Index Products Barclays Capital Pan-European Aggregate Bond IndexThe 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. Sector Breakdown as of Oct 31, 2008 Securitised 13.9% Access to the Index www.barcap.com/indices www.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 TICKERS Total 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: LP06ER Market Value (GBP): LP06MVG Market Value (EUR): LP06MVE Yield to Worst: LP06YW ISMA Modified Duration: LP06MD ISMA Returns Modified Duration: LP06RMD Average OAS: LP06OA 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 Corporate 17.0% Treasury 56.9% Bloomberg Index Page <LEHM> <22> Key statistics and returns <LP06> <INDEX> Govt.-Related 12.3% Quality Breakdown as of Oct 31, 2008 Aa 23.9% Aaa 59.5% POINT (Portfolio and Index Tool) Long Name: Pan Euro Aggregate Short Name: peall Baa 3.7% A 12.8% Pricing and Related Issues Sources and Frequency Timing Bid or Offer Side Settlement Assumptions Verification All bonds are priced daily by Barclays Capital traders, third-party vendors or for traditional Pfandbriefe using an interpolated yield curve. 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. 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. T+1 settlement basis 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. Contacts: Barclays Capital Index Products Team [email protected]
+1-212-526-7400 New York London [email protected]
+44-207-773-3744 Tokyo [email protected]
+81-3-4530-1760 Hong Kong/Singapore [email protected]
+852-2903-2652 www.barcap.com/indices www.lehmanlive.com (keyword: index) General Inquiries: [email protected]
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. 39 the composition of the latest Statistics universe becomes the Returns universe for the following month. These changes may cause bonds to enter or fall out of the Statistics universe of the index on a daily basis. Fixed-rate. British pounds. Swedish krona. When all three agencies rate an issue. For non-Euro currencies. on or before the month-end rebalancing date qualify for inclusion in the following month’s Returns universe. respectively. are excluded. a median or “two out of three” rating is used to determine index eligibility by dropping the highest and the lowest rating.Barclays Capital Pan-European Aggregate Bond Index Rules for Inclusion Amount Outstanding Quality €300 million/£200 million minimum par amount outstanding. Maturity Senior and subordinated issues are included. credit rating change. but not necessarily settled.. When a rating from only one agency is available. Hungarian forint. regardless of optionality. but will affect the composition of the Returns universe only at month-end when the index is rebalanced. Danish krone. Index Changes Reinvestment of Cash flows New Issues 40 . Publicly issued in the Eurobond and index –member domestic markets. When a rating from only two agencies is available. sector reclassification. Unrated Pfandbriefe are assigned ratings that are one full rating category above the issuer’s unsecured debt. providing they meet all other index criteria. Undated securities are included provided their coupons switch from fixed to variable rate.g. Czech koruna. During the month. 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. amount outstanding) are reflected in both the Statistics and Returns universe of the index on a daily basis. including Schuldscheine Floating-rate issues Inflation-linked bonds Swiss franc denominated bonds Currency Market of Issue Security Types Rebalancing Rules 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. Norwegian krone. Seniority of Debt Coupon At least one year until final maturity. Perpetual securities are included in the index provided they are callable or their coupons switch from fixed to variable rate. that rating is used to determine index eligibility. we take the local currency equivalent equal to €300 million using the exchange rates at the end of November of each year. These are included until one year before their first call date. On the last business day of the month. Capital securities with coupons that convert from fixed to floating-rate are index-eligible given that they are currently fixed-rate. S&P and Fitch. The Statistics Universe changes daily to reflect issues dropping out and entering the index. 2008). warrants. Fixed-rate perpetual capital securities which remain fixed-rate following their first call date. Qualifying securities issued. puttable and callable Soft bullets Fixed-rate and fixed to floating capital securities Excluded: Bonds with equity-type features (e. the maturity date then equals the conversion date. convertibility to equity) Private placements. Included: Fixed-rate bullet. This is consistent with Moody’s methodology and reflects the underlying collateral. Polish zloty. Euro or Eurozone legacy currency. and Slovakian koruna (to be redenominated to EUR on January 1. indicative changes to securities (maturity. Step-up coupons and coupons that change according to a predetermined schedule are also included. and which provide no incentives to call the bonds. but is not used for returns calculation. For securities with a coupon that converts from fixed to floating at least one year until the conversion date. Must be rated investment grade ( Baa3/BBB-/BBB – or above ) using the middle rating of Moody’s. the lowest (“most conservative”) of the two is used.