FTSE Russell - Discussion On Fixed Income Indexes - CFIF .
FTSE RussellDiscussion on Fixed Income IndexesCFIF Committee Meetingftserussell.comFTSE RussellOctober 3, 20171
DisclaimerFTSE Russell is not an investment firm and this presentation is not advice about any investment activity. None of the information in thispresentation or reference to a FTSE, FTSE TMX, or FTSE Russell index constitutes an offer to buy or sell, or a promotion of, a security. Thispresentation is solely for informational purposes. Accordingly, nothing contained in this presentation is intended to constitute legal, tax, securities,or investment advice, nor an opinion regarding the appropriateness of making any investment through our indexes.FTSE Russell2
Discussion Topics1 FTSE Russell Fixed Income Developments FTSE TMX Canada Evolution - Brief History and Product OverviewExpanding FTSE Russell Fixed Income Capabilities2 Global Regulatory Developments3 Approach to Indexing Overview of Indices tracking Canadian Fixed IncomeFTSE TMX Canada Universe Bond IndexIOSCOObjectives, Considerations and OversightGovernance and Committee Structure4 Bond Price Methodology Overview of Multi Dealer Pricing MethodologyPrice Challenge Policy5 Appendix FTSE RussellRegulatory Changes in Index Landscape3
FTSE RussellFixed Income DevelopmentsFTSE Russell4
FTSE Russell5
FTSE TMX Canada ProductsFTSE offers comprehensive, transparent broad market and alternative strategy BenchmarkIndices in Canada, overseen by a rigorous Governance Framework, provides Bond Pricingutilizing a Multi Dealer Methodology, and supports both through market risk andperformance AnalyticsIndexesBond PricingAnalyticsFTSE TMX CanadaFastQuoteFTSE Bond Analytics (PCBond)BondPerformIndex Families covering a multitude of assetcategories and debt types – 600 index seriesacross 20 index familiesMulti Dealer Pricing Methodology gatherscontributions from primary dealer brokers andanchors in traded price to create an officialmarket compositeFTSE Bond - Comprehensive Portfolio &Benchmark Management software to evaluatemarket risk and identify opportunitiesThree powerful programs – BondMan,BondCalc, BondData – access one of the largestFixed Income databases with over 70 years ofhistory on indexes, prices, and bond referencedateTransparent Rules Based MethodologyClassification and Rating SchemesModular Index ConstructionsConsistent pricing approach providestransparency and price discovery to an opaqueOTC marketInnovative development of leading MarketIndex &Alternatively Weighted BenchmarksCustom & Bespoke Index solutions to supportAsset Owners, Money Managers& ETP IssuersOfficial 4 pm EST end of day market closevaluations are available for in and out ofbenchmark bondsBondPerform – Factor Based PerformanceAttribution system decomposes daily returns ofbenchmark and portfolioOverarching Governance Framework tooversee index in line with global standardsexternal Advisory Committees to supportbenchmark development and designIOSCO CompliantValuations are used to price the indexes andare distributed to buy side participants (MutualFunds, Custody, Asset Owners) to priceportfolios and strike NAVSupport Guide – Interactive on-line supportfacility, offering user on-boarding guides,training materials, guided help, technical FAQand much moreSupport by experienced analystsFTSE Russell6
Development of the FTSE TMX Canada Suite FTSE Russell are committed to ensuring the integrity and quality of the benchmarks Overall strategy in Fixed Income values the deep domestic benchmarks incomplement to growing the Global footprint and coverage FTSE Russell bring global context along side local market expertise to deliver best inclass products FTSE Russell is investing and adding resources to the FTSE TMX Canada suite ofproducts to support and drive a number of development initiativesFTSE RussellINTERNAL USE ONLY7
Citi Yield Book and Fixed Income Index Acquisition LSEG announced its acquisition of The Yield Book analytics platform and Citi FixedIncome Indices from Citi in May and completed the acquisition on 31 August 2017 Citi Fixed Income Indices provide comprehensive coverage of global debt markets The Yield Book’s products offer analytical insights into a broad array of fixed incomeinstruments with specific focus on mortgage, government, corporate and derivativesecurities The FTSE TMX Canada product suite complements the Citi offering and remains a corecomponent of FTSE Russell’s benchmark development strategy for fixed incomeFTSE RussellINTERNAL USE ONLY8
GlobalFTSE Combined Fixed Income FamilyFTSE Fixed Income Global, Regional, and Local IndicesGlobalWorld GovernmentBond Index (WGBI)World Broad IG BondIndex (WorldBIG)AmericasAsian GovernmentBond Index (AGBI)Emerging MarketsGovernment Bond Index(EMGBI)US High-Yield IndexEuropean High-YieldMarket IndexAsian Broad Bond Index(ABBI)Emerging Markets BroadBond Index (EMUSDBBI)Dim Sum (Offshore CNY)Bond IndexEmerging MarketsInflation-Linked SecuritiesIndex (EMILSI)Latin American GovernmentBond Index (LATAMGBI)World Money MarketIndices (WMM)FTSE TMX Canada IndexSeriesMulti-Sector(Universe, Maple, HY, Converts)AnalyticsGovernmentEurobond IndexCentral Eastern Europe,Middle East, and Africa GovtBond Index (CEEMEAGBI)Emerging Markets USDollar Government BondIndex (EMUSDGBI)China Onshore BroadIndex (CNYBBI)FTSE MTS Index SeriesChina Onshore BroadIndex (CNYBBI Interbank)Alternative WeightAustralia Broad IG BondIndex (AusBIG)Debt Capacity WorldGovernment BondIndex (DCWGBI)Government(Eurozone nominal, linkers and bills)Covered(real return, nominal, bills, provies)FTSE PiP Index SeriesChinese Governmentand Policy Bank BondIndex (CNGPBI)Middle East and North AfricaBroad Bond Index(MENABBI)Citi RAFI Bond Index SeriesFTSE Actuaries UKGilt Index SeriesFTSE SBI (India) IndexSeriesFTSE RussellEmerging MarketsEuro Broad IG BondIndex (EuroBIG)US Treasury STRIPSDuration (OAD, Key Rates)Spreads (OAS, OASD)Yield (YTM, YTC, YTW)ConvexityAPAC and JapanDomestic/PartnershipUS Broad IG BondIndex (USBIG)World Inflation-LinkedSecurities Index (WorldILSI)Sukuk IndexEMEARegionalTime-Weighted USFallen Angel Bond Index9
FTSE Fixed Income Benchmark Index OverviewThe Four sIndex &AnalyticsCustom IndexSolutionsRobust Control& -----------------Capturing globalfixed income inbroad indices,coupled with localmarketpartnerships toprovide depth indomestic fixedincomeDifferentiated CoreOfferingScalable andextensive customsolutions, for bothglobal and localmarketsOngoingcontinuous productimprovementthroughgovernance andindependentoversightFTSE RussellThematicInnovationRich AnalyticalFramework.10
Global Regulatory DevelopmentsFTSE Russell11
European Benchmark Regulation Changes in regulatory landscape require index providers to meet higher standards incontrol, governance, and oversight as Benchmark Administrators European Regulation on indices used as benchmarks in financial instruments andfinancial contracts or to measure the performance of investment funds (the EU BMR)will apply from 1 January 2018 EU BMR introduces a common framework to ensure the accuracy and integrity ofindices used as benchmarks in the European Union FTSE Russell fully supports the focus of the EU BMR, has been involved in contributingto its formation, and is committed to ensuring compliance of its relevant benchmarkswith the EU BMRPlease refer to Appendix for additional details on EU BMRFTSE Russell12
Approach to IndexingFTSE Russell13
IOSCO Statement of Compliance FTSE Russell publishes a Statement of Compliance with respect to therecommendations made by the International Organization of Securities Commissions(IOSCO) in Principles for Financial Benchmarks Final Report (the IOSCO Principles) Independent assurance of the assertions by FTSE Russell in its Statement ofCompliance has been received from KPMG LLP FTSE Russell embraces and endorse the IOSCO Principles and adhere to thestandards for benchmark administrators, set out by IOSCO in the areas Governance Quality of the Benchmark and Methodology Accountability For FTSE TMX Canada, report covers the Universe Bond Index benchmark and thepricing used to strike the index The highlights and the full FTSE Russell report are publicly available at the oFTSE Russell14
FTSE TMX Canada Benchmarks Track MultipleMarket Segments in Domestic Fixed IncomeBroad range of security typesBroad MarketSub IndexesUniverse BondIndexMoney Market IndexSeriesCorporate Bond IndexLaddered Bond IndexSeries)Maple Bond IndexFloating Rate NoteIndexGovernment BondIndexLiquid Bond IndexSeriesUniverse MapleBond IndexStrip Bond IndexReal Return BondIndex20 Bond IndexHigh Yield Bond IndexFTSE RussellAlternativeStrategiesBroad MarketSector Sub Indexes –multiple, for each Corporateand Government sectorTarget Maturity BondIndex SeriesTerm Sub Indexes – Short,Mid , Long, 1-3 y, 3-5 y, 710y, 10-15y, 15-25y, 25 Convertible Bond IndexHYBrid Bond IndexQuality Sub Indexes –Corporate AAA/AA,Corporate A, Corporate BBBDiscount Bond IndexPricingAnalyticsGovernanceBonds are priced using theMulti Dealer PricingMethodologyRisk and PerformanceYield, Duration (Mod, Mac)Convexity, DVal01Sector, Rating, TermBreakdownsIOSCO CompliantOverseen by internalGovernance Board andExternal AdvisoryCommittees15
Rules Based Transparent Methodologies In line with governance standards, FTSE TMX maintains transparent, robust, rulesdriven index construction methodologies Methodologies are publicly available and contain eligibility, exclusion, handling andcalculation attributes ogiesCategorySummary of Current Rules – FTSE TMX Canada Universe Bond IndexMarket CoverageDomestic (Canadian) Government and Corporate issuers, in Canada in C Min Issue SizeGovernment Bonds: 50mn / Corporate Bonds: 100 MMAdjusted to reflect buybacks, BoC holdings, stripping / reconstitutionQualityInvestment Grade; Index Rating of BBB or higherTermSecurities must have at least one year to maturityCouponFixed-rate, semi-annual pay securitiesAdditional ScreenAt least 10 institutional buyers at issue (independent compliance certificate)Other InclusionClarificationClarification to include NVCC, callable, extendible/ retractable, sinking funds,exchangeables, junior subordinated bonds/hybrid capital, fixed-to-floaters, semiannual amortizing securities, semi-annual bullet ABSExclusionClarificationDoes not include floating-rate notes, convertible bonds, CMBS,MBS, othermonthly-pay, pre-payable, or inflation-indexed securities, securities specificallytargeted to the retail market or securities that are not pricedFTSE Russell16
Index Control and Governance Framework FTSE Russell leads global best practice standards in governance, including thoseapplied to FTSE TMX Canada, with a focus on transparent, robust and rules-drivenindex construction Index construction, management, and methodology evolution are overseen by anoverarching governance structure which includes Internal Governance Board External Advisory Committees Market ConsultationsIndex developments are communicated to the market to inform participantsFTSE Russell17
Effective GovernanceFTSE Russell Internal CommitteesFTSE Russell External CommitteesFTSE rdFTSEPartnershipCommittees Ultimateauthority Approves allnew productsand changes toexistingproducts Ensuresproducts aremaintained inaccordance withtheir rules andguidelines Ensurescontrols andprocedures forindexmanagementare effectiveFTSE RussellSEAGMAPIIMGAgreestreatment ofdifficult suson changestoprocessesandproceduresReviews allproposedrulechangesprior to lityCommitteeFTSE CountryClassificationCommitteeFTSE BondIndexCommittees Committees consist of leadingmarket professionals fromaround the globe, including assetowners, consultants, investmentmanagers and financial analysts Independent oversight of ourindexes is central to ourapproach to doing business18
Index Control and Governance FrameworkFTSE Russell Internal Governance Board (GB) Operated through working groups of senior, knowledgeable and experiencedprofessionals across governance, research, and operations areas Governance Board is responsible for maintaining the integrity of the indexes throughregular review and approvals of any index methodology changes, quality of inputsand analytics, product development, as well as technical and operational robustness For FTSE TMX Canada Indexes this process also includes Review of Submissions Undertaken regularly throughout the year Comparison with corroborating data Review of satisfactory operation of the index in light of market conditionsFTSE Russell19
Index Control and Governance FrameworkFTSE Russell External Advisory Committees Formed of senior experienced market practitioners serving in a personal capacity,including but not limited to: asset owners, asset managers and consultants The independent committee structure supports the Governance Board by Helping to ensure that indexes reflect their underlying market (representative) Methodology (a strict set of rules by which all FTSE Russell indexes are governed)evolve in line with the highest standards of the industry to take account ofchanging market dynamics Ensure that the indexes are managed and calculated according to the IndexMethodology, and remain transparent and accurateCommittee discussions are minuted, and a high level summary of the Public Minutesis available for access at sFTSE Russell20
Index Control and Governance FrameworkMarket Consultations FTSE Russell regularly consults the market to provide guidance on various topics: Representativeness of indices to continue to meet index users requirements Coverage of new issuance types Interpretation of index rules in light of market events/developments Evolution of index methodology to ensure benchmarks meet objectives Feedback is gathered through a number of channels including formal consultations andsurveys, ongoing dialogue with market participants and the Advisory Committee Engagement with market participants include buy side and sell side firms; asset ownersand consultants; issuers and syndicates; and regulatory agencies Consultation feedback and survey results are non-binding and ultimate decision makingauthority belongs to FTSE RussellFTSE Russell21
FTSE TMX CanadaBond Pricing MethodologyFTSE Russell22
Multi Dealer Pricing MethodologyOverview FTSE TMX Canada Multi Dealer Pricing Methodology Guide publicly available to allusers at lerPricing The Guide specifies the following logic Contributors provide quotes according to market conditions FTSE TMX price verification process compares the contributions against severalverifications such as pricing from the lead dealer (if such exists), contributions fromother dealers, and traded prices (if such are reported) Contributions that pass these tests but lie more than one standard deviation from themean are excluded Those remaining are averaged to form the blended price The blended price is further checked against the nearest maturing Canada benchmarkbond for consistency in p
FTSE Russell 17 Index Control and Governance Framework FTSE Russell leads global best practice standards in governance, including those applied to FTSE TMX Canada, with a focus on transparent, robust and rules-driven index construction Index construction, management, and
FTSE Russell An LSEG Business FTSE Global Equity Index Series, v10.9,September 2021 5 of 46 Section 2 Management Responsibilities 2.0 Management Responsibilities 2.1 FTSE International Limited (FTSE) 2.1.1 FTSE is the benchmark administrator of the index series.1 2.1.2 FTSE is responsible for the daily calculatio
FTSE Russell Corporate Actions and Events Guide for Market Capitalisation Weighted Indexes, v5.0, December 2020 3 of 31 FTSE Russell FTSE Russell is a trading name of FTSE International Limited, Frank Russell Company, FTSE Global Debt Capital Markets Limited (and its subsidiaries FTSE Global Debt Capital Markets Inc. and MTSNext Limited),
FTSE Russell An LSEG Business FTSE Blossom Japan Sector Relative Index, v2.5, 2022 年10 月 3 / 24 セクション1 はじめに 1.0 はじめに 1.1 本書は、FTSE Blossom Japan Index �を説明したものです。 本 ルールのコピーはwww.ftserussell.com から入手できます。 1.2 FTSE Blossom Japan Index は、FTSE Japan .
and 31 July 2015. The average quorum for FTSE 100 companies during the 2015 proxy season has been 70.60%. This is similar to the average 2014 quorum, which amounted to 70.70%, and the average 2013 quorum, which amounted to 71%. Graph 1: Shareholder attendance levels: comparison of FTSE 100 and FTSE 250 between 2011 and 2015. FTSE 100 FTSE 250 0 .
Plan 63 Return of your initial deposit, plus: 4.5% return if the FTSE 100 is higher than 100% of its starting . The globalised business of the companies that comprise the FTSE 100 means that an investment in the FTSE 100 also provides currency diversification. The FTSE 100 is accessible to UK investors as it is quoted in Pounds Sterling.
Client Service Team office: EMEA 44 (0) 20 7866 1810. North America 1 866 551 0617 Asia-Pacific Hong Kong 852 2164 3333 Tokyo 81 3 4563 6346 Sydney 61 (0) 2 8823 3521. About FTSE Russell. FTSE Russell is a leading global index provider creating and managing a wide range of indexes
ESG Ratings of PLCs assessed by FTSE Russell# in accordance with FTSE Russell ESG Ratings Methodology Stock Code Company Name (sorted By Alphabetical) Sector F4GBM Index ESG Grading Band 6599 AEON CO. (M) BHD CONSUMER PRODUCTS & SERVICES ** 5139 AEON CREDIT SERVICE (M) BHD F
C. FINANCIAL ACCOUNTING STANDARDS BOARD In 1973, an independent full-time organization called the Financial Accounting Standards Board (FASB) was established, and it has determined GAAP since then. 1. Statements of Financial Accounting Standards (SFAS) These statements establish GAAP and define the specific methods and procedures for
