DB Global Short Maturity High Yield Bond Index

Transcription

1 12 February 2015 DBIQ Index Gude DB Global Short Maturty Hgh Yeld Bond Index Summary The DB Global Short Maturty Hgh Yeld Bond Index ( Index ) tracks the performance of a selected basket of short term US dollar denomnated, hgh yeld debt publcly ssued globally, ncludng soveregn, quas-government and corporate bond securtes. The ndex s rebalanced quarterly and re-weghted annually. Transacton cost s deducted as a runnng cost. The ncepton day of the ndex s 29-Feb The ndces covered n ths gude are: DB Global Short Maturty Hgh Yeld Bond Index, publshed to Bloomberg under tcker: DBLQSTHY Index Development Contacts: London: +44 (0) Hong Kong: New York:

2 12 February 2015 Index Rules The DB Global Short Maturty Hgh Yeld Bond Index ( Index ) tracks the performance of a selected basket of short term US dollar denomnated, hgh yeld debt publcly ssued by soveregn, quas-government and corporate globally. The ndex rebalances quarterly,.e. last busness day n February, May, August and November each year. Selecton happens at the close 5 busness days 1 before the last busness day of the rebalancng perod (For hstorcal calculaton pror to ndex launch date, the selectons were done on the same day as the relevant rebalancng day). The Index Membershp can be generated by applyng the followng crtera to all bonds outstandng: Market Issue: soveregn, quas-government, corporate bonds. The followng market types are excluded: 144As, prvate placements, muncpal bonds, Brady bonds, restructured bonds; Country of ssuance or country guarantor: The followng countres/regons are excluded: Channel Islands, Bermuda, Bahamas, Isle of Man, Cayman Islands; Bond Type: Fxed coupon bonds only. The followng bond types are excluded: zero coupon bonds, floatng/varable coupon bonds, convertbles, nflaton-lnked bonds, putable bonds, snkers, perpetual bonds, accrued only bonds Collateral Type: Covered s excluded Credt Ratng: Must be rated by at least one of these 3 ratng agences: Standard & Poor s, Moody s or Ftch. The composte ratng calculated from avalable ratngs among the three should be hgh yeld,.e. composte DB ratng between C and BB+ (both nclusve). Please see Composte and Average Ratng Calculaton secton for composte ratng calculaton. Tme to maturty: Must have a remanng lfe of 3 months to 36 months, both nclusve, as of the correspondng rebalancng day. Any bond n the ndex for the prevous rebalancng perod and has less than 3 months remanng at rebalancng wll be kept n the ndex untl maturty. Currency: Must be US Dollar denomnated Amount Outstandng: Bond wth at least $100 mllon for short term debt (ssued wth maturty of 3 years or less) and at least $250 mllon for long term seasoned debt (ssued wth a total lfe of longer than 3 years) are elgble. Settlement: Must be able to settle n US, at Euroclear or both Cash from coupon payment, matured defaulted and called bonds wll be kept n the ndex wthout nterest tll end of each month 2. On the last busness day of a non quarterly rebalancng month, the cumulated cash shall be nvested nto remanng bonds proportonally. If t s a quarterly rebalancng month, the cumulated cash plus proceed from leavng bonds shall be nvested nto new bonds. Transacton cost at month end s deducted as a runnng cost. If a Soveregn defaults, all bonds of that country otherwse satsfyng the elgblty crtera wll be removed from the ndex. If a quas-government or corporate defaults, only the bonds of that entty are removed; the bonds of other enttes from the same country wll reman provded they meet ndex elgblty crtera. Enttes removed due to default provsons are not allowed to re-jon the ndex untl the next annual rebalancng. 1 Pror to March 2015 the selecton occurred four busness days before the 1 st. day n the new rebalancng perod. 2 Cash s kept n the ndex tll end of each quarter from 28-Feb-2008 tll 31-May Cash cumulated from end of 1-un tll 31-ul-2013 s renvested to the remanng bonds proportonally. On 30-Aug-2013, cash cumulated from 1-Aug tll 30-Aug-2013 along wth proceed from leavng bonds are re-nvested nto new enterng bonds equally. For tme perod after ths quarter, cash re-nvestment follows the general rules. 2

3 eghts Calculaton Bond weghts are calculated dfferently at February rebalancng (annual rebalancng) and non-annual rebalancng. eghts calculaton at annual rebalancng: Equal weght s gven to each selected bond as the ntal weght. Cumulatve weght for bonds ssued by each country s calculated. If cumulatve weght for any country exceeds 40%, the cumulatve weght for that country s capped at 40% whch s dstrbuted equally to all of the bonds n the country. The remanng weght s equally dstrbuted to all remanng bonds n the ndex. eghts calculaton at non-annual quarterly rebalancng: eghts for any bond that s n the prevous rebalancng perod are kept unchanged. Cumulatve weghts from the leavng bonds, redempton value from matured bonds as well as coupon payments are dstrbuted to each new joner equally. eghts calculaton at non-rebalancng month-end: Relatve weghts of the remanng bonds are kept as s and re-normalzed so that they add up to 100%. Prces The prmary prcng sources for ths ndex are Interactve Data (IDC), Reuters/EV and Deutsche Bank (DB) market makers (traders). Other thrd party prcng sources are used n the verfcaton process and also used when prces from the prmary sources are unavalable for a partcular bond and date. DB does not use algorthm to automatcally generate or ncorporate thrd party prcng sources. Md prces are used to calculate ndex end of day (EOD) levels. Bd and ask spread prces are used to deduct transacton cost. Composte and Average Ratng Calculaton Bond ratngs from Standard and Poor s, Moody s and Ftch are mapped to numercal ratngs between 1 and 22 as below: SP Moody Ftch Numercal AAA Aaa AAA 1 AA+ Aa1 AA+ 2 AA Aa2 AA 3 AA- Aa3 AA- 4 A+ A1 A+ 5 A A2 A 6 A- A3 A- 7 BBB+ Baa1 BBB+ 8 BBB Baa2 BBB 9 BBB- Baa3 BBB- 10 BB+ Ba1 BB+ 11 BB Ba2 BB 12 BB- Ba3 BB- 13 B+ B1 B+ 14 B B2 B 15 B- B3 B- 16 CCC+ Caa1 CCC+ 17 CCC Caa2,caa CCC 18 CCC- Caa3 CCC- 19 CC Ca CC 20 3

4 12 February 2015 C C C 21 D,SD D D,DD,DDD 22 Composte numercal ratng of a bond s calculated as the average numercal ratngs from all avalable ratngs, rounded to sgnal dgt, wth.5 rounded up. The composte numercal ratng can then be mapped to a DB composte ratng n strng as below: Numercal DB Ratng AAA 1 AA+ 2 AA 3 AA- 4 A+ 5 A 6 A- 7 BBB+ 8 BBB 9 BBB- 10 BB+ 11 BB 12 BB- 13 B+ 14 B 15 B- 16 CCC+ 17 CCC 18 CCC- 19 CC 20 C 21 D 22 Index Calculaton Index level s calculated as: N IL( / P AI P ( t) AI ( t) CPN ( t) C( ) IL( t) N t eghts at annual rebalancng At annual rebalancng, weght for bond s calculated followng below steps: max COUNTRY 1/ n( If max COUNTRY NON 1 max 4

5 For each bond n country, the weght s calculated as: / n For each bond not ssued by country, the weght s calculated as: NON / n NON NON eghts at non-annual quarterly rebalancng eght for stayng bond at non-annual rebalancng s calculated as: eght for new joner at non-annual rebalancng s calculated as: eghts at non-rebalancng month-end eght for stayng bond at non- rebalancng month-end s calculated as: Cost On day t, runnng cost s calculated as: Runnng cost rate 3 for t s calculated as: NE ( s the begnnng weght for the new rebalancng perod, whch has been descrbed separately for annual rebalancng and non-annual rebalancng as above; ( s the endng weght n current month. It s calculated as: For any new bond, ( s 0. here: P AI / IL( ) N ( r 1) r 1 / nne ( ) r P AI / N j ( r 1) Pj AI j ( ) N ( r 1) r C( t) CR( ( t / D( r, r 1) BID ASK P AI / P AI ( ) CR IL( 1 max 0, ( r P AI / IL( ) N ( r 1) r 3 For hstorcal cost rate tll the end of May 2013, proxy cost rates are appled. Comparable ndex a bd-ask spread of 0.5 s appled wth an assumpton of 10% turnover at each quarterly rebalancng. Accrued nterests are gnored n the calculaton. 5

6 12 February 2015 IL (t) Index level on day t IL ( Index level on prevous month-end r N ( Notonal of bond calculated on prevous month-end r N ( r 1) Notonal of bond calculated on the second last month-end r-1 P BID, Clean bd prce of bond on prevous month-end r P ASK, Clean ask prce of bond on prevous month-end r P ( Clean md prce of bond on prevous month-end r P (t) Clean md prce of bond on day t P ( Clean prce of stayng bond on prevous month-end r AI ( Accrued nterest of bond on prevous month-end r AI (t) Accrued nterest of bond on day t AI ( Accrued nterest of stayng bond on prevous month-end r CPN (t) Cumulatve coupon pad by bond between prevous month-end r (excluded) and t (ncluded) ( eght of bond calculated on prevous month-end r 0 Intal weght of bond calculated on prevous month-end r 0 Intal cumulatve weght of bonds ssued by country on prevous month-end r ( Fnal cumulatve weght of bonds ssued by country on prevous month-end r NON ( Fnal cumulatve weght of bonds ssued by other countres than calculated on prevous month-end r ( eght of ssued by country calculated on prevous month-end r NON ( eght of bond ssued by other countres than calculated on prevous month-end r ( eght of stayng bond calculated on prevous month-end r NE ( eght of new bond calculated on prevous month-end r (t) Current weght of bond on day t max 40%, Maxmum cumulatve weght for fnancal bond at annual rebalancng COUNTRY 6

7 n ( Number of bonds ssued by country selected on prevous month-end r nnon ( Number of bonds ssued by other countres than selected on prevous month-end r n NE ( Number of new bonds selected on prevous month-end r n ( Number of bonds selected on prevous month-end r CR ( Runnng cost rate for the month mmedately after r C (t) Runnng cost charged on day t D ( r, r 1) Total number of calendar days between the prevous month-end and the next month-end, r+1 ncluded, r excluded 7

8 12 February 2015 Global Dsclamer The nformaton and opnons n ths report were prepared by Deutsche Bank AG or one of ts afflates (collectvely "Deutsche Bank"). The nformaton heren s beleved to be relable and has been obtaned from publc sources beleved to be relable. Deutsche Bank makes no representaton as to the accuracy or completeness of such nformaton. Deutsche Bank may engage n securtes transactons, on a propretary bass or otherwse, n a manner nconsstent wth the vew taken n ths research report. In addton, others wthn Deutsche Bank, ncludng strategsts and sales staff, may take a vew that s nconsstent wth that taken n ths research report. Deutsche Bank may be an ssuer, advsor, manager, dstrbutor or admnstrator of, or provde other servces to, an ETF ncluded n ths report, for whch t receves compensaton. Opnons, estmates and projectons n ths report consttute the current judgement of the author as of the date of ths report. 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