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[email protected] Global Aggregate Bond Index 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 (USD 300mn), the Pan-European Aggregate (EUR 300mn), and the AsianPacific Aggregate Index (JPY 35bn). In addition to securities from these three benchmarks (94.0% of the overall Global Aggregate market value as of December 31, 2010), the Global Aggregate Index includes Global Treasury, Eurodollar (USD 300mn), Euro-Yen (JPY 25bn), Canadian (USD 300mn equivalent), and Investment Grade 144A (USD 300mn) 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. A component of the Multiverse Index, the Global Aggregate Index was created in 1999, with index history backfilled to January 1, 1990. Sector Composition (MV%) – Trailing 5 Years (as of Dec 31, 2010) 100 90 80 70 60 50 40 30 20 10 0 2006 Treasury 2007 2008 2009 Corporate 2010 Securitized 48.7 47.7 49.8 49.3 52.5 16.0 15.0 16.8 14.3 15.1 14.3 16.4 15.1 20.4 21.2 20.8 19.2 17.4 15.9 14.2 Quality Composition (MV%) – Trailing 5 Years (as of Dec 31, 2010) 100 90 80 70 60 50 40 30 20 10 0 2006 2007 Aaa 2008 Aa A 2009 Baa 2010 55.5 54.9 54.9 54.1 51.9 28.2 29.3 30.1 28.5 31.1 5.2 11.1 4.8 11.0 4.4 10.7 6.7 10.7 6.2 10.8 Government-Related Rules for Inclusion Amount Outstanding/ Minimum Issue Size For U.S. Aggregate, Canadian, Eurodollar, and Investment Grade 144A Index securities, USD 300mn minimum par amount outstanding. CMBS and ABS securities must belong to a deal with a minimum aggregate transaction size of USD 500mn. USD 300mn equivalent minimum also used for securities denominated in CAD, CLP, and MXN. For Pan-European Aggregate Index securities, with the exception of GBP-denominated securities, EUR 300mn currency equivalent minimum par amount outstanding. EUR 300mn equivalent minimum also used for securities denominated in CHF, CZK, DKK, HUF, NOK, PLN, ZAR, and SEK. For GBP-denominated securities, GBP 200mn currency equivalent minimum par amount outstanding. For Asian-Pacific Aggregate and Euro-Yen Index securities, JPY 35bn minimum par amount outstanding. JPY 35bn equivalent minimum also used for securities denominated in AUD, HKD, KRW, MYR, TWD, NZD, SGP, and THB. For securities not denominated in USD, EUR, or JPY, amount outstanding is converted to their respective currency peg equivalent using an exchange rate that is reset once a year on the last business day of November in order to limit index turnover resulting from foreign exchange rate changes. WM/Reuters exchange rates are used. Quality Rated investment grade (Baa3/BBB-/BBB- or higher) using the middle rating of Moody’s, S&P, and Fitch after dropping the highest and lowest available ratings. When a rating from only two agencies is available, the lower (“more conservative”) is used. When a rating from only one agency is available, that 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 bonds. New York
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[email protected] +81 3 4530 1760 PLEASE SEE ANALYST CERTIFICATIONS AND IMPORTANT DISCLOSURES STARTING AFTER PAGE 5 S. CHF. contingent capital securities) Tax-exempt municipal securities. HUF. local currencies’ sovereign bonds (both local and foreign) must have an investment grade sovereign rating using the middle rating.S. Maturity At least one year until final maturity. CMBS and ABS must have a remaining average life of at least 1 year. Fixed-to-floating perpetual securities are included in the index. DKK. 2010) Excluded Bonds with equity-type features (e. CLP. at least one year until the conversion date. publicly issued in the global and regional markets. warrants.Barclays Capital | Global Aggregate Bond Index Rules for Inclusion (continued) Quality (continued) German Pfandbriefe are assigned ratings that are one full rating category above the issuer’s unsecured debt. given that they are currently fixed rate. SGD. and Canadian Aggregate Index securities: USD. including Build America Bonds (BAB) Fixed-rate bullet. Capital securities with coupons that convert from fixed to floating rate are index eligible. Unrated securities are included provided that an issuer rating is applicable. ZAR. Subindices based on maturity are inclusive of lower bounds. MXN. regardless of optionality. HKD. Market of Issue Security Types Fully taxable. provided that they meet all other inclusion rules and exit the index one year prior to their conversion to floating-coupon securities. providing they meet all other index criteria. retail bonds Structured notes. Pan-European Aggregate Index securities. Expected ratings at issuance may be used when there are other index-eligible bonds from the same issuer that hold the same actual rating as the expected rating. Coupon Must be fixed-rate. AUD. THB. including taxable municipal securities. They must be fully taxable. For securities with coupon that converts from fixed to floating rate. Global Aggregate eligible currencies: U. The list of eligible currencies is reviewed once a year by Barclays Capital. Capital securities (hybrid capital) are eligible during their fixed-rate term and exit the index one year prior to their conversion to floating-coupon securities.9999 years. NOK. Step-up coupons and those that change according to a predetermined schedule are also included. convertibles. DRD and QDI-eligible securities Private placements Floating-rate issues Strips Inflation-linked bonds Non-ERISA eligible CMBS issues Fixed-rate perpetuals USD 25/USD 50 par bonds. CAD. those with tax credits issued to investors are considered tax exempt. Agency Hybrid ARMs/JFHA RMBS Privately placed Japanese Government Bonds (JGB) Illiquid securities with no available internal or third-party price source CMBS A1A tranches (as of January 1. SEK. Asian-Pacific Aggregate Index securities: JPY.. TWD. Eligible Local Currencies Currencies eligible for inclusion must be freely tradable and hedgeable. Loan Participation Notes (LPN). Preferred securities are excluded Taxability Only fully taxable issues are eligible. PLN. MYR. putable and callable bonds Soft bullets Original issue zero coupon and underwritten MTN Enhanced Equipment Trust Certificates (EETC) Certificates of Deposit Fixed-rate and fixed to floating capital securities CHF denominated bonds (as of January 1. MBS must have a weighted average maturity of at least 1 year. GBP. Additional eligible currencies. These are included until one year before their first call date. Seniority of Debt Senior and subordinated issues are included. Build America Bonds (BAB) with the tax credit issued to the issuer are eligible. Unrated subordinated securities are included if a subordinated issuer rating is applicable. 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. NZD. 2011) 12 July 2011 2 . EUR. pass-through certificates U. Long maturity bands include maturities 10 years and greater.g. Included Taxable municipal securities. Intermediate maturity bands include bonds with maturities of 1 to 9. the maturity date then equals the conversion date. KRW. CZK. Dividend Received Deduction (DRD) and Qualified Dividend Income (QDI) eligible securities are excluded. Perpetual securities are excluded. 1990. U. and Singapore included in the index.5 4. amount outstanding changes. On the last business day of the month (the rebalancing date).3 6. The Statistics Universe is a forward-looking version that changes daily to reflect issues dropping out and entering the index.6 1. and European government securities) Inception of the Global Aggregate Index data time series January 1.2 11. corporate actions. 2000 January 1.2 -10 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 Note: *Total Returns shown in unhedged USD.0 13. Source: Barclays Capital Indices 16.5 12.8 3. but is not used for return calculation.S.9 3. ticker changes) are reflected in both the Statistics and Returns Universe of the index on a daily basis.1 4. cash is effectively reinvested into the returns universe for the following month so that index results over two or more months reflect monthly compounding. Liquidity constraint for all securities in the index raised to USD 300mn (or currency equivalent) from USD 150mn.6 9. but will affect the composition of the Returns Universe only at month-end. 2008 January 1.5 Index History January 1. but not necessarily settled on or before the month-end rebalancing date qualify for inclusion in the following month’s index if required security reference information and pricing are readily available. 2003 January 1. 3 Index Changes Reinvestment of Cash Flows New Issues 12 July 2011 . Aggregate eligible Swiss franc denominated bonds eligible for inclusion in the index U. 2010 October 1. 2007 January 1. Qualifying securities issued. 2004 July 1. Local currency government debt from Greece included in the index Asian-Pacific Aggregate Index joined the Global Aggregate Index. Global Aggregate Index included the U.8 6. These changes may cause bonds to enter or fall out of the Statistics Universe of the index on a daily basis.S.S. 1999 A1A tranches removed from CMBS portion of the index. Treasury securities will be added on the auction date in the statistics universe.S.5 9. the composition of the latest Statistics Universe becomes the Returns Universe for the following month. ABS Manufactured Housing removed Thai baht debt removed from Global Aggregate Index Taiwan dollar and Malaysian ringgit eligible for inclusion in the index Fitch ratings added to Moody’s and S&P to determine index eligibility Hong Kong dollars eligible for inclusion 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 300mn equivalent criterion. Pan-European Aggregate Index. MBS Fixed-Rate Balloons and U.5 -4. sector reclassification.7 20 15 10 5 0 -5 -5. 1990-2010 (%)* 25 19. At inception. During the month.9 5. Aggregate Index. 2008 March 1. 2006 July 1. South Korea.S. when the index is rebalanced. However.2 5.7 11. and Global Treasury Index (ex-U. 2011 January 1. 2004 October 1. 2000 July 1. indicative changes to securities (credit rating change.S. after the rebalancing. Eurodollar and U. U. 1990 Rebalancing Rules Frequency The composition of the Returns Universe is rebalanced at each month-end and represents the fixed set of bonds on which index returns are calculated for the ensuing month.S. 2002 June 1. Local currency government debt from Thailand. Intra-month cash flows from interest and principal payments contribute to monthly index returns.2 16. 2005 September 1.8 . Covered bonds become U. ABS Home Equity Loans removed Thai baht debt added back to the Global Aggregate Index Fixed-to-floating rate perpetual securities that do not have coupon rate step-ups on their first call date eligible for inclusion. but are not reinvested at any short-term reinvestment rate in between rebalance dates to earn an incremental return. Investment Grade 144A Indices joined the Global Aggregate Index Creation of the Global Aggregate Index with index history backfilled to January 1.Barclays Capital | Global Aggregate Bond Index Historical Annual Returns. 2009 July 1.S. 2001 October 1. If the last business day of the month is a public holiday in a major regional market. For more information about customizing indices please contact your regional index group or email index_feedback@barclayscapital. supplemented with third-party pricing sources. to allow for one full month of accrued interest to be calculated. Euro and Sterling Treasury bonds use mid-dollar prices. Investors assign their own weights to sectors or other index subcomponents within an overall index. the only holiday shared by all regional calendars.Barclays Capital | Global Aggregate Bond Index Pricing and Related Issues Sources & Frequency All index-eligible bonds are priced on a daily basis. up to 1. 144A/Eurodollar Indices. Bid or Offer Side Settlement Assumptions Bonds in the index are priced on the bid side. settlement is assumed to be the first day of the following month. in between. Asian currency bonds: at each local market’s own closing time. ABS spreads are marked weekly and monthly for autos/credit cards/utilities to generate daily prices using changes in the Treasury and swap curves. even if the last business day is not the last day of the month.com. The Global Aggregate Index is a global. Several types of bespoke indices are available to select or customize the most appropriate benchmark for specific portfolio needs: Custom Index Type Enhanced Constraint Composites Issuer Constrained Alternative Weight Description Applies a more or less stringent set of constraints to any existing index. T+1 calendar day settlement basis for all bonds except MBS. MBS fixed rate generic prices are derived from daily trader prices for MBS TBA securities. predominantly by Barclays Capital market makers. as necessary. after that. JGB Index is priced by Barclays Capital traders on a daily basis.S.S. The initial price for new corporate issues entering the index is the offer side. On month-end. Timing Calendar Subindices and Index Customizations Barclays Capital publishes numerous subindices of flagship indices and bespoke benchmarks created for specific index users. which are priced for Public Securities Association (PSA) settlement in the following month and discounted back to same-day settlement at the mortgage repurchase rate. or direct price quotes as a percentage of par. However. bonds are priced using a spread matrix algorithm. Pricing Quotes Bonds can be quoted in a variety of ways. Pricing sources by sector: U.000 benchmark Corporate securities are trader priced daily (all are trader priced at mid-month and month-end). Aggregate Index (refer to U. Options available for applying issuer caps and redistributing excess MV to other issuers. 12 July 2011 4 . Pan-European Aggregate Index: Priced by a combination of Barclays Capital traders and third-party sources. Remainder of the Asian-Pacific Aggregate Index and the Euro-Yen Index are priced by third-party sources on a daily basis. the bid side price is used. spreads over swap curves. Aggregate Index Fact Sheet): Treasuries are trader priced daily. a subset of 200 liquid agency debentures are trader priced daily. Examples Global Aggregate ex Baa Global Aggregate 1-3 Year 50% Global Treasury. Canadian Index: Daily pricing is provided by Reuters. European currency bonds: 4:15 pm (London time). 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. Priced by Barclays Capital traders at mid month and month end. FX rates are updated daily. Indices that cap issuer exposure to a fixed percentage. the index will still be generated using prices from the previous business day. prices from the previous business day are used to price bonds in the particular market. multi-currency index that is generated every business day of the year except for January 1. Prices from third-party sources are quoted as a percentage of par. Other currencies: Pricing is provided by and verified against third-party sources. 3:00 pm (Tokyo time) for JPY-denominated securities. including nominal spreads over benchmark securities/Treasuries. Uses other rules-based weighting schemes instead of market value weights. In most instances. trade date and settlement date are assumed to fall on the last calendar date of the month. for MBS. CMBS spread matrix is updated by traders on a daily basis with consideration to deal-specific attributes. During holidays observed by local and regional currencies. Verification Multi-contributor verification: The primary price for each security is analyzed and compared with other third-party pricing sources through statistical routines and scrutiny by the research staff. 50% Global Aggregate ex Treasury Global Aggregate 2% Issuer Capped Global Aggregate GDP Weighted Bespoke indices can be published on Barclays Capital Live and Bloomberg. Significant discrepancies are researched and corrected. North American currency bonds: 3:00 pm (New York time). barcap. Choice of unhedged or hedged is indicated by the 8th character of the Index Ticker (U=Unhedged. Other attributes. type ALLX <Ticker>.LEGAOAS: OAS Barclays Capital Indices are also available from licensed third-party distributors and analytical platforms. please contact your regional index group or email index_feedback@barclayscapital. and Risk Solutions (IPRS) research publications Barclays Capital POINT® Long Name: Global Agg 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 Portfolio optimization capabilities Automated batch processing Bloomberg® LEHM and BCIX pages/Index Tickers Current Month Returns & Statistics Previous Month Returns & Statistics Index Tickers: . For a full list of tickerized attributes for each index. 1 Please refer to Historical Analysis Using Bloomberg Tickers for a full list of tickerized indices. List of approved vendors available upon request. G=GBP. 12 July 2011 5 . 1 Index Licensing Barclays Capital requires index data licenses for services and products linked to the Indices Index or Constituent-Level Redistribution Bond Pricing Service Exchange Traded Funds (ETFs) Exchange Traded Notes (ETNs) Index-Linked Insurance Products Mutual Funds OTC Derivative Products Custom Index Solutions For information on licensing opportunities and questions on data usage and redistribution of Barclays Capital Indices. are also tickerized on Bloomberg using the first four characters of each ticker listed in the above table.Barclays Capital | Global Aggregate Bond Index Accessing Index Data Barclays Capital Live live.LEGAYW: Yield To Worst . E=EUR. such as yield and duration. H=Hedged). Choice of currency is dictated by the 7th character of the Index Ticker (U=USD.com (keyword: index) 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. Portfolio.LEGATRUU: Total Return Index Value . Bloomberg Total Return Index Value Tickers for Global Aggregate and Related Indices Ticker (USD Unhedged) LEGATRUU LG13TRUU LG35TRUU LG57TRUU LG71TRUU LG31TRUU LG10TRUU Index Global Aggregate Bond Index Global Aggregate 1-3 Year Global Aggregate 3-5 Year Global Aggregate 5-7 Year Global Aggregate 7-10 Year Global Aggregate 1-10 Year Global Aggregate 10+ Year Ticker (USD Unhedged) LG3ATRUU LG2ATRUU LG1ATRUU LGBATRUU LGA5TRUU LG01TRUU LG38TRUU Index Global Aggregate Aaa Global Aggregate Aa Global Aggregate A Global Aggregate Baa Global Aggregate 500MM Global Aggregate USD Global Aggregate ex USD Total Return Index Values are available in other currencies and on a hedged basis. Please refer to Historical Analysis Using Bloomberg Tickers for a full list of tickers.com. J=JPY). Barclays Capital and/or an affiliate thereof (the "firm") regularly trades. the firm makes no representation that it is accurate or complete. 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