ( TASCORP ) The lst s revewed annually n February 2. Mnmum Amount Outstandng: $1.0 bllon on day of Selecton 3. Term to Maturty (TTM) and dversfcaton: Securtes ranked accordng to TTM between 1 and 5.5 years. 4. Maxmum of two securtes per ssuer havng greatest TTM selected RULES 1. Rebalance frequency: Quarterly 2. On rebalance date, weght of each securty s equally dstrbuted amongst the number of bonds selected 3. Cash from coupons are renvested on the day nto the payng bond 3

4 DBIQ 0-4 Year Australan Corporate Bond Index The ndex provdes the largest and most lqud Australan Corporate fxed ncome securtes ensurng ultmate parent s domcled n Australa Index Incepton Date 30 Nov 2007 SELECTION Steps taken n turn 1. Elgble Issuers: Corporate credt securtes denomnated n AUD and ssued by an entty () whose ultmate parent s domcled n Australa, and () whch s lsted or has ssued a class of ts securtes that are quoted (or n the case of a fully guaranteed entty, the ultmate parent s lsted or has ssued a class of ts securtes that are quoted) on the Australan Stock Exchange ( ASX ) or other Australan exchange whch s a member of the World Federaton of Exchanges 2. Ratng: Credt ratngs from at least one of: a. S&P: A or hgher b. Moody: A2 or hgher c. Ftch: A or hgher 3. Intal Unverse : Securtes wth outstandng greater than $100mln and Term to Maturty (TTM) between 1 and 4.5 Years 4. Second derved Unverse: Determne from the Intal Unverse bonds whch have outstandng greater than the 25th percentle and remove the remander from the selecton unverse 5. Dversfcaton: Maxmum ten securtes are selected. a. Rank the securtes accordng to longest to shortest TTM b. Select two securtes per ssuer c. From these securtes chose ten wth the longest TTM d. If number of securtes s less than ten, and any of the four banks has only one securty n the second derved unverse, choose that one securty from any of these ssuers wth the longest to maturty frst NATIONAL AUSTRALIA BANK WESTPAC BANKING CORP AUST & NZ BANKING GROUP COMMONWEALTH BANK AUST (NAB) (WSTP) (ANZ) (CBAAU) e. If number of securtes s less than ten, select thrd securty of each ssuer agan workng from longest to shortest TTM 6. In the event that there reman fewer than 10 bonds the Term to Maturty (TTM) be ncreased by sngle yearly ncrements to 5.5 and 6.5 years RULES 1. Rebalance frequency: Quarterly 2. On rebalance date, weght of each securty s equally dstrbuted amongst the number of bonds selected 4

5 3. Cash from coupons are renvested on the day nto the payng bond 5

6 Summary Government Sem Government Corporate Credt Bond Type Bullet Fxed Rate Securtes Bullet Fxed Rate Securtes Bullet Fxed Rate Securtes Included Bond Type Exclusons Fxed rate, soft bullet, ABS (CMBS/RMBS) Fxed rate, step-up or callable debt Convertble bonds Zero-coupon Prvate placements Amortsng structure Sub-debt Fxed rate, soft bullet, ABS (CMBS/RMBS) Fxed rate, step-up or callable debt Convertble bonds Zero-coupon Prvate placements Amortsng structure Sub-debt Fxed rate, soft bullet, ABS (CMBS/RMBS) Fxed rate, step-up or callable debt Convertble bonds Zero-coupon Prvate placements Amortsng structure Sub-debt Index Incepton 30 Nov Nov Nov 2007 Date Number of Issues Maxmum of 10 ssues Maxmum of 2 ssues per ssuer Maxmum of 10 ssues wth 2-3 ssues per ssuer Mnmum Outstandng AUD 2.0 bllon AUD 1.0 bllon AUD outstandng greater than $100mln and of ths ntal unverse then choose those bonds greater than the 25th percentle Maturty Broad TTM 5-10years TTM 1-5years TTM 1-4.5years Credt Ratngs S&P: BBB- or hgher Moody: Baa3 or hgher Ftch: BBB- or hgher S&P: BBB- or hgher Moody: Baa3 or hgher Ftch: BBB- or hgher S&P: A or hgher Moody: A2 or hgher Ftch: A or hgher 6

7 Index Formulas IL (t) IL ( t 1) * (1 IR ( t )) IR(t) W ( t 1) * R ( t ) (t) R PR ( t ) CR ( t ) (t) PR (t) CR P ( t ) P ( t 1) P ( t 1) AI AI ( t ) C P ( t 1) AI ( t 1) ( t ) AI ( t 1) ( t 1) W ( t ) MV MV ( t ) ( t ) 1. For the quarterly rebalance date (r) MV (r) TotalConst 1 tuents (r) N MV ( r ) ( P ( r ) AI ( r )) 2. For all days excludng the Quarterly rebalancng dates Market values are calculated as: MV ( t ) N (t) * ( P ( t ) AI ( t )) N (t) N (t - 1) C ( t ) * N P ( t ) AI ( t 1) ( t ) 7

8 Where IL(t) IR(t) W (t) R (t) PR (t) P (t) AI (t) CR (t) C (t) MV (t) N (t) r Index Level on date t Return on day t Weght of bond on day t Day to date return of bond on day t Prce return on day t Clean Prce of bond on day t Accrued Interest of bond on day t Coupon Return of bond on day t Coupon pad by bond on day t Market Value of bond on day t Notonal Amount of bond on day t Rebal date 8

9 Index Gude Dsclamers Ths document s ntended for nformaton only and does not create any legally bndng oblgatons on the part of Deutsche Bank AG and/or ts afflates ( DB ). Ths document s ntended to provde a summary of the ndex t purports to descrbe. No warranty or representaton s made as to the correctness, completeness and accuracy of the nformaton. Wthout lmtaton, ths document does not consttute an offer, an nvtaton to offer or a recommendaton to enter nto any transacton. When makng an nvestment decson, you should rely solely on the fnal documentaton relatng to the transacton. Products based on the ndex or ndces descrbed n ths document may not be approprate for all nvestors and before enterng nto any transacton you should take steps to ensure that you fully understand the transacton and have made an ndependent assessment of the approprateness of the transacton n the lght of your own objectves and crcumstances, ncludng the possble rsks and benefts of enterng nto such transacton. Refer to your DB Sales person for product related nformaton. For general nformaton regardng the nature and rsks of the proposed transacton and types of fnancal nstruments please go to You should also consder seekng advce from your own advsers n makng ths assessment. If you decde to enter nto a transacton wth DB, you do so n relance on your own judgment. Past performance s no ndcaton of future results. Ths materal was prepared by DBIQ. It s not nvestment research, and has not been prepared n accordance wth legal requrements desgned to promote the ndependence of such. Any opnons expressed heren may dffer from the opnons expressed by other DB departments ncludng the Research Department. DB may engage n transactons n a manner nconsstent wth any vews dscussed heren. DB trades or may trade as prncpal n nstruments (or related dervatves) lnked to the ndex or ndces descrbed n ths document, and may have propretary postons n the nstruments (or related dervatves). DB may make a market n such nstruments (or related dervatves), whch may n extreme crcumstances affect the levels of the ndex or ndces descrbed. In no event shall DB have any lablty (whether n neglgence or otherwse) to any person n connecton wth such person's use of the Index, unless such use s pursuant to a transacton between that party and DB relatng to the Index and such lablty results from wlful default and/or gross neglgence on the part of DB. The dstrbuton of ths document and avalablty of related products and servces n certan jursdctons may be restrcted by law. You may not dstrbute ths document, n whole or n part, wthout our express wrtten permsson. DB specfcally dsclams all lablty for any drect, ndrect, consequental or other losses or damages ncludng loss of profts ncurred by you or any thrd party that may arse from any relance on ths document or for the relablty, accuracy, completeness or tmelness thereof. DB s authorzed by Bundesanstalt für Fnanzdenstlestungsaufscht under German Bankng Law (competent authorty: BaFn - Federal Fnancal Supervsng Authorty) and regulated n the UK by the Fnancal Servces Authorty for the conduct of UK busness. Unless governng law provdes otherwse, all transactons should be executed through the Deutsche Bank entty n the nvestor's home jursdcton. In the U.S. ths report s approved and/or dstrbuted by Deutsche Bank Securtes Inc., a member of the NYSE, the NASD, NFA and SIPC. In Germany ths report s approved and/or communcated by Deutsche Bank AG Frankfurt authorzed by the BaFn. In the Unted Kngdom ths report s approved and/or communcated by Deutsche Bank AG London, a member of the London Stock Exchange and regulated by the Fnancal Servces Authorty for the conduct of nvestment busness n the UK and authorzed by the BaFn. Ths report s dstrbuted n Hong Kong by Deutsche Bank AG, Hong Kong Branch, n Korea by Deutsche Securtes Korea Co. Ths report s dstrbuted n Sngapore by Deutsche Bank AG, Sngapore Branch, and recpents n Sngapore of ths report are to contact Deutsche Bank AG, Sngapore Branch n respect of any matters arsng from, or n connecton wth, ths report. Where ths report s ssued or promulgated n Sngapore to a person who s not an accredted nvestor, expert nvestor or nsttutonal nvestor (as defned n the applcable Sngapore laws and regulatons), Deutsche Bank AG, Sngapore Branch accepts legal responsblty to such person for the contents of ths report. In Japan ths report s approved and/or dstrbuted by Deutsche Securtes Inc. The nformaton contaned n ths report does not consttute the provson of nvestment advce. In Australa, retal clents should obtan a copy of a Product Dsclosure Statement (PDS) relatng to any fnancal product referred to n ths report and consder the PDS before makng any decson about whether to acqure the product. Deutsche Bank AG Johannesburg s ncorporated n the Federal Republc of Germany (Branch Regster Number n South Afrca: 1998/003298/10). Addtonal nformaton relatve to securtes, other fnancal products or ssuers dscussed n ths report s avalable upon request. Ths report may not be reproduced, dstrbuted or publshed by any person for any purpose wthout Deutsche Bank's pror wrtten consent. Please cte source when quotng. Copyrght 2011 Deutsche Bank AG 9

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