Citigroup Global Fixed-Income Index Catalog ... - The Yield Book

August 31, 2006Citigroup Global Fixed-Income Index Catalog — 2006 EditionEuro Broad Investment-Grade(EuroBIG) Bond IndexThe Euro Broad Investment-Grade (EuroBIG) Bond Index is designed to provide abenchmark for euro-based fixed-income portfolios. It covers all sectors of theinvestment-grade fixed-income market that are accessible to institutional investorsand accurately measures their performance and risk characteristics.Figure 24 summarizes the design criteria and calculation assumptions for this index.€€Figure 24. Euro Broad Investment-Grade (EuroBIG) Bond Index — Design Criteria and CalculationAssumptionsStated CouponFixed rateMinimum MaturityOne yearWeightingMarket capitalization updated once a monthMinimum Size Outstanding EMU Sovereigns: € 1 billion or the equivalent for nonredenominated bondsOther: € 500 million or the equivalent for nonredenominated bondsCompositionIssues denominated in EUR, ECU, or NCU, and certain euro medium-term notes aMinimum QualityRedemption FeaturesSeasoningReinvestment of Cash FlowCalculation FrequencyPricingSettlement DateInvestment-grade: BBB-/Baa3 by either S&P or Moody’s with the following exceptions — UnratedJumbo/Global Pfandbrief, which are shadow-rated AAA; unrated bonds issued by or guaranteed by asovereign or supranational issuer, which are assigned the rating of the issuer or guarantorBullet, sinking fund, puttable, extendable, or callableUnseasoned bonds are includedAt daily average of the one-month Eurodeposit rate, calculated from the actual scheduled paymentdate of cash flow through the end of the reporting periodDailyCitigroup is the source for all pricingMonthly: Last calendar dayDaily: Same day except for last business day of month, when settlement is last calendar dayBase Date December 31, 1998a For a medium-term note to be included, it must meet all other criteria and be publicly announced. For self-led deals, we require the issue to bemanaged by a syndicate with a minimum of five members; for all other deals, we require a minimum of three syndicate members. For thepurposes of determining the amount outstanding of such an issue, all fungible issues will be combined.Source: Citigroup Index LLC.Sector ClassificationThe asset classification of the EuroBIG Index reflects the current structure of themarket and is in line with the structure of the WorldBIG Index. Figure 25 details thesector classification of the EuroBIG Index.Figure 25. Euro Broad Investment-Grade (EuroBIG) Index — Sector ClassificationSovereign/Sovereign-Guaranteed Collateralized Corporate — UtilityDomestic Sovereign (EGBI) Jumbo Pfandbrief ElectricForeign Sovereign Other Covered GasSovereign-Guaranteed Asset Backed TelecommunicationOther UtilityGovernment-Sponsored/Regional Government Corporate — Industrial Corporate — FinanceAgency Consumer BanksSupranational Energy Independent FinanceOther Sovereign-Sponsored Manufacturing InsuranceRegional Government Service Other FinanceRegional Government-GuaranteedTransportationRegional Government-SponsoredOther IndustrialSource: Citigroup Index LLC.Citigroup Index LLC 35