1. iBoxx EUR Indices ....................................................................................................................5 1.1. Structure of the iBoxx EUR Benchmark Indices.....................................................................5 1.2. Publication of the iBoxx EUR Benchmark Indices..................................................................6 2. iBoxx EUR Index Rules.............................................................................................................7 2.1. Criteria for iBoxx EUR Bonds .................................................................................................7 2.1.1. Bond Type .................................................................................................................7 2.1.2. Bond classification.....................................................................................................8 2.1.3. Rating.........................................................................................................................8 2.1.4. Time to Maturity .........................................................................................................9 2.1.5. Amount Outstanding..................................................................................................9 2.1.6. Monthly Rebalancing of the Indices.................. ...
Contents 1. iBoxxEURIndices....................................................................................................................5 1.1. Structure of the iBoxx EUR Benchmark Indices .....................................................................5 1.2. Publication of the iBoxx EUR Benchmark Indices ..................................................................6 2. iBoxxEURIndexRules.............................................................................................................7 2.1. Criteria for iBoxx EUR Bonds .................................................................................................7 2.1.1. Bond Type .................................................................................................................7 2.1.2. Bond classification .....................................................................................................8 2.1.3. Rating.........................................................................................................................8 2.1.4. Time to Maturity .........................................................................................................9 2.1.5. Amount Outstanding ..................................................................................................9 2.1.6. Monthly Rebalancing of the Indices...........................................................................9 2.2. Consolidation of Contributed Quotes....................................................................................10 2.3. IndexCalculation..................................................................................................................12 2.3.1. Calculating the Indices.............................................................................................12 2.3.2. Minimum Number of Bonds .....................................................................................12 2.3.3. Maturity Buckets ......................................................................................................12 2.3.4. AccruedInterest.......................................................................................................12 2.3.5. Reinvestment of Cash .............................................................................................12 2.3.6. Settlement Conventions...........................................................................................13 2.4. Determination of Benchmarks ..............................................................................................13 3. IndexFormulae........................................................................................................................14 3.1. PriceIndex............................................................................................................................14 3.2. Total Return Index ................................................................................................................14 4. Analytics..................................................................................................................................15 4.1. BondAnalytics......................................................................................................................15 4.1.1. Yield.........................................................................................................................15 4.1.2. Duration...................................................................................................................15 4.1.3. ModifiedDuration.....................................................................................................15 4.1.4. Convexity .................................................................................................................16 4.1.5. Benchmark Spread ..................................................................................................16 4.1.6. Daily and Month-to-Date Bond Returns...................................................................17 4.2. IndexAnalytics......................................................................................................................17 4.2.1. Gross Price Index ....................................................................................................17 4.2.2. IncomeIndices.........................................................................................................17 4.2.3. Average Yield ..........................................................................................................18 4.2.4. AverageDuration.....................................................................................................19 4.2.5. Average Modified Duration ......................................................................................19 4.2.6. AverageConvexity...................................................................................................20 4.2.7. AverageCoupon......................................................................................................21 4.2.8. Average Time to Maturity.........................................................................................21 4.2.9. Nominal Value .........................................................................................................21 4.2.10. MarketValue............................................................................................................21 4.2.11. Base Market Value ..................................................................................................21 4.2.12. Cash Payment .........................................................................................................21 4.2.13. Index Benchmark Spread ........................................................................................22 4.2.14. Daily and Month-to-Date Index Returns ..................................................................22 5. Appendix..................................................................................................................................23 5.1. Overview: iBoxx Corporates Sectors ....................................................................................23 5.2. Annotations...........................................................................................................................24 6. Furtherinformation.................................................................................................................27 2
Changes to the Rules and Additions to the Index Family: 01.03.2007 Launch of new maturity and rating indices for iBoxx EUR Overall, iBoxx EUR Sovereigns and iBoxx EUR Non-Sovereigns. 08.01.2007 Launch new maturity indices for iBoxx Euro Sovereigns. 01.07.2006 Implementation of Annual Index Review 2006 Rating and maturity indices for EUR Financials and Non-Financials Additional Euro indices 01.01.2006 Subordinated debt reorganization Unification of rules for subordinated debt Introduction of additional indices for non-financial senior and subordinated debt 01.07.2005 Implementation of Annual Index Review 2005 Introduction of additional iBoxx EUR indices Introduction of gross price and income index analytics Exclusion of retail bonds 01.07.2004 Implementation of Annual Index Review 2004 Reorganization of iBoxx EUR Sub-Sovereigns-indices Introduction of iBoxx EUR Corporates Insurance-Wrapped indices Introduction of erformance ke fi ures on bond and index level 01.01.2004 Calculation of iBoxx Benchmark spreads 01.12.2003 Modification of iBoxx re-balancing procedure Definition of covered bonds within the Covered sub-indices 01.10.2003 Expansion of iBoxx EUR key data for cash payment Revision of the calculation method of portfolio analytics 01.09.2003 Inclusion of Soft Bullet Bonds 01.08.2003 Separate Publication of iBoxx index ISINs 01.07.2003 Implementation of Annual Index Review 2003 Reorganization of iBoxx EUR Collateralized-indices Introduction of iBoxx EUR Financial Senior and Subordinated Debt indices 06.05.2003 Correction of formula 25 29.04.2003 Clarification of inclusion of new bonds into the index in chapter 2.3.1. 23.10.2002 Renaming to “iBoxx EUR Benchmark indices from Expansion of iBoxx EUR bond analytics for periodic and annualized portfolio 19.08.2002 key data 09.08.2002 Launch of iBoxx EUR Non-Financials Rating indices 10.07.2002 Launch of iBoxx EUR Financials Rating indices from Exclusion of sinking funds and amortizing bonds 01.07.2002 from Assignment of iBoxx EUR Other Sovereigns index into the iBoxx EUR Sub-01.07.2002 Sovereigns sector