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

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August 31, 2006Citigroup Global Fixed-Income Index Catalog — 2006 EditionRelated BenchmarksCitigroup Global Emerging Market Sovereign-Capped Bond Index(ESBI-C)The Global Emerging Market Sovereign-Capped Bond Index (ESBI-C) represents amodified version of the ESBI. It imposes a maximum par amount of US$15 billionper country, thereby limiting the effect of debt-burdened countries on indexcharacteristics and performance. Large debt markets can be explained by one of tworeasons: The countries have large economies with reasonable debt-to-GDP ratios, orthey have smaller economies and larger debt-to-GDP ratios. The former are morelikely to have stable outstanding amounts and stable or even increasing pricesleading to positive returns. The latter might be expected to have unstable outstandingamounts and fluctuating prices resulting in volatile returns. Capping the par size of acountry will prevent the latter group from dominating.Citigroup Global Emerging Market Sovereign-Extended Bond Index(ESBI-E) and Global Emerging Market Sovereign-Capped ExtendedBond Index (ESBI-CE)The ESBI-Extended Bond Index (ESBI-E) and ESBI Capped Extended Bond Index(ESBI-CE) capture the bonds that are excluded from the ESBI and ESBI-Cappedbecause of default by the issuer.For a country to be moved to the Extended Indexes, at least one foreign currencydebt that is a direct obligation of the sovereign government in the ESBI and ESBI-Capped meets the default criteria stated above.In the event that a country defaults, all of its issues in the ESBI and ESBI-Capped,including its Brady bonds, are moved to the Extended Indexes. We also adjust thereturns for the bonds to reflect the loss of coupon payments or accrued interest, whereapplicable. The adjustment occurs at the month-end following the default of the issuer.The return calculation for the default issues reflects only principal gains or losses.Additional DefinitionsSpread DurationSpread duration is a measure of relative changes in the full price because of changesin the stripped spread.Stripped YieldYield calculated on cash flows reduced by any guaranteed payments of principal andinterest and with the price reduced by the present value of the guaranteed payments.Stripped SpreadThe spread (in basis points) over the pricing yield curve for the unguaranteed portionof a security’s cash flows, equal to the amount that, when added to each of the yieldcurve’s spot rates, makes the present value of the unguaranteed portion of the cashflows equal to the price reduced by the present value of the guaranteed payments.50Citigroup Index LLC
August 31, 2006Citigroup Global Fixed-Income Index Catalog — 2006 EditionBlended YieldBlended yield is the yield obtained from discounting both the sovereign andcollateral component of future cash flows.Cash Flow YieldThe rate of return indicated by the security’s full price, settlement date, and assumedcash flows.Cash Flow SpreadThe security’s yield, minus the yield of a suitable benchmark security, in basis points.Citigroup Index LLC 51
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Citigroup Global Fixed-Income Index Catalog ... - The Yield Book

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