THOMSON REUTERS CONVERTIBLE INDICES METHODOLOGY

Transcription

REUTERS/Russell Boyce
THOMSON REUTERS CONVERTIBLE INDICES
METHODOLOGY
Revision 5 – Final
25 November 2015
Contents
1.
OVERVIEW
1
1.1
Index Governance
1
1.2
Market Feedback
2
1.2.1.
1.2.2.
User Base
Index Advisory Group
3
3
1.3
Management of feedback
3
1.4
Historical notes
4
1.4.1.
1.4.2.
1.5
2.
2.1
Historical calculation arrangements
Transitional Arrangements
4
4
Effective Date for Methodology changes
4
THOMSON REUTERS GLOBAL CONVERTIBLE INDEX MAINTENANCE
Overview of the Global Index maintenance process
2.1.1
2.1.2
2.2
Overview of the Quarterly Reselection Process
Allocation of dates for timetable
Quarterly Index Reselection – Initial Reselection Report
2.2.1
2.2.2
Initial Reselection Report - Overview
Eligible Issues
2.2.2.1 Issue Type Requirements (Not an Index constituent)
2.2.2.2 Issue size Requirements (Not an Index constituent)
2.2.3 Quantitative Recommendations for Issues on the Eligible List
2.2.3.1 Traded Value derivation for Quarterly Index Reselection
2.2.3.2 Qualifying Prices derivation for Quarterly Index Reselection
2.2.3.3 Issues which receive exceptional treatment
2.2.3.4 Requirements for Issues that are Global Index constituents
2.2.3.5 Requirements for Issues that are not Global Index constituents
2.2.4 Categorisation of Issues
2.2.5 Proposed Action
2.3
Categorisation Review
2.3.1
2.4
Quarterly Index Reselection review process
2.4.1
2.4.2
2.5
Overview
Index Manager role in the review process
New issues added between Quarterly Index Reselections
2.5.1
2.5.2
2.5.3
2.5.4
2.5.5
2.6
Recommendations – special notes
New issues added between reselections – overview
Index Manager review of New Issues
New Issue Guidelines – Minimum Size
New issue guidelines – minimum liquidity
Index Status Report
Issues removed between Quarterly Index Reselections
2.6.1
Detail on Drop process
2.6.1.1 Overall flow of the Drop process
2.6.1.2 Resolution of conflicting guidelines
2.6.1.3 Index Manager role in the Drop Process
2.6.2 Guidelines for removal between Quarterly Index Reselections
2.6.2.1 Issue approaching final conversion date
2.6.2.2 Market Capitalisation below threshold
2.6.2.3 Issue is subject to a successful tender offer for the entire issue
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2.6.2.4
2.6.2.5
2.6.2.6
2.6.2.7
2.6.2.8
2.7
Outstanding Issue Size Changes
2.7.1
2.7.2
2.7.3
2.8
Technical changes
Proactive selection or change
Delayed and retrospective information
2.9.1
3.
Small adjustments
Substantially all retired
Substantial Changes
Other changes between Quarterly Index Reselections
2.8.1
2.8.2
2.9
Exchange property de-listed
Issue becomes impractical to price
Issue approaching a Put
Issue subject to an offer
Proactive Deselection
Retrospective adjustment of prices for Adds, Drops and volume adjustments
SUB-INDEX MAINTENANCE
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3.1
Overview of sub-indices
27
3.2
Static Sub-indices
27
3.2.1
3.2.2
3.2.3
3.2.4
3.3
Dynamic Sub-indices
3.3.1
4.
Static Sub-indices – common aspects
Region Sub-indices
Vanilla Sub-indices
Credit Sub-indices
Focus Sub-index
3.3.1.1 Focus Sub-index overview
3.3.1.2 Focus Monthly Review timetable
3.3.1.3 Focus Universe selection
3.3.1.4 Guidelines for Balanced issues
3.3.1.5 Amendment of Guidelines for Balanced Issues by the Index Manager
3.3.1.6 Focus Sub-index selection from Focus Universe
EQUITY INDICES
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4.1
Overview of Equity Indices
36
4.2
Parity Indices
36
4.3
Equity Cash Indices
36
4.3.1
4.3.2
4.3.3
4.3.4
5.
5.1
INDEX CALCULATION METHODS
Regular Index Calculation
5.1.1
5.1.2
5.1.3
5.2
Daily Index Calculation
Treatment of Income Events
Treatment of changes of constituents or weightings
FX Hedged Index Calculation
5.2.1
5.2.2
5.3
Equity Cash Since Inception Indices
Equity Cash Year to Date Indices
Equity Cash Quarter to Date Indices
Equity Cash Year on Year Indices
FX Hedged Methodology
FX Hedged Implementation
Concentration Factors
5.3.1
5.3.2
5.3.3
Concentration Levels
Concentration Factor changes
Concentration Factor calculation
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5.3.4
6.
6.1
Concentration Factor usage
APPENDIX
Equity-Linked Issue & Exchange Property
6.1.1
6.1.2
Definition of an Equity-Linked issue
Exchange Property
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6.2
Naming Methodology
46
6.3
Definitions and Derivations
46
6.3.1
6.3.2
6.3.3
6.3.4
6.3.5
6.3.6
6.3.7
6.3.8
6.3.9
6.3.10
6.3.11
6.4
Qualifying Prices
6.4.1
6.4.2
6.5
Overview
Issue Price
Original Issue Size
Initial Issue Proceeds & Outstanding Issue Proceeds
Accreted Issue Proceeds
Issue Premium
Market Capitalisation
Face Value
Parity
Premium
Traded Value
Overview
Qualifying price conditions
6.4.2.1 Absolute conditions
6.4.2.2 Relative condition
Price Basis
6.5.1
6.5.2
6.5.3
6.5.4
6.5.5
Overview
Price basis
Price sources
Price timings
Recognised exchanges
6.5.5.1 Equity exchanges
6.5.5.2 Convertible exchanges
6.5.6 Index Manager role in Pricing
6.5.6.1 Index Manager role in end of day pricing
6.5.6.2 Index Manager role in pricing Adds and Drops
6.5.7 TRPS Closing Price
6.6
Country and Region Details
6.6.1
6.7
Method of allocation of Country and Region
Credit Rating detail
6.7.1
6.7.2
Rating equivalence table
Issuer Rating derivation
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6.8
Equity Dividend Treatment
55
6.9
Index Calendar
55
7.
COMMUNICATION OF INDEX EVENTS
57
7.1
Overview
57
7.2
E-mail announcements
57
7.2.1
7.2.2
7.3
Subscription Lists
Announcement Group
Daily Change Report
7.3.1
Index Status Report
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7.3.2
7.4
8.
Index Changes Report
Amendments to Reports
SUB-INDICES - DEFINITIONS
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8.1
Sub-index groupings
59
8.2
Sub-index tables
59
9.2.1
9.2.2
9.2.3
9.2.4
9.2.5
Headline Indices
Global Indices
Regional Indices
Credit Indices
Focus Indices
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Thomson Reuters Convertible Index Disclaimer
The name Thomson Reuters Convertible Index and the names of the related Thomson Reuters subindices (together the "Thomson Reuters Indices") are proprietary to Reuters Limited ("Thomson Reuters
").
Thomson Reuters does not warrant or represent or provide any guarantee, express or implied, either as
to the results to be obtained using the benchmark of the Thomson Reuters Indices or otherwise or the
figures or levels at which the Thomson Reuters Indices stand at any particular day. In addition, Thomson
Reuters gives no assurance regarding any modification or change in any methodology used in calculating
the Thomson Reuters Indices and is under no obligation to continue the calculation, publication and
dissemination of the Thomson Reuters Indices.
Furthermore, Thomson Reuters makes no representation or warranty and provides no guarantee,
express or implied, to any person with respect to the accuracy or completeness of the Thomson Reuters
Indices or their computation and compilation of the Thomson Reuters Indices, including but not limited
to, any information or data related thereto or contained therein.
The rules and/or guidelines of the Thomson Reuters Indices, the process and basis of computation and
compilation of the Thomson Reuters Indices and the related formula, constituent benchmarks and other
relevant factors may at any time be changed or altered by Thomson Reuters without notice and at
Thomson Reuters sole discretion. In determining the constituents of the Thomson Reuters Indices and
any amendment thereto, Thomson Reuters has no obligation to consider the needs or opinions of any
person that uses, tracks or has products referenced to the Thomson Reuters Indices, irrespective of
whether or not Thomson Reuters has in fact sought the view(s) of any person using the Thomson Reuters
Indices. Thomson Reuters may disclose information, to licensees and others, regarding the Thomson
Reuters Indices (and changes thereto) without disclosing such to the public or to counterparties that
have products referenced thereto.
No responsibility or liability is accepted by Thomson Reuters its affiliates, officers, employees or agents
(whether for negligence or otherwise) in respect of the Thomson Reuters Indices, or for any inaccuracies,
omissions, mistakes, delays or errors in the computation and compilation of the Thomson Reuters
Indices (and Thomson Reuters shall not be obliged to advise any person of any error therein). Any person
that uses, tracks or has products referenced to the Thomson Reuters Indices does so entirely at their
own risk, in full knowledge of this disclaimer and can place no reliance whatsoever on Thomson Reuters
for any economic or other loss which may be directly or indirectly sustained by such person in using the
Thomson Reuters Indices.
The values shown in the Thomson Reuters Indices are not an indicative price quotation and the
information in this document is not an offer, recommendation or solicitation to buy or sell securities and
should not be treated as giving investment advice.
For avoidance of doubt, this disclaimer does not create any contractual or quasi-contractual relationship
between any person and Thomson Reuters and must not be construed to have created such relationship.
The WM/Reuters Closing Spot Rates are provided by The World Markets Company plc (“WM”) in
conjunction with Reuters. WM shall not be liable for any errors in or delays in providing or making
available the data contained within this service or for any actions taken in reliance on the same except to
the extent that the same is directly caused by its or its employees’ negligence.
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1. Overview
The Thomson Reuters Global Convertible Index serves to represent the active convertible market. The
index was previously known as the UBS Global Convertible Index prior to the acquisition of the index by
Thomson Reuters in June 2014 a brief history of the arrangements prior to the acquisition and the
transitional arrangements during the acquisition are set out in Section 1.4
The Global Index was launched on 30 September 1998 with the Global Index and most sub-indices
calculated back to 31 December 1993.
The Base Date for the Global Index and all Sub-indices is 30 September 1998.
The Methodology for the Thomson Reuter Indices is determined by Thomson Reuters and may be
changed from time to time in accordance with the Thomson Reuters Index Methodology Policy.
The composition of the Global Index is determined via the Quarterly Index Reselection process. In
addition, the Global Index changes as a result of Adds and Drops from time to time in between
reselections. The sub-indices are generated using a variety of calculation and selection methods.
This document is intended (non-exhaustively) to explain the guidelines used to select and calculate the
Thomson Reuter Indices, covering;

Global Quarterly Index Reselection process

Additions to and removals from the Global Index between Quarterly Index Reselections

Selection of Static Sub-indices (Country, Region, Vanilla, Investment Grade)

Selection of Focus Sub-indices

Calculation of Equity Cash and Parity indices

Description of calculation methodologies (Regular and FX hedged)

Communication of Index events

Definition of terms used and basis for prices used in the Global Index
The Thomson Reuters Index Business is responsible for the Administration of the Index. The Index
Manager together with the Index Team are responsible for the maintenance and calculation of the
Thomson Reuter Indices.
1.1 Index Governance
The Index is administered by Thomson Reuters who make all decisions regarding Adds, Drops,
Reselections and changes to Index Methodology, and index calculation.
The index is subject to the Thomson Reuters governance policy for index methodologies:

The Thomson Reuters Benchmark Governance Framework sets the Policies governing each
aspect of the index business, including oversight, conflicts of interest, materials retention and
remuneration.

The Thomson Reuters Index Methodology Policy describes the requirements that Thomson
Reuters Indices Methodologies need to satisfy
The governance of the Thomson Reuters Convertible Index follows the Governance framework described
in the relevant documents except where this Methodology provides for specific exceptions.
These policies and procedures are implemented by the functions outlined below which are further
described in the relevant Governance documents as appropriate:
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Index Team
The Index Team is responsible for the maintenance, calculation and distribution of the Index as
set out in this methodology.
Index Manager
The Index Manager is responsible for the integrity and quality of the index and has specific
responsibilities as set out below:






To oversee day to day operations of the Index Team
To interpret the index rules and decide on inclusions and exclusions of individual
securities in the index
To review feedback received from the User Base
Develop and implement changes to the Index Methodology
Manage interaction with the Index Advisory Group and Index Action Committee in
respect of Index changes and Index Methodology changes
Report to the Thomson Reuters Benchmarks Oversight Committee (“TRBOC”)
Index Action Committee (“IAC”)
The Index Action Committee (“IAC”) is an internal Thomson Reuters group of subject matter
experts (indices as well as asset classes) that support the Index Manager with additional advice
related to methodology interpretation or changes to the methodology. Specifically, the Index
Manager may communicate the feedback obtained from the Index Advisory Group and/or the
User Base to solicit advice from the IAC. The IAC reports to the Thomson Reuters Benchmarks
Oversight Committee.
Thomson Reuters Benchmarks Oversight Committee
The Thomson Reuters Benchmarks Oversight Committee (“TRBOC”) consists of Thomson Reuters
senior managers, and may also include external independent members. This committee is
responsible for oversight of the benchmark businesses and is responsible for compliance with all
relevant regulations and guidelines, as well as Thomson Reuters Indices policies.
1.2 Market Feedback
The governance of the Thomson Reuters Convertibles Index differs from the general Thomson Reuters
Index Governance Frameworks as it includes the ability of all licensors of the Index (the “User Base”) to
provide feedback to the Index Manager regarding Add/Drops and Reselection, in addition to the Index
Advisory Group.
Maintenance and calculation of the index requires timely, accurate and complete information on the
issues that are constituents of the index or are potential constituents of the index.
The information used in the construction and calculation of the index is collated by the Index Team on
behalf of the Index Manager from the broad range of information sources available to Thomson Reuters.
It is recognised that on occasions market participants will have information that is relevant to index
operations that may not have been considered by the Index Business and the methodology includes a
number of processes to allow this information to be utilised by the Index Business whilst maintaining the
integrity of the index.
Market feedback may be received from either or both of two sources, the User Base and the Index
Advisory Group (“IAG”)
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1.2.1.
User Base
The User Base is not a formal group but consists of any user or recipient of index information. It is
anticipated that generally feedback will be received from recipients of the Daily Change Report (Section
7.3), although any feedback received will be considered. The Daily Change Report includes details of
proposed Adds, Drops and other relevant events and indicates the date on which the Index Manager will
review feedback for a particular event.
Feedback should be directed to CB_Index_Feedback@thomsonreuters.com
When considering feedback from the User Base the Index Manager will seek to independently validate
any information provided in the feedback, where feedback is qualitative rather than quantitative the
Index Manager has the option of using the IAG or IAC to provide assistance in evaluating the feedback.
1.2.2.
Index Advisory Group
The IAG is a formal group which is comprised of market participants that are familiar with the index
constituents and general index methodology. The IAG is not responsible for any specific decisions in
respect of the index but rather provides a mechanism for the Index Manager to procure feedback to a
specific question from a market aware group.
IAG members are required to adhere to specific terms of reference, which are published separately to
this Methodology and provide a more complete description of activities of the group. The points below
provide an outline of the IAG function:

The IAG may be consulted by the Index Manager in relation to any aspect of the maintenance or
calculation of the Index when the Index Manager believes that additional market feedback will
assist in a particular decision.

The IAG may be consulted by the Index Manager in relation to changes in Methodology.

When the Index Manager refers a maintenance question to the IAG the question will be set out
in an e-mail to all IAG members and will include relevant supporting information together with a
time by which responses are required.

The Index Manager will consider all responses from the IAG and will seek to validate any
information provided in those responses.

Should a response from the IAG contain information that may be of relevance to the remainder
of the IAG when considering the question the Index Manager may choose to circulate that
information to the IAG in which case the Index Manager will first seek to independently validate
the information and will indicate in any e-mail containing the additional information the status
of the independent validation.

Any member of the User Base may request membership of the IAG by contacting the Index
Manager using the feedback e-mail address. The size and composition of the IAG will be
determined by the Index Manager to provide an effective feedback mechanism and as such not
all requests for membership may be accepted.
1.3 Management of feedback
The Index Manager will keep a record of all feedback received from the User Base.
The Index Manager will keep a record of all interactions with the IAG.
The Index Manager will maintain a record of all index actions which will include an indication if feedback
was received and if the IAG and/or IAC were involved in the decision.
These records will be available for review by the Head of Indices, IAC and TRBOC.
The Index Manager will use feedback in conjunction with all other available information to decide the
appropriate action for a particular event and may also seek guidance from the IAC before reaching a final
decision.
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1.4 Historical notes
1.4.1.
Historical calculation arrangements
From inception of the indices in 1998 until November 2010 the UBS Convertible Indices Calculation
Agent was MACE Advisers Ltd.
In November 2010 Thomson Reuters acquired MACE Advisers Ltd, following which, the day to day
maintenance and calculation of the Thomson Reuter Indices was carried out by the same team that
provided the maintenance and calculation prior to November 2010.
The Index Team consists of the same team that has provided maintenance and calculation since
November 2010.
1.4.2.
Transitional Arrangements
The transfer of the UBS Global Convertible Index from UBS to Thomson Reuters was subject to the
following transitional arrangements:

The maintenance and calculation of the index was carried out in accordance with the UBS
Convertible Indices Guidelines dated 9 Jan 2013 until EoD on 9th July 2014.

The Q2 2014 reselection (effective date 9 July 2014) was carried out under the UBS Convertible
Indices Guidelines dated 9 Jan 2013.

The maintenance and calculation of the index was be carried out in accordance with the
Thomson Reuters Convertible Indices Initial Methodology from 10th July 2014 to 28th July 2014

The maintenance and calculation of the index was carried out in accordance with the Thomson
Reuters Convertible Indices Initial Methodology (Rev 2) from 29th July 2014 to 15 September
2014.

From 16 September 2014 onwards the maintenance and calculation of the index will be carried
out in accordance with the relevant version of Thomson Reuters Convertible Indices
Methodology
1.5 Effective Date for Methodology changes
The effective dates for revisions of the Methodology are:
Revision
Effective Date
3
8 October 2014, however
Sections 2.2-2.4 were applied to the Q3 2014 Reselection process
(effective data 8 October 2014)
Section 2.5.4
was effective as of 16 September 2014
4
2 December 2014
5
25 November 2015, however the change to the source for FX Rates
(Section 6.5.3) is effective as of the Index calculation at end of day
on 11 December 2015.
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2. Thomson Reuters Global Convertible Index Maintenance
2.1
Overview of the Global Index maintenance process
The maintenance process consists of a periodic reselection of the Global Index constituents 4 times each
year (“Quarterly Index Reselection”) together with additions and removals that are required
between reselections.
2.1.1 Overview of the Quarterly Reselection Process
The Reselection Base Date is the base date for data collation for the reselection.
The Reselection Reference Point is the Index calculation carried out at EoD immediately preceding the
Reselection Base Date.
During the period from the Reselection Base Date to the Initial Reselection Announcement Date
(“Reselection Preparation Period”) data is collated and for each issue the following parameters are
determined:

Quantitative Recommendation (Add / Drop / Hold / Exclude)

Categorisation for feedback (In Scope / Out of Scope)

Proposed Action (Add / Drop / Hold / Exclude)
Section 2.2 describes in detail how these parameters are set for each issue.
The Initial Reselection Report contains details of all issues eligible for consideration for the Index
together with the Quantitative Recommendation, Categorisation and Proposed Action for each issue.
Following publication of the Initial Reselection Report feedback is solicited from the User Base on the
Categorisation of all issues in the report and following review of this feedback and any updated
quantitative date the following changes may be made to the Initial Reselection Report by the Index
Manager:

Issues may be amended from “Out of Scope” to “In Scope” for the Provisional Reselection Report

Quantitative Recommendations may be amended to reflect updated quantitative data

Proposed Actions may be amended
Section 2.3 describes the review process carried out at this stage.
The amended report is then published as the Provisional Reselection Report.
Following publication of the Provisional Reselection Report feedback is solicited from the User Base on
the Proposed Action for any of the issues which are “In Scope” for the reselection and following review
of this feedback and any updated quantitative date the Index Manager will Confirm or Decline the
Quantitative Recommendation for each issue.
Section 2.4 describes the review process used to determine the final decision for each issue
The Final Reselection Report containing details of all issues eligible for consideration for the Index
together with the decision for each issue is published to the User Base on the Final Reselection
Announcement Date.
The Reselection Effective Date is the date on which the reselection is applied. This date is the last date
that issues being dropped will affect the Global Index level. It is the closing prices on this date which will
be used for Adds to and Drops from the Global Index.
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2.1.2 Allocation of dates for timetable
The key date is the Reselection Effective Date, which will be the second Wednesday in January, April, July
and October. However, if 1st January is a Wednesday then the date will move to the third Wednesday in
January.

The Final Reselection Announcement Date will be one week prior to the Reselection Effective Date.

The Provisional Reselection Announcement Date will be two weeks prior to the Reselection
Effective Date.

The Initial Reselection Announcement Date will be three weeks prior to the Reselection Effective
Date.

The Reselection Base Date will be four weeks prior to the Reselection Effective Date.
The dates for each Quarterly Index Reselection will be announced prior to the Provisional Reselection
Announcement Date. The Index Manager may amend the dates to be used for any reselection.
The timetable for the Reselection which becomes effective in January will normally be amended from
the above timetable to allow for the December holiday period.
The Index calendar (Section 6.9) lists the timetable for future reselections.
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2.2
Quarterly Index Reselection – Initial Reselection Report
2.2.1 Initial Reselection Report - Overview
The Initial Reselection Report includes, for each Eligible Issue:

Quantitative Recommendation (Add / Drop / Hold / Exclude)

Categorisation for feedback (In Scope / Out of Scope)

Proposed Action (Add / Drop / Hold / Exclude)
The Eligible Issues are determined by the process set out in Section 2.2.2.
The Quantitative Recommendation for each issue is determined by the process set out in Section 2.2.3
The Categorisation for feedback for each issue is determined by the process set out in Section 2.2.4
The Proposed Action for each issue is determined by the process set out in Section 2.2.5
The detail of the derivation of each of the parameters used in the generation of the recommendations is
given in the Appendix (Section 6).
The FX rates used during the Quarterly Index Reselection are the FX rates at the Reselection Reference
Point unless otherwise stated.
2.2.2 Eligible Issues
All issues that are in the Global Index on the Reselection Base Date are eligible for Quarterly
Index Reselection.
All issues added to the Global Index on or after the Reselection Base Date are eligible for the Quarterly
Index Reselection. These issues will be included in the relevant reports at each stage of the process and
will have a Quantitative Recommendation of “Hold – New Issue”
All issues that are not constituents of the Global Index on the Reselection Base Date are eligible for
inclusion in the Quarterly Index Reselection only if they meet both the issue type requirements (Section
2.2.2.1) and the issue size requirements (Section 2.2.2.2)
2.2.2.1 Issue Type Requirements (Not an Index constituent)
These requirements apply to issues that are NOT constituents of the Index on the Reselection Base Date.
Issues will meet this requirement if ALL of the following conditions are satisfied.

The issue is an Equity-Linked Convertible Security (as defined in the Appendix section 6.1.1).

The issue must not be a Chinese domestic issue or a Taiwanese domestic issue.

The issue must have an ISIN code.

The maturity date (or mandatory conversion date for mandatory issues) for the issue is after the
Reselection Effective Date for the second Quarterly Index Reselection following the current
Quarterly Index Reselection.

The issue has not been called as of the Reselection Base Date.
2.2.2.2 Issue size Requirements (Not an Index constituent)
These requirements apply to issues that are NOT constituents of the Index on the Reselection Base Date.
An issue will meet this requirement if the issue meets both the Market Capitalisation and Outstanding
Issue Proceeds requirements below:
Market Capitalisation Requirement
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The issue will be meet this requirement if the Market Capitalisation of the issue at the Reselection
Reference Point is greater than or equal to US$100m and the Market Capitalisation of the issue at the
Reselection Reference Point is greater than or equal to the lesser of US$500m and 40% of the Accreted
Issue Proceeds.
Outstanding Issue Proceeds Requirement
Issues will meet this requirement if the Outstanding Issue Proceeds at the Reselection Reference Point
equals or exceeds the threshold in the table below for the region of the issue.
Region
Threshold
US
US$300m
Europe
US$200m
Other
US$200m
Asia
US$100m
Japan
US$100m
2.2.3 Quantitative Recommendations for Issues on the Eligible List
A quantitative recommendation is generated for each eligible Issue.
The quantitative recommendations that can be allocated are shown in the tables below.
For Issues that are constituents of the Global Index on the Reselection Base Date
Recommendation
Description
Hold
Recommend that the issue remains in the Index following the Reselection
on the basis that the issue has satisfied both the issues size tests (Section
2.2.3.4.1) and the liquidity tests (Section 2.2.3.4.2)
Hold – New Issue
Recommend that the issue remains in the Index following the reselection
on the basis that the issue has been added as a new issue on or after the
prior Reselection Base Date (Section 2.2.3.3)
Hold – Pending
Drop
Recommend that the issue remains in the Index following the Reselection
on the basis that a Drop date for the issue has been announced where
the Effective Date for the Drop falls after the Reselection Effective Date.
The issue will be a Hold at the Reselection, but will be removed from the
Index on the announced Effective Drop Date. (Section 2.2.3.3)
Drop
Recommend that the issue in not in the Index following the Reselection
on the basis that the issue has satisfied the issue size tests (Section
2.2.3.4.1) but has not satisfied the liquidity tests (Section 2.2.3.4.2)
Drop due to size
on the basis of the issue size tests (Section 2.2.3.4.1)
Drops before
Resection
on the basis of that the issue has been announced as a Drop with an
Effective Date on or prior to the Reselection Effective Date (Section
2.2.3.3)
For Issues that are NOT constituents of the Global Index on the Reselection Base Date
Recommendation
Description
Add
Recommend that the issue is added to the Index at the Reselection on the
basis that the issue has satisfied the liquidity tests (Section 2.2.3.5.1)
Exclude
Recommend that the issue is NOT added to the Index at the Reselection
on the basis that the issue has not satisfied the liquidity tests (Section
2.2.3.5.1)
25 November 2015
8
2.2.3.1 Traded Value derivation for Quarterly Index Reselection
The Quarterly Traded Value used for the liquidity tests during the Quarterly Index Reselection is
calculated using the sum of the daily Traded Value (Section 6.3.11 describes the derivation of Traded
Value) from and including the Reselection Base Date for the prior Quarterly Index Reselection up to and
including the day before the Reselection Base Date for the current Quarterly Index Reselection (Raw
Traded Value).
The Raw Traded Value data is adjusted to reflect a standard 65 weekday period by using the formula:
Quarterly Traded Value = Raw Traded Value * 65 / Number of weekdays in sample period
2.2.3.2 Qualifying Prices derivation for Quarterly Index Reselection
The procedure for determining the number of Qualifying Prices available for an issue is described in
Section 6.4.
The number of Qualifying Prices available for each issue that is to be used for the liquidity tests during
the Quarterly Index Reselection is obtained by sampling the available prices during the Reselection
Preparation Period.
The prices for each issue will be sampled one or more times during the Reselection Preparation period
and the Qualifying Prices value used for the liquidity tests will be the highest value obtained.
2.2.3.3 Issues which receive exceptional treatment
The following issues receive exceptional treatment in the reselection:
(i) Any issue added to the Global Index on the basis of the new issue guidelines on or after the
Reselection Base Date of the Quarterly Index Reselection that immediately preceded the current
Quarterly Index Reselection will be recommended as Hold - New Issue. However, in the event
that the issue was dropped from the Index prior to the Reselection Base Date the issue will not
receive exceptional treatment in the reselection.
(ii) Any issue announced as a Drop from the Index with an Effective Drop Date falling after the
Reselection Effective Date will be recommended as Hold – Pending Drop.
(iii) Any issue which is dropped from the Index with an Effective Drop Date on or after the
Reselection Base date and on or before the Reselection Effective Date will included with a
recommendation of Drops before Reselection.
2.2.3.4 Requirements for Issues that are Global Index constituents
For issues that are Global Index constituents as of the Reselection Base Date, the process below
determines the recommendation for each issue.
Section 2.2.3.4.1 describes the tests for issue size; issues failing to meet the tests receive a Drop due to
size recommendation.
Section 2.2.3.4.2 describes the tests for liquidity; these tests are only applied to issues that satisfy the
issue size test. Issues that satisfy either test receive a Hold recommendation; issues failing to satisfy
either test receive a Drop recommendation.
25 November 2015
9
2.2.3.4.1
Issue size tests (Index constituents)
The issue will be recommended as Drop due to size if the Outstanding Issue Proceeds at the Reselection
Reference Point are below the threshold for the region of the issue. The threshold for each region is
Region
Threshold
US
US$250m
Europe
US$150m
Other
US$150m
Asia
US$75m
Japan
US$75m
The issue will be recommended as a Drop due to size if the Market Capitalisation of the issue at the
Reselection Reference Point is below US$75m.
The issue will be recommended as a Drop due to size if the Market Capitalisation of the issue at the
Reselection Reference Point is below the lesser of US$400m and 30% of the Accreted Issue Proceeds.
2.2.3.4.2
Liquidity test (Index constituents)
This test is only applied to issues which satisfy the Issues Size tests above. The issue will be
recommended as a Hold if the issue satisfies either of the liquidity tests below.
2.2.3.4.2.1 Qualifying Prices test (Index constituents)
The qualifying prices test is not applied to issues which have a regional categorisation of US.
The issue will be recommended as a Hold if there are 2 or more Qualifying Prices available for the issue.
2.2.3.4.2.2 Traded Value Test (Index constituents)
The issue will be recommended as a Hold if the Traded Value for the issue is greater than or equal to 7%
of the Market Capitalisation of the issue on the Reselection Base Date.
2.2.3.5 Requirements for Issues that are not Global Index constituents
For issues that are not Global Index constituents as of the Reselection Base Date, the process below
determines the recommendation for each issue.
Section 2.2.3.5.1 describes the tests for liquidity; issues meeting either of the tests for liquidity will
receive an Add recommendation, issues failing both tests will be recommend as Exclude.
2.2.3.5.1
Liquidity test (Not an Index constituent)
The issue will be recommended as an Add if the issue satisfies either of the liquidity tests below.
2.2.3.5.1.1 Qualifying Prices Test (Not an Index constituent)
The qualifying prices test is not applied to issues which have a regional categorisation of US.
The issue will be recommended as an Add if there are 3 or more Qualifying Prices available for the issue.
2.2.3.5.1.2 Traded Value Test (Not an Index constituent)
The issue will be recommended as an Add if the Traded Value for the issue is greater than or equal to
14% of the Market Capitalisation of the issue on the Reselection Base Date.
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2.2.4 Categorisation of Issues
Each issue in the Initial Reselection Report will be categorised as either “In Scope” or “Out of Scope” for
the Provisional Reselection.
The categorisation of any “Out of Scope” issue may be changed to “In Scope” following the review of
feedback prior to publication of the Provisional Reselection Report.
The categorisation of any issue marked as “In Scope” will not be changed following the review of
feedback prior to publication of the Provisional Reselection Report.
The basis of the categorisation is shown in the table below
Recommendation
Categorisation Guideline
Add
In Scope unless the issue was recommended as an Add at the prior
Reselection as was subsequently not added to the Index in which case the
issue is categorised as Out of Scope.
Drop
In Scope unless the issue was recommended as a Drop at the prior
Reselection as was subsequently retained in the Index in which case the
issue is categorised as Out of Scope.
Hold
Out of Scope
Hold – New Issue
Out of Scope
Hold – Pending
Drop
Out of Scope
Drop due to size
Out of Scope
Drops before
Resection
Out of Scope
Exclude
Out of Scope
2.2.5 Proposed Action
The proposed action for each issue follows from the Quantitative Recommendation and Categorisation
for the issue as shown in the table below.
Recommendation
Categorisation
Proposed Action
Add
In Scope
Add subject to feedback received
Add
Out of Scope
Will not be considered for addition to the Index unless
the categorisation is amended during the Categorisation
Review
Drop
In Scope
Drop subject to feedback received
Drop
Out of Scope
Will not be considered for removal from to the Index
unless the categorisation is amended during the
Hold – New Issue
Out of Scope
Hold – Pending Drop
Out of Scope
Will remain in the Index unless categorisation is amended
during the Categorisation Review
Drop due to size
Out of Scope
Will be removed from the Index unless categorisation is
amended during the Categorisation Review
Drops before Resection
Out of Scope
Will be removed from the Index
Exclude
Out of Scope
Will not be considered for addition to the Index unless
the categorisation is amended during the Categorisation
Review
25 November 2015
11
2.3
The Initial Reselection Report will solicit feedback on the categorisation of issues and will indicate a cutoff time of 12:00 on the day before the Provisional Reselection Announcement Date. Feedback received
after the cut-off time may or may not be considered in the review process.
The Index Manager will review all feedback received regarding the categorisation of issues and
determine the action to be taken in respect of each issue listed in the Initial Reselection Report.
The categorisation of issues listed in the Initial Reselection report as In Scope may not be amended.
The categorisation of issues listed in the Initial Reselection report as Out of Scope may be amended by
the Index Manager to In Scope under the following circumstances:

Feedback received indicates the Proposed Action may be amended if the issue is In Scope during
the Provisional Reselection.

Updated quantitative data indicates the Proposed Action may be amended if the issue is In
Scope during the Provisional Reselection.
If the categorisation of an issue is changed then the reason for the change will be included as a note in
the Provisional Reselection Report.
2.3.1 Recommendations – special notes
The Provisional Reselection Report may include special notes in certain circumstances. The Index
Manager will determine if a special note is to be added to an issue.
The special note will be included in the Provisional Reselection Report and will indicate that there will be
a presumption that the recommendation will be declined by the Index Manager at review subject to any
feedback received during the Reselection Review Period. The note will include an explanation of the
reason that the note has been added.
The Index Manager may add a special note to the recommendation if, since the Reselection Base Date:

The Market Capitalisation or Outstanding Issue Proceeds have reduced substantially such that
the issue no longer satisfies the size tests.

The price has declined substantially and the Qualifying Prices test is no longer satisfied.

An issue recommended as an Add is called for redemption.

An issue recommended as an Add is subject to an Offer that materially affects the issue.

Quantitative data or market information indicates that the liquidity of the issue has substantially
altered during the Reselection Review Period.
By way of guidance a substantial price movement would be around 15% more then general market
movement for similar issues.
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2.4
Quarterly Index Reselection review process
2.4.1 Overview
Following publication of the Provisional Reselection Report to the User Base, the Index Manager will
review all feedback received regarding the recommendations and determine the action to be taken in
respect of each issue included in the Provisional Reselection Report.
Feedback will only be considered for issues that are listed as In Scope in the Provisional Reselection
Report.
2.4.2 Index Manager role in the review process
The provisional Reselection Report will solicit feedback on the recommendations and will indicate a cutoff time of 12:00 on the day before the Final Reselection Announcement Date. Feedback received after
the cut-off time may or may not be considered in the review process.
In respect of feedback received for issues listed as In Scope in the Provisional Reselection Report the
Index Manager will use the table below to determine the action to be taken.
Recommendation
No Feedback
received
Clear consensus
supporting
Recommendation
Clear consensus
to decline
Recommendation
No clear
consensus on
Recommendation
Add
Add
Add
Exclude
Exclude
Drop
Drop
Drop
Hold
Hold
Hold
Hold
Hold
Drop
Hold
Exclude
Exclude
Exclude
Add
Exclude
However;
(i) If a special note (Section2.3.1) has been applied to the issue then the presumption is that the
Index Manager will decline the original recommendation unless there is a clear consensus to
confirm the original recommendation.
(ii) If quantitative data or market information that was not available during the Reselection
Preparation Period indicates a substantial and material change to the issue then the Index
Manager may amend the original recommendation to reflect that information.
The Index Manager may ask the IAG and/or the IAC for feedback and/or guidance on any of the decisions
required during the Reselection Review Period.
The Final Reselection Report contains details of all issues eligible for consideration for inclusion in the
Index together with the action to be taken for each issue (Hold, Add, Drop or Exclude). The report also
includes details of the original recommendation and any notes added by the Index Manager.
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2.5
New issues added between Quarterly Index Reselections
2.5.1 New issues added between reselections – overview
The overall approach is that the Index Team will review all new issues that they become aware of and
add to the Index Status Report any issue that meet the new issue minimum size threshold set out in
Section 2.5.3 with a status of “Monitor for Add”.
All new issues included in the Index Status Report will be monitored daily for liquidity until the 14th
calendar day after the date on which the terms are fixed (“Terms Fix Date”). The Index Manager may
extend the monitoring period if there is good reason believe that the liquidity threshold will be met in
the near future.
If at any point during the monitoring period an issue meets both the new issue minimum size threshold
set out in Section 2.5.3 and the liquidity criteria set out in Section 2.5.4 the issue will be identified as a
“Potential Add” to the Global Index in the next Index Status Report issued after the conditions have been
satisfied and the Index Manager will determine, based on feedback, if the issue is to be added to the
Global Index (Section 2.5.2 below describes this process in more detail)
The Index Manager may decide, based on feedback, to identify as a Potential Add a new issue that does
not meet the liquidity criteria set out in Section 2.5.4. Any issues identified as a Potential Add on this
basis will be highlighted in the Quarterly New Issues Report.
Issues that are not added as a new issue are eligible for consideration for addition to the Global Index at
the subsequent Quarterly Index Reselection.
A summary of all new issues included in the Index Status Report together with the Index Manager
decision on each issue is published in the Quarterly New Issues Report.
The term Workday is used to describe a weekday that is not a UK bank holiday.
2.5.2 Index Manager review of New Issues
The Index Manager will review all feedback received on each Potential Add at 12:00 London time on the
third Workday following the announcement of the Potential Add to the User Base. The presumption is
that the issue will be confirmed as an Add unless there is a clear reason to decline the Add.
The Index Manager will take one of the following actions:
(i) Confirm the issue as an Add, the Add Announcement Date will be the same day as the decision.
The Add Effective Date will be decided by the Index Manager, but will generally be the following
Workday. The issue will be added to the index at EOD on the Add Effective Date and will
contribute to index performance at the first index calculation following the Add Effective Date.
(ii) Decline the issue as an Add.
(iii) Ask the IAC and/or IAG for feedback and/or guidance on the decision. In general this will result in
the decision being delayed and the status of the issue in the Index Status Report will be
amended to reflect the status of the issue.
(iv) Delay the decision to await further feedback. This option will only be used when there is good
reason to expect additional material feedback on the Add. The status of the issue in the Index
Status Report will be amended to reflect the status of the issue.
In all cases the Index Manager decision will be communicated to the User Base by means of the Index
Status Report
If an issue is declined as an Add the issue will remain on the Index Status Report until the end of the
monitoring period with a status of “Declined”. The Index Manager may review the “Declined” decision at
any time during the monitoring period if new information becomes available and if appropriate reset the
status to “Potential Add” and trigger a new review process.
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2.5.3 New Issue Guidelines – Minimum Size
The Initial Issue Proceeds must equal or exceed the regional threshold shown in the table below.
Region
Threshold
US
US$300m
Europe
US$200m
Other
US$200m
Asia
US$100m
Japan
US$100m
For issues not denominated in US$ the Initial Issue Proceeds will be translated to US$ at the FX rates
used for Global Index calculations at the end of the weekday preceding the Terms Fixing Date.
For issues where an ‘option to increase’ is exercised in part or in whole, the issue will be re-assessed
after the announcement of the increase option exercise. Where an FX rate is required, the same FX rate
will be used for the re-assessment as for the original assessment of the issue. This re-assessment will
only be carried out if the information regarding the increase is available prior to the end of the
monitoring period.
2.5.4 New issue guidelines – minimum liquidity
A new issue will have satisfied the minimum liquidity guideline provided that it has satisfied either of the
conditions set out below.
i.
Any issue for which the total Traded Value since issue is greater than or equal to 7% of the Original
Issue Proceeds.
ii.
Any issue for which 2 Qualifying Prices are available, however this condition does not apply to US
issues.
2.5.5 Index Status Report
The Index Status Report is issued daily and reflects the position as of 16:30 London Time on the day of
publication.
The report will include details of any issue subject to any of the Status/Events listed below together with
the details listed in the Details column.
The report is segregated into sections to group similar events together.
Status/Event
Monitor for Add
Potential Add Review DD Mmm
Description
Issue meets minimum size threshold for an Add,
does not meet liquidity threshold.
Issue meets minimum size and liquidity threshold
a review of feedback will take place at 12:00
London time on DD Mmm
Add Under
Review
Issue meets minimum size and liquidity threshold
for an Add, the issue is under review by the Index
Manager.
Add DD Mmm
Issue confirmed as an Add, will be added at EoD
on DD Mmm
25 November 2015
Details
Basic identification
information only.
Full details of issue including
all parameters that affect
inclusion of issue in subindexes
inclusion of issue in subindexes.
15
Status/Event
Add Declined
Description
Issue declined by Index Manager as an Add
although issue did meet size and liquidity criteria.
Added DD Mmm
Issue was added as of EoD on DD Mmm - issue
will remain on report until the later of Last
Monitor Date and Add Effective Date +2
weekdays
The Issue is under consideration to be dropped
from the index, a review of feedback will take
place at 12:00 London time on DD Mmm.
Potential Drop –
Review DD Mmm
Drop Under
Review
A potential Drop that is under review by the Index
Manager.
Drop DD Mmm
Issue confirmed as a Drop at EoD on DD Mmm
Dropped DD
Mmm
Issue was dropped as of EoD on DD Mmm - issue
will remain on report for 3 weekdays following
DD Mmm
The issue was announced as a Potential Drop and
subsequently declined as a Drop by the Index
Manager on DD Mmm – the issue will remain on
report for 5 weekdays following DD Mmm.
The outstanding Size will be changed on DD
Mmm.
Drop Declined DD
Mmm
Change DD Mmm
Put - Review DD
Mmm
Put – Under
Review
Put – Decline DD
Mmm
25 November 2015
The Issue is subject to a Put and the Index
Manager is awaiting feedback, a review of
feedback will take place at 12:00 London time on
DD Mmm.
Following feedback the Event status will change
to either Drop, Put – Decline, Put – Under Review
or will remain as Put – Review with a new date set
The Issue is subject to a Put and the Index
Manager is reviewing feedback received.
The Issue is subject to a Put on DD Mmm and the
Index Manager has determined that the issue will
not be dropped from the index.
Details
Also contains details of the
reason the Add was declined.
Full details of the reason for
the drop together with
relevant supporting figures
such as Parity / Offer details
etc.
the drop together with
relevant supporting figures
such as Parity / Offer details
etc.
the Drop together with the
Drop price or Drop price basis
as appropriate.
the Drop together with the
Drop price.
Details of the original drop
basis together with the Index
Manager reason for declining
the Drop
Details of the proposed
change.
Full details of the Put together
with supporting additional
data such as parity.
16
Status/Event
Offer - Review DD
Mmm
Offer – Under
Review
Description
The Issue is subject to an Offer and the Index
Manager is awaiting feedback, a review of
feedback will take place at 12:00 London time on
DD Mmm.
Following feedback the Event status will change
to either Drop, Offer – Decline, Offer – Under
Review or will remain as Offer – Review with a
new date set
The Issue is subject to an Offer and the Index
Manager is reviewing feedback received.
Offer - Decline
DD Mmm
The Issue is subject to an Offer on DD Mmm and
the Index Manager has determined that the issue
will be treated as not accepting the offer –
Section 2.6.2.7 below gives additional details on
this treatment.
Technical Add DD
Mmm
Issue has been announced as a Technical Add
(See Section 2.8.1)
Technical Drop
DD Mmm
Focus Add
DD Mmm
Focus Drop
DD Mmm
Rating Change
Other
25 November 2015
Details
Full details of the Offer
together with supporting
additional data such as parity.
Detail of the reason for the
event and linkage to
associated Technical Drop
Issue has been announced as a Technical Drop
Detail of the reason for the
(See Section 2.8.1)
event and linkage to
associated Technical Add
Issue is being added to the Focus Index.
Issue is being dropped from the Focus Index.
This record type will only be used when an issue is all parameters that affect
being dropped from the Focus Index and not
inclusion of issue in subbeing dropped from the Global Index.
indexes.
The issue has changed in status from or to
Investment Grade. Rating changes within each
band are not reported.
inclusion of issue in subUnusually, the date for this event are included in
indexes.
the details section as the date will be different for Date of action for Focus and
Focus and Non-Focus sub-indices
Non-Focus sub-indices.
Issue has been subject to a change or action not
Details of the event
covered by a specific event type.
17
2.6
Issues removed between Quarterly Index Reselections
The circumstances under which an issue may be removed from the Global Index other than at Quarterly
Index Reselections are listed below:

Issue reaching final conversion date (section 2.6.2.1)

Market Capitalisation below threshold (section 2.6.2.2)

Issue is subject of a successful tender offer (section 2.6.2.3)

Exchange Property de-listed (section2.6.2.4)

Issue becomes impractical to price (section 2.6.2.5)

Issue approaching a Put (section 2.6.2.6)

Issue subject to an Offer (section 2.6.2.7)

Proactive deselection (section 2.6.2.8)
2.6.1 Detail on Drop process
2.6.1.1 Overall flow of the Drop process
The sequence of events for issues that are removed from the Global Index at times other than the
Quarterly Index Reselections is as follows:
The Index Team determines that an issue has met the guidelines necessary for the issue to be notified to
the Index Manager as an issue that may require removal from the Global Index and the Index Team
informs the Index Manager of the details and the proposed basis for handling the drop (the “Drop
Notification Date”).
The Index Manager will then, determine if the issue is to be removed, and if the issue is to be removed
then the Index Manager will determine, the Drop Announcement Date, the Drop Date, the Issue Drop
Price and the Equity Drop Price. The Index Manager may, or may not request feedback from the User
Base depending on the circumstances of the Drop.
Should the Index Manager determine that feedback is to be requested from the User Base then the date
of this announcement is the “Potential Drop Notification Date” and the date on which the feedback will
be reviewed will also be announced (the “Potential Drop Review Date”).
Guidance on whether the feedback should be requested by the Index Manager and the timeframe for
feedback is given in the sections below.
The Drop Announcement Date is the date on which details of the drop are released.
The Drop Date is the date which is used to determine the appropriate value to use for removal of the
issue from the Global Index, for example if an issue is to be removed from the Global Index at the Parity
value, then the equity price prevailing at the end of the Drop Date will be used to compute the Parity.
The Drop Date is the last date on which the issue contributes to the calculation of the Global Index.
A summary of all issues which have been notified to the Index Manager as a Potential Drop will be
included in the Index Status Report from the Drop Notification Date until the Drop process is completed.
2.6.1.2 Resolution of conflicting guidelines
In the event that more than one guideline is triggered then the guideline that would result in the
removal of the issue at the earliest date will prevail. If conflict remains then the Index Manager will,
determine the guideline(s) appropriate for the particular issue. The Index Manager may decide to
request feedback from the User Base to assist in the decision as to the appropriate guideline to apply,
however generally is these situations time is of the essence and a decision will need to be reached
immediately.
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2.6.1.3 Index Manager role in the Drop Process
The role of the Index Manager in the Drop Process is to determine whether an issue is to be dropped and
if so the relevant dates and prices to associate with the drop. The guidelines below indicate when the
Index Manager will generally request feedback from the User Base.
In all circumstances the Index Manager may elect to request feedback from the User Base and/or ask the
IAC and/or IAG for feedback and/or guidance on the decision.
The baseline timetable for the feedback process will be as follows:
Potential Drop Announcement Date
Drop notification Date
Potential Drop Review Date
3rd Workday following Potential Drop Announcement Date
Drop Announcement Date
Drop Date
As indicated in the relevant guideline
The Index Manager will review all feedback received on the Potential Drop at 12:00 London time on the
third Workday following the announcement of the Potential Drop to the User Base. The presumption is
that the issue will be confirmed as a Drop using the basis announced unless there is a clear reason to
decline the Drop or to amend the basis of the Drop.
The Index Manager will take one of the following actions:
(i) Confirm the issue as a Drop on the terms stated in the Potential Drop Announcement. The Drop
Announcement Date will be the same day as the decision.
(ii) Confirm the issue as a Drop on amended terms, the amendment may relate to the date and/or
the price to be used for the Drop. The Drop Announcement Date will be the same day as the
decision.
(iii) Decline the issue as a Drop. In this case the Index Status Report will be updated to reflect the
decision and the record will remain on the Issue Status Report for 5 weekdays.
(iv) Ask the IAC and/or IAG for feedback and/or guidance on the. In general this will result in the
decision being delayed and the status of the issue in the Index Status Report will be amended to
reflect the status of the issue.
(v) Delay the decision to await further feedback. This option will commonly be used when there is a
significant period between the Potential Drop Announcement Date and the expected Drop
Announcement Date and it is perceived that market events may result is a change to the drop
treatment. In this event the Index Manager will determine a revised Potential Drop Review Date
which will be communicated to the User Base by inclusion in the Index Status Report and the
issues will be reviewed again on that date.
In all cases the Index Manager decision will be communicated to the User Base by means of the Index
Status Report
2.6.2 Guidelines for removal between Quarterly Index Reselections
The following sections set out the guidelines used to identify issues to be advised by the Index Team to
the Index Manager as candidates for removal at times other than the Quarterly Index Reselections.
2.6.2.1 Issue approaching final conversion date
For an issue approaching the final conversion date the Drop Notification Date is generally the 15th
Workday prior to the last date on which a holder may elect to convert the issue rather than retain the
issue for the benefit of future coupons and/or redemption proceeds.
This guideline applies both to issues which have been called and issues that are approaching maturity.
25 November 2015
19
This guideline also applies to issues with mandatory conversion. Although in general there is no benefit
to converting close to the mandatory conversion date each issue is considered when approaching the
final holders’ conversion date to establish the appropriate drop date for the issue. For issues with
mandatory conversion the “redemption proceeds” in the guidelines below refer to the value of securities
that will be received at mandatory conversion.
The guidelines for the removal basis depend on parity on the Drop Notification Date.
If parity is greater than the redemption proceeds (including any remaining coupon) then the guidelines
are:
Issue Drop Price
Market Price at close on Drop Date
Workday following the Drop Notification Date
Drop Date
5th Workday following Drop Announcement Date
If parity is less than the redemption proceeds (including any remaining coupon) then the guidelines are:
Issue Drop Price
Redemption proceeds
Drop Date
Maturity / Mandatory conversion date
In general, the Index Manager will not request feedback on an issue that is notified in these
circumstances.
2.6.2.2 Market Capitalisation below threshold
If the Market Capitalisation of the issue falls below BOTH of the limits set out below then the issue will
be advised to the Index Manager on the following Workday


US$300m
20% of the Accreted Issue Proceeds on the day.
The guidelines for the removal basis are:
Issue Drop Price
Market Price
Drop Notification Date
Drop Date
circumstances
2.6.2.3 Issue is subject to a successful tender offer for the entire issue
The date on which the Index Team becomes aware that an issue has been subject to a successful tender
offer for all of the outstanding convertibles is the Drop Notification Date for the issue.
Issue Drop Price
To be supplied by the Index Manager
Drop Date
To be supplied by the Index Manager taking into account the terms
of the tender
circumstances.
25 November 2015
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2.6.2.4 Exchange property de-listed
If the Exchange Property is expected to be de-listed from all Recognised Exchanges then the Drop
Notification Date for the issue will, where possible, be the 15th Workday prior to the last trading day for
the Exchange Property prior to de-listing.
Issue Drop Price
Market Price
Drop Date
circumstances..
2.6.2.5 Issue becomes impractical to price
For an issue to become impractical to price BOTH of the following conditions must be satisfied:
i.
An acceptable price is not available from any Recognised Convertible Exchange
ii.
A TRPS Closing Price is not available or TRPS have advised that pricing of the issue will be terminated
The Index Manager will determine if a price is an acceptable price in the context of condition (i) above.
If this situation arises then the Index Manager will be advised.
Issue Drop Price
To be supplied by the Index Manager
Drop Date
circumstances
2.6.2.6 Issue approaching a Put
For an issue approaching a Put, the Drop Notification Date is the 11th Workday prior to the last date on
which a holder may elect to Put the issue rather than retain the issue. For issues with terms that allow
the holder to submit and then withdraw their notice the last day on which the notice may be withdrawn
is the relevant date.
The guideline is that the Index Manager will review the issue and then announce the treatment of the
issue for the event. There are 4 options available at this stage:
(i) Announce that the issue will not be dropped at the forthcoming Put – no further action in
respect of the event is required.
(ii) Announce that the issue will be dropped from the index at the forthcoming Put. In this event the
guidelines for the removal basis are:
Issue Drop Price
Put Price
Drop Date
Put Date
(iii) Announce that the issue will be dropped from the index prior to the forthcoming Put. In this
event the guidelines for the removal basis are:
Issue Drop Price
Market Price
Drop Date
5th Workday following Potential Drop Review Date
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(iv) Announce that the issue will be monitored – in this case the Index Manager will determine the
date on which a further announcement will be made. At the time of the further announcement
the Index Manager will determine which of these 4 options is appropriate for the issue.
In general, the Index Manager will select option (i) above when the Market Price is greater than the Put
Price together with any Coupon due to a holder between the Market Price date and the Put otherwise
option (ii) above will be the default action.
In general, the Index Manager will request feedback on an issue that is notified in these circumstances
and may request further feedback as the Put Date approaches.
2.6.2.7 Issue subject to an offer
This guideline deals with situations where the issue becomes the subject of an offer, examples of such
events are:

Offer to pay holders a cash amount in consideration of a terms change

Offer to purchase the convertible by the issuer or another entity

Offer to pay holders a cash amount in consideration of the holder not exercising a Put option

Offer to exchange the issue for a new or existing issue
In this situation the Drop Notification Date is the 15th Workday prior to the last date on which a holder
can make a final decision in respect of the offer, in the case of an offer with terms that allow the holder
to submit and then withdraw their acceptance the last day on which the acceptance may be withdrawn
is the relevant date.
The guideline is that the Index Manager will review the issue and then announce the treatment of the
issue for the event. There are 3 options available at this stage:
(i) Announce that the issue will be dropped prior to the acceptance date for the offer, in which case
the guidelines for the removal basis are:
Issue Drop Price
Market Price
Drop Date
5th Workday following Potential Drop Review Date
(ii) Announce that the issue will be treated as not accepting the offer – the issue will be treated as if
a holder had not accepted any offer made, however if the offer is of the type that if a certain
percentage of holders accept the offer and such percentage of holders do accepts the offer then
the remaining holders are deemed to have accepted the offer whereupon the guidelines for
action will be as if the decision had been made to accept the offer.
(iii) Announce that the issue will be treated as accepting the offer, in which case, if the offer results
in the exchange of the issue for cash or other non convertible securities then the issue is
removed from the index and guidelines for the removal basis are:
Issue Drop Price
Offer Value
Drop Date
Offer effective date
If the offer is for the issue to be exchanged for other convertible securities then the guideline
would be for the new issue to replace the old issue.
(iv) Announce that the issue will be monitored – in this case the Index Manager will determine the
date on which a further announcement will be made. At the time of the further announcement
the Index Manager will determine which of these 4 options is appropriate for the issue.
and may request further feedback as the Offer Effective Date approaches.
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Issues subject to a tender offer when all convertibles tendered may not be accepted for the offer.
If an issue is subject to an offer where the cash or other consideration available to holders is less than
the amount required should all holders tender their holdings, and where the mechanism for dealing with
this event is to accept tenders on a pro-rata basis then the treatment of the issue if option (iii) above
(treat as accepting the offer) is selected by the Index Manager is as follows:

The announcement will state that the issue will be treated as accepting the offer and that the
announcement will highlight the fact that the tender may be scaled back.

In the event that the offer is not oversubscribed then the issue is dropped on the offer effective
date using the offer price as the Drop Price. However, if the result of the offer is not available
until a later date then the Drop Date is the first date on which the necessary information is
available to the Index Team.

In the event that the offer is oversubscribed then:
o
The amount outstanding for the issue is reduced by the pro-rata basis announced by the
issuer and the price used to value the issue on the date the amount is reduced will be
the tender offer price. The amount outstanding will be amended on the offer effective
date. However, if the result of the offer is not available until a later date then the change
is made on the first date on which the necessary information is available to the Index
Team.
o
At the following Reselection Effective Date the amount outstanding for the issue is
amended to reflect the actual amount outstanding at that time rather than the notional
amount outstanding calculated when the result of the offer was announced.
o
In the event that the amount outstanding for the issue changes between the offer
effective date and the following Reselection Effective Date then the Index Manager will,
at its sole discretion, determine the amount outstanding to be used for index
calculations up to the following Reselection Effective Date.
By way of an example of the oversubscription treatment:
A zero coupon issue has US$120m nominal outstanding.

The issuer offers to purchase convertibles at par, however the offer is subject to a limit of
US$60m nominal of convertibles to be purchased and oversubscriptions will be scaled back prorata.

The index announces that the issue will be treated as accepting the offer.

At the conclusion of the tender, US$100m nominal of convertibles have been tendered.

The pro-rata ratio is 60% - thus for each US$1m nominal tendered the holder will receive
US$600,000 cash and US$400,000 nominal will be “returned” to the holder.

On the offer effective date the amount outstanding for the purposes of index calculations is
reduced from US$120m to US$48m ( US$120m – { US$120m x 60% } )

The actual amount outstanding is:

Tendered
US$100m
Accepted
US$60m
Returned
US$40m
Not Tendered US$20m
Outstanding US$60m (US$40m returned + US$20m not tendered)
On the following Reselection Effective Date the amount outstanding for the purposes of index
calculations is reset to US$60m.
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2.6.2.8 Proactive Deselection
There are circumstances where a judgment is required to establish the most appropriate action to take
in respect of the possible removal of an issue from the Global Index between Quarterly
Index Reselections.
As and when the Index Team become aware of such circumstances the Index Team will advise the Index
Manager of the details of the circumstances and the Index Manager will decide if the issue is to be
removed from the Global Index and, if the issue is to be removed from the Global Index, then the Index
Manager will decide on the date and price of the removal.
In general, the Index Manager will seek feedback from the User Base and/or the IAG and/or the IAC. In
exceptional circumstance it may be necessary for the Index Manager to determine the treatment of an
issue without seeking feedback from the User Base.
It is not possible to anticipate all of the circumstances that might require proactive deselection, however,
examples of such circumstances are:

An issue with time limited enhanced conversion terms

An issue subject to a time limited cash exchange offer by the issuer

An issue associated with a complex merger or takeover

An issue where a corporate event associated with the Exchange Property might trigger a holder
to convert
In addition to these specific circumstances the Index Manager may, as described above, decide that it is
appropriate for an issue to be removed from the Global Index and the Index Manager will then, as
described above, decide on the date and price of the removal.
Actions taken under this guideline will be included in the Index Status Report in the same format as
other Drops, however the basis of the Drop will be highlighted in the notes section of the report.
2.7
Outstanding Issue Size Changes
The Outstanding Issue Size of each issue in the Global Index is monitored by the Index Team. When the
Index Team becomes aware of a change in the Outstanding Issue Size for a constituent of the Global
Index then the Index Team will inform the Index Manager of the details and the proposed basis for
handling the change.
The Index Manager will then decide the appropriate action to take; this process will generally not include
seeking feedback from the User Base, following this decision:

If a change is to be applied the Index Manager will determine the Change Announcement Date,
the Change Effective Date and the Change Effective Price.

The Index Manager may, as a result of a notification, decide to remove the issue from the Global
Index in which case the Index Manager will determine the Drop Date, the Issue Drop Price and
the Equity Drop Price.
If the Index Manager decides to seek feedback from the User Base then the issue will be included in the
Index Status Report.
If a change is required, the sequence of events for a change is to announce the change on the Change
Announcement Date, the change will apply as of the end of day on the Change Effective Date at the
Change Effective Price.
As the price used for the volume change is the price used for the issue in the calculation of the Global
Index for the Change Effective Date, in circumstances where the Change Effective Price is not the current
market price there will be a transient impact on the Global Index value.
The common types of change, together with the guidelines for handling the change are set out in the
sections below. Any types of change not covered below will be notified to the Index Manager who will
then decide the appropriate action to take.
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2.7.1 Small adjustments
Where the Outstanding Issue Size change represents a change in Market Capitalisation that is less than
US$100m then the guidelines are:
Change Effective Price
Market Price
Change Announcement Date
Change Notification Date
Change Effective Date
Workday following Change Announcement Date
circumstances.
2.7.2 Substantially all retired
All changes of Outstanding Issue Size whether classified as small or substantial are checked against the
guidelines below to determine if the issue should be considered as substantially all retired.
In the event that the issue is considered to be substantially all retired then the issue will be dropped
from the index using the guidelines for the price and timing of the removal as per section 2.6.2.2
An issue will be considered as substantially all retired if after the change has been applied the issue
would meet either of the following conditions:
(i) Less than 20% of the Original Issue Size outstanding and less than US$300m Market
Capitalisation.
(ii) The amount outstanding is such that it is likely that the outstanding issue size will cause the issue
not to be eligible at the following Quarterly Index Reselection.
The Index Manager will, if necessary, decide if the issue does or does not meet condition (ii); this process
may or may not include seeking feedback from the User Base.
circumstances.
Actions taken under this guideline will be included in the Index Status Report in the same format as
other Drops, however the basis of the Drop will be highlighted in the notes section of the report.
2.7.3 Substantial Changes
Where the Outstanding Issue Size change represents a change in Market Capitalisation that is US$100m
or greater the guidelines are:
Change Effective Price
Market Price
Change Announcement Date
Change Notification Date
Change Effective Date
5th Workday following Change Announcement Date
circumstances.
2.8
Other changes between Quarterly Index Reselections
2.8.1 Technical changes
Issues in the Global Index are subject to Technical Add and Technical Drop when certain features of the
issue change. The most common event that may require a technical change is a merger or takeover that
results in a change to the Exchange Property of the issue. This is reflected in the Global Index by the
replacement of one MACE ID by a new MACE ID, the physical issue represented by these references
remains unchanged.
Any issue subject to a Technical Add / Technical Drop will be included in the Index Status Report.
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2.8.2 Proactive selection or change
Circumstances may occur such that, between Quarterly Index Reselections, it may be appropriate for an
issue to be added to the Global Index or to be replaced with one or more other issues. If such
circumstances become apparent to the Index Team then the Index Team will advise the Index Manager
of the circumstances.
In these circumstances the Index Manager will advise the Index Team of which issues, if any, to add and
or remove from the Global Index and the effective dates and prices to apply to these changes.
however when time is of the essence the Index Manager may decide to proceed without requesting
feedback.
Any issue subject to proactive selection or change will be included in the Index Status Report and the
basis for the change will be highlighted in the notes section of the report.
2.9
Delayed and retrospective information
The maintenance process for the Index requires a flow of timely and accurate information of the status
of all securities which are constituents or potential constituents of the Index.
On occasions, the information available to make a particular decision will have been missed, delayed or
be amended retrospectively.
The Index Manager will decide on the appropriate action to take in such circumstances; this process may
or may not include seeking feedback from the User Base.
The action will be announced in the Index Status Report with the event type “other” and details of the
action in the notes section of the report.
2.9.1 Retrospective adjustment of prices for Adds, Drops and volume adjustments
On occasions, the price used for an Add, a Drop or for a change of the amount outstanding will require
amendment.
An amendment will be made only if the Index Manager decides an amendment is the appropriate action
to take; this process may or may not include seeking feedback from the IAC and/or IAG, however if an
amendment is carried out then it will always be reported to the IAC.
If an amendment is required then the following procedures will be followed:
For an amendment to an Add price:
The issue will be dropped from the Global Index at the prevailing market price and then
immediately reinstated at a different price. The difference between the prices will generate the
required amendment.
For an amendment to a Drop price:
The issue will be reinstated to the index for a single day and the Add and Drop prices will be
selected to provide the required amendment.
For an amendment to a price used for a change to amount outstanding:
The amount outstanding will be restored to the prior amount outstanding for one day in order to
make the adjustment. The start and end of day prices for that day will be selected to provide the
required amendment.
The action will be announced in the Index Status Report with the event type “other” and details of the
action in the notes section of the report.
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3. Sub-Index Maintenance
3.1
Overview of sub-indices
All sub-indices are selected from the issues that form the Global Index. As such any issue which is
removed from the Global Index is simultaneously removed from all sub-indices. Issues which are added
to the Global Index may, or may not, become eligible for inclusion in a particular sub-index, the
guidelines for each sub-index set out the basis for inclusion of new issues.
Sub-indices can be broadly divided into two categories:
Static Sub-indices – sub-indices where selection is based on constant or rarely changing parameters such
as Region or credit rating
Dynamic Sub-indices – sub-indices where selection is based on a periodic assessment of parameters
3.2
Static Sub-indices
3.2.1 Static Sub-indices – common aspects
Issues qualify for inclusion in Static Sub-indices at the same time the issue is added to the Global Index,
whether as a new issue or at a Quarterly Index Reselection. However, the actual date that an issue is
added to a Static Sub-index may not be the same as the date used for addition to the Global Index; the
sections below indicate the circumstances under which a different date is used.
The Index Manager will determine, the appropriate allocation of all parameters used for the allocation of
Static Sub-indices based on the guidelines and, if appropriate, feedback from the User Base and/or
feedback and/or guidance from the IAC and/or the IAG .
3.2.2 Region Sub-indices
The Region of an issue is based directly on the Country allocated to that issue.
The allocation of Country to Region is set out in Section 6.6.1
The Country of an issue will be determined as follows:

Issues with an equity as the underlying asset will be allocated to the country of the Primary
Exchange of the underlying asset.

Issues with an ADR or GDR as the underlying asset will be allocated to the country of the Primary
Exchange of the underlying asset of the ADR / GDR.

Issues with an ADR or GDR as the underlying asset where the ADR/GDR does not have a listed
equity as the underlying asset will be allocated to the country of the Primary Exchange of the
ADR / GDR.

Issues with a basket of equities as the underlying asset will be allocated to the country of the
Primary Exchange of the underlying asset which predominates.
The Primary Exchange of a particular equity will be determined using the Primary Issue RIC allocated by
Thomson Reuters.
The Index Manager may, following feedback/guidance from the User Base and/or the IAC and/or the
IAG, as appropriate, determine the Country of an issue to be set differently to the Country that would be
selected by the above guidelines. In particular, the Index Manager will use feedback/guidance to assist in
determining the underlying asset which predominates for issues with baskets as the underlying asset.
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The Global Index is divided into 5 key Regions:

US

Europe

Asia ex-Japan

Japan

Other Markets
In addition there are 4 other Regions for which indices are calculated:

Global ex-US

Eurozone

Asia

Growth Markets
The allocation of an issue may change with time and the Index Manager may reallocate an issue to a
different Country or Region at any time. In general the Index Manager will seek feedback on both the
change and the timing before making a change, however if time is of the essence then feedback may not
be requested. In the event that an issue is to be reallocated the Index Manager will determine the
effective date for the change – the effective date may be different for different indices or index groups,
for example the focus drops may be selected to align to a Focus Monthly Review Effective Date.
If an issue is reallocated or feedback is requested from the User Base in connection with a proposed
change then the change will be included in the Index Status Report.
A full list of Countries and the Country – Region allocations is given in the Appendix section 6.6.
3.2.3 Vanilla Sub-indices
Vanilla sub-indices are indices which exclude issues identified as Mandatory issues.
Issues are identified as Mandatory or Vanilla at the time the issue is added to the Global Index
For all new issues where conversion into the Exchange Property is compulsory at maturity, the Index
Team will advise the Index Manager. The Index Manager will then determine, if the issue is to be
regarded as Mandatory or Vanilla for the purposes of sub-index selection and other index features
where the Mandatory feature is significant to selection or computation.
The Index Manager may request feedback/guidance from the User Base and/or the IAC and/or the IAG,
as appropriate in order to determine whether the issue is to be regarded as Mandatory or Vanilla.
The nature of an issue may change with time and the Index Manager may reclassify an issue as
Mandatory or Vanilla at any time. In general the Index Manager will seek feedback on both the change
and the timing before making a change, however if time is of the essence then feedback may not be
requested. In the event that an issue is to be reallocated the Index Manager will determine the effective
date for the change – the effective date may be different for different indices or index groups, for
example the Focus Sub-Index drops may be selected to align to a Focus Monthly Review Effective Date.
If an issue is reallocated or feedback is requested from the User Base in connection with a proposed
change then the change/proposed change will be included in the Index Status Report.
The following index groups are Vanilla indices.

All Credit Sub-Indices

Asia

Europe

Focus

Eurozone

Growth Markets

Asia ex-Japan

Other Markets

Japan
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3.2.4 Credit Sub-indices
Credit sub-indices are determined by reference to the credit rating assigned to each issue, or in the
absence of any ratings for the issue then on the basis of the issuer ratings applicable to the guarantor
and/or issuer as appropriate. For the avoidance of doubt:

Only Vanilla issues are eligible for Credit Sub-Indices

‘Shadow’ or implied ratings are not used for Credit Sub-indices.
The credit sub-indices are obtained by grouping ratings into 2 separate classes, these are:

Investment Grade – BBB- and above

Sub-Investment Grade – Below BBB- and not rated
The rating agencies used to determine the class for an issue are Standard & Poor’s and Moody’s
Investors Service. For issues rated by both services the lower credit rating is used.
For issues with no ratings for the issue then If the issue has a guarantor then the issuer ratings from S&P
and Moody's for the guarantor are evaluated using the same criteria used for issue ratings, for issues
rated by both services the lower credit rating is used. If there are no ratings available for the guarantor
then the issue is treated as if there were no guarantor.
For issues with no ratings for the issue and with no guarantor then the issuer ratings from S&P and
Moody's for the issuer are evaluated using the same criteria used for issue ratings, for issues rated by
both services the lower credit rating is used.
Both rating agencies provide a number of types of ratings for issuers, the derivation of the issuer ratings
used for this guideline are given in the Appendix Section 6.7.2
A table giving the cross reference between rating systems is given in the Appendix Section 6.7 6.7.1
When a rating change results in an issue changing between Investment Grade and Sub-investment
Grade, or if a new issue is added to the Global Index when already classified as Investment Grade, the
treatment within the Credit Sub-indices will be as follows:
For all indices:
For issues changing from Sub-investment Grade to Investment Grade only; if the maturity date of the
issue is less than 6 months after the Focus Monthly Review Effective Date following the next Focus
Monthly Review Selection Date then the issue is not included in any Investment Grade indices. This
guideline is applied irrespective of whether the issue is a member of the Global Focus Index at the time
of the change.
For Focus sub-indices:
The change will be announced immediately and then applied at the Focus Monthly Review
Effective Date which follows the first Focus Monthly Review Selection Date which falls on or after
the announcement date.
For other sub-indices
The change will be announced immediately and then applied on the 5th Workday following the
announcement
The Index Manager may vary the timing of the announcement or application of the rating change to subindices.
If an issue is reclassified or feedback is requested from the User Base in connection with a proposed
change then the change will be included in the Index Status Report. For issues that are being added or
are proposed to be added to Global Index under the New Issue guidelines (Section 2.5) the process of
classifying an issue as Investment Grade or Sub-investment Grade is carried out as part of the New Issue
Add process and feedback regarding the classification will be taken in conjunction with any other
feedback regarding the proposed addition of the issue.
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Historical notes for Credit sub-indices
Prior to January 2013 mandatory convertible issues were eligible for non-Focus Credit Sub-indices.
Prior to 10th July 2014 the guidelines provided for R&I and JCR ratings to be additionally considered in
respect of Japanese issues.
Prior to 8 October 2014 the guidelines excluded issuer ratings from consideration.
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3.3
Dynamic Sub-indices
3.3.1 Focus Sub-index
3.3.1.1 Focus Sub-index overview
The Focus Sub-index is an index which is selected to contain Balanced issues.
The overall flow of maintenance of the Focus Sub-index is as follows:
On a monthly cycle, after any changes resulting from a Quarterly Index Reselection are applied, the
Focus Sub-index is subject to a periodic maintenance process as set out below (the Focus
Monthly Review).

All dated (i.e. non-perpetual) Vanilla Global Index issues are reviewed and the Balanced issues are
identified (section 3.3.1.4). The list of all Global Index issues that are Balanced is referred to as the
Focus Universe

Any issues that have been announced as additions to the Vanilla Global Index prior to the Focus
Monthly Review Selection Date will be included in the issues to be reviewed – issues for which the
add announcement date (for the Vanilla Global Index) falls after the start of the Focus Monthly
Review Selection Period are reviewed on the basis of the data from the add announcement date to
the end of the Focus Monthly Review Selection Period

All issues in the Focus Sub-index which are no longer Balanced are removed from the Focus Subindex

Balanced issues that meet the size criteria for addition to the Focus Sub-index will be added if the
issue meets the price and premium limits for addition to the Focus Sub-index (section 3.3.1.6).

Balanced issues are never removed from the Focus Sub-index as part of the Focus Monthly Review
process although Balanced issues will be removed from the Focus Sub-index at the time of a Focus
Monthly Review if they are removed from the Global Index at the corresponding Quarterly Index
Reselection.
There is no general provision for additions to or deletions from the Focus Sub-index between Focus
Monthly Reviews, however changes may be made in any of the following circumstances:

Any issue removed from the Global Index for whatever reason is automatically removed from the
Focus Sub-index. This is not particular to the Focus Sub-index but applies generally to all sub-indices.

Any issue that is in the Focus Sub-index that is replaced in the Global Index by one or more other
issues will be advised to the Index Manager. The Index Manager will then determine which, if any,
of the replacement issues will be added to the Focus Sub-index. The Index Manager may request
feedback/guidance from the User Base and/or the IAC and/or the IAG, as appropriate in order to
determine the appropriate action.

Circumstances may occur such that, between Focus Monthly Reviews, it may be appropriate for an
issue to be added to or removed from the Focus Sub-index. In these circumstances the Index
Manager will determine the detail of any amendments to the constituents of the Focus Sub-index.
The Index Manager may request feedback/guidance from the User Base and/or the IAC and/or the
IAG, as appropriate in order to determine the appropriate action.
If an issue is added to or removed from the Focus Sub-Index between Focus Monthly Reselections or
feedback is requested from the User Base in connection with a proposed change then the
change/proposed change will be included in the Index Status Report.
The sections below set out the detail of each of the maintenance steps.
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3.3.1.2 Focus Monthly Review timetable
The Focus Monthly Review Effective Date is the date on which changes required as a result of the Focus
Monthly Review are applied - issues that are to be removed from the Focus Sub-index will be removed at
the EOD price on the effective date and issues that are to be added to the Focus Sub-index will be added
at the EOD price on the effective date.
The Focus Monthly Review Effective Date will generally be the second Wednesday in each month. In
months containing a Reselection Effective Date for the Quarterly Index Reselection the Focus Monthly
Review Effective Date will be the same as the Reselection Effective Date.
The Focus Monthly Review Selection Date is the date on which the Focus Universe is determined and the
constituents of the Focus Sub-index that will be effective as from the Focus Monthly Review Effective
Date are announced.
The Focus Monthly Review Selection Date is generally one week prior to the Focus Monthly Review
Effective Date.
The Focus Monthly Review Selection Period is the period during which market prices and related
parameters are measured to allow application of the mechanical guidelines used to generate the initial
list of Balanced issues.
The Focus Monthly Review Selection Period is generally the 5 weekdays immediately prior to the Focus
Monthly Review Selection Date
The dates for each review will be announced prior to the Focus Monthly Review Selection Date.
The calendar above is for guidance, the Index Manager may determine a different calendar of events.
The Index calendar (Section 6.9) lists the key dates for future reviews.
3.3.1.3 Focus Universe selection
The Focus Universe is selected during the Focus Sub-index monthly review.
At each monthly review cycle all Global Index issues are reviewed against the mechanical guidelines for
Balanced issues set out in section 3.3.1.4 below.
A list of all Global Index issues is available to the Index Manager indicating which issues meet the
mechanical guidelines for Balanced issues.
The Index Manager may, in exceptional circumstances, determine amendments to the list of Balanced
issues. The Index Manager may seek feedback/guidance from the IAC and/or IAG in this situation;
however the timescale of the reselection permits only a limited time for this decision.
Any amendments made by the Index Manager to the list of Balanced issues generated by the mechanical
guidelines will be reported in the Index Status Report and at the following Quarterly Index Reselection
The list of Balanced issues as amended by the Index Manager forms the Focus Universe for the review
cycle.
3.3.1.4 Guidelines for Balanced issues
The specific guidelines for each parameter are set out in the sections below. For an issue to be regarded
as Balanced the issue must pass all of the guidelines below. Failure to meet any of the guidelines will
cause the issue to be marked as ‘Not Balanced’.
The thresholds are monitored at each Focus Monthly Review and the Index Manager may amend any of
the threshold values as described in Section 3.3.1.5.
In some cases the guidelines use different thresholds depending on whether an issue was measured by
the guidelines as Balanced at the previous monthly review.
For the price and Premium guidelines the value is tested against the threshold using the EOD values on
each weekday in the Focus Monthly Review Selection Period.
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
For an issue that was measured as Balanced at the prior review to fail the guideline the value must
fall outside the threshold on all of the days in the Focus Monthly Review Selection Period. If the
issue falls inside the threshold for one or more days in the Focus Monthly Review Selection Period
then the issue meets the guideline.

For an issue that was measured as Not Balanced at the prior review, or an issue that was not a
Global Index constituent at the prior review to pass the guideline the value must fall inside the
threshold on all of the days in the Focus Monthly Review Selection Period. If the issue falls outside
the threshold for one or more days in the Focus Monthly Review Selection Period then the issue
fails the guideline.
3.3.1.4.1
Premium guidelines for Balanced issues
The limits for conversion premium depend on whether the issue was measured as Balanced at the prior
review.
Measured at prior
review as
Threshold
Balanced
Meets guideline if Premium is less than or equal to 100%
Not Balanced
Meets the guideline if the Premium is less than 75%
The threshold upper limit for premium has been varied historically as a result of the prevailing market
conditions. The historical values used are shown in the table below.
Date
Balanced
Not Balanced
Start
End
Premium <=
Premium <
Inception
Oct 2008
100%
75%
Nov 2008
Dec 2009
200%
75%
Jan 2010
Sep 2010
125%
75%
Oct 2010
Current
100%
75%
These limits are subject to further revision by the Index Manager (Section 3.3.1.5 gives details of this
process).
3.3.1.4.2
Price guidelines for Balanced issues
The limits for market price depend on whether the issue was measured as Balanced at the prior review.
For the purpose of this test, the market price is first converted to a Dirty Price by the addition of any
contractual Accrued and then expressed as a percentage of the Accreted Issue Price plus any contractual
Accrued (Percentage Price).
Measured at prior
review as
Threshold (ranges are inclusive)
Balanced
Meets guideline if Percentage Price falls in the range 60% to 140%
Not Balanced
Meets guideline if Percentage Price falls in the range 70% to 125%
The threshold limits for price have been varied historically as a result of the prevailing market conditions.
The historical values used are shown in the table below.
Date
Start
Balanced
End
Lower
Upper
Not Balanced
Lower
Upper
Inception
Oct 2008
50%
140%
60%
125%
Nov 2008
Dec 2009
40%
140%
60%
125%
Jan 2010
Dec 2011
50%
140%
60%
125%
Jan 2012
Current
60%
140%
70%
125%
25 November 2015
33
These limits are subject to further revision by the Index Manager (Section 3.3.1.5 gives details of this
process).
3.3.1.4.3
Life and market event guidelines for Balanced issues
The following guidelines are applied to the initial list of Balanced issues. These guidelines apply only to
issues that are not in the Focus Sub-index on the Focus Monthly Review Selection Date.

If the maturity date of the issue is less than 6 months after the Focus Monthly Review Effective
Date then the issue is automatically categorised as Not Balanced.

If an announcement has been made that the issue will be dropped from the Global Index on a
future date then the issue is automatically categorised as Not Balanced.

Any issue with an offer outstanding for some or all of the issue as of the Focus Monthly Review
Selection Date will be categorised as Not Balanced.

Any issue with a merger or takeover offer outstanding on the underlying asset of the issue as of
the Focus Monthly Review Selection Date will be categorised as Not Balanced.
3.3.1.5 Amendment of Guidelines for Balanced Issues by the Index Manager
The price or premium thresholds used to allocate issues as Balanced or Not Balanced during the Focus
Monthly Review Selection together with the Regional Threshold Level may be amended by the Index
Manager.
The Index Manager may only amend these thresholds following feedback from the IAC on the proposed
changes. The Index Manager may also seek feedback from the IAG and/or the User Base on proposed
changes.
Any changes that are made to the thresholds will be announced in the Index Status Report.
3.3.1.6 Focus Sub-index selection from Focus Universe
Following selection of the Focus Universe as per section 3.3.1.3, the Focus Sub-index is selected
as follows:
i.
All issues in the Focus Sub-index prior to the monthly review that are present in the Focus Universe
are automatically retained.
ii.
Issues which are in the Focus Universe, but not in the Focus Sub-index prior to the monthly review
are added to the Focus Sub-index if the issue has a Market Capitalisation greater than or equal to
the relevant Regional Threshold Level on all of the weekdays in the Focus Monthly Review Selection
Period.
The Regional Threshold Level for each Region is set out in the table below. Changes to the Regional
Threshold Level will be determined by Index Manager as set out in Section 3.3.1.5. Changes to the
Regional Threshold Level to be applied from a particular Focus Sub-index monthly review will be
announced no later than the Focus Monthly Review Selection Date.
Region
Currency
Value
US
USD
500m
Europe
EUR
375m
Asia ex-Japan
USD
275m
Japan
JPY
22,000m
Other Markets
USD
275m
25 November 2015
34
The Regional Threshold Levels have been varied historically as a result of the prevailing market
conditions. The historical values used are shown in the table below.
Region
Currency
Inception –
Dec 2009
US
USD
650m
600m
500m
Europe
EUR
450m
400m
375m
Asia ex-Japan
USD
300m
300m
275m
Japan
JPY
30,000m
25,000m
22,000m
Other Markets
USD
300m
300m
275m
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Jan 2010 –
Jan 2013
Feb 2013 Current
35
4. Equity Indices
4.1
Overview of Equity Indices
For each sub-index in the Index there a number of related equity indices.
The constituents of the equity indices related to a particular convertible index are the equities that form
the exchange properties of the convertibles in the related index.
The different equity indices related to the same convertible index differ in the weighting assigned to the
constituents and the method of calculation.
4.2
Parity Indices
The Parity Index associated with each convertible index uses a weighting for each issue equal to the
value of the Exchange Property for the entire outstanding convertible issue. For convertible indices
where concentration factors are applied the concentration factor for the issue is applied to the related
constituent(s) in the Parity Index.
The Parity Index start value on 31 Dec 1993 is based on a percentage of the relevant convertible index
start value on 31 Dec 1993. This percentage being the sum of the Market Capitalisation of the Parity
Index divided by the Market Capitalisation of the convertible index.
4.3
Equity Cash Indices
An Equity Cash Index has the weighting set on the relevant Equity Cash Index Base Date such that the
Market Capitalisation of the entire outstanding convertible issue (subject to any relevant concentration
factor) is equal to the Market Capitalisation of the related equity holding in the Equity Cash Index.
Subsequent to the Equity Cash Index Base Date the weighting in the Equity Cash Index is adjusted
proportionately to any changes in amount outstanding or concentration factor applied to the related
convertible issue. The weight is also adjusted as required to account for stock splits, rights issues and
similar corporate events.
The various Equity Cash Indices use different Equity Cash Index Base Dates as set out below.
4.3.1 Equity Cash Since Inception Indices
Equity Cash Since Inception Indices use the date on which the issue first entered relevant convertible
index as the Equity Cash Index Base Date.
The Equity Cash Since Inception Indices start values on 31 Dec 1993 are set to be the same as the
relevant convertible index.
4.3.2 Equity Cash Year to Date Indices
Equity Cash Year to Date Indices use the last weekday of each year as the Equity Cash Index Base Date.
The Equity Cash Index value is reset at the end of each year to align with the relevant convertible index.
To allow comparison of convertible and Equity Cash Index performance for a year, the Equity Cash Index
level on 31 December each year is based on the weightings set one year earlier. The Equity Cash Index
level on 1 January each year is based on the weightings set on the previous weekday and uses a base
index level equal to the convertible index level on the previous weekday.
4.3.3 Equity Cash Quarter to Date Indices
Equity Cash Quarter to Date Indices use the last weekday of each calendar quarter as the Equity Cash
Index Base Date.
The Equity Cash Index value is reset at the end of each quarter to align with the relevant convertible
index. To allow comparison of convertible and Equity Cash Index performance for a quarter, the Equity
25 November 2015
36
Cash Index level on the last weekday of the quarter is based on the weightings set one quarter earlier.
The Equity Cash Index level on the first weekday of each quarter is based on the weightings set on the
previous weekday and uses a base index level equal to the relevant convertible index level on the
previous weekday.
4.3.4 Equity Cash Year on Year Indices
Equity Cash Year on Year Indices use same calendar day in the prior year as the Equity Cash Index Base
Date. In the event that the same calendar day in the prior year is not a weekday then the first weekday
prior to the same calendar day is used as the base point.
The Equity Cash Year on Year Indices value reports a year on year change rather than an absolute level,
thus a value of 11 for an Equity Cash Year on Year Index on a particular date reflects the fact that an
Equity Cash Index with an Equity Cash Index Base Date set one year prior to that date with a base value
of 100 on the Equity Cash Index Base Date would have a value of 111.
25 November 2015
37
5. Index Calculation Methods
5.1
Regular Index Calculation
The basic index calculation method is a Market Capitalisation weighted chain-linked index calculation
with income reinvestment.
The index is calculated to the full precision available to the calculation process; however the official
published values of the index are rounded to 2 decimal places (1 decimal place up to and including
31 December 2007).
The index is calculated using the prices available at the time of calculation. In general, the index is not
subject to retrospective recalculation. However the Index Manager may determine that a retrospective
recalculation is required and if so will then determine the data items that are to be amended for that
calculation.
A retrospective calculation will only be made when there has been a manifest and material error.
The Index Manager may only determine that a retrospective calculation is required following feedback
from the IAC on the proposed retrospective calculation. The Index Manager may also seek feedback from
the IAG and/or the User Base on proposed changes.
Any retrospective recalculation that is made will be announced in the Index Status Report.
5.1.1 Daily Index Calculation
The index is constructed and the index value is computed such that the impact of each issue is in
proportion to the Market Capitalisation of the issue and where the income periodically due to each issue
is fully and continually reflected in the index value.
In order to derive:
V
The value of the index on day t. Index values are only computed for weekdays and if day t is
a Friday then day t +1 will be the following Monday
t
The values required are:
t
The dirty cash value of one unit of the i th issue in the index on day t.
t
The cash value of any income that becomes due for one unit of the i th issue in the
index on day t
t
The issue size outstanding in units of the i th issue in the index on day t
Di
Ci
Si
t
The exchange rate used to convert the cash price of the i th issue in the index on day
t to the index currency.
t
The index factor on day t
Xi
F
n
The number of issues in the index on day t
t
The value of the index is given by:
 D  C * S * X
i  nt
V
t

i 1
t
t
t
t
i
i
i
i
F

t
The value of F will remain unchanged until there is a change to the constituents of the index, there is a
change to the issue size of one or more of the constituents or until an income event occurs for an issue
in the index.
25 November 2015
38
The above equation assumes that income is generated in the same currency as the price. In exceptional
cases the income currency is different to the price currency, in which case the equation is modified
shown below:
 Dti * Sti * X ti  C ti * Sti * Xc ti 
i n t
V 
t
i 1
F
t
t
Where Xc I is the exchange rate used to convert the income cash value to the index currency.
For simplicity, the remaining equations in this section assume that the income currency is the same as
the price currency, although in practice the index is computed on the more general basis shown above.
5.1.2 Treatment of Income Events
The principle is that the index should, at all times, reflect the income stream of constituent issues.
On a day to day basis the index reflects the income element of constituent issues by using the Dirty Price
for computation. Thus if all issues in the index were priced at constant Clean Prices on successive days,
the index would increase to reflect the increase of accrual on each issue.
The key date for the handling of income events is the Ex-income Date. The Ex-income Date is the first
trade date on which trading takes place for delivery of the security such that the buyer does not become
entitled to the income.
On the Ex-income Date for a particular security, the contribution to the index value from the security is
composed of 2 elements:

The Dirty Price for the issue multiplied by the number of units outstanding and converted to the
index currency divided by the index factor.

The income received per unit of the issue multiplied by the number of units outstanding and
converted to the index currency divided by the index factor
If the index is considered as a theoretical portfolio this approach equates to holding the income as cash
for the duration of the Ex-income Date and re-investing the cash at the end of day prices across the
index in proportion to the Market Capitalisation of the issues.
At the end of the Ex-income Date, the income is re-invested in the index. This re-investment does not
alter the value of the index and therefore the end of day value of the index before re-investment:
 D  C * S * X 
i nt
i 1
t
t
t
t
i
i
i
i
F
t
must be equal to the end of day value after the re-investment
 Dti * Sti * X ti 
i n t
i 1
t
F new
The new index factor is therefore
 Dti * Sti * X ti 
i n t
t
t
i 1
F new  F * i nt
 Dti  C ti * Sti * X ti 
i 1
For convertible indices the gross income is used for the calculation. For equity indices the income used
may be net or gross depending on the market, details for each market are given in Section 6.8.
25 November 2015
39
5.1.3 Treatment of changes of constituents or weightings
When changing the constituents of the index by adding or deleting issues, or by changing the size of an
issue, the principle is that the immediate effect of the addition is to leave the index unchanged.
Given that the value of the index before the addition will be:
 Dti  Sti  X ti 
i n t
i 1
V 
t
F
t
and, that the value of the index after the addition will be:
i  new _ nt

i 1
V 
t
new _ D  new _ S  new _ X 
t
i
t
i
t
i
new _ F t
Where
t
new _ Di
t
new _ Si
t
new _ X i
new _ F
The revised dirty cash value of one unit of the i th issue in the index on
day t
The revised issue size outstanding in units of the i th issue in the index
on day t
The exchange rate used to convert the cash price of the i
on day t to the index currency.
th
issue in the index
t
The revised index factor on day t
t
new _ n
The revised number of issues in the index on day t
Then
i  new _ n t
t
new _ F  F t 

i 1
new _ D  new _ S  new _ X 
t
i
t
i
t
i
 Dti  Sti  X ti 
i  nt
i 1
Changes are always made using the final values for prices on a particular day. Thus whilst a change has
been implemented on a particular day, the first day on which the changes will affect the index value is
the following day.
The conventional approach is to refer to the first day on which a change will affect the value of the index
as being the date on which the change was implemented, although this is not strictly true. The
conventional terminology is used throughout this document.
5.2
FX Hedged Index Calculation
5.2.1 FX Hedged Methodology
A simple hedge strategy is to sell forward currency of equal value to the securities held in any currency
other than the base currency of the fund. It is this strategy that the FX Hedged methodology is intended
to closely imitate.
The performance of a fund adopting this approach will be the performance of the securities in their
native currencies plus the impact of the forward currency transaction.
The impact of the forward currency transaction over a specific period in isolation is the difference
between the base currency amount required to purchase the securities and the amount of base currency
that will be received when the forward is closed out.
For example:

Start date: 5 July 2004
25 November 2015
40

Securities to be purchased 104,700,000 JPY

To fund the purchase buy 104,700,000 JPY at 109.1 JPY/US$ at a cost of 959,670.03 US$

Looking at a 1 month period, to protect the fund against FX movements, the forward contract is:
Deliver 104,700,000 JPY against 960,814.90 US$ (108.97 JPY/US$) in 1 month

After 1 month (5 Aug 04) the securities have a value of 102,700,000 JPY

At the end of the month, sell the securities to generate 102,700,000 JPY

Settle the Forward contract to leave cash balances of:
(2,000,000) JPY (102,700,000 – 104,700,000)
1,144.87 US$ (960,814.90 – 959,670.03)

The JPY loss of 2,000,000 JPY is the performance of the securities during the period, which is (1.91)%
of the original value (in JPY).

The JPY loss converted to US$ at the spot rate for 5 Aug 04 (111.78) is 17892.29 US$, which is
(1.86)% of the original value (in US$).

The US$ profit of 1,144.87 is the impact of the forward transaction and represents 0.119% of the
original value.

The total performance for the period is (16,747.42) US$, which represents (1.75)% of the original
value.

The total percentage performance can also be obtained as:
(% JPY LOSS * SOM FX/EOM FX) + % US$ PROFIT = (-1.91 X 109.1/111.78) + .119 = -1.75
{EOM FX = End of Month FX Rate SOM FX = Start of Month FX Rate}
The first element of the equation is the performance of the security in the currency of the security
adjusted for the impact of FX rate changes during the month between that currency and the base
currency used for hedging.
The second element of the equation is the profit or loss generated by the forward transaction over
the period.
5.2.2 FX Hedged Implementation
The implementation within an index calculation requires the calculation to closely imitate the strategy
described above. The calculation needs to be applied on a per security basis and on a daily basis.
To provide a realistic estimate of the impact of an effective 1 day forward rate one month deposit rates
for the currencies are used as set out below, the mid market rates are used for the calculations.
The impact of the FX forward for a period of n days as a percentage of the position value is calculated as:
(1 month deposit rate for FX Hedge currency – 1 month deposit rate for constituent currency) x n/365
In the calculation of the index values the period of n days is either one day or 3 days, depending on
whether a weekend is involved in the calculation.
The performance of the constituent in base currency is adjusted to account for FX moves during the day
as:
Adjusted performance = Raw Performance * Start of Day FX/End of day FX
The FX is the constituent currency per unit of base currency.
The % hedged performance is:
% Impact of FX forward + % Adjusted Performance
The performance of the overall hedged index is the sum of:
% hedged performance of each constituent * weight of constituent within index.
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The performance of the overall hedged index is then used to generate an index value
Where depo rate information is not available a value of zero is used.
5.3
Concentration Factors
5.3.1 Concentration Levels
Concentration Factors are used to limit the impact of specific issues in a particular index.
Concentration Factors are used for most indices.
For each index where Concentration Factors are used a Concentration Level is used to calculate the
Concentration Factor to be applied to each issue in the index. The Concentration Level is the percentage
of the Market Capitalisation of the index to which the influence of a single issuer or underlying is limited
by application of the Concentration Factors.
The Index Manager will determine from time to time which indices will use Concentration Factors and
for those indices the Concentration Level to apply. The Index Manager may only amend these details
following feedback from the IAC on the proposed changes. The Index Manager may also seek feedback
from the IAG and/or the User Base on proposed changes.
Any changes that are made to the list of which indices will use Concentration Factors and for those
indices the Concentration Level to apply will be announced in the Index Status Report.
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42
The table below sets out the Concentration Level used for each index group, the Concentration Level is
used for all indices based on that selection of issues regardless of the calculation currency or calculation
method.
Index Group
Concentration Level
Global
2%
Global Vanilla
2%
Global ex US
3%
US
3%
Global Focus
4%
Global Investment Grade
4%
US Vanilla
4%
Europe
5%
Eurozone
5%
Asia
5%
Growth Markets
5%
Global Focus Investment Grade
6%
US Focus
6%
US Investment Grade
6%
Asia ex-Japan
6%
Asia Focus
6%
Japan
8%
Europe Focus
8%
Eurozone Focus
10%
Europe Investment Grade
10%
Asia ex-Japan Focus
10%
Japan Focus
15%
US Focus Investment Grade
15%
Europe Focus Investment Grade
15%
Japan Investment Grade
No Limit
Other Markets
No Limit
Note: These values are effective as of reselections effective 9 July 2014.
The Concentration Level used for each index group is reviewed at each Focus Monthly Review and the
Index Manager will determine any amendments to Concentration Levels using the procedure set out
above.
Concentration Factors are used to ensure the following conditions are satisfied following the calculation
of Concentration Factors.

The total Market Capitalisation of issues from a single issuer does not exceed a specified amount set
for that index.

The total Market Capitalisation of issues that convert into a particular underlying does not exceed a
specified amount set for that index.
There is only one Concentration Factor for each issue in a particular index.
The calculation of Concentration Factors may be carried out for an entire index or may be carried out for
a selection of one or more issues.
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The Index Manager may determine the Concentration Factor to be used for a specific issue in a particular
index using the procedure set out above for changes to the Concentration Factors used for each index .
Mandatory convertibles are not included in the computation of the total capitalisation issued by an
issuer, but are included in the computation of the overall index capitalisation.
The issuer related to the Exchange Property of each issue is generally a straightforward determination,
however where necessary the Index Manager will determine the issuer to be allocated for the purposes
of these calculations. The Index Manager may ask the User Base and/or IAC and/or IAG for feedback
and/or guidance on the decision.
Any changes or proposed changes to the issuer associated with the Exchange Property of an issue will be
announced in the Index Status Report.
For issues that are being added or are proposed to be added to Global Index under the New Issue
guidelines (Section 2.5) the process identifying the issuer to be associated with the Exchange Property is
carried out as part of the New Issue Add process and feedback regarding the association will be taken in
conjunction with any other feedback regarding the proposed addition of the issue.
5.3.2 Concentration Factor changes
The method used to calculate Concentration Factors is set out in section 5.3.3 below.
Concentration Factors are recalculated for each index at Quarterly Index Reselections and for Focus subindices at Focus Monthly Reviews.
Concentration Factors are recalculated for specific issues when an issue is added to or dropped from an
index. In these circumstances the issues for which the Concentration Factors are recalculated is limited
to the Related Issues of the issue or issues being added or dropped.
During the daily index calculation a check is carried out to determine if any issuer or underlying exceeds
125% of the Concentration Level applying to the index. If this situation occurs then the Index Team will
advise the Index Manager of the details of the situation and Index Manager will determine if a recalculation of the Concentration Factors is to be carried out and if so the timing of such re-calculation.
The Index Manager may seek feedback and/or guidance from the IAC and/or the IAG
The Index Manager may require a re-calculation of the Concentration Factors to be carried out for
specified issues or indices or may defer a specific calculation of Concentration Factors. In general the
Index Manager would seek guidance from the IAC before such actions, however if time is of the essence
the Index Manager may authorise these actions and subsequently report the events to the IAC.
5.3.3 Concentration Factor calculation
The process for calculating the Concentration Factors is iterative as the application of any factor will
change the weighting of all other issues in the index.
The calculation follows the same sequence whether the Concentration Factors for the whole index or the
Concentration Factors for specific issues are being recalculated.
For recalculation of the Concentration Factors for the whole index the Relevant Issues are all of the
constituents of the index.
For recalculation of specified issues the Relevant Issues are the Related Issues based on the specified
issues required for the recalculation.
Related Issues are determined iteratively; initially the Related Issues are set to the specified issues. Then
all issues that have the same issuer as any of the Related Issues together with all issues that have the
same underlying as any of the Related Issues are added to the list of Related Issues. This process is
repeated until no additions to the list of Related Issues are made.
The sequence of operations for the calculation is as follows:
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44
a) Remove all of the Concentration Factors.
b) For any issues where the Index Manager has set an override value for the Concentration Factor,
apply the Concentration Factor and remove those issues from the list of Relevant Issues.
c) Calculate the total Market Capitalisation of the index using the Concentration Factors already set
and then calculate the Threshold Capitalisation as the product of the Market Capitalisation and
the Concentration Level.
d) For each underlying represented in the Relevant Issues, calculate the aggregate Market
Capitalisation of all Relevant Issues with that underlying. If the value exceeds the Threshold
Capitalisation then adjust the Concentration Factor used for each of the Relevant Issues with
that underlying by the ratio of the Threshold Capitalisation divided by the aggregate Market
Capitalisation of all Relevant Issues with that underlying.
e) Repeat step (c) and (d) until no material change is made.
f)
Calculate the total Market Capitalisation of the index using the Concentration Factors already set
and then calculate the Threshold Capitalisation as the product of the Market Capitalisation and
the Concentration Level.
g) For each issuer represented in the Relevant Issues, calculate the aggregate Market Capitalisation
of all Relevant Issues from that issuer. If the value exceeds the Threshold Capitalisation then
adjust the Concentration Factor used for each of the Relevant Issues from that issuer by the ratio
of the Threshold Capitalisation divided by the aggregate Market Capitalisation of all Relevant
Issues from that issuer.
h) Repeat step (f) and (g) until no material change is made.
i)
Repeat steps (c) to (h) until no material change is made in either (d) or (g)
The materiality test used is that if the aggregate Market Capitalisation is no more than US$10 above the
Threshold Capitalisation then the change is not material
5.3.4 Concentration Factor usage
The product of the Concentration Factor set at any particular calculation and the Outstanding Issue Size
for a particular issue at the time of the calculation is the Maximum Allowed Size for that issue for the
period until the next calculation of Concentration Factors affecting that issue.
The actual issue size used in index calculation will be the lower of the Outstanding Issue Size and the
Maximum Allowed Size.
An issue that is not subject to the application of a Concentration Factor will use the Outstanding Issue
Size as the actual issue size in index calculations.
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6. Appendix
6.1
Equity-Linked Issue & Exchange Property
6.1.1 Definition of an Equity-Linked issue
For an issue to be a candidate for inclusion in the Global Index it must be an Equity-Linked Convertible
Security as generally recognised in the market.

Examples of such issues would include convertibles, exchangeables, mandatory issues and ‘useable’
bonds with warrants.

We define useable bonds with warrants as issues that differ from the conventional bonds with
warrant structure, as the warrant(s) can only be exercised if the holder tenders the bond, which
means it behaves like a vanilla convertible.

The issue must be convertible into a listed share. On this basis various pre-IPO convertibles are
excluded from the Global Index.

Contingent convertible structures with only downside, contingent conversion features which are
dependent on capital ratio triggers are not considered to be Equity-Linked Convertible Securities.
The Index Team will refer any issue where there is uncertainty regarding this classification to the Index
Manager. The Index Manager will determine the classification of the issue. The Index Manager may ask
the User Base and/or IAC and/or IAG for feedback and/or guidance on the decision.
6.1.2 Exchange Property
The Exchange Property for a convertible is the equity and/or any other value that is received on
conversion of the issue.
Issues where the exchange property consists of an amount of cash where the cash value is directly linked
to the market value of an equity or basket of equities are regarded as being convertible directly into the
equities for the purposes of calculations in respect of the indices.
6.2
Naming Methodology
The names used to describe issue in the Global Index follow specific conventions
Convertible type
Naming method
Example
Convertible
Underlying name, coupon, maturity
year
Celesio 2.5% 2018
Preferreds
Underlying name, dividend cash value
per year, maturity year
Omnicare 'B' $2 2033
Perpetual
Underlying name, coupon, type
Health Care REIT $3.25 Perpetual
Exchangeable
Underlying name, (Issuer name),
coupon, maturity year
Daimler (Aabar) 4% 2016
If an issuer or underlying is subject to a takeover or name change then both the old and the new names
are shown, separated by a forward slash, with the new name first, once the new name comes in to
common usage the old name is removed.
6.3
Definitions and Derivations
6.3.1 Overview
This section contains details of the definitions and derivations of a number of parameters used in the
construction and calculation of the indices.
25 November 2015
46
6.3.2 Issue Price
The Issue Price for an issue is the price at which an issue is first sold to general investors. Issues which
are re-offered at a price lower than the originally published issue price will be allocated the re-offered
price as the Issue Price. Some issues, particularly Japanese issues are quoted with a headline issue price
which is paid by the underwriter and then an offer price which is the price at which the issue is offered
to the market. In this case the Issue Price is set to the offer price.
If there is any doubt as to the appropriate price to be used for the Issue Price the Index Team will refer
the issue to the Index Manager. The Index Manager will determine the Issue Price to be used for the
issue. The Index Manager may ask the User Base and/or IAC and/or IAG for feedback and/or guidance on
the decision.
6.3.3 Original Issue Size
The Original Issue Size is the size of the issue when launched, including any option to increase that
was exercised.
6.3.4 Initial Issue Proceeds & Outstanding Issue Proceeds
Initial Issue Proceeds  Issue Price  Original Issue Size
Outstanding Issue Proceeds  Initial Issue Proceeds
Outstanding Issue Size
Original Issue Size
6.3.5 Accreted Issue Proceeds
The Accreted Issue Proceeds is a measure of the capitalisation of an issue which varies through the life of
an issue to reflect the impact of discount issue or premium redemption terms.
By way of example, the TJX Companies 0% 2021 issue was launched in 2001 at an issue price of 67.165%
with issue proceeds of US$347,578,875, the issue matures in 2021 at a price of 100% with redemption
proceeds of US$517,500,000. The Accreted Issue Proceeds tracks the change from the issue proceeds to
the redemption proceeds through the life of an issue.
The derivation of this value is as follows:
Accreted Issue Proceeds = Dirty Accreted Issue Price x Original Issue Size
Dirty Accreted Issue Price = Accreted Issue Price + Allowance for Accrued
Allowance for Accrued is the accrued interest for transactions on the relevant trade date. For issues
subject to contractual accrued this is the contractual accrued. For issues that trade with accrued in the
price this value is a notional value calculated using an accrual method appropriate to the market.
Accreted Issue Price = Issue Price * (Capital Yield ^ Elapsed Life)
Capital Yield = (Redemption Price/Issue Price) ^ ( 1/Issue Term)
Elapsed Life is the number of years since issue date and Issue Term is the number of years from Issue
Date to final redemption.
For issues where the Redemption Price is not a fixed value at issue (e.g. Floating principal issues) or
where the Redemption Price is not defined (e.g. Perpetual Issues) or where the Redemption Price is zero
(e.g. Mandatory issues) or where the Redemption Price is in a currency different to the Issue Price then
Capital Yield is set to a value of 1.
6.3.6 Issue Premium
The Issue Premium is percentage by which the Issue Price exceeds the Parity calculated using the equity
price at issue. The equity price at issue is frequently stated as a reference price at the time the terms of a
new issue is fixed.
25 November 2015
47
If there is any doubt as to the appropriate Issue Premium to be used the Index Team will refer the issue
to the Index Manager. The Index Manager will determine the Issue Premium to be used for the issue.
The Index Manager may ask the User Base and/or IAC and/or IAG for feedback and/or guidance on the
decision.
6.3.7 Market Capitalisation
MarketCapitalisation
 Dirty Price  Outstanding Issue Size
6.3.8 Face Value
The Face Value of an issue is the nominal value of the issue, for bonds this is normally clearly stated in
the prospectus and is the basis for the percentage pricing used in many markets. For preferred
convertible issues the Face Value is normally the liquidation preference.
If the Face Value is not clear from the issue documentation the Index Team will refer the issue to the
Index Manager. . The Index Manager will determine the Face Value to be used for the issue. The Index
Manager may ask the User Base and/or IAC and/or IAG for feedback and/or guidance on the decision.
6.3.9 Parity
The Parity value of an issue is the value of the Exchange Property due to the holder of the issue on
conversion of a single unit of the issue. Conventionally, Parity is converted to be in the same currency
and units as the price of the issue.
When an issue is priced at Parity then the security price used will be the security price such that the
consideration paid is equal to the Parity, thus if the security trades on a Clean Price basis then the Clean
Price will be the Parity less the Accrued.
When Parity is calculated as a possible price to use for an issue being dropped from the Global Index
owing to redemption then in addition to the usual simple calculation of the value of the Exchange
Property an allowance may be required to account for any Exchange Property that will be received not
ranking pari-passu with existing equity in respect of forthcoming dividends.
6.3.10
Premium
Premium is the percentage by which a clean security price exceeds the Parity.
6.3.11
Traded Value
Traded Value is the value of turnover reported on an exchange or trade reporting platform for an issue.
Traded Value is converted to US$ on a daily basis using the EoD FX rates used for index calculation on
that day.
Traded Value data obtained from TRACE is subject to the following limitations:

Trades marked 1MM+ on TRACE represents trades in excess of 1,000,000 nominal and are
recorded for the purposes of Traded Value calculations as 1,000,000 nominal.

Trades marked 5MM+ on TRACE represents trades in excess of 5,000,000 nominal and are
recorded for the purposes of Traded Value calculations as 5,000,000 nominal.

New Issues may, in some circumstances, not report through TRACE on the first day of trading. In
those circumstances no Traded Value from TRACE will be recorded against the issue for that day.
As such the values used for assessing liquidity may understate the actual value traded.
25 November 2015
48
6.4
Qualifying Prices
6.4.1 Overview
The number of Qualifying Prices is used as a guide to liquidity for both new issues and at Quarterly Index
Reselections.
To be a Qualifying Price for an issue a price must meet a number of conditions which are set out in the
section below.
6.4.2 Qualifying price conditions
6.4.2.1 Absolute conditions
To be a Qualifying Price a price must meet all of the following conditions

The price must be from a source that provides prices that are available to be used by TRPS in the
determination of the TRPS Closing Price

The price must be no older than one week

The price must have a non-zero bid and a non-zero offer

The price must have a positive, non-zero spread

The price must have a spread less than or equal to 2% of Face Value

The price must have a spread less than or equal to 3% of the Bid
6.4.2.2 Relative condition
In addition to the absolute conditions above, the mid prices of all of the Qualifying Prices for an issue
must fall within one Standard Spread.
A Standard Spread is the lesser of 2% of Face Value and 3% of the lowest mid price of any Qualifying
Price
6.5
Price Basis
6.5.1 Overview
The overall philosophy for pricing issues in the indices is that for prices used for Adds and Drops the
method for determining the price is determined by Index Manager. For end of day pricing of the indices
prices are acquired by the Index Team using automated price feeds (“Market Prices”).
6.5.2 Price basis
The basis used for pricing convertibles in the Index is:

For issues being added to the Global Index or any sub-index at the calculation point the
offer price.

For issues being retained in the Global Index or any sub-index at the calculation point the
bid price.

For issues being dropped from the Global Index or any sub-index at the calculation point the
bid price.
The equity prices used for the calculation of the Parity Indices and other equity based indices are last
trading prices.
25 November 2015
49
6.5.3 Price sources
The Index Team obtains prices for convertibles as set out below:

For issues where a TRPS Closing Price is available then the TRPS Closing Price will be used unless
otherwise determined by the Index Manager.

For issues where a TRPS Closing Price is not available then the closing price from a Recognised
Convertible Exchange will be used.

For issues where neither a TRPS Closing Price nor a closing price from a Recognised Convertible
Exchange is available then the Index Manager will determine the price to be used (Section
6.5.6.1 applies)
When a price from a Recognised Convertible Exchange is used then the Index Team will determine the
appropriate exchange to use for a particular issue. If there is uncertainty as to the appropriate exchange
to use then the Index Manager will determine the appropriate exchange to use.
The Index Team obtains prices for equities from exchange feeds. The price used for Global Index
calculation is the last trading price. Where an equity trades on a number of exchanges the Index Team
will determine which exchange or exchanges are appropriate for a particular issue at any particular time.
If there is uncertainty as to the appropriate exchange to use then the Index Manager will determine the
appropriate exchange to use.
Effective 11 December 2015, The WM/Reuters Closing Spot Rates are used as the basis for FX rates used
for Index calculations. The Index uses the bid and ask rates to USD to calculate a mid rate to USD which is
used for Index calculations. Where cross-rates are required for calculation purposes these rates are
calculated from the mid rates calculated by the Index.
Prior to 11 December 2015 the FX rates used for Index calculation were taken from Thomson Reuters as
of 16:30 London time.
Interest rates required for the calculation of FX hedged indexes are taken from Thomson Reuters; the
mid rates are used for calculation.
6.5.4 Price timings
The prices captured by the automated price feeds are intended to be the most recent reliable price for
each security in the index.
The general basis for the convertibles is shown in the table below:
Price Type
TRPS Closing Price
Latest Collection
The prices provided by TRPS in the following regional
price files (estimated delivery times in brackets):
Asia px_asia_6pm_govcorp (18:45 Tokyo time)
EMEA px_emea_6pm_govcorp (18:45 London time)
US
px_amer_4pm_govcorp (16:45 New York time)
Asian and European exchange traded More than 1 hour after the stated close of the exchange,
convertibles
however the exchanges only transmit trades from regular
trading and therefore last trade will be last trade during a
regular session.
US Exchange traded issues
Price collection ceases once the exchange sends the "end
of trading" message
The general basis for equities is shown in the table below.
25 November 2015
50
Price Type
Asian and European Equity
US Equity
Latest Collection
More than 1 hour after the stated close of the exchange,
however the exchanges only transmit trades from regular
trading and therefore last trade will be last trade during a
regular session.
Price collection ceases once the exchange sends the "end
of trading" message
The WM/Reuters Closing Spot Rates are normally calculated at 16:00 London time.
The Interest Rates required for Index calculation are as of 16:30 London time, rates taken from Thomson
Reuters.
Individual securities may be treated differently if the Index Manager determines that the general
approach is generating unsatisfactory prices (Section 6.5.6.1 applies).
6.5.5 Recognised exchanges
6.5.5.1 Equity exchanges
A Recognised Exchange for equity trading is any exchange that provides trading and price data on
equities and is available as an exchange feed through the Thomson Reuters market data systems.
6.5.5.2 Convertible exchanges
A Recognised Convertible Exchange for convertible trading is any exchange that provides trading and
price data on convertibles and is generally recognised as an exchange which provides a viable market in a
particular issue.

In general the Luxembourg Exchange is not regarded as a Recognised Convertible Exchange as it
does not generally provide a trading forum.

In general the Singapore Exchange is not regarded as a Recognised Convertible Exchange for issues
that are not local issues as it does not generally provide a trading forum.
The Index Manager will decide if a particular exchange is a Recognised Convertible Exchange for a
particular issue.
6.5.6 Index Manager role in Pricing
6.5.6.1 Index Manager role in end of day pricing
In general the Market Prices generated from the automated price feeds will be used for all end of day
pricing of issues required for calculation of the Index.
The Index Manager may determine that a different price source or a price determined by the Index
Manager should be used either for a single calculation point or for an extended period if there is a clear
reason to believe that the automated price is not representative. In these circumstances the Index
Manager will, if time permits, seek guidance and/or feedback from the IAC and/or IAG to determine the
appropriate action. If time does not permit the Index Manager to seek guidance and/or feedback from
the IAC and/or IAG then the Index Manager will provide the IAC with details of the event as soon as
possible the IAC may seek feedback from the IAG on the event and will give guidance if further action is
required.
6.5.6.2 Index Manager role in pricing Adds and Drops
All Add and Drop prices will be reviewed by the Index Manager and if required will be amended. The
Index Manager will take into account any feedback received from the User Base regarding the published
Add and Drop prices. If the Index Manager determines that an Add or Drop price requires amendment
the Index Manager will, if time permits, seek guidance and/or feedback from the IAC and/or IAG to
25 November 2015
51
determine the appropriate action. If time does not permit the Index Manager to seek guidance and/or
feedback from the IAC and/or IAG then the Index Manager will provide the IAC with details of the event
as soon as possible, the IAC may seek feedback from the IAG on the event and will give guidance if
further action is required.
6.5.7 TRPS Closing Price
The Thomson Reuters Pricing Service (“TRPS”) is an independent, global evaluated pricing source
covering over 2.5 million fixed income securities, derivatives and bank loans. Coverage spans all major
financial markets and prices are available at multiple times daily. TRPS evaluations, which provide
detailed transparency and market insight, are designed to support asset managers, custodian banks,
mutual fund administrators and risk managers.
The TRPS Closing Price is taken from the regional prices files listed in Section 6.5.4. The regional price
files contain both bid and offer prices.
6.6
Country and Region Details
6.6.1 Method of allocation of Country and Region
The allocation of an issue to a Country is determined as set out in Section 3.2.2
The relationship between Country and Region is shown in the table below
The relationship between Country and Region may be amended from time to time by the Index
Manager. The Index Manager may only amend the relationship following feedback from the IAC on the
proposed changes. The Index Manager may also seek feedback from the IAG and/or the User Base on
proposed changes.
The US and Japan are also regarded as Regions for the purposes of sub-index creation.
25 November 2015
52
25 November 2015
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Japan
Growth
Markets
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Asia ex
Japan
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Eurozone
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Other
Markets
Asia

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
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Europe
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US
Argentina
Australia
Austria
Bahamas
Belgium
Bermuda
Brazil
Canada
Cayman Islands
China
Denmark
Egypt
Finland
France
Germany
Ghana
Greece
Hungary
India
Indonesia
Ireland
Israel
Italy
Japan
Liechtenstein
Luxembourg
Malaysia
Mauritius
Mexico
Netherlands
New Zealand
Norway
OTHER
Pakistan
Philippines
Poland
Portugal
Russia
Singapore
South Africa
South Korea
Spain
Sweden
Switzerland
Taiwan
Thailand
UK
United Arab Emirates
US
Global
ex US
Country
Global
Country to Region allocation table

53
6.7
Credit Rating detail
6.7.1 Rating equivalence table
The equivalence between rating schemes for the purposes of allocating issues as Investment Grade or
Sub Investment Grade is shown in the table below.
Investment
Grade
Sub
Investment
Grade
25 November 2015
S&P
Moody’s
1
AAA
Aaa
2
AA+
Aa1
3
AA
Aa2
4
AA-
Aa3
5
A+
A1
6
A
A2
7
A-
A3
8
BBB+
Baa1
9
BBB
Baa2
10
BBB-
Baa3
11
BB+
Ba1
12
BB
Ba2
13
BB-
Ba3
14
B+
B1
15
B
B2
16
B-
B3
17
CCC+
Caa1
18
CCC
Caa2
19
CCC-
Caa3
20
CC
Ca
21
C
C
22
D
54
6.7.2 Issuer Rating derivation
The issuer ratings used when determining the classification of each issue for the credit sub-indices in
accordance with Section 3.2.4 are obtained from the Thomson Reuters GovCorp database which is
maintained by the Thomson Reuters Ratings Team using data from relevant rating agencies.
The rating agencies considered for the purposes of the Index are Moody’s and S&P.
The GovCorp data fields used are from the “party” table for the issuer/guarantor and are:
Rating Agency
GovCorp Database field in party table
Moody
mdy_issuer_rating_cd
S&P
sp_issuer_long_rating_cd
These fields are populated from the data available from the rating agencies using the following
procedures.
mdy_issuer_rating_cd
This field is populated using the Moody rating designations listed below only.



LT Issuer Rating
LT Issuer Rating (Domestic)
LT Issuer Rating (Foreign)
In the event that more than one of these is provided by the rating agency then the most recent is used to
populate the field, if both Foreign and Domestic are updated at the same time then the Foreign rating is
dominant.
sp_issuer_long_rating_cd
This field is populated using the S&P rating designations listed below only.


Foreign Currency LT
Local Currency LT
In the event that more than one of these is provided by the rating agency then the most recent is used to
populate the field, if both Foreign and Local are updated at the same time then the Foreign rating is
dominant.
6.8
Equity Dividend Treatment
Gross dividends are used for all equity markets.
If there is any doubt as to the appropriate dividend to be used for the issue the Index Team will refer the
issue to the Index Manager. The Index Manager will determine the dividend to be used for the issue. The
Index Manager may ask the User Base and/or IAC and/or IAG for feedback and/or guidance on the
decision.
6.9
Index Calendar
The Index Calendar below lists the key dates for the Focus Monthly Review and Quarterly Index
Reselection.
This may be amended by the Index Manager. Any amendments will be announced in the Index Status
Report which is published on all weekdays.
To be eligible for consideration for addition to the Focus sub-Index a new issue must have been
announced as an “Add” to the Index (not a “Potential Add”, but a confirmed “Add”) no later than the
Index Status Report published on the day before the Selection Date for the relevant monthly review.
25 November 2015
55
Index Calendar 2016
Date
Wed 25 Nov 2015
Wed 02 Dec 2015
Wed 09 Dec 2015
Wed 16 Dec 2015
Wed 30 Dec 2015
Wed 06 Jan 2016
Wed 13 Jan 2016
Wed 27 Jan 2016
Wed 03 Feb 2016
Wed 10 Feb 2016
Wed 24 Feb 2016
Wed 02 Mar 2016
Wed 09 Mar 2016
Wed 23 Mar 2016
Wed 30 Mar 2016
Wed 06 Apr 2016
Wed 13 Apr 2016
Wed 27 Apr 2016
Wed 04 May 2016
Wed 11 May 2016
Wed 25 May 2016
Wed 01 Jun 2016
Wed 08 Jun 2016
Wed 22 Jun 2016
Wed 29 Jun 2016
Wed 06 Jul 2016
Wed 13 Jul 2016
Wed 27 Jul 2016
Wed 03 Aug 2016
Wed 10 Aug 2016
Wed 31 Aug 2016
Wed 07 Sep 2016
Wed 14 Sep 2016
Wed 21 Sep 2016
Wed 28 Sep 2016
Wed 05 Oct 2016
Wed 12 Oct 2016
Wed 26 Oct 2016
Wed 02 Nov 2016
Wed 09 Nov 2016
Wed 30 Nov 2016
Wed 07 Dec 2016
Wed 14 Dec 2016
Wed 21 Dec 2016
Wed 28 Dec 2016
Wed 04 Jan 2017
Wed 11 Jan 2017
25 November 2015
Focus Monthly Review
Selection Period start - Dec 2015
Selection Date - Dec 2015
Effective Date - Dec 2015
Selection Period start - Jan 2016
Selection Date - Jan 2016
Effective Date - Jan 2016
Selection Period start - Feb 2016
Selection Date - Feb 2016
Effective Date - Feb 2016
Selection Period start - Mar 2016
Selection Date - Mar 2016
Effective Date - Mar 2016
Selection Period start - Apr 2016
Selection Date - Apr 2016
Effective Date - Apr 2016
Selection Period start - May 2016
Selection Date - May 2016
Effective Date - May 2016
Selection Period start - Jun 2016
Selection Date - Jun 2016
Effective Date - Jun 2016
Selection Period start - Jul 2016
Selection Date - Jul 2016
Effective Date - Jul 2016
Selection Period start - Aug 2016
Selection Date - Aug 2016
Effective Date - Aug 2016
Selection Period start - Sep 2016
Selection Date - Sep 2016
Effective Date - Sep 2016
Selection Period start - Oct 2016
Selection Date - Oct 2016
Effective Date - Oct 2016
Selection Period start - Nov 2016
Selection Date - Nov 2016
Effective Date - Nov 2016
Selection Period start - Dec 2016
Selection Date - Dec 2016
Effective Date - Dec 2016
Selection Period start - Jan 2017
Selection Date - Jan 2017
Effective Date - Jan 2017
Quarterly Index Reselection
Initial Reselection Report - Q4 2015
Provisional Reselection Report - Q4 2015
Final Reselection Report - Q4 2015
Effective Date - Q4 2015
56
7. Communication of Index events
7.1
Overview
There are 2 primary channels through which changes to the Index may be communicated.
Announcements of forthcoming changes to the Index constituents or Index guidelines may be published
from time to time by Thomson Reuters by e-mail. Interested parties may request addition to these
subscription lists. These announcements are described in section 7.2 below.
Daily Reports
Subscribers to a relevant Thomson Reuters Convertible Indices Data Licence may request Daily Change
Reports as an element of their package. These reports are described in section 7.3 below.
7.2
7.2.1 Subscription Lists
Requests for addition to or deletion from the subscription lists should be made to
CB_Index_Reporter@ThomsonReuters.com .The Index Team maintain the subscription lists and the email addresses provided for these subscription lists will be used only for the purposes of communicating
index events as described below. Thomson Reuters, at its sole discretion, may decline to accept a
request for addition to the subscription list or may remove an address from a subscription list without
notice
7.2.2 Announcement Group
Two levels of subscription are available; the types of announcements generally included in each group
are shown in the table below.
Subscription Level
Overview
Detail
7.3
Information Provided
Communications regarding the Index guidelines, data
licences, delivery mechanisms and notable events that impact
the Index
All communications from the Overview Subscription Level.
Quarterly reselection reports
Daily Change Report (Section 7.3)
Daily Change Report
This report consists of 2 sections:

Index Status Report

Index Changes Report
The reports are generated at around 17:30 London time each weekday.
7.3.1 Index Status Report
This report includes the following events:

New issues that are being monitored for liquidity

New issues that are potential Adds subject to review by the Index Manager

Issues that are potential Drops subject to review by the Index Manager
25 November 2015
57

Announced Adds, Drops and Changes

Declined Adds and Drops that have been recently declined
These are reported at the Global Index level only. Further details of this report are given in Section 2.5.5
The reports are generated at around 17:30 London time each weekday.
7.3.2 Index Changes Report
This report includes all announced Adds, Drops and Changes. The report does not include any changes
which are subject to review by the Index Manager.
The changes are reported at both the Global Index level and also for each of the Index Groups.
7.4
Amendments to Reports
Reports that include information that relates to future events are subject to revision if additional
information becomes available.
If reports are subject to revision then Thomson Reuters will, at its sole discretion, decide what action to
take, in particular, revised reports may not be published.
All information contained in the reports is subject to the disclaimer at the beginning of these guidelines.
25 November 2015
58
8. Sub-Indices - definitions
8.1 Sub-index groupings
For convenience the sub-indices are arranged in groups:





Headline
Global
Regional
Credit
Focus Indices
The Headline group includes those indices that are most frequently used and contains indices from the
other groups. The Global group contains those indices with a Global geographic coverage, some of which
are also present in other groups.
8.2 Sub-index tables
The sub-index tables in the following sections describe the selection criteria and calculation methods
used for each index. The detail of the columns used is shown in the table below
Column
Index Name
Currency
RIC / Bloomberg
Calculation Type
Focus
Vanilla
Geographic
Credit
25 November 2015
Description
The descriptive name as used on the UBS website
The currency in which the index is calculated - for FX Hedged Indices
this is also the base currency for hedging.
The RIC for index information together with the Bloomberg Ticker for
index information
Regular, FX Hedged, Costed or FX Hedged + Costed (Section 5 refers)
This indicates if the index is dynamically selected using the Focus
selection method, if blank then the index is not subject to dynamic
selection (Section 3.3 refers)
This field indicates any selection criteria applied in respect of the
redemption features of the issues (Section 3.2.3 refers)
After Jan 08
Mandatory issues are excluded after 9 Jan 2008
(Section 3.2.3 refers)
Vanilla
Mandatory issues are excluded
Mandatory
Only Mandatory issues are included
{Blank}
No selection by redemption features
The Region or Country selection applied to the index, if blank then no
selection by geographic location (Section 3.2.2 refers)
The credit rating selection applied to the index, if blank then the
index is not subject to selection by credit (Section 3.2.4 refers)
59
9.2.1 Headline Indices
Index Name
Currency
Global
USD
Global
EUR
Global
CHF
Global
JPY
Global
GBP
Global Hedged
USD
Global Hedged
EUR
Global Hedged
CHF
Global Hedged
JPY
Global Hedged
GBP
Global Focus
USD
Global Focus
EUR
Global Focus
CHF
Global Focus
JPY
Global Focus
GBP
Global Focus Hedged
USD
Global Focus Hedged
EUR
Global Focus Hedged
CHF
Global Focus Hedged
JPY
Global Focus Hedged
GBP
USD
EUR
CHF
JPY
GBP
Global Investment Grade Hedged
USD
EUR
CHF
JPY
GBP
USD
EUR
CHF
JPY
GBP
25 November 2015
RIC
Bloomberg
UCBINDEXW0001
UCBIGLBL
UCBINDEXW1410
UCBIGLBE
UCBINDEXW1146
UCBIGLBC
UCBINDEXW1145
UCBIGLBJ
UCBINDEXW1546
UCBIGLBG
UCBINDEXW1054
UCBIFX01
UCBINDEXW1055
UCBIFX13
UCBINDEXW1070
UCBIFX26
UCBINDEXW1131
UCBIFX25
UCBINDEXW1547
UCBIGLHG
UCBINDEXW0204
UICBFOCU
UCBINDEXW1414
UCBIFOCE
UCBINDEXW1148
UCBIFOCC
UCBINDEXW1147
UCBIFOCJ
UCBINDEXW1545
UCBIGLFG
UCBINDEXW1058
UCBIFX02
UCBINDEXW1059
UCBIFX14
UCBINDEXW1068
UCBIFX28
UCBINDEXW1132
UCBIFX27
UCBINDEXW1303
UCBIFX50
UCBINDEXW1416
UICBGIGU
UCBINDEXW1417
UICBGIGE
UCBINDEXW1150
UICBGIGC
UCBINDEXW1149
UICBGIGJ
UCBINDEXW1551
UCBIGLIG
UCBINDEXW1057
UCBIFX04
UCBINDEXW1056
UCBIFX16
UCBINDEXW1128
UCBIFX30
UCBINDEXW1310
UCBIFX29
UCBINDEXW1552
UCBIGIHG
UCBINDEXW1418
UICBFOIU
UCBINDEXW1419
UICBFOIE
UCBINDEXW1152
UICBFOIC
UCBINDEXW1151
UICBFOIJ
UCBINDEXW1553
UCBIGFIG
Calculation
Type
Focus
Vanilla
Geographic
Regular
None
Global
Regular
None
Global
Regular
None
Global
Regular
None
Global
Regular
None
Global
FX Hedged
None
Global
FX Hedged
None
Global
FX Hedged
None
Global
FX Hedged
None
Global
FX Hedged
None
Global
Regular
Focus
Regular
Focus
Regular
Focus
Regular
Focus
Regular
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
Regular
None
Regular
None
Regular
None
Regular
None
Regular
None
FX Hedged
None
FX Hedged
None
FX Hedged
None
FX Hedged
None
FX Hedged
None
Regular
Focus
Regular
Focus
Regular
Focus
Regular
Focus
Regular
Focus
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
Credit
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
60
9.2.1 Headline Indices - Continued
Index Name
Hedged
Hedged
Hedged
Hedged
Hedged
Currency
USD
EUR
CHF
JPY
GBP
Europe
USD
Europe
EUR
Europe
CHF
Europe
GBP
Europe Hedged
USD
Europe Hedged
EUR
Europe Hedged
CHF
Europe Hedged
GBP
Europe Focus
USD
Europe Focus
EUR
Europe Focus
CHF
Europe Focus
GBP
Europe Focus Hedged
USD
Europe Focus Hedged
EUR
Europe Focus Hedged
CHF
Europe Focus Hedged
GBP
USD
EUR
CHF
GBP
Europe Investment Grade Hedged
USD
EUR
CHF
GBP
USD
EUR
CHF
GBP
Hedged
USD
25 November 2015
RIC
Bloomberg
UCBINDEXW1061
UCBIFX07
UCBINDEXW1060
UCBIFX17
UCBINDEXW1134
UCBIFX32
UCBINDEXW1133
UCBIFX31
UCBINDEXW1554
UCBIFIHG
UCBINDEXW0045
UCBIEUUS
UCBINDEXW0046
UCBIEUEU
UCBINDEXW1306
UCBIEUCH
UCBINDEXW1555
UCBIEURG
UCBINDEXW1045
UCBIFX09
UCBINDEXW1044
UCBIFX20
UCBINDEXW1315
UCBIFX33
UCBINDEXW1556
UCBIEUHG
UCBINDEXW0205
UICBFOEU
UCBINDEXW0206
UICBFOEE
UCBINDEXW1307
UICBFOEC
UCBINDEXW1559
UCBIEUFG
UCBINDEXW1047
UCBIFX10
UCBINDEXW1046
UCBIFX21
UCBINDEXW1316
UCBIFX34
UCBINDEXW1560
UCBIEFHG
UCBINDEXW0196
UCBIEIGU
UCBINDEXW0197
UCBIEIGE
UCBINDEXW1309
UCBIEIGC
UCBINDEXW1557
UCBIEIGG
UCBINDEXW1043
UCBIFX35
UCBINDEXW1042
UCBIFX22
UCBINDEXW1158
UCBIEAAE
UCBINDEXW1558
UCBIEIHG
UCBINDEXW1016
UCBIFIEU
UCBINDEXW1017
UCBIFIEE
UCBINDEXW1018
UCBIFIEC
UCBINDEXW1561
UCBIEFIG
UCBINDEXW1135
UCBIFX36
Calculation
Type
Focus
Vanilla
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
Geographic
FX Hedged
Focus
Global
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
Regular
None
Vanilla
Europe
Regular
None
Vanilla
Europe
Regular
None
Vanilla
Europe
Regular
None
Vanilla
Europe
FX Hedged
None
Vanilla
Europe
FX Hedged
None
Vanilla
Europe
FX Hedged
None
Vanilla
Europe
FX Hedged
None
Vanilla
Europe
Regular
Focus
Vanilla
Europe
Regular
Focus
Vanilla
Europe
Regular
Focus
Vanilla
Europe
Regular
Focus
Vanilla
Europe
FX Hedged
Focus
Vanilla
Europe
FX Hedged
Focus
Vanilla
Europe
FX Hedged
Focus
Vanilla
Europe
FX Hedged
Focus
Vanilla
Europe
Regular
None
Vanilla
Europe
Regular
None
Vanilla
Europe
Regular
None
Vanilla
Europe
Regular
None
Vanilla
Europe
FX Hedged
None
Vanilla
Europe
FX Hedged
None
Vanilla
Europe
FX Hedged
None
Vanilla
Europe
FX Hedged
None
Vanilla
Europe
Regular
Focus
Vanilla
Europe
Regular
Focus
Vanilla
Europe
Regular
Focus
Vanilla
Europe
Regular
Focus
Vanilla
Europe
FX Hedged
Focus
Vanilla
Europe
Global
Global
Global
Global
Credit
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
61
Index Name
Hedged
Hedged
Hedged
Currency
EUR
CHF
GBP
Eurozone
USD
Eurozone
EUR
Eurozone
CHF
Eurozone Hedged
USD
Eurozone Hedged
EUR
Eurozone Hedged
CHF
Eurozone Focus
USD
Eurozone Focus
EUR
Eurozone Focus Hedged
USD
EUR
US
USD
US
EUR
US
CHF
US Hedged
USD
US Hedged
EUR
US Hedged
CHF
Asia ex Japan
USD
Asia ex Japan
EUR
Asia ex Japan
CHF
Asia ex Japan
GBP
Asia ex Japan Hedged
USD
EUR
CHF
GBP
Japan
USD
Japan
EUR
Japan
CHF
Japan
JPY
Japan Hedged
USD
Japan Hedged
EUR
Japan Hedged
CHF
Japan Hedged
JPY
25 November 2015
RIC
Bloomberg
UCBINDEXW1136
UCBIFX37
UCBINDEXW1137
UCBIFX38
UCBINDEXW1562
UCBIPIHG
UCBINDEXW0049
UCBIEMUS
UCBINDEXW0050
UCBIEMUE
UCBINDEXW1599
UCBIEMUC
UCBINDEXW1049
UCBIFX45
UCBINDEXW1048
UCBIFX23
UCBINDEXW1600
UCBIFX51
UCBINDEXW0211
UICBFOZU
UCBINDEXW0212
UICBFOZE
UCBINDEXW1051
UCBIFX46
UCBINDEXW1050
UCBIFX24
UCBINDEXW0039
UCBIUS
UCBINDEXW1500
UCBIUSEU
UCBINDEXW1576
UCBIUSAC
UCBINDEXW1501
UCBIFX39
UCBINDEXW1321
UCBIFX40
UCBINDEXW1577
UCBIUSHC
UCBINDEXW0051
UCBIASIA
UCBINDEXW1502
UCBIASIE
UCBINDEXW1568
UCBIASXC
UCBINDEXW1569
UCBIASXG
UCBINDEXW1025
UCBIFX11
UCBINDEXW1319
UCBIENRU
UCBINDEXW1570
UCBIAXHC
UCBINDEXW1571
UCBIAXHG
UCBINDEXW0031
UCBIJPUS
UCBINDEXW1506
UCBIJPEU
UCBINDEXW1591
UCBIJAPC
UCBINDEXW0032
UCBIJPJP
UCBINDEXW1067
UCBIFX42
UCBINDEXW1320
UCBIFX43
UCBINDEXW1592
UCBIJPHC
UCBINDEXW1066
UCBIFX44
Calculation
Type
Focus
Vanilla
Geographic
FX Hedged
Focus
Vanilla
Europe
FX Hedged
Focus
Vanilla
Europe
FX Hedged
Focus
Vanilla
Europe
Regular
None
Vanilla
Eurozone
Regular
None
Vanilla
Eurozone
Regular
None
Vanilla
Eurozone
FX Hedged
None
Vanilla
Eurozone
FX Hedged
None
Vanilla
Eurozone
FX Hedged
None
Vanilla
Eurozone
Regular
Focus
Vanilla
Eurozone
Regular
Focus
Vanilla
Eurozone
FX Hedged
Focus
Vanilla
Eurozone
FX Hedged
Focus
Vanilla
Eurozone
Regular
None
US
Regular
None
US
Regular
None
US
FX Hedged
None
US
FX Hedged
None
US
FX Hedged
None
US
Regular
None
Regular
None
Regular
None
Regular
None
FX Hedged
None
FX Hedged
None
FX Hedged
None
FX Hedged
None
Regular
None
Regular
None
Regular
None
Regular
None
FX Hedged
None
FX Hedged
None
FX Hedged
None
FX Hedged
None
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
Credit
Investment
Grade
Investment
Grade
Investment
Grade
Asia ex Japan
Asia ex Japan
Asia ex Japan
Asia ex Japan
Asia ex Japan
Asia ex Japan
Asia ex Japan
Asia ex Japan
Japan
Japan
Japan
Japan
Japan
Japan
Japan
Japan
62
Index Name
Currency
Other Markets
USD
Other Markets
EUR
Other Markets Hedged
USD
EUR
25 November 2015
RIC
Bloomberg
UCBINDEXW0052
UCBIOTHR
UCBINDEXW1515
UCBIOTHE
UCBINDEXW1516
UCBIOTH1
UCBINDEXW1517
UCBIOTH2
Calculation
Type
Focus
Regular
None
Regular
None
FX Hedged
None
FX Hedged
None
Vanilla
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
Geographic
Credit
Other Markets
Other Markets
Other Markets
Other Markets
63
9.2.2 Global Indices
Index Name
Currency
Global
USD
Global
EUR
Global
CHF
Global
JPY
Global
GBP
Global Hedged
USD
Global Hedged
EUR
Global Hedged
CHF
Global Hedged
JPY
Global Hedged
GBP
Global Focus
USD
Global Focus
EUR
Global Focus
CHF
Global Focus
JPY
Global Focus
GBP
Global Focus Hedged
USD
Global Focus Hedged
EUR
Global Focus Hedged
CHF
Global Focus Hedged
JPY
Global Focus Hedged
GBP
USD
EUR
CHF
JPY
GBP
USD
EUR
CHF
JPY
GBP
USD
EUR
CHF
JPY
GBP
25 November 2015
RIC
Bloomberg
UCBINDEXW0001
UCBIGLBL
UCBINDEXW1410
UCBIGLBE
UCBINDEXW1146
UCBIGLBC
UCBINDEXW1145
UCBIGLBJ
UCBINDEXW1546
UCBIGLBG
UCBINDEXW1054
UCBIFX01
UCBINDEXW1055
UCBIFX13
UCBINDEXW1070
UCBIFX26
UCBINDEXW1131
UCBIFX25
UCBINDEXW1547
UCBIGLHG
UCBINDEXW0204
UICBFOCU
UCBINDEXW1414
UCBIFOCE
UCBINDEXW1148
UCBIFOCC
UCBINDEXW1147
UCBIFOCJ
UCBINDEXW1545
UCBIGLFG
UCBINDEXW1058
UCBIFX02
UCBINDEXW1059
UCBIFX14
UCBINDEXW1068
UCBIFX28
UCBINDEXW1132
UCBIFX27
UCBINDEXW1303
UCBIFX50
UCBINDEXW1416
UICBGIGU
UCBINDEXW1417
UICBGIGE
UCBINDEXW1150
UICBGIGC
UCBINDEXW1149
UICBGIGJ
UCBINDEXW1551
UCBIGLIG
UCBINDEXW1057
UCBIFX04
UCBINDEXW1056
UCBIFX16
UCBINDEXW1128
UCBIFX30
UCBINDEXW1310
UCBIFX29
UCBINDEXW1552
UCBIGIHG
UCBINDEXW1418
UICBFOIU
UCBINDEXW1419
UICBFOIE
UCBINDEXW1152
UICBFOIC
UCBINDEXW1151
UICBFOIJ
UCBINDEXW1553
UCBIGFIG
Calculation
Type
Focus
Vanilla
Geographic
Regular
None
Global
Regular
None
Global
Regular
None
Global
Regular
None
Global
Regular
None
Global
FX Hedged
None
Global
FX Hedged
None
Global
FX Hedged
None
Global
FX Hedged
None
Global
FX Hedged
None
Global
Regular
Focus
Regular
Focus
Regular
Focus
Regular
Focus
Regular
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
Regular
None
Regular
None
Regular
None
Regular
None
Regular
None
FX Hedged
None
FX Hedged
None
FX Hedged
None
FX Hedged
None
FX Hedged
None
Regular
Focus
Regular
Focus
Regular
Focus
Regular
Focus
Regular
Focus
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
Credit
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
64
9.2.2 Global Indices – Continued
Index Name
Hedged
Hedged
Hedged
Hedged
Hedged
Currency
USD
EUR
CHF
JPY
GBP
Global Vanilla
USD
Global Vanilla
EUR
Global Vanilla
CHF
Global Vanilla
JPY
Global Vanilla
GBP
Global Vanilla Hedged
USD
EUR
CHF
JPY
GBP
25 November 2015
RIC
Bloomberg
UCBINDEXW1061
UCBIFX07
UCBINDEXW1060
UCBIFX17
UCBINDEXW1134
UCBIFX32
UCBINDEXW1133
UCBIFX31
UCBINDEXW1554
UCBIFIHG
UCBINDEXW0002
UCBIGLVU
UCBINDEXW1411
UCBIGLVE
UCBINDEXW1511
UCBIGLVC
UCBINDEXW1512
UCBIGLVJ
UCBINDEXW1548
UCBIGLVG
UCBINDEXW1064
UCBIFX03
UCBINDEXW1065
UCBIFX15
UCBINDEXW1021
UCBIEABU
UCBINDEXW1514
UCBIEABJ
UCBINDEXW1543
UCBIGVHG
Calculation
Type
Focus
Vanilla
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
Geographic
FX Hedged
Focus
Global
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
Regular
None
Vanilla
Global
Regular
None
Vanilla
Global
Regular
None
Vanilla
Global
Regular
None
Vanilla
Global
Regular
None
Vanilla
Global
FX Hedged
None
Vanilla
Global
FX Hedged
None
Vanilla
Global
FX Hedged
None
Vanilla
Global
FX Hedged
None
Vanilla
Global
FX Hedged
None
Vanilla
Global
Global
Global
Global
Global
Credit
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
65
9.2.3 Regional Indices
Index Name
Currency
Europe
USD
Europe
EUR
Europe
CHF
Europe
GBP
Europe Hedged
USD
Europe Hedged
EUR
Europe Hedged
CHF
Europe Hedged
GBP
Europe Focus
USD
Europe Focus
EUR
Europe Focus
CHF
Europe Focus
GBP
Europe Focus Hedged
USD
Europe Focus Hedged
EUR
Europe Focus Hedged
CHF
Europe Focus Hedged
GBP
USD
EUR
CHF
GBP
USD
EUR
CHF
GBP
USD
EUR
CHF
GBP
Hedged
Hedged
Hedged
Hedged
USD
EUR
CHF
GBP
Eurozone
USD
Eurozone
EUR
25 November 2015
RIC
Bloomberg
UCBINDEXW0045
UCBIEUUS
UCBINDEXW0046
UCBIEUEU
UCBINDEXW1306
UCBIEUCH
UCBINDEXW1555
UCBIEURG
UCBINDEXW1045
UCBIFX09
UCBINDEXW1044
UCBIFX20
UCBINDEXW1315
UCBIFX33
UCBINDEXW1556
UCBIEUHG
UCBINDEXW0205
UICBFOEU
UCBINDEXW0206
UICBFOEE
UCBINDEXW1307
UICBFOEC
UCBINDEXW1559
UCBIEUFG
UCBINDEXW1047
UCBIFX10
UCBINDEXW1046
UCBIFX21
UCBINDEXW1316
UCBIFX34
UCBINDEXW1560
UCBIEFHG
UCBINDEXW0196
UCBIEIGU
UCBINDEXW0197
UCBIEIGE
UCBINDEXW1309
UCBIEIGC
UCBINDEXW1557
UCBIEIGG
UCBINDEXW1043
UCBIFX35
UCBINDEXW1042
UCBIFX22
UCBINDEXW1158
UCBIEAAE
UCBINDEXW1558
UCBIEIHG
UCBINDEXW1016
UCBIFIEU
UCBINDEXW1017
UCBIFIEE
UCBINDEXW1018
UCBIFIEC
UCBINDEXW1561
UCBIEFIG
UCBINDEXW1135
UCBIFX36
UCBINDEXW1136
UCBIFX37
UCBINDEXW1137
UCBIFX38
UCBINDEXW1562
UCBIPIHG
UCBINDEXW0049
UCBIEMUS
UCBINDEXW0050
UCBIEMUE
Calculation
Type
Focus
Vanilla
Geographic
Regular
None
Vanilla
Europe
Regular
None
Vanilla
Europe
Regular
None
Vanilla
Europe
Regular
None
Vanilla
Europe
FX Hedged
None
Vanilla
Europe
FX Hedged
None
Vanilla
Europe
FX Hedged
None
Vanilla
Europe
FX Hedged
None
Vanilla
Europe
Regular
Focus
Vanilla
Europe
Regular
Focus
Vanilla
Europe
Regular
Focus
Vanilla
Europe
Regular
Focus
Vanilla
Europe
FX Hedged
Focus
Vanilla
Europe
FX Hedged
Focus
Vanilla
Europe
FX Hedged
Focus
Vanilla
Europe
FX Hedged
Focus
Vanilla
Europe
Regular
None
Vanilla
Europe
Regular
None
Vanilla
Europe
Regular
None
Vanilla
Europe
Regular
None
Vanilla
Europe
FX Hedged
None
Vanilla
Europe
FX Hedged
None
Vanilla
Europe
FX Hedged
None
Vanilla
Europe
FX Hedged
None
Vanilla
Europe
Regular
Focus
Vanilla
Europe
Regular
Focus
Vanilla
Europe
Regular
Focus
Vanilla
Europe
Regular
Focus
Vanilla
Europe
FX Hedged
Focus
Vanilla
Europe
FX Hedged
Focus
Vanilla
Europe
FX Hedged
Focus
Vanilla
Europe
FX Hedged
Focus
Vanilla
Europe
Regular
None
Vanilla
Eurozone
Regular
None
Vanilla
Eurozone
Credit
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
66
9.2.3 Regional Indices - continued
Index Name
Currency
Eurozone
CHF
Eurozone Hedged
USD
Eurozone Hedged
EUR
Eurozone Hedged
CHF
Eurozone Focus
USD
Eurozone Focus
EUR
USD
EUR
US
USD
US
EUR
US
CHF
US Hedged
USD
US Hedged
EUR
US Hedged
CHF
US Vanilla
USD
US Vanilla
EUR
US Vanilla
CHF
US Vanilla Hedged
USD
US Vanilla Hedged
EUR
US Vanilla Hedged
CHF
US Focus
USD
US Focus
EUR
US Focus
CHF
US Focus Hedged
USD
US Focus Hedged
EUR
US Focus Hedged
CHF
US Investment Grade
USD
US Investment Grade
EUR
US Investment Grade
CHF
US Investment Grade Hedged
USD
EUR
CHF
USD
EUR
25 November 2015
RIC
Bloomberg
UCBINDEXW1599
UCBIEMUC
UCBINDEXW1049
UCBIFX45
UCBINDEXW1048
UCBIFX23
UCBINDEXW1600
UCBIFX51
UCBINDEXW0211
UICBFOZU
UCBINDEXW0212
UICBFOZE
UCBINDEXW1051
UCBIFX46
UCBINDEXW1050
UCBIFX24
UCBINDEXW0039
UCBIUS
UCBINDEXW1500
UCBIUSEU
UCBINDEXW1576
UCBIUSAC
UCBINDEXW1501
UCBIFX39
UCBINDEXW1321
UCBIFX40
UCBINDEXW1577
UCBIUSHC
UCBINDEXW0041
UCBIUSV
UCBINDEXW1520
UCBIUSVE
UCBINDEXW1582
UCBIUSVC
UCBINDEXW1521
UCBIUSV1
UCBINDEXW1522
UCBIUSV2
UCBINDEXW1583
UCBIUVHC
UCBINDEXW0207
UCBIFOUU
UCBINDEXW1526
UCBIFOUE
UCBINDEXW1578
UCBIUSFC
UCBINDEXW1527
UCBIFOU1
UCBINDEXW1528
UCBIFOU2
UCBINDEXW1579
UCBIUFHC
UCBINDEXW0201
UICBUIGU
UCBINDEXW1523
UICBUIGE
UCBINDEXW1537
UICBUIGC
UCBINDEXW1524
UICBUIG1
UCBINDEXW1525
UICBUIG2
UCBINDEXW1006
UICBUIG3
UCBINDEXW1019
UCBIUFIU
UCBINDEXW1529
UCBIUFIE
Calculation
Type
Focus
Vanilla
Geographic
Regular
None
Vanilla
Eurozone
FX Hedged
None
Vanilla
Eurozone
FX Hedged
None
Vanilla
Eurozone
FX Hedged
None
Vanilla
Eurozone
Regular
Focus
Vanilla
Eurozone
Regular
Focus
Vanilla
Eurozone
FX Hedged
Focus
Vanilla
Eurozone
FX Hedged
Focus
Vanilla
Eurozone
Regular
None
US
Regular
None
US
Regular
None
US
FX Hedged
None
US
FX Hedged
None
US
FX Hedged
None
US
Regular
None
Vanilla
US
Regular
None
Vanilla
US
Regular
None
Vanilla
US
FX Hedged
None
Vanilla
US
FX Hedged
None
Vanilla
US
FX Hedged
None
Vanilla
US
Regular
Focus
Regular
Focus
Regular
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
Regular
None
Regular
None
Regular
None
FX Hedged
None
FX Hedged
None
FX Hedged
None
Regular
Focus
Regular
Focus
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 08
After
Jan 08
Credit
US
US
US
US
US
US
US
US
US
US
US
US
US
US
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
67
Index Name
Hedged
Hedged
Hedged
Currency
CHF
USD
EUR
CHF
Asia ex Japan
USD
Asia ex Japan
EUR
Asia ex Japan
CHF
Asia ex Japan
GBP
USD
EUR
CHF
GBP
Asia ex Japan Focus
USD
Asia ex Japan Focus
EUR
Asia ex Japan Focus
CHF
Asia ex Japan Focus Hedged
USD
EUR
CHF
Japan
USD
Japan
EUR
Japan
CHF
Japan
JPY
Japan Hedged
USD
Japan Hedged
EUR
Japan Hedged
CHF
Japan Hedged
JPY
Japan Focus
USD
Japan Focus
EUR
Japan Focus
CHF
Japan Focus
JPY
Japan Focus Hedged
USD
Japan Focus Hedged
EUR
Japan Focus Hedged
CHF
Japan Focus Hedged
JPY
25 November 2015
RIC
Bloomberg
UCBINDEXW1580
UCBIUFIC
UCBINDEXW1530
UCBIUFI1
UCBINDEXW1531
UCBIUFI2
UCBINDEXW1581
UCBIFIHC
UCBINDEXW0051
UCBIASIA
UCBINDEXW1502
UCBIASIE
UCBINDEXW1568
UCBIASXC
UCBINDEXW1569
UCBIASXG
UCBINDEXW1025
UCBIFX11
UCBINDEXW1319
UCBIENRU
UCBINDEXW1570
UCBIAXHC
UCBINDEXW1571
UCBIAXHG
UCBINDEXW1138
UCBIAJFU
UCBINDEXW1503
UCBIAJF1
UCBINDEXW1586
UCBIAXFC
UCBINDEXW1504
UCBIAJF2
UCBINDEXW1505
UCBIAJF3
UCBINDEXW1587
UCBIXFHC
UCBINDEXW0031
UCBIJPUS
UCBINDEXW1506
UCBIJPEU
UCBINDEXW1591
UCBIJAPC
UCBINDEXW0032
UCBIJPJP
UCBINDEXW1067
UCBIFX42
UCBINDEXW1320
UCBIFX43
UCBINDEXW1592
UCBIJPHC
UCBINDEXW1066
UCBIFX44
UCBINDEXW1140
UCBIJPFU
UCBINDEXW1507
UCBIJPFE
UCBINDEXW1593
UCBIJPFC
UCBINDEXW1141
UCBIJPFJ
UCBINDEXW1508
UCBIJPF1
UCBINDEXW1509
UCBIJPF2
UCBINDEXW1594
UCBIJFHC
UCBINDEXW1510
UCBIJPF3
Calculation
Type
Focus
Regular
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
Regular
None
Regular
None
Regular
None
Regular
None
FX Hedged
None
FX Hedged
None
FX Hedged
None
FX Hedged
None
Regular
Focus
Regular
Focus
Regular
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
Regular
None
Regular
None
Regular
None
Regular
None
FX Hedged
None
FX Hedged
None
FX Hedged
None
FX Hedged
None
Regular
Focus
Regular
Focus
Regular
Focus
Regular
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
Vanilla
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
Geographic
US
US
US
US
Credit
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Asia ex Japan
Asia ex Japan
Asia ex Japan
Asia ex Japan
Asia ex Japan
Asia ex Japan
Asia ex Japan
Asia ex Japan
Asia ex Japan
Asia ex Japan
Asia ex Japan
Asia ex Japan
Asia ex Japan
Asia ex Japan
Japan
Japan
Japan
Japan
Japan
Japan
Japan
Japan
Japan
Japan
Japan
Japan
Japan
Japan
Japan
Japan
68
Index Name
Currency
USD
EUR
CHF
JPY
Japan Investment Grade Hedged
USD
EUR
CHF
JPY
Asia
USD
Asia
EUR
Asia
CHF
Asia Hedged
USD
Asia Hedged
EUR
Asia Hedged
CHF
Asia Focus
USD
Asia Focus
EUR
Asia Focus
CHF
Asia Focus Hedged
USD
Asia Focus Hedged
EUR
Asia Focus Hedged
CHF
Other Markets
USD
Other Markets
EUR
USD
EUR
Global ex US
USD
Global ex US
EUR
Global ex US
CHF
Global ex US
GBP
Global ex US Hedged
USD
Global ex US Hedged
EUR
Global ex US Hedged
CHF
Global ex US Hedged
GBP
Growth Markets
USD
Growth Markets
EUR
25 November 2015
RIC
Bloomberg
UCBINDEXW0202
UICBJIGU
UCBINDEXW1539
UICBJIGR
UCBINDEXW1538
UICBCIGE
UCBINDEXW0203
UICBJIGE
UCBINDEXW1534
UICBJIG8
UCBINDEXW1535
UICBJIG9
UCBINDEXW1005
UICBJIG7
UCBINDEXW1536
UICBJIG0
UCBINDEXW1010
UCBIASJP
UCBINDEXW1532
UCBIASJE
UCBINDEXW1590
UCBIASAC
UCBINDEXW1026
UCBIFX12
UCBINDEXW1533
UCBIFX1E
UCBINDEXW1573
UCBIASHC
UCBINDEXW0208
UCBIASFU
UCBINDEXW1540
UCBIASFE
UCBINDEXW1588
UCBIASFC
UCBINDEXW1541
UCBIAFHE
UCBINDEXW1542
UCBIAFHU
UCBINDEXW1589
UCBIAFHC
UCBINDEXW0052
UCBIOTHR
UCBINDEXW1515
UCBIOTHE
UCBINDEXW1516
UCBIOTH1
UCBINDEXW1517
UCBIOTH2
UCBINDEXW0044
UCBIGXUS
UCBINDEXW1412
UCBIGXUE
UCBINDEXW1574
UCBIGXUC
UCBINDEXW1549
UCBIGXUG
UCBINDEXW1518
UCBIGXU1
UCBINDEXW1519
UCBIGXU2
UCBINDEXW1575
UCBIGXHC
UCBINDEXW1550
UCBIGXHG
UCBINDEXW1564
UCBIGROU
UCBINDEXW1565
UCBIGROE
Calculation
Type
Focus
Vanilla
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
Geographic
Regular
None
Japan
Regular
None
Regular
None
Regular
None
FX Hedged
None
FX Hedged
None
FX Hedged
None
FX Hedged
None
Regular
None
Regular
None
Regular
None
FX Hedged
None
FX Hedged
None
FX Hedged
None
Regular
Focus
Regular
Focus
Regular
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
Regular
None
Regular
None
FX Hedged
None
FX Hedged
None
Regular
None
Global ex US
Regular
None
Global ex US
Regular
None
Global ex US
Regular
None
Global ex US
FX Hedged
None
Global ex US
FX Hedged
None
Global ex US
FX Hedged
None
Global ex US
FX Hedged
None
Global ex US
Regular
None
Vanilla
Regular
None
Vanilla
Japan
Japan
Japan
Japan
Japan
Japan
Japan
Credit
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Asia
Asia
Asia
Asia
Asia
Asia
Asia
Asia
Asia
Asia
Asia
Asia
Other Markets
Other Markets
Other Markets
Other Markets
Growth
Markets
Growth
Markets
69
Index Name
Currency
Growth Markets
CHF
Growth Markets
JPY
Growth Markets Hedged
USD
EUR
CHF
JPY
25 November 2015
RIC
Bloomberg
UCBINDEXW1584
UCBIGROC
UCBINDEXW1601
UCBIGROJ
UCBINDEXW1566
UCBIGRHU
UCBINDEXW1567
UCBIGRHE
UCBINDEXW1585
UCBIGRHC
UCBINDEXW1602
UCBIGRHJ
Calculation
Type
Focus
Vanilla
Regular
None
Vanilla
Regular
None
Vanilla
FX Hedged
None
Vanilla
FX Hedged
None
Vanilla
FX Hedged
None
Vanilla
FX Hedged
None
Vanilla
Geographic
Credit
Growth
Markets
Growth
Markets
Growth
Markets
Growth
Markets
Growth
Markets
Growth
Markets
70
9.2.4 Credit Indices
Index Name
Currency
USD
EUR
CHF
JPY
GBP
USD
EUR
CHF
JPY
GBP
USD
EUR
CHF
JPY
GBP
Hedged
Hedged
Hedged
Hedged
Hedged
USD
EUR
CHF
JPY
GBP
USD
EUR
CHF
GBP
USD
EUR
CHF
GBP
USD
EUR
CHF
GBP
Hedged
Hedged
25 November 2015
USD
EUR
RIC
Bloomberg
UCBINDEXW1416
UICBGIGU
UCBINDEXW1417
UICBGIGE
UCBINDEXW1150
UICBGIGC
UCBINDEXW1149
UICBGIGJ
UCBINDEXW1551
UCBIGLIG
UCBINDEXW1057
UCBIFX04
UCBINDEXW1056
UCBIFX16
UCBINDEXW1128
UCBIFX30
UCBINDEXW1310
UCBIFX29
UCBINDEXW1552
UCBIGIHG
UCBINDEXW1418
UICBFOIU
UCBINDEXW1419
UICBFOIE
UCBINDEXW1152
UICBFOIC
UCBINDEXW1151
UICBFOIJ
UCBINDEXW1553
UCBIGFIG
UCBINDEXW1061
UCBIFX07
UCBINDEXW1060
UCBIFX17
UCBINDEXW1134
UCBIFX32
UCBINDEXW1133
UCBIFX31
UCBINDEXW1554
UCBIFIHG
UCBINDEXW0196
UCBIEIGU
UCBINDEXW0197
UCBIEIGE
UCBINDEXW1309
UCBIEIGC
UCBINDEXW1557
UCBIEIGG
UCBINDEXW1043
UCBIFX35
UCBINDEXW1042
UCBIFX22
UCBINDEXW1158
UCBIEAAE
UCBINDEXW1558
UCBIEIHG
UCBINDEXW1016
UCBIFIEU
UCBINDEXW1017
UCBIFIEE
UCBINDEXW1018
UCBIFIEC
UCBINDEXW1561
UCBIEFIG
UCBINDEXW1135
UCBIFX36
UCBINDEXW1136
UCBIFX37
Calculation
Type
Focus
Vanilla
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
Geographic
Regular
None
Global
Regular
None
Regular
None
Regular
None
Regular
None
FX Hedged
None
FX Hedged
None
FX Hedged
None
FX Hedged
None
FX Hedged
None
Regular
Focus
Regular
Focus
Regular
Focus
Regular
Focus
Regular
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
Regular
None
Vanilla
Europe
Regular
None
Vanilla
Europe
Regular
None
Vanilla
Europe
Regular
None
Vanilla
Europe
FX Hedged
None
Vanilla
Europe
FX Hedged
None
Vanilla
Europe
FX Hedged
None
Vanilla
Europe
FX Hedged
None
Vanilla
Europe
Regular
Focus
Vanilla
Europe
Regular
Focus
Vanilla
Europe
Regular
Focus
Vanilla
Europe
Regular
Focus
Vanilla
Europe
FX Hedged
Focus
Vanilla
Europe
FX Hedged
Focus
Vanilla
Europe
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Credit
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
71
9.2.4 Credit Indices – Continued
Index Name
Hedged
Hedged
Currency
CHF
GBP
US Investment Grade
USD
US Investment Grade
EUR
US Investment Grade
CHF
USD
EUR
CHF
USD
EUR
CHF
Hedged
Hedged
Hedged
USD
EUR
CHF
USD
EUR
CHF
JPY
USD
EUR
CHF
JPY
25 November 2015
RIC
Bloomberg
UCBINDEXW1137
UCBIFX38
UCBINDEXW1562
UCBIPIHG
UCBINDEXW0201
UICBUIGU
UCBINDEXW1523
UICBUIGE
UCBINDEXW1537
UICBUIGC
UCBINDEXW1524
UICBUIG1
UCBINDEXW1525
UICBUIG2
UCBINDEXW1006
UICBUIG3
UCBINDEXW1019
UCBIUFIU
UCBINDEXW1529
UCBIUFIE
UCBINDEXW1580
UCBIUFIC
UCBINDEXW1530
UCBIUFI1
UCBINDEXW1531
UCBIUFI2
UCBINDEXW1581
UCBIFIHC
UCBINDEXW0202
UICBJIGU
UCBINDEXW1539
UICBJIGR
UCBINDEXW1538
UICBCIGE
UCBINDEXW0203
UICBJIGE
UCBINDEXW1534
UICBJIG8
UCBINDEXW1535
UICBJIG9
UCBINDEXW1005
UICBJIG7
UCBINDEXW1536
UICBJIG0
Calculation
Type
Focus
Vanilla
Geographic
FX Hedged
Focus
Vanilla
Europe
FX Hedged
Focus
Vanilla
Europe
Regular
None
Regular
None
Regular
None
FX Hedged
None
FX Hedged
None
FX Hedged
None
Regular
Focus
Regular
Focus
Regular
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
Regular
None
Regular
None
Regular
None
Regular
None
FX Hedged
None
FX Hedged
None
FX Hedged
None
FX Hedged
None
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
After
Jan 13
US
US
US
US
US
US
US
US
US
US
US
US
Japan
Japan
Japan
Japan
Japan
Japan
Japan
Japan
Credit
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
72
9.2.5 Focus Indices
Index Name
Currency
Global Focus
USD
Global Focus
EUR
Global Focus
CHF
Global Focus
JPY
Global Focus
GBP
Global Focus Hedged
USD
Global Focus Hedged
EUR
Global Focus Hedged
CHF
Global Focus Hedged
JPY
Global Focus Hedged
GBP
USD
EUR
CHF
JPY
GBP
Hedged
Hedged
Hedged
Hedged
Hedged
USD
EUR
CHF
JPY
GBP
Europe Focus
USD
Europe Focus
EUR
Europe Focus
CHF
Europe Focus
GBP
Europe Focus Hedged
USD
Europe Focus Hedged
EUR
Europe Focus Hedged
CHF
Europe Focus Hedged
GBP
USD
EUR
CHF
GBP
Hedged
Hedged
25 November 2015
USD
EUR
RIC
Bloomberg
UCBINDEXW0204
UICBFOCU
UCBINDEXW1414
UCBIFOCE
UCBINDEXW1148
UCBIFOCC
UCBINDEXW1147
UCBIFOCJ
UCBINDEXW1545
UCBIGLFG
UCBINDEXW1058
UCBIFX02
UCBINDEXW1059
UCBIFX14
UCBINDEXW1068
UCBIFX28
UCBINDEXW1132
UCBIFX27
UCBINDEXW1303
UCBIFX50
UCBINDEXW1418
UICBFOIU
UCBINDEXW1419
UICBFOIE
UCBINDEXW1152
UICBFOIC
UCBINDEXW1151
UICBFOIJ
UCBINDEXW1553
UCBIGFIG
UCBINDEXW1061
UCBIFX07
UCBINDEXW1060
UCBIFX17
UCBINDEXW1134
UCBIFX32
UCBINDEXW1133
UCBIFX31
UCBINDEXW1554
UCBIFIHG
UCBINDEXW0205
UICBFOEU
UCBINDEXW0206
UICBFOEE
UCBINDEXW1307
UICBFOEC
UCBINDEXW1559
UCBIEUFG
UCBINDEXW1047
UCBIFX10
UCBINDEXW1046
UCBIFX21
UCBINDEXW1316
UCBIFX34
UCBINDEXW1560
UCBIEFHG
UCBINDEXW1016
UCBIFIEU
UCBINDEXW1017
UCBIFIEE
UCBINDEXW1018
UCBIFIEC
UCBINDEXW1561
UCBIEFIG
UCBINDEXW1135
UCBIFX36
UCBINDEXW1136
UCBIFX37
Calculation
Type
Focus
Vanilla
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
Geographic
Regular
Focus
Regular
Focus
Regular
Focus
Regular
Focus
Regular
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
Regular
Focus
Regular
Focus
Regular
Focus
Regular
Focus
Regular
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
Regular
Focus
Vanilla
Europe
Regular
Focus
Vanilla
Europe
Regular
Focus
Vanilla
Europe
Regular
Focus
Vanilla
Europe
FX Hedged
Focus
Vanilla
Europe
FX Hedged
Focus
Vanilla
Europe
FX Hedged
Focus
Vanilla
Europe
FX Hedged
Focus
Vanilla
Europe
Regular
Focus
Vanilla
Europe
Regular
Focus
Vanilla
Europe
Regular
Focus
Vanilla
Europe
Regular
Focus
Vanilla
Europe
FX Hedged
Focus
Vanilla
Europe
FX Hedged
Focus
Vanilla
Europe
Credit
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Global
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
73
9.2.5 Focus Indices - continued
Index Name
Hedged
Hedged
Currency
CHF
GBP
Eurozone Focus
USD
Eurozone Focus
EUR
USD
EUR
US Focus
USD
US Focus
EUR
US Focus
CHF
US Focus Hedged
USD
US Focus Hedged
EUR
US Focus Hedged
CHF
USD
EUR
CHF
Hedged
Hedged
Hedged
USD
EUR
CHF
Asia ex Japan Focus
USD
Asia ex Japan Focus
EUR
Asia ex Japan Focus
CHF
USD
EUR
CHF
Japan Focus
USD
Japan Focus
EUR
Japan Focus
CHF
Japan Focus
JPY
Japan Focus Hedged
USD
Japan Focus Hedged
EUR
Japan Focus Hedged
CHF
Japan Focus Hedged
JPY
Asia Focus
USD
Asia Focus
EUR
25 November 2015
RIC
Bloomberg
UCBINDEXW1137
UCBIFX38
UCBINDEXW1562
UCBIPIHG
UCBINDEXW0211
UICBFOZU
UCBINDEXW0212
UICBFOZE
UCBINDEXW1051
UCBIFX46
UCBINDEXW1050
UCBIFX24
UCBINDEXW0207
UCBIFOUU
UCBINDEXW1526
UCBIFOUE
UCBINDEXW1578
UCBIUSFC
UCBINDEXW1527
UCBIFOU1
UCBINDEXW1528
UCBIFOU2
UCBINDEXW1579
UCBIUFHC
UCBINDEXW1019
UCBIUFIU
UCBINDEXW1529
UCBIUFIE
UCBINDEXW1580
UCBIUFIC
UCBINDEXW1530
UCBIUFI1
UCBINDEXW1531
UCBIUFI2
UCBINDEXW1581
UCBIFIHC
UCBINDEXW1138
UCBIAJFU
UCBINDEXW1503
UCBIAJF1
UCBINDEXW1586
UCBIAXFC
UCBINDEXW1504
UCBIAJF2
UCBINDEXW1505
UCBIAJF3
UCBINDEXW1587
UCBIXFHC
UCBINDEXW1140
UCBIJPFU
UCBINDEXW1507
UCBIJPFE
UCBINDEXW1593
UCBIJPFC
UCBINDEXW1141
UCBIJPFJ
UCBINDEXW1508
UCBIJPF1
UCBINDEXW1509
UCBIJPF2
UCBINDEXW1594
UCBIJFHC
UCBINDEXW1510
UCBIJPF3
UCBINDEXW0208
UCBIASFU
UCBINDEXW1540
UCBIASFE
Calculation
Type
Focus
Vanilla
Geographic
FX Hedged
Focus
Vanilla
Europe
FX Hedged
Focus
Vanilla
Europe
Regular
Focus
Vanilla
Eurozone
Regular
Focus
Vanilla
Eurozone
FX Hedged
Focus
Vanilla
Eurozone
FX Hedged
Focus
Vanilla
Eurozone
Regular
Focus
Regular
Focus
Regular
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
Regular
Focus
Regular
Focus
Regular
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
Regular
Focus
Regular
Focus
Regular
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
Regular
Focus
Regular
Focus
Regular
Focus
Regular
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
Regular
Focus
Regular
Focus
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
Credit
Investment
Grade
Investment
Grade
US
US
US
US
US
US
US
US
US
US
US
US
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Investment
Grade
Asia ex Japan
Asia ex Japan
Asia ex Japan
Asia ex Japan
Asia ex Japan
Asia ex Japan
Japan
Japan
Japan
Japan
Japan
Japan
Japan
Japan
Asia
Asia
74
9.2.5 Focus Indices - continued
Index Name
Currency
Asia Focus
CHF
Asia Focus Hedged
USD
Asia Focus Hedged
EUR
Asia Focus Hedged
CHF
25 November 2015
RIC
Bloomberg
UCBINDEXW1588
UCBIASFC
UCBINDEXW1541
UCBIAFHE
UCBINDEXW1542
UCBIAFHU
UCBINDEXW1589
UCBIAFHC
Calculation
Type
Focus
Regular
Focus
FX Hedged
Focus
FX Hedged
Focus
FX Hedged
Focus
Vanilla
After
Jan 08
After
Jan 08
After
Jan 08
After
Jan 08
Geographic
Credit
Asia
Asia
Asia
Asia
75

THOMSON REUTERS CONVERTIBLE INDICES METHODOLOGY

Transcription

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