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

More documents

Recommendations

Info

August 31, 2006Citigroup Global Fixed-Income Index Catalog — 2006 EditionWorld Money Market IndexThe World Money Market Index approximates the performance of money marketinstruments in the following 17 currencies: US dollar, Canadian dollar, Czechkoruna, Danish krone, euro, Hungarian forint, Norwegian krone, Polish zloty,Swedish krona, Swiss franc, UK sterling, Australian dollar, Hong Kong dollar,Japanese yen, New Zealand dollar, Singapore dollar, and South African rand. Theindex tracks the following instruments: one-, two-, three-, six-, and 12-monthEurodeposits. We believe that Eurodeposits represent a common, liquid asset classacross currencies and provide a good proxy for short-term markets.We compute returns daily and monthly for each of these instruments in their localcurrencies and in US dollar terms.The index dates back to December 1997 and measures the return of money marketinstruments, making the following assumptions:➤ All Eurodeposits are held to maturity.➤ The index invests only in Eurodeposits with maturities that correspond to theindex. For example, the three-month US Dollar Money Market Index investsonly in three-month US dollar Eurodeposits, and the six-month Japanese yeninvests only in six-month Japanese yen Eurodeposits.➤ For each index, at the beginning of each month, a fraction of the index maturesand is rolled over into a new Eurodeposit of the same maturity. In any givenmonth, the index includes a group of Eurodeposits equal in number to thenumber of months in the maturity of instruments in that particular index. Forexample, a three-month index is at any given time composed of three threemonthEurodeposits, and at the beginning of each month one of the threeEurodeposits matures and is rolled over into a new three-month Eurodeposit.Similarly, a six-month index is at any given time composed of six six-monthEurodeposits, and at the beginning of each month one of the six Eurodepositsmatures and is rolled over into a new six-month Eurodeposit.➤ The returns for any given maturity index are computed from the actualEurodeposits that constitute the index in that particular month. For example, thereturn for October for the three-month indexes would include the return of aladdered investment from July, August, and September. At the end of October,the July 31 Eurodeposit would mature and a new Eurodeposit would be includedas of October 31 to continue the ladder for future returns. More details of returncomputation are given in the next section.➤ For one-month Eurodeposits, a new Eurodeposit replaces a matured Eurodepositat the beginning of every month and the returns correspond to the Eurodepositrate for the month for which the returns are computed.52Citigroup Index LLC
FonctionnementPressez et relâchez pour- Activer/désactiver l’instrument:(marche/arrêt)- Démarrer ou mesurer le point final- Retourner au mode de mesure- Valider les paramètres; enregistrer lavaleur saisie- Démarrer l’étalonnagePressez et maintenez enfoncéependant 2 secondes pour- Activer/désactiver, désactivation automatique(met l’appareil hors tensionaprès 15 minutes)- Activer/désactiver le point final automatique/- Commuter entre les modes de mesurepH et mV- Retourner à la mesure (ignorer l’entrée)- Définir MTC - Sélectionner ou éditer le groupe detampons- Enregistrer la valeur actuelle- Augmenter la valeur pendant le paramétrage- Faire défiler la mémoire- Renommer les données enregistrées- Diminuer la valeur pendant le paramétrage- Faire défiler la mémoire- Démarrer le diagnosticautomatique du pH-mètre- Afficher les dernières données d’étalonnageMETTLER TOLEDO SevenGo pH 951710340 Buch.indb 9 28.2.2006 15:41:19 Uhr
Page 1: GLOBAL AUGUST 31, 2006INDEXGROUPInd
Page 4 and 5: August 31, 2006Citigroup Global Fix
Page 10: August 31, 2006Citigroup Global Fix
Page 64: Disclosure Appendix A1"Dow Jones In

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

Create successful ePaper yourself

Delete template?

Save as template?