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    04 Pan-European Aggregate Index Factsheet

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    Roberto Perez
    The document summarizes the Barclays Capital Pan-European Aggregate Bond Index. The index tracks fixed-rate, investment-grade securities issued in European currencies. Inclusion is based on currency of issue, not issuer location. Major asset classes are Treasuries, Government-Related, Corporate and Securitized bonds. The index is rebalanced monthly and includes qualifying new issues issued on or before month-end. It aims to reflect the European bond market performance for institutional investors.

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    04 Pan-European Aggregate Index Factsheet

    Uploaded by

    Roberto Perez
    449 views2 pages
    The document summarizes the Barclays Capital Pan-European Aggregate Bond Index. The index tracks fixed-rate, investment-grade securities issued in European currencies. Inclusion is based on currency of issue, not issuer location. Major asset classes are Treasuries, Government-Related, Corporate and Securitized bonds. The index is rebalanced monthly and includes qualifying new issues issued on or before month-end. It aims to reflect the European bond market performance for institutional investors.

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    The document summarizes the Barclays Capital Pan-European Aggregate Bond Index. The index tracks fixed-rate, investment-grade securities issued in European currencies. Inclusion is based on currency of issue, not issuer location. Major asset classes are Treasuries, Government-Related, Corporate and Securitized bonds. The index is rebalanced monthly and includes qualifying new issues issued on or before month-end. It aims to reflect the European bond market performance for institutional investors.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    449 views2 pages

    04 Pan-European Aggregate Index Factsheet

    Uploaded by

    Roberto Perez
    The document summarizes the Barclays Capital Pan-European Aggregate Bond Index. The index tracks fixed-rate, investment-grade securities issued in European currencies. Inclusion is based on currency of issue, not issuer location. Major asset classes are Treasuries, Government-Related, Corporate and Securitized bonds. The index is rebalanced monthly and includes qualifying new issues issued on or before month-end. It aims to reflect the European bond market performance for institutional investors.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 2

    Index Products Barclays Capital Pan-European Aggregate Bond Index

    The 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

    Barclays Capital Pan-European Aggregate Bond Index


    Rules for Inclusion
    Amount Outstanding Quality 300 million/200 million minimum par amount outstanding. For non-Euro currencies, we take the local currency equivalent equal to 300 million using the exchange rates at the end of November of each year. Must be rated investment grade ( Baa3/BBB-/BBB or above ) using the middle rating of Moodys, S&P and Fitch, respectively. When all three agencies rate an issue, a median or two out of three rating is used to determine index eligibility by dropping the highest and the lowest rating. When a rating from only two agencies is available, the lowest (most conservative) of the two is used. When a rating from only one agency is available, that rating is used to determine index eligibility. Unrated Pfandbriefe are assigned ratings that are one full rating category above the issuers unsecured debt. This is consistent with Moodys methodology and reflects the underlying collateral. Seniority of Debt Coupon At least one year until final maturity, regardless of optionality. For securities with a coupon that converts from fixed to floating at least one year until the conversion date. Perpetual securities are included in the index provided they are callable or their coupons switch from fixed to variable rate. These are included until one year before their first call date, providing they meet all other index criteria.

    Maturity

    Senior and subordinated issues are included. Undated securities are included provided their coupons switch from fixed to variable rate. Fixed-rate. Step-up coupons and coupons that change according to a predetermined schedule are also included. Capital securities with coupons that convert from fixed to floating-rate are index-eligible given that they are currently fixed-rate; the maturity date then equals the conversion date. Fixed-rate perpetual capital securities which remain fixed-rate following their first call date, and which provide no incentives to call the bonds, are excluded. Euro or Eurozone legacy currency, British pounds, Norwegian krone, Danish krone, Swedish krona, Czech koruna, Hungarian forint, Polish zloty, and Slovakian koruna (to be redenominated to EUR on January 1, 2008). Publicly issued in the Eurobond and index member domestic markets. Included: Fixed-rate bullet, puttable and callable Soft bullets Fixed-rate and fixed to floating capital securities Excluded: Bonds with equity-type features (e.g., warrants, convertibility to equity) Private placements, 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. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but is not used for returns calculation. On the last business day of the month, the composition of the latest Statistics universe becomes the Returns universe for the following month. During the month, indicative changes to securities (maturity, credit rating change, sector reclassification, amount outstanding) are reflected in both the Statistics and Returns universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the Statistics universe of the index on a daily basis, but will affect the composition of the Returns universe only at month-end when the index is rebalanced. 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. Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in the following months Returns universe.

    Index Changes

    Reinvestment of Cash flows New Issues

    40

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