MPF World Government Bond Index - Yield Book

[Pages:2]Citi Fixed Income Indices

October 31, 2016

MPF World Government Bond Index

Sovereign | Multi-Currency

The MPF World Government Bond Index (MPF WGBI) is designed to comply with the regulatory requirements governing investments in debt securities by Hong Kong Mandatory Provident Fund schemes. The index is based on the Citi World Government Bond Index (WGBI)1 which measures the performance of fixed-rate, local currency, investment-grade sovereign bonds. The WGBI is a widely used benchmark that currently comprises sovereign debt from over 20 countries, denominated in a variety of currencies, and has more than 30 years of history available.

The MPF World Government Bond Index incorporates additional criteria2 as stipulated by the Mandatory Provident Fund Schemes (General) Regulation and Guidelines on Debt Securities. Citi worked closely with the Hong Kong Investment Funds Association (HKIFA) and Willis Towers Watson to ensure that the index appropriately reflects Hong Kong Mandatory Provident Fund Schemes Authority (MPFA) rules. Historical profile statistics and performance for the MPF World Government Bond Index are available since January 2016.

Index Profile

Description MPF WGBI 1-3 Years 3-5 Years 5-7 Years 7-10 Years 10-20 Years 20+ Years Europe Americas Asia Pacific Middle East / Africa

# of issues 1,003 247 177 124 132 177 146 368 286 334 15

Georgraphical composition (Market Weight %)

A

BBB

Eu1rope 9

45.00

Middle East / Africa 0.47

Americas 42.38

Market Weight (%)

100.00 24.66 20.71 13.11 13.96 11.87 15.69 45.00 42.38 12.15 0.47

Average Coupon (%)

2.52 1.90 2.25 2.39 2.40 3.84 3.51 3.10 2.09 1.88 8.18

Average Life (Years) 8.54 1.95 4.00 6.00 8.49 14.33 27.47 9.36 7.32 9.96 16.13

Yield to Maturity (%)

0.96 0.44 0.70 0.85 1.05 1.24 1.93 0.52 1.47 0.50 8.92

Effective Duration

7.55 1.92 3.84 5.63 7.80 11.80 19.48 8.27 6.25 9.41 7.71

HISTORICAL Index Level (in HKD)

111100 110088 110066 110044 110022 110000

9988 12/2015

04/2016

105.23 (unhedged) 105.09 (35% hedged) 104.80 (100% hedged)

10/2016

MPF WGBI (unhedged) MPF WGBI (35% hedged)

MPF WGBI (100% hedged)

Asia Pacific 12.15

Americas include the following markets: Canada, Mexico, United States; Asia Pacific includes the following markets: Australia, Japan, Malaysia, Singapore; Europe includes the following markets: Austria, Belgium, Denmark, Finland, France, Germany, Ireland, Italy, Netherlands, Norway, Poland, Spain, Sweden, Switzerland, United Kingdom; Middle East and Africa includes South Africa.

MPF WGBI (unhedged) MPF WGBI (35% hedged) MPF WGBI (100% hedged) *YTD, not annualized

Return* 5.23 5.09 4.80

1 For details on the World Government Bond Index, please see Citi's Index Guide on citi-indices. 2 For more information, please visit .hk/eng/legislation_regulations/legulations_ordinance/index.jsp.

Source: Citigroup Index LLC. Data as of 10/31/2016. Performance may be positive, negative, or zero. Past performance is not an indication of future results. Back dated from 12/31/2015 through 03/16/2016. Live data from 03/17/2016 to present.

citi-indices MPF World Government Bond Index 01

Citi Fixed Income Indices

MPF World Government Bond Index | October 31, 2016

annualized RETURNS (in %)

YTD*

MPF WGBI (unhedged) 5.23%

* Not annualized

Top 10 Issues (by Market Weight)

Description US TREASURY US TREASURY US TREASURY US TREASURY US TREASURY US TREASURY US TREASURY US TREASURY US TREASURY US TREASURY

Coupon (%) 2.375 2.250 2.250 2.500 2.125 2.000 2.000 2.750 1.625 1.625

Maturity (MM/DD/YYYY)

08/15/2024 11/15/2024 11/15/2025 05/15/2024 05/15/2025 02/15/2025 08/15/2025 11/15/2023 05/15/2026 02/15/2026

MPF WGBI (35% unhedged) 5.09%

MPF WGBI (100% hedged) 4.80%

Market Weight (%)

0.40 0.39 0.39 0.39 0.39 0.38 0.38 0.36 0.35 0.35

Average Life (Years) 7.79 8.04 9.04 7.54 8.54 8.29 8.79 7.04 9.54 9.29

Yield to Maturity (%)

1.69 1.71 1.80 1.66 1.76 1.75 1.78 1.61 1.83 1.82

Effective Duration

7.17 7.37 8.21 6.89 7.83 7.70 8.12 6.42 8.85 8.68

DESIGN CRITERIA & CALCULATION METHODOLOGY

The index is based on the Citi World Government Bond Index (WGBI)1 and incorporates additional criteria2 as stipulated by the Mandatory Provident Fund Schemes (General) Regulation and Guidelines on Debt Securities outlined below.

Credit Quality

Capping Base Date

Minimum credit quality is per Mandatory Provident Fund Schemes (General) Regulation and III.1 Guidelines on Debt Securities. Bond level rating is required per Mandatory Provident Fund Schemes (General) Regulation and III.1 Guidelines on Debt Securities.

Maximum 9.5% for non-exempt authority (issuer) as per Mandatory Provident Fund Schemes (General) Regulation and III.1 Guidelines on Debt Securities' definition of exempt authority

December 31, 2015

1 For details on the World Government Bond Index, please see Citi's Index Guide on citi-indices. 2 For more information, please visit .hk/eng/legislation_regulations/legulations_ordinance/index.jsp.

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