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BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
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.
Barclays Capital Euro Government Inflation-Linked Bond Index
The Barclays Capital Euro Government Inflation-linked bond index measures the performance of the euro zone government inflation-linked bond market. The index currently includes bonds from France, Italy, Germany and Greece.
Since its inception the index has become the leading benchmark for euro inflation-linked funds.
Barclays Capital is a world-leader in inflation-linked products. We are the key market-maker in global inflation-linked securities, top-tier lead manager of issuance and a major innovator in this asset class.
Barclays Capital Euro Government IL Index historical returns
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2
6
10
14
00 01 02 03 04 05 06 07 08YTD
Peri
od R
etur
n (%
)
Barclays Capital Euro Government Inflation-Linked Bond Index Characteristics
30 November 2008 Market Cap
¤ bn Weight
% of overall No of Issues
Average Real Yield Average Life
Average Mod Duration
Euro Government Index 248.5 100.0 22 2.97 9.87 7.82
FRCPI-Linked 63.3 25.5 5 2.60 7.91 6.90
EMU HICP-Linked 185.2 74.5 17 3.08 10.51 8.13
France 133.9 53.9 11 2.61 9.32 7.68
Italy 78.5 31.6 7 3.38 10.03 7.64
Germany 22.7 9.1 2 2.51 6.14 5.63
Greece 13.4 5.4 2 3.95 19.19 13.95
Barclays Capital Euro Govt IL Index historical weights
0%
20%
40%
60%
80%
100%
99 00 01 02 03 04 05 06 07 08
France FRCPI-linked
France EMU HICP-Linked
Italy
Greece
Germany
Issuer and rating breakdown on 30 November 2008
Source for all tables and charts: Barclays Capital.
France54%
Italy32%
Greece5%
Germany9%
0%
20%
40%
60%
80%
100%
120%
Rating
A
AAA
Index Products
BARCAP_RESEARCH_TAG_FONDMI2NBUR7SWED
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.
General Characteristics and Index Rules Index characteristics
Base date 31 December 1999. Country indices are available since the inception of each market.
Maturity Indices A standard maturity breakdown is 1-3yr, 3-5yr, 5-7yr, 7-10yr, 10-15yr and >15yrs. In addition, 1-5yr, 5-10yr, 5-15yr, 1-10yrs, >10yrs indices are also available
Additional indices Foreign and hedged indices are available in AUD, CAD, CHF, GBP, JPY, SEK , SGD, USD and in ZAR.
Criteria for inclusion in the index
Issuer type Issuer must be an EMU member state
Bond type Bonds must be capital-indexed and linked to an eligible inflation index. They should be denominated in euros and pay coupon and principal in euros.
Linking index The linking index can either be a domestic inflation index or the harmonised EMU HICP.
Rating Long-term local currency ratings from S&P and Moody’s are considered, and the lower of the two is used for the index. All issues must have a rating of A3/A- or above.
Coupon type The notional coupon of a bond must be fixed or zero.
Maturity Bonds must have a minimum remaining life of greater than one year on the rebalancing date.
Issue date Bonds must settle on or before the rebalancing date to be eligible for the index.
Min issue size The issue size must be equal to or in excess of ¤500mn.
Index calculation and monthly review
Pricing Methodology
The index uses mid-market real prices from the Barclays Capital market makers at 4.15pm London time. All spot and forward foreign exchange rates used are official WM Company mid rates from London market at 4pm.
Settlement conventions
The index uses standard settlement conventions for all calculations. Market calendars most appropriate for international investors are used.
Index frequency and reinvestment
The index is calculated daily and has a value for each calendar day. This allows simple calculation of returns without going to the bother of adjusting start and end dates according to the business calendar. From 30 June 2006 income from coupon is reinvested monthly at re-balancing. Income received during the month is invested until the end of month at a 1M Euro LIBOR -15bp set at the end of the month for the next month. Prior to 30 June 2006 income from coupon was reinvested in the index as soon as it was received.
Review procedure 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 In the Barclays Capital indices, maturity bands are exclusive at the lower bound. Bonds are allocated to maturity bands based on their maturity date.
Index Holdings 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.
Data Publication, Distribution and licensing Publication The Barclays Capital Euro Govt Inflation-Linked Index is calculated daily on UK business days and published on the Barclays
Capital Indices Website.
Distribution Index data is available via the Barclays Capital Indices website and other data vendors: Barclays Capital Global Inflation-Linked Bond Index Website: www.barcap.com/indices Bloomberg: The index data is available via BEIG Index <GO>
Licensing 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.
Contact Barclays Capital Index Products Team
London New York Tokyo Hong Kong/Singapore www.barcap.com/indices
[email protected] [email protected] [email protected] [email protected] www.lehmanlive.com (keyword: index)
+44 207 773 3744 +1 212 526 7400 +81 3 4530 1760 +852 2903 2652 General Inquiries: [email protected]
