S&P Global Bond Futures Index Series - S&P Dow Jones Indices

[Pages:21]S&P Global Bond Futures Index Series

Methodology

May 2023

S&P Dow Jones Indices: Index Methodology

Table of Contents

Introduction

3

Index Objective and Highlights

3

Supporting Documents

3

Index Construction

4

S&P Global Bond Futures Index Series

4

Futures Roll

4

Market Disruptions during the Roll Period

5

Excess Return Index Calculation

5

Dollar Value Calculation

5

Calculation of Index Total Return

6

Index Maintenance

7

Rebalancing

7

Currency of Calculation and Additional Index Return Series

7

Index Governance

8

Index Committee

8

Index Policy

9

Announcements

9

Holiday Schedule

9

Rebalancing

9

Unexpected Exchange Closures

9

Contact Information

9

Index Dissemination

10

Tickers

10

Index Data

12

Web site

12

Appendix I: Calculation of Additional Indices

13

S&P US Treasury Bond Futures Month-End Roll (4PM ET Close) Index Family 13

S&P US Treasury Dynamic Trend Index

13

Appendix II: Methodology Changes

15

Appendix III: ESG Disclosures

16

Disclaimer

17

Performance Disclosure/Back-Tested Data

17

S&P Dow Jones Indices: S&P Global Bond Futures Index Series Methodology

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Intellectual Property Notices/Disclaimer

18

S&P Dow Jones Indices: S&P Global Bond Futures Index Series Methodology

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Introduction

Index Objective and Highlights

The S&P Global Bond Futures Index Series measures the performance of near maturing bond futures contracts traded on global futures exchanges. Each index is denominated in the currency of the underlying futures contract.

Supporting Documents

This methodology is meant to be read in conjunction with supporting documents providing greater detail with respect to the policies, procedures and calculations described herein. References throughout the

methodology direct the reader to the relevant supporting document for further information on a specific topic. The list of the main supplemental documents for this methodology and the hyperlinks to those documents is as follows:

Supporting Document S&P Dow Jones Indices' Commodities Indices Policies & Practices Methodology S&P Dow Jones Indices' Commodity Index Mathematics Methodology

URL Commodities Indices Policies & Practices

Commodity Index Mathematics Methodology

This methodology was created by S&P Dow Jones Indices to achieve the aforementioned objective of measuring the underlying interest of each index governed by this methodology document. Any changes to

or deviations from this methodology are made in the sole judgment and discretion of S&P Dow Jones Indices so that the index continues to achieve its objective.

S&P Dow Jones Indices: S&P Global Bond Futures Index Series Methodology

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Index Construction

S&P Global Bond Futures Index Series

The indices are constructed from the front month futures contract traded on global futures exchanges. The table below lists the contracts, corresponding exchanges, index base dates and index first value dates.

Index S&P U.S. Treasury Bond Futures Index S&P 2-Year U.S. Treasury Note Futures Index S&P 5-Year U.S. Treasury Note Futures Index

S&P 10-Year U.S. Treasury Note Futures Index S&P Ultra 10-Year U.S. Treasury Note Futures Index S&P Ultra T-Bond Futures Index S&P Euro-Schatz Futures Index S&P Euro-Bobl Futures Index S&P Euro-Bund Futures Index S&P Euro-Buxl Futures Index S&P Euro-OAT Futures Index

S&P Euro-BTP Futures Index S&P Swiss-CONF Futures Index S&P Long Gilt Futures Index Index S&P 10-Year Canada Government Bond Futures Index S&P 10-Year JGB Futures Index S&P/ASX Australian 3-Year Treasury Bond Futures Index S&P/ASX Australian 10-Year Treasury Bond Futures Index S&P/ASX Australian 20-Year Treasury Bond Futures Index S&P/ASX Australian 3-Year Treasury Bond (Dollar Value) Futures Index S&P/ASX Australian 10-Year Treasury Bond (Dollar Value) Futures Index S&P/ASX Australian 20-Year Treasury Bond (Dollar Value) Futures Index

Underlying Futures Contract U.S. Treasury Bond Futures 2-Year U.S. Treasury Note Futures 5-Year U.S. Treasury Note Futures 10-Year U.S. Treasury Note Futures Ultra 10-Year U.S. Treasury Note Futures Ultra T-Bond Futures Euro-Schatz Futures Euro-Bobl Futures Euro-Bund Futures Euro-Buxl Futures Euro-OAT Futures Euro-BTP Futures Swiss-CONF Futures Long Gilt Futures 10-Year CGB Futures 10-Year JGB Futures

3-Year Australian Treasury Bond Futures

Symbol US TU FV TY TN UL

FGBS FGBM FGBL FGBX FOAT FBTP CONF FLG CGB JGB

YT

Exchange CME CME CME CME CME CME

EUREX EUREX EUREX EUREX EUREX EUREX EUREX

ICE MX JPX

ASX

10-Year Australian Treasury Bond Futures XT

ASX

20-Year Australian Treasury Bond Futures XX

ASX

3-Year Australian Treasury Bond Futures

YT

ASX

10-Year Australian Treasury Bond Futures XT

ASX

20-Year Australian Treasury Bond Futures XX

ASX

Futures Roll

Constructed from futures contracts, each excess and total return index includes provisions for the replacement of the Index Futures Contracts as it approaches maturity (also referred to as "rolling").

(1) For all the U.S. Treasury Futures and Ultra T-Bond contracts, this replacement occurs over a one-day rolling period every quarter, effective prior to open of trading one business day preceding the First Position Date as published by the CME Group. For more information pertaining to the product calendar, please refer to the CME Group web site at .

(2) For the Euro and Swiss Futures, the contract switch will occur over a one-day roll effective prior to open of trading three business days preceding the contract expiration date. For more inf ormation pertaining to the product calendar, please refer to the EUREX Web site at .

(3) For the Long Gilt Futures, the contract switch will occur over a one-day roll effective prior to open of trading three business days preceding the First Notice Day. For more information pertaining to the product calendar, please refer to the ICE web site at .

S&P Dow Jones Indices: S&P Global Bond Futures Index Series Methodology

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(4) For the 10-Year Canada Government Bond Futures, the contract switch will occur over a one-day roll ef fective prior to open of trading three business days preceding the First Notice Day. For more inf ormation pertaining to the product calendar, please refer to the Montreal Exchange web site at .

(5) For the JGB Futures, the roll date is effective prior to open of trading two business days preceding the last trading day of the futures contract. The last trading day for JGB futures is seven business days prior to the contract settlement day. Please refer to the JPX web site for their product calendar. .

(6) For the Australian Bond Futures, the roll date is effective prior to open of trading two business days preceding the last trading day of the futures contract. Please refer to the ASX web site for product and holiday calendar, .

For more information on the S&P Global Bond Futures Indices, please refer to our Web s ite at spdji/.

Market Disruptions during the Roll Period

For more information on Market Disruptions during the Roll Period, please refer to the Index Policy Section of the S&P DJI Commodities Policies & Practices Methodology.

Excess Return Index Calculation

The excess return of each of the indices is calculated from the price change of the underlying future's contract. For information on the calculation of the Excess Return index levels, please refer to the Price Weighted Indices section of the S&P Dow Jones Indices' Commodity Index Mathematics Methodology.

For the S&P/ASX Australian 3-Year, 10-Year and 20-Year Treasury Bond (Dollar Value) Futures Indices, the excess return is calculated using the Australian dollar value change rather than the price change. The Australian dollar value is calculated using the price of the underlying future's contract, following the local

Australian market convention in which performance is measured using the dollar value including interest.

Dollar Value Calculation

= ? [ (1-) + 100]

(1)

where:

DV = Dollar Value

FV = Face Value = 1000 for both 3-Year and 10-Year Treasury bond futures, and 500 for 20-Year Treasury bond futures

100 - = 200

where:

Price = Price of the underlying future's contract

1 = 1 +

=

2

where:

S&P Dow Jones Indices: S&P Global Bond Futures Index Series Methodology

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Coupon Rate = 6% f or both 3-Year and 10-Year Treasury bond futures, and 4% for 20-Year Treasury bond futures

n = Coupon frequency, or years ? 2 for payments on a semi-annual basis. For example, for 3-Year bond futures, n = 3 ? 2 = 6.

v, v n and (1 - ) are rounded to eight decimal places and the dollar value is rounded to two decimal

places.

Calculation of Index Total Return

The methodology calls for using an actual day count to calculate the interest rate of return instead of actual days. For information on the calculation of the Total Return index levels, please refer to the Other Derived Indices section focusing on Total Return Index Calculation Using Actual Day Counts of the S&P Dow Jones Indices' Commodity Index Mathematics Methodology.

The table below lists the total return indices and their corresponding risk-free rate.

Index S&P U.S. Treasury Bond Futures Index S&P 2-Year U.S. Treasury Note Futures Index S&P 5-Year U.S. Treasury Note Futures Index S&P 10-Year U.S. Treasury Note Futures Index S&P Ultra 10-Year U.S. Treasury Note Futures Index S&P Ultra T-Bond Futures Index S&P Euro-Schatz Futures Index S&P Euro-Bobl Futures Index S&P Euro-Bund Futures Index S&P Euro-Buxl Futures Index S&P Euro-OAT Futures Index

S&P Euro-BTP Futures Index S&P Swiss-CONF Futures Index S&P Long Gilt Futures Index Index S&P 10-Year Canada Government Bond Futures Index

S&P 10-Year JGB Futures Index S&P/ASX Australian 3-Year Treasury Bond Futures Index S&P/ASX Australian 10-Year Treasury Bond Futures Index S&P/ASX Australian 20-Year Treasury Bond Futures Index

S&P/ASX Australian 3-Year Treasury Bond (Dollar Value) Futures Index S&P/ASX Australian 10-Year Treasury Bond (Dollar Value) Futures Index S&P/ASX Australian 20-Year Treasury Bond (Dollar Value) Futures Index

Risk Free Rate 91-Day T-Bill Rate 91-Day T-Bill Rate 91-Day T-Bill Rate 91-Day T-Bill Rate

91-Day T-Bill Rate

91-Day T-Bill Rate 3-Month German Bubill Rate 3-Month German Bubill Rate 3-Month German Bubill Rate 3-Month German Bubill Rate 3-Month German Bubill Rate 3-Month German Bubill Rate Swiss 3-Month Benchmark Rate United Kingdom 3-Month Benchmark Rate

Canadian Dollar 3-Month Interest Rate Fixing

Generic 3-Month Japanese Govt Bill Rate Generic 3-Month Australian Bank Bill Rate

Generic 3-Month Australian Bank Bill Rate

Generic 3-Month Australian Bank Bill Rate

Generic 3-Month Australian Bank Bill Rate

Generic 3-Month Australian Bank Bill Rate

Generic 3-Month Australian Bank Bill Rate

Symbol TBR TBR TBR TBR

TBR

TBR GBR GBR GBR GBR GBR GBR SBR PBR

CBR

JBR

ABR

Day Count ACT/360 ACT/360 ACT/360 ACT/360

ACT/360

ACT/360 ACT/360 ACT/360 ACT/360 ACT/360 ACT/360 ACT/360 ACT/360 ACT/365

ACT/365

ACT/365

ACT/365

ABR

ACT/365

ABR

ACT/365

ABR

ACT/365

ABR

ACT/365

ABR

ACT/365

S&P Dow Jones Indices: S&P Global Bond Futures Index Series Methodology

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Index Maintenance

Rebalancing

Explicit in the calculation of futures-based indices is the rolling of futures contracts. Therefore, no separate announcements are made.

Currency of Calculation and Additional Index Return Series

In addition to the indices detailed in this methodology, additional return series versions of the indices may be available, including, but not limited to: currency, currency hedged, decrement, fair value, inverse, leveraged, and risk control versions. For a list of available indices, please refer to the S&P DJI Methodology & Regulatory Status Database.

For information on the calculation of other types of indices, please refer to the Other Derived Indices section of the S&P Dow Jones Indices' Commodity Index Mathematics Methodology.

For the inputs necessary to calculate certain types of indices, including decrement, dynamic hedged, fair value, and risk control indices, please refer to the Parameters documents available at spdji/.

S&P Dow Jones Indices: S&P Global Bond Futures Index Series Methodology

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