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

More documents

Recommendations

Info

August 31, 2006Citigroup Global Fixed-Income Index Catalog — 2006 EditionWhere to Find the Citigroup Fixed-Income IndexesOur indexes are widely followed and broadly published. We employ many methodsof distribution to allow for easy access to our indexes. In this section, we highlightthe distribution channels that incorporate our index products. Although the mainvehicles that we use to distribute index information are the Citigroup Fixed-IncomeIndex website (www.yieldbook.com) and The Yield Book ® , one can get extensiveinformation from several independent sources. The level of data carried by theseservices varies from monthly sector level returns to details on the individual securityholdings of each index.Figure 3. Where to Find the Citigroup Fixed-Income IndexesCitigroupCitigroup Fixed-Income Index Website(http://www.yieldbook.com/)The Yield Book®Total Rate-of-Return Indexes (Citigroup monthly publication)International Market Indexes (Citigroup monthly publication)Financial News OrganizationsBloomberg SBI; SBBI (Downloadable)Reuters pages SOLR-ZThe Economist (Weekly)Financial Times (Daily)Borsen Zeitung (Daily)Il Sole-24 Ore (Daily)Data and Analytic VendorsABICAlbridge SolutionBank HapoalimBank of New YorkBARRABlackrockBrainpowerCapital Mgmt Sciences (CMS)Confluence TechnologiesDaiwa Institute of ResearchDPGeVestment AllianceFactSet Data SystemsFinancial ExpressFininfo/EuroperformanceGreenHill PartnersHaver AnalyticsIbbotson AssociatesInforma Financial SolutionsInteractive Data CorporationInvestor ForceJapan Pension NavigatorJapan Trustee Services BankJiji Press Ltd.JP Morgan Chase CustodianMaster Trust Bank of Japan, Ltd.Mellon Analytical SolutionsMellon BankSource: Citigroup Index LLC.Citigroup DIRECT Website (http://fidirect.citigroup.com)Citigroup Smith Barney (http://www.smithbarney.com/fii)Global Money Management (Biweekly)Global Finance (Monthly)Greek Financial PressInternational Financing Review (IFR) (Weekly)Latin Finance (Monthly)MicropalMitsubishi Asset BrainsMitsui Asset TrustMizuho Research InstituteMobiüs GroupMorningstar, Inc.Nikko Financial IntelligenceNomura Funds Research & TechnologyNomura Research InstituteNorthern Trust CustodyQuantec Investment TechnologiesQUICK CorporationRatings & InvestmentsRBC Dexia Investor Trust ServicesReuters Ltd.Richards & TierneyRIMES TechnologiesRiskMetricsStrategic Financial Solutions (Pertrac)Sungard Frontier AnalyticsSungard Shaw Data ServicesThomson Financial CompaniesTrust & Custody Services BankWatson Wyatt K.K.Wilshire AssociatesWilson AssociatesZephyr Associates, Inc.8Citigroup Index LLC
August 31, 2006Citigroup Global Fixed-Income Index Catalog — 2006 EditionGeneral Methodology — Fixed-IncomeIndexesAll Citigroup indexes follow the general methodology outlined in this section. Whennecessary, we elaborate on the explanations or provide more detailed information ina separate section on each index.Maturity and Issue SizeThe Citigroup fixed-income indexes measure the total-rate-of-return performance forbond markets with a remaining maturity of at least one year. In addition, each markethas a minimum size criterion designed to include only those bonds that are“reasonably available” for institutional investors under normal market circumstances.The specific size criterion will be discussed in the individual index sections.Money market indexes measure the performance of instruments with maturities of 12months or less.PricingReliable pricing of each security in our indexes is essential to ensure reliable indexvalues and returns. For monthly returns, traders’ bid-side prices (mid-prices for theJGB market) are collected on the last business day of every month, generally at theclose of the local market. All securities in our US domestic indexes and CanadianGovernment Bond Index are priced as of 3:00 p.m. Eastern Standard Time (EST) toreflect the futures close. In the event of an early cash or futures market close, we stilluse the futures close to time our pricing. For daily return calculations only, traderpricing may be supplemented with matrix pricing. When necessary, outside pricingsources are used for some securities to ensure completeness.Figure 4. Local Market Times Used for PricingAustralia 4:30 p.m. (Sydney) EMU Bloc 4:15 p.m. (London)New Zealand 4:30 p.m. (Wellington) Scandinavia 4:15 p.m. (London)Japan 3:00 p.m. (Tokyo) United Kingdom 4:15 p.m. (London)Singapore 4:30 p.m. (Singapore) Jumbo Pfandbrief 3:30 p.m. (London)Canada 3:00 p.m. (New York) Switzerland 5:00 p.m. (Zurich)United States 3:00 p.m. (New York) Poland 4:30 p.m. (Warsaw)Source: Citigroup Index LLC.Index Data DeliveryThe following are the expected delivery times for the indexes.➤ Daily WGBI, AGBI, and AusBIG Index returns reports (PDF files): 6:00 p.m.EST, same day.➤ Daily profiles and returns for all other markets: 11:45 p.m. EST, same day.➤ Month-end daily profile and returns: 9:00 p.m. EST, first business day using UScalendar.➤ Monthly profile and returns: 9:00 p.m. EST, first business day using UScalendar.Citigroup Index LLC 9
Page 1: GLOBAL AUGUST 31, 2006INDEXGROUPInd
Page 4 and 5: August 31, 2006Citigroup Global Fix
Page 10: August 31, 2006Citigroup Global Fix
Page 59 and 60:
August 31, 2006Citigroup Global Fix
Page 61 and 62:
August 31, 2006Citigroup Global Fix
Page 64:
Disclosure Appendix A1"Dow Jones In
show all

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

You also want an ePaper? Increase the reach of your titles

Delete template?

Save as template?