Groud Rules Guide to Calculatio Methods for the Fixed Icome Idexes v1.5 ftserussell.com December 2015
Cotets 1.0 Itroductio... 3 2.0 Idex level calculatios... 5 3.0 Bod level calculatios... 11 Appedix 1: Key to terms... 14 Appedix 2: Day to Cout Covetios... 16 Appedix 3: Further iformatio... 19 FTSE Russell Guide to Calculatio Methods for the Fixed Icome Idexes, v1.5, December 2015 2 of 19
Sectio 1 Itroductio 1.0 Itroductio 1.1 The aims of the guide are: A. To describe how FTSE fixed icome idexes are calculated; B. To make it easier for users to replicate the idexes i order to support their ivestmet ad tradig activities; ad C. To assist users i uderstadig the compoets which ifluece the performace of the idexes. 1.2 This guide covers commoly used calculatios i the followig FTSE fixed icome idexes: FTSE Actuaries UK Gilts Idex Series FTSE TMX Caada Idex Family FTSE-BOCHK Offshore RMB Bod Idex Series FTSE Global Bod Idex Series FTSE ASFA Australia Bod Idex Series FTSE Chia Oshore Bod Idex Series FTSE MTS Idex Series 1.3 The guide is set out ito two further sectios, sectio 2 covers idex level calculatios such as idex total retur ad idex yield for example. Sectio 3 covers bod level calculatios such as accrued iterested, bod yield ad duratio. 1.4 For calculatios that are specific to a particular idex family, please cosult the relevat groud rules or calculatio guide. 1.5 FTSE Russell is a tradig ame of Frak Russell Compay (FRC), FTSE Iteratioal Limited (FTSE) ad FTSE TMX Global Debt Capital Markets, Ic. (FTSE TMX). FRC, FTSE ad FTSE TMX are each bechmark admiistrators of idexes. Refereces to FTSE Russell should be iterpreted as a referece to the relevat bechmark admiistrator for the relevat idex. FTSE Russell Guide to Calculatio Methods for the Fixed Icome Idexes, v1.5, December 2015 3 of 19
1.6 The table below summarizes the calculatios that are applicable to each idex family. Calculatio Sectio FTSE Actuaries UK Gilts FTSE TMX Caada Idex Level 2.0 Total Retur: 2.1.1 x x x x x x Stadard Total Retur: ex-div 2.1.5 x re-ivest Clea Price Idex 2.2.1 x x x x x Gross Price Idex 2.3.1 x Idex Yield 2.4.1 x x x x x x Idex Yield (MVW 2.4.2 x x oly) Idex Duratio, 2.5.1 x x x x x x Covexity Idex Duratio, 2.5.2 x Covexity (cash) Idex Coupo 2.6.1 x x x x x x x Idex Remaiig Life 2.7.1 x x x x x FTSE-BOCHK Offshore RMB FTSE Global Bod FTSE MTS 1 FTSE ASFA Australia FTSE Chia Oshore Bod Bod Level 3.0 Accrued Iterest 3.1 x x x x x x x Yield to Maturity 3.2 x x x x x x x Macaulay Duratio 3.3 x x x x x x x Modified Duratio 3.4 x x x x x x x Covexity 3.5 x x x x x x x DV01 3.6 x x x 1 Applies to FTSE MTS post March 2016 FTSE Russell Guide to Calculatio Methods for the Fixed Icome Idexes, v1.5, December 2015 4 of 19
Sectio 2 Idex level calculatios 2.0 Idex level calculatios This sectio details the commo idex level calculatios that are used across differet FTSE fixed icome idex families, which refer to this guide. For each idex calculatio, a descriptio is give alog with the formulae, ad a list of the idex families that the calculatio applies to. The key to the otatio used i this documet ca be foud i Appedix 1. 2.1 Total Retur Idex (TRI) The total retur idex seeks to replicate the retur from holdig the idex portfolio; it gives the market value weighted retur of the idex costituets, takig ito accout price movemets, accrued iterest ad cash-flows from the bods (icludig coupo paymets, redemptios or repurchases). 2.1.1 TRI: Stadard Formula Applies to: FTSE Global Bods FTSE BOCHK Offshore RMB FTSE TMX Caada FTSE MTS FTSE ASFA Australia FTSE Chia Oshore The geeralised total retur idex formula ca be expressed as: TR t = TR t-1 P i,t +AI i,t +XDIV i,t. FFXX ii,tt. N i,t-1. R i,t.cf i,t +Cash i,t P i,t-1 +AI i,t-1 +XDIV i,t-1. FFXX ii,tt 1.N i,t-1.r i,t-1.cf i,t +Cash i,t-1 The behavior of the idividual terms i this formula are described i the followig sectios. For idexes that do ot have bods that go ex-divided or do ot cotai cappig, the formula ca further be simplified: TR t =TR t-1 P i,t +AI i,t. FFXX ii,tt.n. i,t-1. R i,t +Cash i,t P i,t-1 +AI i,t-1. FFXX ii,tt 1.N i,t-1..r i,t-1 +Cash i,t-1 FTSE Russell Guide to Calculatio Methods for the Fixed Icome Idexes, v1.5, December 2015 5 of 19
2.1.2 Idex Cash The cash term i the total retur formula, Cash i,t is the sum of ay coupos, G i,t ad ay pricipal repaymets, RD i,t from bod i, which have accumulated sice the last cashflow re-ivestmet date util the calculatio date, t ad ca be expressed as: where: ad: Cash i,t =Cash i,t-1 + G i,t +RD i,t G i,t = c i f i XD_Marker i. FFXX ii,tt.n i,t-1.r i,c.cf i,t RD i,t = R i,t-1 -R i,t RP i,t.n i,t-1 CF i,t For idexes that re-ivest cash o a daily basis, such as the FTSE TMX ad MTS idices, Cash i,t-1, is always zero. For idexes that re-ivest cash o a mothly basis, Cash i,t-1 is the cashflow assiged to the bod o the previous calculatio date, uless t-1 is the cash re-ivestmet date, i which case it is set to zero. 2.1.3 Ex-Divided treatmet For bods that go ex-divided, bodholders are ot eligible to receive the ext coupo if they are ot the holder of the bod prior to the ex-divided date. This has two implicatios o the total retur, which are accouted for the total retur idex formula i sectio 2.1.1 1. Accrued Iterest Whe a bod is tradig ex-divided the accrued iterest turs egative. Whe chai-likig with the previous calculatio day s accrued iterest, a adjustmet eeds to be made to reflect this drop. This is doe via XDIV i,t : XDIV i,t = c i f i.xd_marker i.n i,t.r i,c.cf i,t For bods which do ot have coupos that go ex-divided XDIV i,t =0. 2. Idex Rebalacig. If a bod eters a idex durig its ex-divided period, the ext coupo paymet will ot be recogised i the total retur as it is assumed that ayoe replicatig the idex will have bought the bod durig its ex-divided period, ad will ot be eligible to receive the ext coupo paymet. If a bod does eter the idex durig its ex-divided period, XD_Marker i =0, otherwise it is XD_Marker i =1. 2.1.4 Cappig Factors The total retur formula i sectio 2.1.1 takes ito accout ay cappig that is applicable to bod i. CF i,t = Capped Bod Notioal i N i,t If the idex does ot iclude ay cappig, or the bod is ot capped, the Cappig Factor, CF i,t is equal to 1. The cappig factor is reset o ay date that the idex cappig is applied, which is usually the same day as the idex is rebalaced. FTSE Russell Guide to Calculatio Methods for the Fixed Icome Idexes, v1.5, December 2015 6 of 19
2.1.5 Pricipal Redemptios Ay partial or complete redemptios eed to be accouted for i the calculatio of the total retur, so that i) ay redemptio icome is realised ad ii) the market value of the remaiig bod is adjusted dowward, proportioal to the amout that is redeemed. I the total retur idex formula i sectio 2.1.1, this is hadled by the redemptio factor, R i,t. New Bod Outstadig Amout R i,t = N i,t As N i,t is reset to the curret bod outstadig amout o each rebalacig date, R i,t is reset to equal 1 o each rebalacig date. 2.1.6 TRI: Ex-div Re-ivestmet Applies to: FTSE Actuaries UK Gilts For idexes which iclude bods whose coupos go ex-divided ad ay coupo icome is reivested o the ex-divided date, the total retur idex ca be expressed as: 2.2 Clea Price Idex (PRI) 2.2.1 PRI: Stadard Formula TR t =TR t-1 Applies to: FTSE Global Bods FTSE TMX Caada FTSE MTS FTSE ASFA Australia FTSE Chia Oshore P i,t +AI i,t. FFXX ii,tt. N i,t-1. P i,t-1 +AI i,t-1 -XDIV. FFXX ii,tt 1.N i,t-1. The stadard clea price idex takes ito accout the market value weighted clea-price movemets of the idex costituets: 2.3 Gross Price Idex (GPI) 2.3.1 GPI: Stadard Formula Applies to: FTSE Actuaries UK Gilts PR t =PR t-1 P i,t. FFXX ii,tt. N i,t-1. R i,t-1.cf i,t-1 P i,t-1. FFXX ii,tt 1.N i,t-1. R i,t-1.cf i,t-1 The stadard clea price idex takes ito accout the market value weighted gross or dirty price movemets of the idex costituets: (P i,t +AI i,t ). FFXX ii,tt.n i,t-1. R i,t-1.cf i,t-1 PR t =PR t-1 (P i,t-1 +AI i,t-1 ). FFXX ii,tt 1.N i,t-1. R i,t-1.cf i,t-1 FTSE Russell Guide to Calculatio Methods for the Fixed Icome Idexes, v1.5, December 2015 7 of 19
2.4 Idex Yield 2.4.1 Idex Yield: Duratio\MVW Weightig Applies to: FTSE Global Bods FTSE ASFA Australia FTSE MTS FTSE Actuaries UK Gilts FTSE BOCHK Offshore RMB FTSE Chia Oshore The stadard approach to calculate idex yield is to weight the average yield of the costituets by modified duratio ad market value (MVW): Idex Yield t = MV i,t.y i,t. MD i,t MV i,t.md i,t Where the market value of bod i o date t, MV i,t, is give by 2.4.2 Idex Yield: MVW Applies to: FTSE TMX Caada MV i,t = P i,t +A i,t N i,t-1, R i,t.cf i,t For idexes that weight the costituet yields by market value oly, the idex yield is give by: 2.5 Idex Rate Sesitivities 2.5.1 Idex Duratio ad Covexity: MVW Applies to: FTSE Global Bods FTSE ASFA Australia FTSE TMX Caada FTSE MTS FTSE Actuaries UK Gilts FTSE Chia Oshore Idex Yield t = MV i,t.y i,t. MV i,t The Idex Duratio, Modified Duratio, DV01 (if applicable) ad Covexity are weighted market value: Idex_Sesitivity t = MV i,t.sesitivity i,t. MV i,t Where Sesitivity (i,t.) is the duratio, DV01, modified duratio or covexity of bod i o date t. 2.5.2 Idex Duratio ad Covexity: with Cash Applies to: FTSE BOCHK Offshore RMB I The FTSE BOCHK Offshore RMB idex, the iterest rate sesitivities are weighted by market-value ad the idex cash amout. The formula to calculate the Idex Duratio, Modified Duratio, Covexity ad Idex Average Remaiig Life is: Idex_Sesitivity t = MV i,t.sesitivity i,t. MV i,t +Idex_Cash t FTSE Russell Guide to Calculatio Methods for the Fixed Icome Idexes, v1.5, December 2015 8 of 19
Where Sesitivity (i,t.) is the duratio, modified duratio or covexity of bod i o date t, ad Idex_Cash t is the sum of all the coupo ad redemptio icome from the idex costituets, as defied i sectio 2.1.2. FTSE Russell Guide to Calculatio Methods for the Fixed Icome Idexes, v1.5, December 2015 9 of 19
2.6 Average Coupo 2.6.1 Idex Average Coupo Applies to: FTSE Global Bods FTSE ASFA Australia FTSE TMX Caada FTSE MTS FTSE Actuaries UK Gilts FTSE BOCHK Offshore RMB FTSE Chia Oshore The average coupo level is the otioal weighted average coupo rate: Average Coupo t = C i,t. N i,t. R i,t.cf i,t N i,t. R i,t.cf i,t 2.7 Average Remaiig Life 2.7.1 Idex Average Remaiig Life (MVW) Applies to: FTSE Global Bods FTSE BOCHK Offshore RMB FTSE ASFA Australia FTSE MTS FTSE Chia Oshore This measure gives the weighted average remaiig life of all the costituets i the idex. AAAAAAAAAAAAAA RRRRRRRRRRRRRRRRRR LLLLLLee tt = ww ii,tt. LL ii,tt. i I the formula above, the weight of bod i, ww ii,tt is the market value size of the bod relative to the market value of all the bods the idex: ww ii,tt = i MMVV ii,tt MMVV ii,tt I the FTSE MTS ad Global Bods Idexes, the weight of bod i, ww ii,tt is the otioal size of the bod relative to all of the bods the idex: ww ii,tt = i NN ii,tt. RR ii,tt. CCFF ii,tt NN ii,tt. RR ii,tt. CCFF ii,tt FTSE Russell Guide to Calculatio Methods for the Fixed Icome Idexes, v1.5, December 2015 10 of 19
Sectio 3 Bod level calculatios 3.0 Bod level calculatios This sectio details bod level calculatios that are used across differet FTSE fixed icome idex families. The formulae for the calculatios are geerally the same; however, they accout for local market covetios, such as day cout covetios or roudig. Where these occur, they are highlighted. 3.1 Accrued Iterest The accrued iterest is calculated as the iterest payable whe purchasig a bod, this is to accout for the iterest icome that is due to the previous ower of the bod, who will ot be receivig the ext coupo paymet. Accrued iterest is calculated as follows: A i,t =fractioal iterest period i,t C i f i For bods whose coupos do ot go ex-divided, or are ot i their ex-divided period, fractioal iterest period i,t is calculated as the time betwee the previous coupo date ad the settlemet date, i terms of coupo periods, accordig to the day cout covetio of the bod. More specifically, the fractioal iterest period i,t is: Settlemet Date-Previous Coupo Date fractioal iterest period i,t = Number of days i coupo period The umber of days i the umerator ad the deomiator are calculated accordig to the day cout covetio of the bod. For further details o day cout covetios, please cosult Appedix 2. For bods which are curretly i the ex-divided coupo period, the fractioal coupo period is calculated as the time betwee the ext coupo date ad the settlemet date, i terms of coupo periods, accordig to the day cout covetio of the bod. Sice the ext coupo date is always after the settlemet date, the fractioal coupo period is egative. More specifically, the fractioal iterest period i,t for bods i their ex-divided period is: Next Coupo Date-Settlemet Date fractioal iterest period i,t = Number of days i coupo period The calculatio of accrued iterest, accouts for odd first ad last coupos. FTSE Russell Guide to Calculatio Methods for the Fixed Icome Idexes, v1.5, December 2015 11 of 19
3.1.1 Accrued Iterest: Bak of Caada Method For CAD$ bods, accrued iterest is calculated accordig to the ACT/365 day cout covetio. This affects the calculatio of reported accrued iterest used for the cash settlemet of the bod; however, the accrued iterest for the purpose of the gross price calculatio (to be used i the followig Yield ad Duratio calculatios) is calculated o a ACT/ACT basis. 3.2 Yield to Maturity The yield to maturity of a bod is the costat discout rate which will discout all future cashflows of a bod to equal its curret clea price plus accrued iterest (dirty price). The yield to maturity is foud by solvig the followig formula iteratively: mm PP ii,tt + AA ii,tt =. kk=1 CCCCCChFFFFFFww ii,kk (1 + YY ii,tt ff ii,tt ) vv rr +kk 1 The compoudig frequecy of the calculated yield to maturity, Y i,t correspods to the compoudig frequecy of the bod. For example, if the coupo frequecy is semi-aual (f i =2), the the calculated yield will be compouded o a semi-aual basis. 3.2.1 Yield Coversios I order to aualise a semi-aually compouded yield, the followig formula is used: aual yield= 1+ Y i,t 2 2-1 I order to derive a semi-aually compouded yield from a aual yield, the followig formula is used: 3.2.2 Simple Yield semi_aual yield=2 aual yield i,t +1-2 For bods eterig their fial coupo period, the simple yield is calculated, o a moey market basis (ACT/360 or ACT/365) istead of yield to maturity. SY i,t = FV i-(p i,t +A i,t ) 360 or 365. P i,t +A i,t v 3.3 Macaulay Duratio 3.3.1 The Macaulay duratio of a bod is the time weighted average of the remaiig cashflows. It ca be calculated as: 3.4 Modified Duratio MacDur i,t = M k=1 CashFlow k. P i,t +A i,t.f i k 1+ Y i,t f i 3.4.1 The modified duratio of a bod is the percetage chage i the price arisig from a 1% chage i the yield to maturity. It ca be calculated as: ModDur i,t = MacDur i,t 1+ YY ii,tt ff ii,tt vv rr +k-1 FTSE Russell Guide to Calculatio Methods for the Fixed Icome Idexes, v1.5, December 2015 12 of 19
3.5 Covexity 3.5.1 The covexity of a bod is the chage i modified duratio arisig from a 1% chage i the yield to maturity. It ca be calculated as: MM kk=1 = (kk + kk 2 ). CCCCCChFFFFFFww ii,kk (1 + YY ii,tt ) vv rr ff +kk+1 ii PP ii,tt + AA ii,tt. ff ii 2 3.6 DV01 The DV01 measure shows the absolute chage i the bod price for a 1bp chage i the yield. It ca be calculated as the product of the dirty (or gross) price of a bod ad its modified duratio: DV01 i,t =(P i,t +A i,t ) ModDur i,t /100 FTSE Russell Guide to Calculatio Methods for the Fixed Icome Idexes, v1.5, December 2015 13 of 19
Appedix 1: Key to terms Key to Terms AAII ii,tt cc ii CCCCCCCCCCCC BBBBBBBB NNNNNNNNNNNNNNll ii CCCCCCh ii,tt CCCCCChFFFFFFww ii,kk CCFF ii CCCCCCCCxx ii,tt DDDD01 ii,tt ff ii FFFF ii FFFF ii,tt GG ii,tt kk LL ii,tt MM MMMMMMMMMMrr ii,tt MMDD ii,tt MMVV ii,tt NN ii,tt The accrued iterest for bod i o date t The coupo rate of bod i The capped otioal amout of bod I, this is fixed at the last idex cappig date. The total cashflows from bod i o date t sice the last rebalace date The cashflow due from bod i at time period k The cappig factor applicable to bod i The covexity of bod i at time t The dollar value of a basis poit of bod i at time t The umber of coupo paymets per year from bod i The fial paymet from bod i, icludig pricipal ad coupo (if applicable) The foreig exchage rate associated with bod i at time t. It is quoted as local/base ad i cases where base currecy of the idex is the same as the local currecy, the rate is 1. The coupo icome received from bod i at time t Couter to idicate the time i coupo periods The expected remaiig life of bod i o date t Superscript to deote the complete umber of coupo periods util the maturity date The Macaulay duratio of bod i at time t The modified duratio of bod i at time t The market value of bod i at time t Superscript to deote the umber of bods i the idex The omial amout outstadig amout of bod i at time t. This is fixed at the last idex rebalacig date. ttad tt 1 Time subscripts to deote the curret ad previous calculatio date. PP ii,tt RR ii,cc The clea price of bod i o date t Fractio to deote the cumulative amout of bod i that has bee FTSE Russell Guide to Calculatio Methods for the Fixed Icome Idexes, v1.5, December 2015 14 of 19
RR ii,tt RRDD ii,tt RRPP ii,tt r SSSSSSSSSSSSSSSSSSSSSS ii,tt. SSSS ii,tt v XXXXXXVV ii,tt XXDD_MMMMMMMMMMMM ii YY ii,tt. repurchased, up util coupo paymet date t, sice the previous rebalacig date. Fractio to deote the cumulative amout of bod i that has bee repurchased, up util date t, sice the previous rebalacig date. The redemptio icome due from bod i o date t The redemptio price of bod i at time t, if the bod is partially or etirely redeemed o date t. The umber of days i the coupo period, calculated accordig to the day cout covetio of the bod Ca represet MMMMMMMMMMrr ii,tt, MMDD ii,tt,ccccccccxx ii,tt or DDDD01 ii,tt The simple yield of bod i at time t The umber of dates betwee day i ad the ext cash flow date, calculated accordig to the day cout covetio of the bod This is the coupo that is payable by bod i o date t, durig its ex-div period. Otherwise it is zero. This is set to 0 if a bod eters the idex durig its coupo ex-divided date. If it eters the idex outside its ex-divided period, or does ot go exdivided, it is set to 1. The yield to maturity for bod i at time t FTSE Russell Guide to Calculatio Methods for the Fixed Icome Idexes, v1.5, December 2015 15 of 19
Appedix 2: Day to Cout Covetios Bod level calculatios such as yield, accrued iterest, duratio ad covexity rely o the day-cout covetio of each bod. These covetios describe the assumptios that are used whe calculatig the umber of days betwee two dates. The mai day cout covetios are: ACT/ACT ACT/365 ACT/360 30/360 30/360 (US) 30/360 (Eurobod) The first part of the covetio ame, before the /, idicates the assumed umber of days i a moth betwee two dates. The part after the / idicates the umber of assumed days i a year. Whe usig the 30/360 covetio for example, the 30 meas that there are a assumed 30 days i each moth betwee two dates, ad the 360 meas that there are 360 days i each year betwee two dates. ACT meas that the actual umber of days are couted. The 30/360 (US) ad the 30/360 (Euro) covetios are similar to the 30/360, but vary i the adjustmets to the start ad ed dates: 30/360 (US) 1. If the day of the start date (D1) is 31, D1 is chaged to 30, the 2. If the day of the ed date (D2) is 31, ad D1 is 30, the chage D2 to 30. 30/360 (Euro) 1. If the day of the start date (D1) is 31, the D1 is chaged to 30, the 2. If the day of the ed date (D2) is 31, the chage D2 to 30. Additioally, there are covetios o the treatmet of o-busiess days, such as: Followig - If a date falls o a o-busiess day, it is moved forward to the ext busiess day. Modified Followig - If a date falls o a o-busiess day, it is moved forward to the ext busiess day, uless that day is i the ext caledar moth, i which case the previous busiess day is used. Ed of Moth - This meas that each date is adjusted so that it falls at the o the last caledar day of the moth. I order to illustrate the differet day cout covetios, the examples below show how the accrued iterest is calculated for a bod uder various scearios. FTSE Russell Guide to Calculatio Methods for the Fixed Icome Idexes, v1.5, December 2015 16 of 19
Example 1 ACT/ACT Coupo 2.75% semi-aual Maturity 21 Apr 2024 Settlemet Date 04 Aug 2014 Previous Coupo Date 21 Apr 2014 Next Coupo date 21 Oct 2014 I this example, the bod pays a coupo of 2.75 semi-aually, ad uses the ACT/ACT day cout covetio. The accrued iterest ca be calculated as: A i,t =fractioal iterest period i,t C i f i where: Settlemet Date-Previous Coupo Date fractioal iterest period_(i,t)= Number of days i coupo period Usig the ACT/ACT covetio, the actual umber of caledar days betwee the settlemet date of 04 August 2014 ad the previous coupo date of 21 Apr 2014 is 105 days. The actual umber of days i the coupo period, betwee the ext coupo date of 21 October 2014 ad the ext coupo date of 21 October 2014 is 183 days. This gives the fractioal iterest period i,t as: The accrued iterest is therefore: Example 2 ACT/365 fractioal iterest period i,t = 105 183 = 0.57377 AA ii,tt = 0.57377 2.75% 2 = 0.78893 Usig the ACT/365covetio, the actual umber of days i a moth are used, but each year is assumed to cosist of 365 days. Usig the example above, the umerator ad the deomiated of the fractioal iterest period (i,t) is calculated as follows: Settlemet date Previous Coupo Date = 04 August 2014 21 April 2014 = 105 days Number of Days i coupo period = 365days i a year/2 coupos per year = 182.5days The accrued iterest is therefore: A i,t = 105 182.5 2.75% =0.79110 2 FTSE Russell Guide to Calculatio Methods for the Fixed Icome Idexes, v1.5, December 2015 17 of 19
Example 3 30/360 Uder the 30/360 day cout covetio, it is assumed that there are 30 days i a moth, ad 360 days i a whole year. I order to calculate the period betwee two dates; first the umber of moths betwee the two dates is foud ad multiplied by 30; this is added to the differece betwee the day compoet of the dates. Usig the same details as the bod i example 1, the calculatio is as follows: Settlemet date Previous Coupo Date = 04 August 2014 21 April 2014 = (August April) x 30 days + (4-21) days = (4 * 30) days 17 days = 103 days Number of Days i coupo period = 360 i a year/2 coupos per year The accrued iterest is therefore: Example 4 ACT/365, followig busiess day = 180 days A i,t = 103 180 2.75% =0.78681 2 Agai usig example 1, but with a settlemet date of 07 Mar 2024. This meas that the previous coupo date is 21 Oct 2023. As the previous coupo date falls o a Saturday, usig the followig busiess day covetio, this date is moved to the ext busiess day: 23 October 2023. Settlemet date Previous Coupo Date = 07 Mar 2024 21 Oct 2023 = 136 days Number of Days i coupo period = 365days i a year/2 coupos per year = 182.5 The accrued iterest is therefore: A i,t = 136 182.5 2.75% =1.02466 2 FTSE Russell Guide to Calculatio Methods for the Fixed Icome Idexes, v1.5, December 2015 18 of 19
Appedix 3: Further iformatio A Glossary of Terms used i FTSE Russell s Groud Rule documets ca be foud usig the followig lik: http://www.ftse.com/products/dowloads/glossary.pdf Further iformatio o FTSE fixed icome idexes is available from FTSE. For cotact details please visit the FTSE Russell website or cotact FTSE cliet services at ifo@ftse.com. Website: www.ftserussell.com 2015 Lodo Stock Exchage Group compaies. All rights reserved. Lodo Stock Exchage Group compaies icludes FTSE Iteratioal Limited ( FTSE ), Frak Russell Compay ( Russell ), MTS Next Limited ( MTS ), ad FTSE TMX Global Debt Capital Markets Ic. ( FTSE TMX ). All rights reserved. FTSE, Russell, MTS, FTSE TMX ad FTSE Russell ad other service marks ad trademarks related to the FTSE or Russell idexes are trade marks of the Lodo Stock Exchage Group compaies ad are used by FTSE, MTS, FTSE TMX ad Russell uder licece. All iformatio is provided for iformatio purposes oly. Every effort is made to esure that all iformatio give i this publicatio is accurate, but o resposibility or liability ca be accepted by the Lodo Stock Exchage Group compaies or its licesors for ay errors or for ay loss from use of this publicatio. The Lodo Stock Exchage Group compaies do ot provide ivestmet advice ad othig i this documet should be take as costitutig fiacial or ivestmet advice. The Lodo Stock Exchage Group compaies make o represetatio regardig the advisability of ivestig i ay asset. A decisio to ivest i ay such asset should ot be made i reliace o ay iformatio herei. Idexes caot be ivested i directly. Iclusio of a asset i a idex is ot a recommedatio to buy, sell or hold that asset. The geeral iformatio cotaied i this publicatio should ot be acted upo without obtaiig specific legal, tax, ad ivestmet advice from a licesed professioal. No part of this iformatio may be reproduced, stored i a retrieval system or trasmitted i ay form or by ay meas, electroic, mechaical, photocopyig, recordig or otherwise, without prior writte permissio of the Lodo Stock Exchage Group compaies. Distributio of the Lodo Stock Exchage Group compaies idex values ad the use of their idexes to create fiacial products require a licece with FTSE, FTSE TMX, MTS ad/or Russell ad/or its licesors. The Idustry Classificatio Bechmark ( ICB ) is owed by FTSE. FTSE does ot accept ay liability to ay perso for ay loss or damage arisig out of ay error or omissio i the ICB. FTSE Russell Guide to Calculatio Methods for the Fixed Icome Idexes, v1.5, December 2015 19 of 19