PLEASE SEE ANALYST CERTIFICATIONS AND IMPORTANT DISCLOSURES STARTING AFTER PAGE 60.
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Table of Contents
Barclays Capital Indices Rebranding
Official benchmark index names and rebranding guidelines
List of official index names Figure 1: Combined Inflation-Linked Index Family Figure 2: Combined Government/Treasury Index Family (Nominal Indices) Figure 3: Combined Sterling Benchmark Index Family Figure 4: Rebranded Lehman Brothers Global Benchmarks Figure 5: Rebranded Lehman Brothers U.S. and Canadian Benchmarks Figure 6: Rebranded Lehman Brothers Pan-European Benchmarks Figure 7: Rebranded Lehman Brothers Asian-Pacific Benchmarks Figure 8: Combined Swaps/Derivatives Indices Family
3
3
5 7 8 9 10 11 13 14 15
Other Barclays Capital Indices branding initiatives: Rebranded index publications Access to Barclays Capital Indices through the internet Access to Barclays Capital Indices on Bloomberg Index factsheets for major Barclays Capital Indices
Barclays Capital Universal Govt IL Bond Index Barclays Capital World Govt Inflation-Linked Bond Index Barclays Capital EM Govt Inflation-Linked Bond Index Barclays Capital Euro Government Inflation-Linked Bond Index Barclays Capital U.S. Government Inflation-Linked Bond Index Barclays Capital U.S. Govt Public Float ILB Index Barclays Capital Global Aggregate Bond Index Barclays Capital U.S. Aggregate Bond Index Barclays Capital Pan-European Aggregate Bond Index Barclays Capital Euro Aggregate Bond Index Barclays Capital Sterling Aggregate Bond Index Barclays Capital Asian-Pacific Aggregate Bond Index Barclays Capital Japanese Aggregate Bond Index Barclays Capital Global Treasury Bond Index
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22 24 26 28 30 32 34 37 39 41 43 45 47 49
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Barclays Capital U.S. Universal Bond Index Barclays Capital U.S. Government/Credit Bond Index Barclays Capital U.S. Corporate High-Yield Bond Index Barclays Capital Pan-European High-Yield Bond Index Barclays Capital U.S. Municipal Bond Index
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On November 3, 2008, Barclays Capital announced the rebranding of its unified family of indices under the Barclays Capital Indices name. This combines the existing Lehman Brothers and Barclays Capital indices into a single platform. It is Barclays Capitals intention to maintain the existing Lehman Brothers indices, with the principal rebranding concern being to change the name of the index from Lehman Brothers to Barclays Capital. Barclays Capital will be working closely with our clients and partners to assist them in addressing the rebranding in connection with index-linked products. Our primary aim will be to ensure that our clients suffer as little inconvenience as possible during the transition. In the few cases in which there are two legacy indices of similar composition, we will ensure that clients that have dependencies on the legacy indices will continue to have access to them. Over time, and with ample notice, we will work toward merging them. When that happens, we will maintain historical data on the legacy benchmarks, so that all client needs are met. As a unified brand, Barclays Capital Indices will be dedicated to innovations in index development and analysis. We have taken two excellent index platforms, combined them, and now plan to make that platform better than ever. Thank you for your continued support, and we look forward to working with you in the future. This rebranding is effective immediately, although certain aspects of the initiative will take additional time to complete across all index data platforms. This document provides additional details about many of the completed and ongoing rebranding initiatives and should answer many of the questions index users have had since the initial announcement.
The integration of the two platforms will be an ongoing process. As additional details of the rebranding and integration emerge, we will provide updates on any changes that may affect our index users beyond what is outlined in this reference. We recognize that index users will also need time to implement these changes, and we will continue to work to ensure that index production and publication with minimal interruption remains our highest priority.
Guidelines: The full firm name of Barclays Capital should be used in both official index names and when cited as a source for index data. Barclays
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Capital should not be abbreviated as BC or BarCap when formally referring to an index name. ! Geography/Currency: Many indices within an index family are differentiated by currency or geography. For example, within the Aggregate Index family, we publish a U.S. Aggregate Index, Pan-European Aggregate Index, Sterling Aggregate Index, etc. If a benchmarks composition is defined by currency or geography (including multicurrency macro or global indices such as the Global Aggregate), the index name will contain those details in the formal name. Several common questions about index names are addressed in the following guidelines.
!
For rebranded Lehman Brothers indices, U.S. should be listed as U.S. (not US) and Pan-European and Asian-Pacific should be fully spelled out and hyphenated. If an index user is limited by space constraints in their documentation or display names, it is acceptable to abbreviate U.S. as US, Pan-European as Pan-Euro and Asian-Pacific as Asia-Pac. If a formal index name contains a three letter currency code, it must always be capitalized (USD, GBP, EUR, JPY, etc.).
Index Name/Family: This element represents the actual index name, such as Aggregate, Government, Credit, Corporate, Inflation-Linked, Universal, High-Yield, Emerging Markets, etc. Several common questions about index names and abbreviations are addressed in the following guidelines.
!
If an index user is limited by space constraints in documentation or display names, it is acceptable to abbreviate Aggregate as Agg, Government/ Credit as Gov/Credit, and Government as Govt. Acceptable spellings of Securitized indices include both Securitized and Securitised Government-Related should by hyphenated, but can be abbreviated as Govt.-Related
Sub-index Definitions: If an index is further published into more granular sub-indices, the official index name of each sub-index will contain descriptive elements reflecting these index rules. The most common sub-indices include variations by sector, credit quality, maturity range, duration bucket, country, currency, issuer caps, etc. This reference guide will list only the official name for major indices/benchmarks and not the large number of available sub-indices that may exist for each index on this list. In most cases, the official index name can be easily modified to include sub-index information, but for formal clarification on the official index name of a specific subindex, please contact your regional Barclays Capital Index Products group. Several common questions about sub-index names are addressed in the following guidelines.
!
For maturity-based sub-indices, existing naming will remain intact. Rebranded Lehman Brothers Indices that have the word Intermediate in their names include bonds with a maturity/average life between 1-10 years, while Long indices include bonds with a maturity/average life of 10 years or greater. Intermediate and Long should always follow the region/currency and precede the index name when formally referencing the index. Examples include the U.S. Intermediate Aggregate and U.S. Long Government/Credit Indices. While several legacy index names use
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Intermediate or Long in the official name, others use 1-10 Year or 10+ Year in the formal sub-index name.
!
For ratings/credit quality-based sub-indices, index names for rebranded Lehman Brothers indices tend to use Moodys conventions in the index name. For investment-grade indices that exclude Baa-rated securities, it is acceptable to refer to the sub-index as either A or better, A+, or Excluding Baa. Sub-index names that are defined by an exclusionary rule may be abbreviated as Ex or Ex-in the formal index name. For example, the Global Aggregate Excluding USD Bond Index may be abbreviated as Global Aggregate Ex USD Bond Index. If an index user is limited by space constraints in documentation or display names, it is acceptable to abbreviate High-Yield (HY), Floating Rate Note (FRN), Emerging Markets (EM), Mortgage Backed Securities (MBS), Asset Backed Securities (ABS), and Commercial Mortgage Backed Securities (CMBS).
Note: For bond indices, the word bond is listed as part of the official index name. Acceptable usage allows the word to be removed if other elements are properly presented and if there are space constraints on the display name.
Inflation-Linked Indices: For these indices, the legacy Barclays Capital Index names will remain unchanged. Legacy Lehman Brothers Inflation-Linked Indices that overlap with existing Barclays Capital indices will be rebranded as Barclays Capital Indices, but will be differentiated with (Series-L) after the index name to reflect any historical differences in index rules and composition. For example, the legacy Lehman Brothers Global InflationLinked Index will be renamed as the Barclays Capital Global InflationLinked Index (Series-L). Note: For the combined inflation-linked index family, government is currently defined as local currency treasury securities issued by central governments. It does not include other local currency agency securities.
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Sterling Bond Indices: The Lehman Brothers Sterling Aggregate Bond Indices will be rebranded as Barclays Capital Sterling Aggregate Bond Indices, retaining Aggregate in the index name to differentiate and identify it as a subcomponent of the Global Aggregate Index that conforms to Global Aggregate Index rules and index conventions. The legacy Barclays Capital Sterling Bond Index name will be differentiated with (Series-B) after the index name to reflect any historical differences in index rules and composition. Nominal Government (Treasury) Bond Indices: Barclays Capital Global Treasury Indices are the rebranded Lehman Brothers Global Treasury Indices that are a subcomponent of the Global Aggregate Index. Legacy Barclays Capital Government Bond Indices (which also consist of nominal local currency Treasury securities) will be differentiated with (Series-B) after the index name to reflect historical differences in index rules, definitions, and composition. Note: Rebranded Lehman Brothers Government indices (such as the U.S. Government Bond Index) are composed of both Treasury and agency securities and cover a broader universe of securities than the Barclays Capital Government Bond Indices (Series-B), which includes only treasury securities.
Swaps Indices: For these indices, the existing Barclays Capital Index names will remain unchanged. Legacy Lehman Brothers Swaps Indices that overlap with existing Barclays Capital Swaps indices will be rebranded and differentiated with (Series-L) after the index name to reflect any historical differences in index rules and mechanics. Lehman Brothers swaps indices for which there is no current overlap with existing Barclays Capital Indices will also be branded as Series-L indices for consistency.
Series-B or Series-L in an index name identifies which set of legacy rules, definitions, and index conventions are being used for specific benchmarks
The additional use of (Series-B) or (Series-L) in cases of overlap allows index users to easily identify which set of rules, definitions, and index conventions are being used for specific benchmarks until such indices are merged. After any future merging of overlapping indices, historical time series data using legacy rules will not be re-stated. Time series data will be preserved and available for index users who had been benchmarked to an index prior to any consolidation. These histories will retain the (Series-B) or (Series-L). As highlighted above, one notable difference in index rules between the overlapping index families concerns the definition of government securities for index purposes. Legacy Barclays Capital indices, including both Barclays Capital Government Inflation-Linked and Barclays Capital Government Indices (Series-B), define government to include only treasury bonds (local currency debt issued by central governments). On the other hand, rebranded Lehman Brothers Government indices such as the U.S. Government Index use a broader definition of government to include both treasury bonds and agency bonds. In the future, this inconsistency in the definition of government will be addressed, but initially, the differences will be preserved for users of each legacy index family. Any changes to the index definition will be announced in advance for our index users. Note: This document outlines the standards and guidelines for the official index names of Barclays Capital Indices and takes precedence over any independently published references or prior information relating to Barclays Capital Indices that may not conform to the names and guidelines referenced herein. Barclays Capital index data accessed through licensed third party distributors may not have been abbreviated or named in conformity with the names and guidelines set forth in this document. In the event of any inconsistency or doubt, index users should refer to and use the official names and applicable guidelines indicated in this document.
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Note: The standalone Lehman Brothers U.S. TIPS Index has an earlier inception date than the U.S. TIPS component of the Global Inflation-Linked Index (Series-L) and is listed as a separate index here.
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Figure 2: Barclays Capital Indices: Combined Government/Treasury Index Family (Nominal Indices)
Benchmark Index Family Former/Current Index Name Global Treasury Index (Part of Global Aggregate) Lehman Brothers Global Treasury Bond Index Lehman Brothers Global Treasury: G7 Bond Index Lehman Brothers Global Treasury: Majors Bond Index Lehman Brothers Global Treasury: U.S. Bond Index Lehman Brothers Global Treasury: Euro Bond Index Lehman Brothers Global Treasury: Austria Bond Index Lehman Brothers Global Treasury: Belgium Bond Index Lehman Brothers Global Treasury: Cyprus Bond Index Lehman Brothers Global Treasury: France Bond Index Lehman Brothers Global Treasury: Germany Bond Index Lehman Brothers Global Treasury: Greece Bond Index Lehman Brothers Global Treasury: Ireland Bond Index Lehman Brothers Global Treasury: Italy Bond Index Lehman Brothers Global Treasury: Malta Bond Index Lehman Brothers Global Treasury: Netherlands Bond Index Lehman Brothers Global Treasury: Portugal Bond Index Lehman Brothers Global Treasury: Slovakia Bond Index Lehman Brothers Global Treasury: Slovenia Bond Index Lehman Brothers Global Treasury: Spain Bond Index Lehman Brothers Global Treasury: Japan Bond Index Lehman Brothers Global Treasury: United Kingdom Bond Index Lehman Brothers Global Treasury: Canada Bond Index Lehman Brothers Global Treasury: Australia Bond Index Lehman Brothers Global Treasury: Denmark Bond Index Lehman Brothers Global Treasury: Sweden Bond Index Lehman Brothers Global Treasury: Finland Bond Index Lehman Brothers Global Treasury: New Zealand Bond Index Lehman Brothers Global Treasury: Norway Bond Index Lehman Brothers Global Treasury: Malaysia Bond Index Lehman Brothers Global Treasury: South Korea Bond Index Lehman Brothers Global Treasury: Singapore Bond Index Lehman Brothers Global Treasury: Taiwan Bond Index Lehman Brothers Global Treasury: Thailand Bond Index Lehman Brothers Global Treasury: Hong Kong Bond Index Lehman Brothers Global Treasury: Chile Bond Index Lehman Brothers Global Treasury: Czech Bond Index Lehman Brothers Global Treasury: Hungary Bond Index Lehman Brothers Global Treasury: Mexico Bond Index Lehman Brothers Global Treasury: Poland Bond Index Lehman Brothers Global Treasury: South Africa Bond Index Government Bond Indices (Series-B) (not Global Aggregate Subcomponents) Barclays Euro Government Bond Index Barclays Austria Government Bond Index Barclays Belgium Government Bond Index Barclays Finland Government Bond Index Barclays France Government Bond Index Barclays Germany Government Bond Index Barclays Greece Government Bond Index Barclays Ireland Government Bond Index Barclays Italy Government Bond Index Barclays Netherlands Government Bond Index Barclays Portugal Government Bond Index Barclays Spain Government Bond Index Barclays UK Gilt Bond Index Barclays Sweden Government Bond Index Barclays U.S. Treasury Bond Index Tradeable & Fixed Duration Indices Barclays Capital Euro Government Fixed Duration Indices Barclays Capital Euro Government Term Indices Barclays Capital U.S. Treasury Term Indices Barclays Capital Tradeable U.S. Treasury Index Official Index Name Barclays Capital Global Treasury Bond Index Barclays Capital Global Treasury: G7 Bond Index Barclays Capital Global Treasury: Majors Bond Index Barclays Capital Global Treasury: U.S. Bond Index Barclays Capital Global Treasury: Euro Bond Index Barclays Capital Global Treasury: Austria Bond Index Barclays Capital Global Treasury: Belgium Bond Index Barclays Capital Global Treasury: Cyprus Bond Index Barclays Capital Global Treasury: France Bond Index Barclays Capital Global Treasury: Germany Bond Index Barclays Capital Global Treasury: Greece Bond Index Barclays Capital Global Treasury: Ireland Bond Index Barclays Capital Global Treasury: Italy Bond Index Barclays Capital Global Treasury: Malta Bond Index Barclays Capital Global Treasury: Netherlands Bond Index Barclays Capital Global Treasury: Portugal Bond Index Barclays Capital Global Treasury: Slovakia Bond Index Barclays Capital Global Treasury: Slovenia Bond Index Barclays Capital Global Treasury: Spain Bond Index Barclays Capital Global Treasury: Japan Bond Index Barclays Capital Global Treasury: United Kingdom Bond Index Barclays Capital Global Treasury: Canada Bond Index Barclays Capital Global Treasury: Australia Bond Index Barclays Capital Global Treasury: Denmark Bond Index Barclays Capital Global Treasury: Sweden Bond Index Barclays Capital Global Treasury: Finland Bond Index Barclays Capital Global Treasury: New Zealand Bond Index Barclays Capital Global Treasury: Norway Bond Index Barclays Capital Global Treasury: Malaysia Bond Index Barclays Capital Global Treasury: South Korea Bond Index Barclays Capital Global Treasury: Singapore Bond Index Barclays Capital Global Treasury: Taiwan Bond Index Barclays Capital Global Treasury: Thailand Bond Index Barclays Capital Global Treasury: Hong Kong Bond Index Barclays Capital Global Treasury: Chile Bond Index Barclays Capital Global Treasury: Czech Bond Index Barclays Capital Global Treasury: Hungary Bond Index Barclays Capital Global Treasury: Mexico Bond Index Barclays Capital Global Treasury: Poland Bond Index Barclays Capital Global Treasury: South Africa Bond Index Barclays Capital Euro Government Bond Index (Series-B) Barclays Capital Austria Government Bond Index (Series-B) Barclays Capital Belgium Government Bond Index (Series-B) Barclays Capital Finland Government Bond Index (Series-B) Barclays Capital France Government Bond Index (Series-B) Barclays Capital Germany Government Bond Index (Series-B) Barclays Capital Greece Government Bond Index (Series-B) Barclays Capital Ireland Government Bond Index (Series-B) Barclays Capital Italy Government Bond Index (Series-B) Barclays Capital Netherlands Government Bond Index (Series-B) Barclays Capital Portugal Government Bond Index (Series-B) Barclays Capital Spain Government Bond Index (Series-B) Barclays Capital U.K. Gilt Bond Index (Series-B) Barclays Capital Sweden Government Bond Index (Series-B) Barclays Capital U.S. Treasury Bond Index (Series-B) Same Same Same Same
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Figure 3:
Benchmark Index Family Sterling Agg
Other
Lehman Brothers Sterling High-Yield Bond Index Lehman Brothers Sterling Fixed-Rate ABS Bond Index Lehman Brothers Sterling Floating Rate ABS Bond Index Lehman Brothers Sterling High-Yield Bond Index
Series-B
Barclays Sterling Bond Index Barclays Sterling Gilts Index Barclays Sterling Non Gilts Bond Index Barclays Sterling Non Gilts Credit Bond Index Barclays Sterling Non Gilts Sovs/Supras Credit Bond Index Barclays Sterling Non Gilts Corporate Credit Bond Index Barclays Sterling Non Gilts Finance Credit Bond Index Barclays Sterling Non Gilts Utilities Credit Bond Index Barclays Sterling Non Gilts Structured Bond Index
Inflation-Linked
Barclays Sterling Inflation-Linked Bond Index Barclays Sterling Inflation-Linked Gilts Index Barclays Sterling Inflation-Linked Non Gilts Index Barclays Sterling Inflation-Linked Non Gilts Agency/ Supras Bond Index Barclays Sterling Inflation-Linked Non Gilts Corporate Bond Index Barclays Sterling Inflation-Linked Non Gilts Wrapped Bond Index Barclays Sterling Inflation-Linked Non Gilts Utilities Bond Index
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Figure 4:
Benchmark Index Family Multiverse Index
Global Agg
Lehman Brothers Global Aggregate Bond Index Lehman Brothers U.S. Aggregate 300 MM Bond Index Lehman Brothers Pan European Aggregate Bond Index Lehman Brothers Asia-Pacific Aggregate Bond Index Lehman Brothers Eurodollar 300 MM Bond Index Lehman Brothers 144A 300 MM Bond Index Lehman Brothers Canadian Aggregate Bond Index Lehman Brothers Euroyen Bond Index Lehman Brothers Mexico, Chile, South Africa Treasury Bond Index
Sect Sub-indices
Lehman Brothers Global Aggregate: Treasury Bond Index Lehman Brothers Global Aggregate: Government-Related Bond Index Lehman Brothers Global Aggregate: Corporates Bond Index Lehman Brothers Global Aggregate: Securitized Bond Index Lehman Brothers Global Aggregate 500 MM Bond Index
Global HY EM
Lehman Brothers Global High-Yield Bond Index Lehman Brothers Global Emerging Markets Bond Index Lehman Brothers U.S. Emerging Markets Bond Index Lehman Brothers Pan-European Emerging Markets Bond Index Lehman Brothers Mexican Peso Bond Index Lehman Brothers Local Currency Emerging Markets Bond Index
Cap. Securities
Lehman Brothers Global Capital Securities Bond Index Lehman Brothers U.S. Capital Securities Bond Index Lehman Brothers Euro Capital Securities Bond Index Lehman Brothers Sterling Capital Securities Bond Index
Alternative Assets
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Figure 5:
Benchmark Index Family Universal U.S. Aggregate
Barclays Capital Indices: Rebranded Lehman Brothers U.S. and Canadian Benchmarks
Former Index Name Lehman Brothers U.S. Universal Bond Index Lehman Brothers U.S. Aggregate Bond Index Lehman Brothers U.S. Intermediate Aggregate Bond Index Lehman Brothers U.S. Treasury Bond Index Lehman Brothers U.S. 1-3 Year Treasury Bond Index Lehman Brothers U.S. 3-7 Year Treasury Bond Index Lehman Brothers U.S. 7-10 Year Treasury Bond Index Lehman Brothers U.S. 10-20 Year Treasury Bond Index Lehman Brothers U.S. 20+ Year Treasury Bond Index Lehman Brothers U.S. Government-Related Bond Index Lehman Brothers U.S. Agencies Bond Index Lehman Brothers U.S. Local Authorities Bond Index Lehman Brothers U.S. Sovereign Bond Index Lehman Brothers U.S. Supranational Bond Index Lehman Brothers U.S. Corporate Bond Index Lehman Brothers U.S. Industrial Bond Index Lehman Brothers U.S. Utility Bond Index Lehman Brothers U.S. Financial Institutions Bond Index Lehman Brothers U.S. Securitized Bond Index Lehman Brothers U.S. MBS Index Lehman Brothers U.S. MBS Fixed Rate Index Lehman Brothers U.S. Hybrid ARMs Index Lehman Brothers U.S. ABS Index Lehman Brothers U.S. CMBS (ERISA Only) Index Official Index Name Barclays Capital U.S. Universal Bond Index Barclays Capital U.S. Aggregate Bond Index Barclays Capital U.S. Intermediate Aggregate Bond Index Barclays Capital U.S. Treasury Bond Index Barclays Capital U.S. 1-3 Year Treasury Bond Index Barclays Capital U.S. 3-7 Year Treasury Bond Index Barclays Capital U.S. 7-10 Year Treasury Bond Index Barclays Capital U.S. 10-20 Year Treasury Bond Index Barclays Capital U.S. 20+ Year Treasury Bond Index Barclays Capital U.S. Government-Related Bond Index Barclays Capital U.S. Agencies Bond Index Barclays Capital U.S. Local Authorities Bond Index Barclays Capital U.S. Sovereign Bond Index Barclays Capital U.S. Supranational Bond Index Barclays Capital U.S. Corporate Bond Index Barclays Capital U.S. Industrial Bond Index Barclays Capital U.S. Utility Bond Index Barclays Capital U.S. Financial Institutions Bond Index Barclays Capital U.S. Securitized Bond Index Barclays Capital U.S. MBS Index Barclays Capital U.S. MBS Fixed Rate Index Barclays Capital U.S. Hybrid ARMs Index Barclays Capital U.S. ABS Index Barclays Capital U.S. CMBS (ERISA Only) Index Barclays Capital U.S. Government/Credit Bond Index Barclays Capital U.S. Intermediate Government/Credit Bond Index Barclays Capital U.S. Long Government/Credit Bond Index Barclays Capital Short-term Government/Corp Bond Index Barclays Capital U.S. Government Bond Index Barclays Capital U.S. Agency Bond Index Barclays Capital U.S. Credit Bond Index Barclays Capital U.S. Intermediate Credit Bond Index Barclays Capital U.S. 1-3 Year Credit Bond Index Barclays Capital Yankee Bond Index Barclays Capital U.S. Corporate High-Yield Bond Index Barclays Capital U.S. High-Yield Issuer Capped Bond Indices Barclays Capital U.S. High-Yield 1% Issuer Capped Bond Index Barclays Capital U.S. High-Yield 2% Issuer Capped Bond Index Barclays Capital High-Yield Very Liquid Bond Index (VLI) Barclays Capital U.S. High-Yield Loan Index Barclays Capital U.S. High-Yield Floating Rate Note (FRN) Index Barclays Capital U.S. Convertibles Index Barclays Capital U.S. Investment-Grade CMBS Index Barclays Capital CMBS High-Yield Index Barclays Capital Canadian Aggregate Bond Index Barclays Capital Canadian Aggregate: Treasury Bond Index
U.S. Gov/Credit
Lehman Brothers U.S. Government/Credit Bond Index Lehman Brothers U.S. Intermediate Government/Credit Index Lehman Brothers U.S. Long Government/Credit Bond Index Lehman Brothers Short-term Government/Corp Bond Index
Lehman Brothers U.S. Government Bond Index Lehman Brothers U.S. Agency Bond Index Lehman Brothers U.S. Credit Bond Index Lehman Brothers U.S. Intermediate Credit Bond Index Lehman Brothers U.S. 1-3 Year Credit Bond Index Lehman Brothers Yankee Bond Index
High-Yield
Lehman Brothers U.S. Corporate High-Yield Bond Index Lehman Brothers U.S. High-Yield Issuer Capped Bond Indices Lehman Brothers U.S. High-Yield 1% Issuer Capped Bond Index Lehman Brothers U.S. High-Yield 2% Issuer Capped Bond Index Lehman Brothers High-Yield Very Liquid Bond Index (VLI) Lehman Brothers U.S. High-Yield Loan Index Lehman Brothers U.S. High-Yield Floating Rate Note (FRN) Index
Lehman Brothers U.S. Convertibles Index Lehman Brothers U.S. Investment-Grade CMBS Index Lehman Brothers CMBS High-Yield Index Lehman Brothers Canadian Aggregate Bond Index Lehman Brothers Canadian Aggregate: Treasury Bond Index
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Benchmark Index Family
Former Index Name Lehman Brothers Canadian Aggregate: Govt-Related Bond Index Lehman Brothers Canadian Aggregate: Corporate Bond Index Lehman Brothers Canadian Aggregate: Securitized Bond Index
Official Index Name Barclays Capital Canadian Aggregate: Government-Related Bond Index Barclays Capital Canadian Aggregate: Corporate Bond Index Barclays Capital Canadian Aggregate: Securitized Bond Index Barclays Capital Eurodollar Composite Bond Index Barclays Capital USD Covered Bonds Bond Index Barclays Capital Municipal Bond Index Barclays Capital Municipal Insurance Mandate Bond Index Barclays Capital Municipal Managed Money Bond Index Barclays Capital Municipal Index Swaps Indices Barclays Capital Hourly Treasury Bond Index Barclays Capital U.S. Short Treasury Bond Index Barclays Capital U.S. Treasury Bellwether Indices Barclays Capital 144-A Bond Index Barclays Capital U.S. Strips Index Barclays Capital U.S. Corporate Floating Rate Notes (FRN) Index Barclays Capital U.S. ABS Floating Rate Index
Eurodollar Municipals
Lehman Brothers Eurodollar Composite Bond Index Lehman Brothers USD Covered Bonds Bond Index Lehman Brothers Municipal Bond Index Lehman Brothers Municipal Insurance Mandate Bond Index Lehman Brothers Municipal Managed Money Bond Index Lehman Brothers Municipal Index Swaps Indices
Others
Lehman Brothers Hourly Treasury Bond Index Lehman Brothers U.S. Short Treasury Bond Index Lehman Brothers U.S. Treasury Bellwether Indices Lehman Brothers 144-A Bond Index Lehman Brothers U.S. Strips Index Lehman Brothers U.S. Corporate Floating Rate Notes (FRN) Index Lehman Brothers U.S. ABS Floating Rate Index
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Figure 6:
Benchmark Index Family Universal (IG + HY) Pan Euro Agg
Euro Agg
Lehman Brothers Euro-Aggregate Bond Index Lehman Brothers Euro Treasury Bond Index Lehman Brothers Euro Government-Related Bond Index Lehman Brothers Euro Corporate Bond Index Lehman Brothers Euro Securitized Bond Index Lehman Brothers Pfandbriefe Index Lehman Brothers Euro Covered Bond Index Lehman Brothers Euro-Aggregate 500MM Bond Index
Lehman Brothers Euro Government Bond Index Lehman Brothers Euro Credit Bond Index Lehman Brothers Sterling Aggregate Bond Index Lehman Brothers Swedish Krona Aggregate Bond Index Lehman Brothers Danish Krone Aggregate Bond Index Lehman Brothers Norwegian Krone Aggregate Bond Index Lehman Brothers Central European Treasury Bond Index Lehman Brothers Czech Koruna Bond Index Lehman Brothers Hungarian Forint Bond Index Lehman Brothers Polish Zloty Bond Index Lehman Brothers Slovakia Koruna Bond Index
Lehman Brothers Russian Aggregate Bond Index Lehman Brothers Swiss Franc Aggregate Bond Index Lehman Brothers Pan-European High-Yield Bond Index Lehman Brothers Pan-European High-Yield Issuer Capped Bond Indices Lehman Brothers Pan-European High-Yield 1% Issuer Capped Bond Index Lehman Brothers Pan-European High-Yield 2% Issuer Capped Bond Index Lehman Brothers Euro High-Yield Bond Index Lehman Brothers Euro High-Yield Issuer Capped Bond Index Lehman Brothers Sterling High-Yield Bond Index
Euro ABS
Lehman Brothers Euro Fixed ABS Bond Index Lehman Brothers Euro Floating Rate ABS Bond Index Lehman Brothers Sterling Fixed ABS Bond Index Lehman Brothers Sterling Floating Rate ABS Bond Index
Other Indices
Lehman Brothers Danish Mortgage Bond Index Lehman Brothers Euro Corporate Floating Rate Notes Bond Index Lehman Brothers Euro Short Treasury (0-12 Months) Bond Index Lehman Brothers Euro Treasury Bills Index
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Figure 7:
Benchmark Index Family Asia-Pac Agg
Japanese Agg
Lehman Brothers Japanese Aggregate Bond Index Lehman Brothers Japanese Aggregate: JGB Index Lehman Brothers Japanese Aggregate: Government-Related Bond Index Lehman Brothers Japanese Aggregate: Corporate Bond Index Lehman Brothers Japanese Aggregate: Securitized Bond Index
Lehman Brothers Asian-Pacific Non-Japan Bond Index Lehman Brothers Australian Aggregate Bond Index Lehman Brothers Asian-Pacific Aggregate: New Zealand Bond Index Lehman Brothers Asian-Pacific Aggregate: Thailand Bond Index Lehman Brothers Asian-Pacific Aggregate: Malaysia Bond Index Lehman Brothers Asian-Pacific Aggregate: South Korea Bond Index Lehman Brothers Asian-Pacific Aggregate: Hong Kong Dollar Bond Index Lehman Brothers Asian-Pacific Aggregate: Singapore Dollar Bond Index
Lehman Brothers/Xinhua China Aggregate Bond Index Lehman Brothers Indian Government Bond Index Lehman Brothers Euroyen Bond Index Lehman Brothers Non-Japan Asia USD Credit Bond Index Lehman Brothers Non-Japan Asia USD Cap Sec Bond Index
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Figure 8:
Benchmark Index Family
Nominal Swaps Indices (Coupon and Zero Coupon: Total Return (funded) and Excess Return(unfunded)) Barclays Capital USD Nominal Swaps Indices Barclays Capital EUR Nominal Swaps Indices Barclays Capital GBP Nominal Swaps Indices Barclays Capital USD Inflation Swaps Indices Barclays Capital EUR Inflation Swaps Indices Barclays Capital GBP Inflation Swaps Indices Credit Barclays Capital Europe Long-Short Total Return Indices (BLSC) Barclays Capital Europe Credit Steepener and Flattener Indices Barclays Capital North America Long -Short Total Return Indices (BLSC) Barclays Capital North America Credit Steepener and Flattener Indices Series-L Swaps (Par Swaps, Zero Coupon, Fixed Maturity: Funded and Unfunded) US Europe Lehman Brothers USD Swaps Indices Lehman Brothers EUR Swaps Indices Lehman Brothers GBP Swaps Indices Lehman Brothers SEK Swaps Indices Lehman Brothers CHF Swaps Indices Lehman Brothers DKK Swaps Indices Lehman Brothers NOK Swaps Indices Asia Lehman Brothers JPY Swaps Indices Lehman Brothers AUD Swaps Indices Lehman Brothers NZD Swaps Indices Canada EM Swaps Lehman Brothers CAD Swaps Indices Lehman Brothers CZK Swaps Indices Lehman Brothers HUF Swaps Indices Lehman Brothers SKK Swaps Indices Lehman Brothers ZAR Swaps Indices Lehman Brothers MXN Swaps Indices Series-L Inflation Swaps (Fixed Maturity & Rolling Maturity Zero Coupon) Lehman Brothers Eurozone Inflation Swaps Indices Lehman Brothers French Inflation Swaps Indices Lehman Brothers U.S. Inflation Swaps Indices Lehman Brothers U.K. Inflation Swaps Indices CDS/CDX/iTraxx Lehman Brothers CDS Equal Weighted Indices Lehman Brothers CDS Market Weighted Indices Lehman Brothers CDX/iTraxx Basket Total Returns Lehman Brothers CDX/iTraxx Tranche Total Returns Barclays Capital Eurozone Inflation Swaps Indices (Series-L) Barclays Capital French Inflation Swaps Indices (Series-L) Barclays Capital U.S. Inflation Swaps Indices (Series-L) Barclays Capital U.K. Inflation Swaps Indices (Series-L) Barclays Capital CDS Equal Weighted Indices Barclays Capital CDS Market Weighted Indices Barclays Capital CDX/iTraxx Basket Total Returns Barclays Capital CDX/iTraxx Tranche Total Returns Barclays Capital USD Swaps Indices (Series-L) Barclays Capital EUR Swaps Indices (Series-L) Barclays Capital GBP Swaps Indices (Series-L) Barclays Capital SEK Swaps Indices (Series-L) Barclays Capital CHF Swaps Indices (Series-L) Barclays Capital DKK Swaps Indices (Series-L) Barclays Capital NOK Swaps Indices (Series-L) Barclays Capital JPY Swaps Indices (Series-L) Barclays Capital AUD Swaps Indices (Series-L) Barclays Capital NZD Swaps Indices (Series-L) Barclays Capital CAD Swaps Indices (Series-L) Barclays Capital CZK Swaps Indices (Series-L) Barclays Capital HUF Swaps Indices (Series-L) Barclays Capital SKK Swaps Indices (Series-L) Barclays Capital ZAR Swaps Indices (Series-L) Barclays Capital MXN Swaps Indices (Series-L) Same Same Same Same Same Same Same Same Same Same
Inflation Swaps Indices (Zero Coupon and Real Rate: Total Return (funded) and Excess Return (unfunded))
Barclays Capital
Index Products
15
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Index guides
A single and updated comprehensive index guide for the unified Barclays Capital Indices family is planned for 2009 and will incorporate content from both of the existing index guides from the legacy platforms that are currently in use. In the interim, please use the existing shelf publications and reference materials (in concert with this rebranding document) for specific details on index rules, mechanics, and methodologies. Existing index-specific guides/primers for legacy Lehman Brothers indices will be updated on an as needed basis.
16
Index Products
December 2008
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
As the two index platforms are more fully integrated, there will be additional enhancements to the combined index website, which will continue to evolve from the initial pages shown here.
Figure 9:
Links to Legacy Lehman Brothers Index pages (ID and password required)
Barclays Capital
Index Products
17
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Figure 10:
18
Index Products
December 2008
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Access to Barclays Capital Indices on Bloomberg (BCIX <GO> and LEHM <GO>)
Barclays Capital currently maintains two Bloomberg pages for its indices, LEHM for the legacy Lehman Brothers Index platform and BCIX for existing Barclays Capital Indices. In the short term, LEHM will remain the ticker on Bloomberg for the rebranded Lehman Brothers Index pages. However, LEHM will ultimately be redirected to a single unified Barclays Capital index page. Until that time, the LEHM page will remain operational and continue to offer the same content and page views as before. In addition, there will be a link to BCIX on the LEHM front page and a link to LEHM on the BCIX index page, so users will be able to access indices of the unified platform through each page. Over time, these pages will evolve and include more integrated index content for our index users. Bloomberg index tickers for more than 1,400 legacy Lehman Brothers Indices will remain unchanged for an interim period in order to maintain continuity and consistency for users of these tickers. However, the ticker descriptions will be updated on Bloomberg to reflect the new index names in accordance with this publication. The revision of Bloomberg ticker descriptions will be completed in 2009. Further details on any modifications to index tickers will be announced at a later date in advance of any changes.
Figure 11:
Barclays Capital
Index Products
19
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Figure 12:
If index users have any additional questions about any of the index rebranding initiatives or other non-benchmark indices within the Barclays Capital Indices family, please contact your regional Barclays Capital Index Products team or check the index website at www.barcap.com/indices.
20
Index Products
December 2008
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Figure 13.
Global Aggregate
Pan-European Aggregate
Sterling Aggregate NonEMU Swedish Aggregate Danish Aggregate Norwegian Aggregate Eastern Europe Treasury Danish MBS
Global High-Yield
Other Global Agg. Components Canadian Agg. ZAR, CHF, MXN Treasury InvestmentGrade EM U.S. HY Government (Series-B) Indices Euro Govt (Series-B) U.K. Gilt (Series-B) U.S. Treasury (Series-B) Sweden Govt (Series-B)
Emerging Markets
Floating-Rate Indices
Inflation-Linked Bonds Global InflationLinked (Series-L) U.S. TIPS (Series-L) Eurozone (Series-L)
U.S. Municipals Global Capital Securities High-Yield Capped /VLIs U.S. Convertibles Index Short U.S. Gov / Credit CMBS IO, Private Placement Mexican Government Bond Index Swiss Franc Aggregate Indian Government Chinese Aggregate Index Russian Aggregate
Barclays Capital Swaps Indices Nominal Swap Indices (USD, EUR, GBP) Coupon & Zero Coupon Funded & Unfunded Swaps
Asian-Pacific Aggregate
Japan Agg Non-Japan
Global Treasury
Global Credit
Global Securitized
Global
JGB FRN U.S. ABS FRN Pan Euro ABS FRN U.S. Corp FRN Pan Euro Corp FRN U.S. HY FRN U.S. HY Loan
G-7
MBS
USD
Coupon & Zero Coupon Funded & Unfunded Swaps Fixed Maturity Swaps
Series-L Inflation Swaps Indices (USD, EUR, GBP)
U.S. HY Corp.
U.S. Treasury
Gilt
Pan Euro HY
Majors
144-As
CMBS
EUR
Euro Govt
Euro Dollar
U.S. GovRelated
Non-Gilt
CMBS HY
Others
Eurodollar
ABS
GBP
U.K. Gilt
JGB (Series-L)
144A Inflation Swap Indices (USD, EUR, GBP) Real Coupon & Zero Coupon Funded & Unfunded Swaps
U.S. Corporate
Euroyen
EM HY
Global HY Corp
Covered
Local EM
U.S. Govt
CMBS NonERISA
Eurodollar
Capped
Japan Govt
U.S. EM
JHFA RMBS
BRIC
Sweden Govt Canada Canada Govt Australia Govt Emerging Markets (LATAM, S. Korea, Poland, S. Africa, Turkey) Euro I/L: Govt & NonGovt Sterling I/L: Gilt & Non-Gilt
Emerged
ABS
InflationLinked
MBS
Credit Strategies (CDX / iTraxx) Europe & North America Total Return (Long & Short) Steepener & Flattener
Non-Gilt
Baskets
Credit
Tranches
Structured
Barclays Capital
Index Products
21
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Index Products
Barclays Capital Universal Govt Index historical returns
Local Currency 24 Period Return (%) 16 8 0 -8 -16 01 02 03 04 05 06 07 08 YTD UnHedged in US$ Hedged in US$
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Criteria for inclusion in the index Inclusion of markets in the Universal Govt index
For detailed inclusion rules for the Word, Euro and EM Government inflation-linked indices please see the relevant fact sheets. Maturity and Issue Pricing Methodology Bonds must settle on or before the rebalancing date and have a minimum remaining life of greater than one year. The index uses mid-market prices from local market close. Barclays Capital market maker closes are used for US, UK, Euro, Japan, Chile, Colombia, Mexico, Brazil, Argentina, Poland, Turkey and South Korea. Prices for Australia are from ABN Amro. Canada from RBC Dominion, Sweden from PMI Exchange, and South Africa from the Bond Exchange of South Africa (BESA). All spot and forward foreign exchange rates used are official WM Company mid rates from London market at 4pm. The index uses standard settlement conventions for all calculations. Market calendars most appropriate for international investors are used. The index is calculated daily and has a value for each calendar day. For details on reinvestment rules please refer to fact sheets for World and EM govt indices. The index is reviewed and rebalanced once a month, on the last calendar day of the month. New bonds and taps/increases entering the index must have settled on or before the rebalancing date. Maturity bands are exclusive at the lower bound. Bonds are allocated to maturity bands based on their maturity date. The index holding of each bond for the next month is set to the amount outstanding on the review date. The face values are used rather than an inflation-adjusted value. The indices are weighted using the market capitalisation as standard. Index calculation and monthly review
Settlement conventions Index frequency and reinvestment Review procedure Maturity Bands Index Holdings
This document has been prepared by Barclays Capital, the investment banking division of Barclays Bank PLC ("Barclays"), for information purposes only. Barclays is not acting as advisor or fiduciary. Accordingly you must independently determine, with your own advisors, the appropriateness for you of the index. Barclays and its affiliates accepts no liability whatsoever (i) for the accuracy, completeness or currency of the index, or for delays or omissions therein, or for interruptions in the delivery of the index, or (ii) for any indirect, incidental or consequential losses arising from the use of this document or reliance on the index referred to, or other information contained, herein. Barclays has no obligation to take the needs of investors into consideration in determining, composing or calculating the index. Barclays does not guarantee the accuracy or completeness of information which is contained in this document. Any data on past performance, modelling or back-testing contained herein is no indication as to future performance. No representation is made as to the reasonableness of the assumptions made within or the accuracy or completeness of any modelling or back-testing. All opinions and estimates are given as of the date hereof and are subject to change. The information in this document is not intended to predict actual results and no assurances are given with respect thereto. Barclays makes no warranty, express or implied, as to results to be obtained for the use of the index or any other information contained herein. Barclays makes no warranties, express or implied, and hereby expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the index or any data contained herein. In the UK, this document directed only at persons who are investment professionals as defined in Article 19 of the FSMA 2000 (Financial Promotion Order) 2001. Outside of the UK, it is directed at persons who have professional experience in matters relating to investments. Any service to which this document relates will be provided only to such persons. This document is not intended for distribution to retail customers. 23
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Index Products
Barclays Capital World Govt Index historical returns
Local Currency 21 Period Return (%) 16 11 6 1 -4 -9 -14 02 03 04 05 06 07 YTD UnHedged in US$ Hedged in US$
98
99
00
01
02
03
04
05
06
07
08
YTD
Barclays Bank PLC is registered in England No. 1026167. Registered Office: 1 Churchill Place, London E14 5HP. Copyright Barclays Bank PLC, 2008 (all rights reserved). This document is confidential, and no part of it may be reproduced, distributed or transmitted without the prior written permission of Barclays. Barclays Capital is the investment banking division of Barclays Bank PLC, which is authorised and regulated by the UK Financial Services Authority and a member of the London Stock Exchange. 24
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Criteria for inclusion in the index Inclusion of markets in the World Govt index
Contact
This document has been prepared by Barclays Capital, the investment banking division of Barclays Bank PLC ("Barclays"), for information purposes only. Barclays is not acting as advisor or fiduciary. Accordingly you must independently determine, with your own advisors, the appropriateness for you of the index. Barclays and its affiliates accepts no liability whatsoever (i) for the accuracy, completeness or currency of the index, or for delays or omissions therein, or for interruptions in the delivery of the index, or (ii) for any indirect, incidental or consequential losses arising from the use of this document or reliance on the index referred to, or other information contained, herein. Barclays has no obligation to take the needs of investors into consideration in determining, composing or calculating the index. Barclays does not guarantee the accuracy or completeness of information which is contained in this document. Any data on past performance, modelling or back-testing contained herein is no indication as to future performance. No representation is made as to the reasonableness of the assumptions made within or the accuracy or completeness of any modelling or back-testing. All opinions and estimates are given as of the date hereof and are subject to change. The information in this document is not intended to predict actual results and no assurances are given with respect thereto. Barclays makes no warranty, express or implied, as to results to be obtained for the use of the index or any other information contained herein. Barclays makes no warranties, express or implied, and hereby expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the index or any data contained herein. In the UK, this document directed only at persons who are investment professionals as defined in Article 19 of the FSMA 2000 (Financial Promotion Order) 2001. Outside of the UK, it is directed at persons who have professional experience in matters relating to investments. Any service to which this document relates will be provided only to such persons. This document is not intended for distribution to retail customers. 25
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Index Products
Barclays Capital EMGILB historical returns
Local Currency 40 Period Return (%) 30 20 10 0 -10 -20 -30 2004 2005 2006 2007 YTD UnHedged in US$ Hedged in US$
South Korea Poland Chile Colombia Turkey South Africa Mexico Argentina Brazil
Chile 5%
Other 3%
Brazil 62%
100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0%
B BB BBB A
Rating
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Country rating
Licensing
Contact
This document has been prepared by Barclays Capital, the investment banking division of Barclays Bank PLC ("Barclays"), for information purposes only. Barclays is not acting as advisor or fiduciary. Accordingly you must independently determine, with your own advisors, the appropriateness for you of the index. Barclays and its affiliates accepts no liability whatsoever (i) for the accuracy, completeness or currency of the index, or for delays or omissions therein, or for interruptions in the delivery of the index, or (ii) for any indirect, incidental or consequential losses arising from the use of this document or reliance on the index referred to, or other information contained, herein. Barclays has no obligation to take the needs of investors into consideration in determining, composing or calculating the index. Barclays does not guarantee the accuracy or completeness of information which is contained in this document. Any data on past performance, modelling or back-testing contained herein is no indication as to future performance. No representation is made as to the reasonableness of the assumptions made within or the accuracy or completeness of any modelling or back-testing. All opinions and estimates are given as of the date hereof and are subject to change. The information in this document is not intended to predict actual results and no assurances are given with respect thereto. Barclays makes no warranty, express or implied, as to results to be obtained for the use of the index or any other information contained herein. Barclays makes no warranties, express or implied, and hereby expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the index or any data contained herein. In the UK, this document directed only at persons who are investment professionals as defined in Article 19 of the FSMA 2000 (Financial Promotion Order) 2001. Outside of the UK, it is directed at persons who have professional experience in matters relating to investments. Any service to which this document relates will be provided only to such persons. This document is not intended for distribution to retail customers. 27
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Index Products
Italy 32%
100% 80%
Greece 5%
0% Rating
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Licensing
Contact
This document has been prepared by Barclays Capital, the investment banking division of Barclays Bank PLC ("Barclays"), for information purposes only. Barclays is not acting as advisor or fiduciary. Accordingly you must independently determine, with your own advisors, the appropriateness for you of the index. Barclays and its affiliates accepts no liability whatsoever (i) for the accuracy, completeness or currency of the index, or for delays or omissions therein, or for interruptions in the delivery of the index, or (ii) for any indirect, incidental or consequential losses arising from the use of this document or reliance on the index referred to, or other information contained, herein. Barclays has no obligation to take the needs of investors into consideration in determining, composing or calculating the index. Barclays does not guarantee the accuracy or completeness of information which is contained in this document. Any data on past performance, modelling or back-testing contained herein is no indication as to future performance. No representation is made as to the reasonableness of the assumptions made within or the accuracy or completeness of any modelling or back-testing. All opinions and estimates are given as of the date hereof and are subject to change. The information in this document is not intended to predict actual results and no assurances are given with respect thereto. Barclays makes no warranty, express or implied, as to results to be obtained for the use of the index or any other information contained herein. Barclays makes no warranties, express or implied, and hereby expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the index or any data contained herein. In the UK, this document directed only at persons who are investment professionals as defined in Article 19 of the FSMA 2000 (Financial Promotion Order) 2001. Outside of the UK, it is directed at persons who have professional experience in matters relating to investments. Any service to which this document relates will be provided only to such persons. This document is not intended for distribution to retail customers. 29
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Index Products
TIPS form the largest component of the Barclays Capital Global Inflation-Linked Bond Index. Inflation-linked indices include only capital indexed bonds with a remaining maturity of one year or more. Barclays Capital is a world-leader in inflation-linked products. We are the key market-maker in global inflationlinked securities, top-tier lead manager of issuance and a major innovator in this asset class.
00
01
02
03
04
05
06
07
08
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Licensing
Contact
index-us@barcap.com index-tk@barcap.com index-hk@barcap.com www.lehmanlive.com (keyword: index) +1 212 526 7400 +81 3 4530 1760 +852 2903 2652 General Inquiries: index@barcap.com
This document has been prepared by Barclays Capital, the investment banking division of Barclays Bank PLC ("Barclays"), for information purposes only. Barclays is not acting as advisor or fiduciary. Accordingly you must independently determine, with your own advisors, the appropriateness for you of the index. Barclays and its affiliates accepts no liability whatsoever (i) for the accuracy, completeness or currency of the index, or for delays or omissions therein, or for interruptions in the delivery of the index, or (ii) for any indirect, incidental or consequential losses arising from the use of this document or reliance on the index referred to, or other information contained, herein. Barclays has no obligation to take the needs of investors into consideration in determining, composing or calculating the index. Barclays does not guarantee the accuracy or completeness of information which is contained in this document. Any data on past performance, modelling or back-testing contained herein is no indication as to future performance. No representation is made as to the reasonableness of the assumptions made within or the accuracy or completeness of any modelling or back-testing. All opinions and estimates are given as of the date hereof and are subject to change. The information in this document is not intended to predict actual results and no assurances are given with respect thereto. Barclays makes no warranty, express or implied, as to results to be obtained for the use of the index or any other information contained herein. Barclays makes no warranties, express or implied, and hereby expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the index or any data contained herein. In the UK, this document directed only at persons who are investment professionals as defined in Article 19 of the FSMA 2000 (Financial Promotion Order) 2001. Outside of the UK, it is directed at persons who have professional experience in matters relating to investments. Any service to which this document relates will be provided only to such persons. This document is not intended for distribution to retail customers. 31
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Index Products
Barclays Capital US Govt Public Float ILB Index historical returns
20 15 Period Return (%) 10 5 0 -5 -10 98 99 00 01 02 03 04 05 06 07 YTD
01
02
03
04
05
06
07
08
Source for all tables and charts: Barclays Capital. Year-to-date (YTD) return is to 31 October 2006.
Barclays Bank PLC is registered in England No. 1026167. Registered Office: 1 Churchill Place, London E14 5HP. Copyright Barclays Bank PLC, 2005 (all rights reserved). This document is confidential, and no part of it may be reproduced, distributed or transmitted without the prior written permission of Barclays. Barclays Capital is the investment banking division of Barclays Bank PLC, which is authorised and regulated by the UK Financial Services Authority and a member of the London Stock Exchange. 32
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Review procedure
Contact
index-us@barcap.com index-tk@barcap.com index-hk@barcap.com www.lehmanlive.com (keyword: index) +1 212 526 7400 +81 3 4530 1760 +852 2903 2652 General Inquiries: index@barcap.com
This document has been prepared by Barclays Capital, the investment banking division of Barclays Bank PLC ("Barclays"), for information purposes only. Barclays is not acting as advisor or fiduciary. Accordingly you must independently determine, with your own advisors, the appropriateness for you of the index. Barclays and its affiliates accepts no liability whatsoever (i) for the accuracy, completeness or currency of the index, or for delays or omissions therein, or for interruptions in the delivery of the index, or (ii) for any indirect, incidental or consequential losses arising from the use of this document or reliance on the index referred to, or other information contained, herein. Barclays has no obligation to take the needs of investors into consideration in determining, composing or calculating the index. Barclays does not guarantee the accuracy or completeness of information which is contained in this document. Any data on past performance, modelling or back-testing contained herein is no indication as to future performance. No representation is made as to the reasonableness of the assumptions made within or the accuracy or completeness of any modelling or back-testing. All opinions and estimates are given as of the date hereof and are subject to change. The information in this document is not intended to predict actual results and no assurances are given with respect thereto. Barclays makes no warranty, express or implied, as to results to be obtained for the use of the index or any other information contained herein. Barclays makes no warranties, express or implied, and hereby expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the index or any data contained herein. In the UK, this document directed only at persons who are investment professionals as defined in Article 19 of the FSMA 2000 (Financial Promotion Order) 2001. Outside of the UK, it is directed at persons who have professional experience in matters relating to investments. Any service to which this document relates will be provided only to such persons. This document is not intended for distribution to retail customers. 33
Bloomberg Index Page <LEHM> <2> Key statistics and returns <LEGA> <INDEX>
Aaa 54.8%
Rebalancing
Frequency The composition of the Returns Universe is rebalanced monthly at each month end and represents the set of bonds on which index returns are calculated. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but is not used for return calculation. On the last business day of the month, the composition of the latest Statistics Universe becomes the Returns Universe for the following month. During the month, indicative changes to securities (maturity, credit rating change, sector reclassification, amount outstanding) are reflected in both the Statistics and Returns Universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the Statistics Universe of the index on a daily basis, but will affect the composition of the Returns Universe only at month-end when the index is rebalanced. Interest and principal payments earned by the Returns Universe are held in the index without a reinvestment return until monthend when it is removed from the index. Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in the following months Returns Universe.
Index Changes
New York
The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.
Quality
Maturity
Currency
35
Pricing Quotes
Timing
Index History
November 1, 2008 July 1, 2008 April 1, 2008 January 1, 2008 March 1, 2007 January 1, 2006 July 1, 2005 January 1, 2005 September 1, 2004 July 1, 2004 October 1, 2003 January 1, 2002 June 1, 2001 October 1, 2000 July 1, 2000 January 1, 1999 January 1, 1990 Index rebranded as Barclays Capital Global Aggregate Index Thai baht debt added back to the Global Aggregate Index CAD-denominated Euro MTNs and deposit notes eligible for inclusion. Fixed-to-floating rate perpetual securities that do not have coupon rate step-ups on their first call date eligible for inclusion. U.S. MBS Fixed-Rate Balloons and U.S. ABS Manufactured Housing removed. Thai baht debt removed from Global Aggregate Index Taiwan dollar and Malaysian ringgit eligible for inclusion in the index. Fitch ratings added to Moodys and S&P to determine index eligibility. Sector re-classification into Treasury, Government-Related, Corporate, and Securitized. South African rand, Chilean peso, Mexican peso, Czech koruna, Hungarian forint, Polish zloty, Slovenian tolar, and Slovakian koruna eligible for inclusion in the index. Local currency government debt from Hong Kong included in the index. Danish MBS without embedded optionality joined the index. Capital and senior unsecured securities with fixed-to-variable coupons added to the index. Liquidity constraint changed to multiple regional currency constraints from the sole USD 300 million equivalent criterion. Local currency government debt from Thailand, South Korea and Singapore included in the index. Local currency government debt from Greece included in the index. Asian-Pacific Aggregate Index joined the Global Aggregate Index. Liquidity constraint for all securities in the index raised to USD 300 million (or currency equivalent) from USD 150 million. Euro-Dollar and U.S. Investment-Grade 144A Indices joined the Global Aggregate index. Creation of Global Aggregate Index with index history backfilled to January 1, 1990. At inception, Global Aggregate index included the U.S. Aggregate Index, Pan-European Aggregate Index, and Global Treasury Index (ex-U.S. and European government securities). Inception date of the Global Aggregate Index data time series.
36
Index Products
Aaa 81.4%
POINT (Portfolio and Index Tool) Long Name: US Aggregate Short Name: Agg
New York
The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.
Quality
Maturity
Security Types
Frequency
The composition of the Returns Universe is rebalanced monthly at each month end and represents the set of bonds on which index returns are calculated. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but is not used for return calculation. On the last business day of the month, the composition of the latest Statistics Universe becomes the Returns Universe for the following month. During the month, indicative changes to securities (maturity, credit rating change, sector reclassification, amount outstanding) are reflected in both the Statistics and Returns Universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the Statistics Universe of the index on a daily basis, but will affect the composition of the Returns Universe only at month-end when the index is rebalanced. Interest and principal payments earned by the Returns Universe are held in the index without a reinvestment return until monthend when it is removed from the index. Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in the following months Returns Universe.
Rebalancing
Index Changes
Index History
November 1, 2008 January 1, 2008 April 1, 2007 July 1, 2005 January 1, 2005 July 1, 2004 October 1, 2003 July 1, 2000 July 1, 1999 January 1, 1998 January 1, 1994 January 1, 1992 January 1, 1990 August 1, 1988 January 1, 1986 Index rebranded as Barclays Capital U.S. Aggregate Index U.S. MBS Fixed-Rate Balloons and U.S. ABS Manufactured Housing removed Agency Hybrid Adjustable Rate Mortgage (ARM) securities added to the index, but not eligible for the Global Aggregate Fitch ratings added to Moodys and S&P to determine index eligibility. Sector re-classification into Treasury, Government-Related, Corporate, and Securitized. Liquidity constraint raised to USD 250 million/ USD 25 million CMBS tranche size from USD 200 million. Liquidity constraint raised to USD 200 million from USD 150 million. Started using the most conservative rating of Moodys and S&P to determine index eligibility instead of Moodys only for split-rated securities. ABS index liquidity constraint raised to USD 500 million for deal size and USD 25 million for tranches. Absorbed all Yankee Corporates into their respective industry and sector classification Liquidity constraint raised to USD 150 million from USD 100 million. ERISA-eligible CMBS issues added to the index. Removed U.S. TIPS from U.S. Aggregate Index Liquidity constraint raised to USD 100 million from USD 50 million for non-government securities. ABS and MBS balloon issues added to the index. Liquidity constraint increased to USD 50 million from USD 25 million for nongovernment securities. Liquidity constraint raised to USD 100 million from USD 25 million. U.S. Aggregate Index introduced, with historical data backfilled to January 1976. Liquidity constraint raised to USD 25 million 38 from USD 1 million.
Corporate 17.0%
Treasury 56.9%
Bloomberg Index Page <LEHM> <22> Key statistics and returns <LP06> <INDEX>
Govt.-Related 12.3%
Baa 3.7%
A 12.8%
New York
The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.
39
Maturity
Rebalancing Rules
Frequency The composition of the Returns universe is rebalanced monthly at each month-end and represents the set of bonds on which index returns are calculated. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but is not used for returns calculation. On the last business day of the month, the composition of the latest Statistics universe becomes the Returns universe for the following month. During the month, indicative changes to securities (maturity, credit rating change, sector reclassification, amount outstanding) are reflected in both the Statistics and Returns universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the Statistics universe of the index on a daily basis, but will affect the composition of the Returns universe only at month-end when the index is rebalanced. Interest and principal payments earned by the Returns universe are held in the index without a reinvestment return until month-end when it is removed from the index. Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in the following months Returns universe.
Index Changes
40
Euro-Aggregate Index
Corporate 16.4%
Treasury 56.5%
Govt.-Related 12.3%
Bloomberg Page <LEHM> <23> Key statistics and returns <LBEA> <INDEX>
TICKERS Total Return Index Value: LBEATREU Since Inception Total Return: LBEASIEU Excess Return: LBEAER Market Value (EUR): LBEAMVE ISMA Yield to Worst: LBEAYW ISMA Modified Duration: LBEAMD Average OAS: LBEAOAS Maturity: LBEAMAT KEY FEATURES Index level returns and statistics Historical index constituents Fully customizable market structure reports Index dynamics and turnover reports Portfolio upload/analysis Multi-factor Global Risk Model Portfolio performance attribution Automated batch processing
Baa 3.7%
A 11.6%
New York
The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.
Maturity
Rebalancing Rules
Frequency The composition of the Returns Universe is rebalanced monthly at each month end and represents the set of bonds on which index returns are calculated. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but is not used for return calculation. On the last business day of the month, the composition of the latest Statistics Universe becomes the Returns Universe for the following month. During the month, indicative changes to securities (maturity, credit rating change, sector reclassification, amount outstanding) are reflected in both the Statistics and Returns universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the Statistics universe of the index on a daily basis, but will affect the composition of the Returns universe only at month-end when the index is rebalanced. Interest and principal payments earned by the Returns universe are held in the index without a reinvestment return until month-end when it is removed from the index. Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in the following months Returns universe.
Index Changes
42
Securitised 4.2%
Corporate 25.7%
Bloomberg Index Page <LEHM> <26> Key statistics and returns <LC58> <INDEX>
POINT (Portfolio and Index Tool) Long Name: Sterling Agg Short Name: gbpall
New York
The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.
43
Rebalancing
Frequency The composition of the Returns Universe is rebalanced monthly at each month end and represents the set of bonds on which index returns are calculated. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but is not used for return calculation. On the last business day of the month, the composition of the latest Statistics Universe becomes the Returns Universe for the following month. During the month, indicative changes to securities (maturity, credit rating change, sector reclassification, amount outstanding) are reflected in both the Statistics and Returns Universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the Statistics Universe of the index on a daily basis, but will affect the composition of the Returns Universe only at month-end when the index is rebalanced. Interest and principal payments earned by the Returns Universe are held in the index without a reinvestment return until monthend when it is removed from the index. Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in the following months Returns Universe.
Index Changes
44
Bloomberg Index Page <LEHM> <31> Key statistics and returns <LGAP> <INDEX>
Rebalancing
Frequency The composition of the Returns Universe is rebalanced monthly at each month end and represents the set of bonds on which index returns are calculated. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but is not used for return calculation. On the last business day of the month, the composition of the latest Statistics Universe becomes the Returns Universe for the following month. During the month, indicative changes to securities (maturity, credit rating change, sector reclassification, amount outstanding) are reflected in both the Statistics and Returns Universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the Statistics Universe of the index on a daily basis, but will affect the composition of the Returns Universe only at month-end when the index is rebalanced. Interest and principal payments earned by the Returns Universe are held in the index without a reinvestment return until monthend when it is removed from the index. Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in the following months Returns Universe. On occasion, index users may also challenge price levels, which are then reviewed by the pricing team. Prices are then updated as needed using input from the trading desk.
Index Changes
New York
The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.
Maturity
Currency
Index History
November 1, 2008 July 1, 2008 March 1, 2007 January 1, 2006 July 1, 2005 January 1, 2005 October 1, 2003 January 1, 2002 October 1, 2000 July 1, 2000 Index rebranded Barclays Capital Asian-Pacific Aggregate Index Thai baht debt added back to the index Thai baht debt removed from the index Taiwan dollar and Malaysian ringgit eligible for inclusion in the index. Fitch ratings added to Moodys and S&P to determine index eligibility. Sector re-classification into Treasury, Government-Related, Corporate, and Securitized. Capital and senior unsecured securities with fixed-to-variable coupons added to the index. Liquidity constraint raised to JPY 35 billion from JPY 20 billion. Malaysian ringgit, Taiwan dollar, and Chinese yuan excluded from the index. Asian-Pacific Aggregate Index joined the Global Aggregate Index. 46 Creation of Asian-Pacific Aggregate Index.
Aa 96.8%
POINT (Portfolio and Index Tool) Name: Japanese Aggregate Short Name: Japanese Aggregate
KEY FEATURES Index level returns and statistics Historical index constituents Fully customizable market structure reports Index dynamics and turnover reports Portfolio upload/analysis Multi-factor Global Risk Model Portfolio performance attribution
Rebalancing
Frequency The composition of the Returns Universe is rebalanced monthly at each month end and represents the set of bonds on which index returns are calculated. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but is not used for return calculation. On the last business day of the month, the composition of the latest Statistics Universe becomes the Returns Universe for the following month. During the month, indicative changes to securities (maturity, credit rating change, sector reclassification, amount outstanding) are reflected in both the Statistics and Returns Universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the Statistics Universe of the index on a daily basis, but will affect the composition of the Returns Universe only at month-end when the index is rebalanced. Interest and principal payments earned by the Returns Universe are held in the index without a reinvestment return until monthend when it is removed from the index. Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in the following months Returns Universe.
Index Changes
New York
The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.
47
Maturity
Index History
November 1, 2008 October 31, 2008 April 1, 2007 July 1, 2005 January 1, 2005 October 1, 2003 January 1, 2002 October 1, 2000 July 1, 2000 Index rebranded Barclays Capital Japanese Aggregate Index JFHA RMBS removed from Japanese Aggregate Index. JFHA RMBS added to Japanese Aggregate Index. Fitch ratings added to Moodys and S&P to determine index eligibility. Sector re-classification into Treasury, Government-Related, Corporate, and Securitized. Capital and senior unsecured securities with fixed-to-variable coupons added to the index. Liquidity constraint raised to JPY 35 billion from JPY 20 billion. Asian-Pacific Aggregate Index joined the Global Aggregate Index. Creation of Japanese Aggregate Index.
48
Europe 40.4%
G-7 82.2%
Timing
New York
The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.
Quality
Rebalancing
Frequency The composition of the Returns Universe is rebalanced monthly at each month end and represents the set of bonds on which index returns are calculated. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but is not used for return calculation. On the last business day of the month, the composition of the latest Statistics Universe becomes the Returns Universe for the following month. During the month, indicative changes to securities (maturity, credit rating change, amount outstanding) are reflected in both the Statistics and Returns Universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the Statistics Universe of the index on a daily basis, but will affect the composition of the Returns Universe only at month-end when the index is rebalanced. Interest and principal payments earned by the Returns Universe are held in the index without a reinvestment return until monthend when it is removed from the index. Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in the following months Returns Universe.
Index Changes
Index History
November 1, 2008 July 1, 2008 March 1, 2007 January 1, 2006 January 1, 2005 September 1, 2004 January 1, 2002 June 1, 2001 January 1, 1999 April 1, 1992 Index rebranded as Barclays Capital Global Treasury Index Thai baht debt added back to index Thai baht debt excluded from index. Taiwan dollar and Malaysian ringgit eligible for inclusion in the index. South African rand, Chilean peso, Mexican peso, Czech koruna, Hungarian forint, Polish zloty, Slovenian tolar, and Slovakian koruna eligible for inclusion in the index. Local currency government debt from Hong Kong included in the index. Regional liquidity constraints introduced. Local currency government debt from Thailand, South Korea and Singapore included in the index. Local currency government debt from Greece included in the index. Global Treasury Index became a subset of the Global Aggregate Index. Inception of Global Treasury Index. Historical data available back to January 1987.
50
POINT (Portfolio and Index Tool) Long Name: US Universal Short Name: univers_US
Aaa 75.3%
Caa-NR 0.8%
Settlement T+1 settlement basis for all bonds except MBS. MBS are priced for Public Securities Association (PSA) settlement in the following month Assumptions and discounted back to same-day settlement at the mortgage repurchase rate. Verification Multi-contributor verification: The primary price for each security is analyzed and compared to other third-party pricing sources through both statistical routines and scrutiny by the research staff. Significant discrepancies are researched and corrected, as necessary.
New York
The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.
Quality
Maturity
Rebalancing
Frequency The composition of the Returns Universe is rebalanced monthly at each month end and represents the set of bonds on which index returns are calculated. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but is not used for return calculation. On the last business day of the month, the composition of the latest Statistics Universe becomes the Returns Universe for the following month. During the month, indicative changes to securities (maturity, credit rating change, sector reclassification, amount outstanding) are reflected in both the Statistics and Returns Universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the Statistics Universe of the index on a daily basis, but will affect the composition of the Returns Universe only at month-end when the index is rebalanced. Interest and principal payments earned by the Returns Universe are held in the index without a reinvestment return until monthend when it is removed from the index. Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in the following months Returns Universe.
Index Changes
Index History
November 1, 2008 January 1, 2008 April 1, 2007 January 1, 2007 July 1, 2005 January 1, 2005 October 1, 2003 July 1, 1999 January 1, 1999 Index rebranded as Barclays Capital U.S. Universal Index U.S. MBS Fixed-Rate Balloons and U.S. ABS Manufactured Housing removed Agency Hybrid Adjustable Rate Mortgage (ARM) securities added to the index, but not eligible for the Global Aggregate CMBS HY bonds dropped from the index Fitch ratings added to Moodys and S&P to determine index eligibility. Sector re-classification into Treasury, Government-Related, Corporate, and Securitized. Started using the most conservative rating of Moodys and S&P to determine index eligibility instead of Moodys only for splitrated securities. CMBS Index started contributing to the U.S. Universal Index. 52 Inception date of the U.S. Universal Index, with index history backfilled to January 1, 1990.
Treasury 43.8%
Bloomberg Index Page <LEHM> <13> Key statistics and returns <LUGC> <INDEX>
Aaa 66.3%
A 14.5%
POINT (Portfolio and Index Tool) Long Name: US Government/Credit Short Name: Govcred
Baa 11.7%
Pricing Quotes
New York
The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.
Security Types
Rebalancing Rules
Frequency The composition of the Returns Universe is rebalanced monthly at each month end and represents the set of bonds on which index returns are calculated. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but is not used for return calculation. On the last business day of the month, the composition of the latest Statistics Universe becomes the Returns Universe for the following month. During the month, indicative changes to securities (maturity, credit rating change, sector reclassification, amount outstanding) are reflected in both the Statistics and Returns Universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the Statistics Universe of the index on a daily basis, but will affect the composition of the Returns Universe only at month-end when the index is rebalanced. Interest and principal payments earned by the Returns Universe are held in the index without a reinvestment return until month-end when it is removed from the index. Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in the following months Returns Universe.
Index Changes
Index History
November 1, 2008 July 1, 2005 January 1, 2005 July 1, 2004 October 1, 2003 July 1, 2000 July 1, 1999 January 1, 1998 January 1, 1994 January 1, 1992 January 1, 1990 August 1, 1988 January 1, 1979 Index rebranded as Barclays Capital U.S. Government/Credit Index Fitch ratings added to Moodys and S&P to determine index eligibility. Sector re-classification into Treasury, Government-Related, Corporate, and Securitized. Liquidity constraint raised to USD 250 million from USD 200 million. Liquidity constraint raised to USD 200 million from USD 150 million. Started using the most conservative rating of Moodys and S&P to determine index eligibility instead of Moodys only for split-rated securities. Absorbed all Yankee Corporates into their respective industry and sector classification. Liquidity constraint raised to USD 150 million from USD 100 million. Removed U.S. TIPS from the index. Liquidity constraint raised to USD 100 million from USD 50 million for non-government securities. Liquidity constraint increased to USD 50 million from USD 25 million for non-government securities. Liquidity constraint raised to USD 100 million from USD 25 million for government securities. Liquidity constraint raised to USD 25 million from USD 1 million. U.S. Government/Credit Index introduced, with historical data backfilled to 1973.
54
Industrial 81.7%
Bloomberg Index Page <LEHM> <15> Key statistics and returns <LF98> <INDEX>
Ba 37.7%
POINT (Portfolio and Index Tool) Long Name: US HY Short Name: hi-all
B 42.6%
New York
The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us. 55
Issuer-Capped Indices
Barclays Capital provides a rules-based methodology for limiting issuer exposures to specified maximum levels where excess market value is redistributed either index-wide on a prorated basis or according to a sector-neutral basis. 1%, 2%, 3%, and 4% capped versions using the index-wide distribution method have been published for the U.S. HY, U.S. HY Ba, U.S. HY Ba/B, and U.S. HY B indices.
Rebalancing
Frequency The composition of the Returns Universe is rebalanced monthly at each month end and represents the set of bonds on which index returns are calculated. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but is not used for return calculation. On the last business day of the month, the composition of the latest Statistics Universe becomes the Returns Universe for the following month. Fallen angels do not enter the index until the next monthly reset. During the month, indicative changes to securities (maturity, credit rating change, sector reclassification, amount outstanding) are reflected in both the Statistics and Returns Universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the Statistics Universe of the index on a daily basis, but will affect the composition of the Returns Universe only at month-end when the index is rebalanced. Interest and principal payments earned by the Returns Universe are held in the index without a reinvestment return until monthend when it is removed from the index. Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in the following months Returns Universe.
Index Changes
Index History
November 1, 2008 July 1, 2005 October 1, 2003 July 1, 2000 January 1, 1998 January 1, 1986 January 1, 1983 Index rebranded as Barclays Capital U.S. Corporate High-Yield Index Fitch ratings added to Moodys and S&P to determine index eligibility. Started using the most conservative rating of Moodys and S&P to determine index eligibility instead of Moodys only for splitrated securities. Liquidity constraint raised to USD 150 million from USD 100 million. Defaulted securities removed. SEC Rule 144A securities added. U.S. Corporate High-Yield Index introduced, with historical data backfilled to 1983. Inception date of U.S. Corporate High-Yield Index.
56
Euro 82.4%
Bloomberg Index Page <LEHM> <24> Key statistics and returns <LP01> <INDEX>
Ba 47.4%
New York
The indices designed, calculated and published by Barclays Capital are registered trademarks. The right to use one or more of these indices as underlying for OTC or exchange tradable structured products (warrants, certificates, ETFs, swaps) is granted only upon completion of a license agreement. For further information please contact us.
Maturity
Rebalancing Rules
Frequency The composition of the Returns Universe is rebalanced monthly at each month end and represents the set of bonds on which index returns are calculated. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but is not used for return calculation. On the last business day of the month, the composition of the latest Statistics Universe becomes the Returns Universe for the following month. During the month, indicative changes to securities (maturity, credit rating change, sector reclassification, amount outstanding) are reflected in both the Statistics and Returns universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the Statistics universe of the index on a daily basis, but will affect the composition of the Returns universe only at month-end when the index is rebalanced. Interest and principal payments earned by the Returns universe are held in the index without a reinvestment return until month-end when it is removed from the index Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in the following months Returns universe.
Index Changes
58
Revenue 49.7%
State GO 13.2%
Standardized market structure reports Fully customizable views Index primers and shelf reference documents Latest index and portfolio strategies research publications Current Month Returns & Statistics Previous Month Returns & Statistics
Others 50.5%
59
Quality
Must be non-AMT Issued within the last 5 years Rated at least Aa3 May not be an airline, hospital, housing, or tobacco bond
Rebalancing
Frequency The composition of the Returns Universe is rebalanced monthly at each month end and represents the set of bonds on which index returns are calculated. The Statistics Universe changes daily to reflect issues dropping out and entering the index, but is not used for return calculation. On the last business day of the month, the composition of the latest Statistics Universe becomes the Returns Universe for the following month. During the month, indicative changes to securities (maturity, credit rating change, sector reclassification, amount outstanding) are reflected in both the Statistics and Returns Universe of the index on a daily basis. These changes may cause bonds to enter or fall out of the Statistics Universe of the index on a daily basis, but will affect the composition of the Returns Universe only at month-end when the index is rebalanced. Interest and principal payments earned by the Returns Universe are held in the index without a reinvestment return until monthend when it is removed from the index. Qualifying securities issued, but not necessarily settled, on or before the month-end rebalancing date qualify for inclusion in the following months Returns Universe.
Index Changes
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
Analyst Certification The views expressed in this report accurately reflect the personal views of Brian Upbin, the primary analysts responsible for this report, about the subject securities or issuers referred to herein, and no part of such analysts' compensation was, is or will be directly or indirectly related to the specific recommendations or views expressed herein. Important Disclosures On September 20, 2008, Barclays Capital Inc. acquired Lehman Brothers' North American investment banking, capital markets, and private investment management businesses. During the transition period, disclosure information will be provided via the sources listed below. For complete information, investors are requested to consult both sources listed below. https://ecommerce.barcap.com/research/cgi-bin/public/disclosuresSearch.pl or call 1-212-526-1072; http://www.lehman.com/USFIdisclosures/ Clients can access Barclays Capital research produced after the acquisition date either through Barclays Capital's research website or through LehmanLive. Barclays Capital does and seeks to do business with companies covered in its research reports. As a result, investors should be aware that Barclays Capital may have a conflict of interest that could affect the objectivity of this report. Any reference to Barclays Capital includes its affiliates. Barclays Capital and/or an affiliate thereof (the "firm") regularly trades, generally deals as principal and generally provides liquidity (as market maker or otherwise) in the debt securities that are the subject of this research report (and related derivatives thereof). The firm's proprietary trading accounts may have either a long and / or short position in such securities and / or derivative instruments, which may pose a conflict with the interests of investing customers. Where permitted and subject to appropriate information barrier restrictions, the firm's fixed income research analysts regularly interact with its trading desk personnel to determine current prices of fixed income securities. The firm's fixed income research analyst(s) receive compensation based on various factors including, but not limited to, the quality of their work, the overall performance of the firm (including the profitability of the investment banking department), the profitability and revenues of the Fixed Income Division and the outstanding principal amount and trading value of, the profitability of, and the potential interest of the firms investing clients in research with respect to, the asset class covered by the analyst. To the extent that any historical pricing information was obtained from Barclays Capital trading desks, the firm makes no representation that it is accurate or complete. All levels, prices and spreads are historical and do not represent current market levels, prices or spreads, some or all of which may have changed since the publication of this document. Barclays Capital produces a variety of different types of fixed income research, including fundamental credit analysis, quantitative credit analysis and trade ideas. Recommendations contained in one type of research may differ from recommendations contained in other types, whether as a result of differing time horizons, methodologies, or otherwise.
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