Composite Inflation-Linked Indices

The Inflation-Linked Indices track the general levels of Bonds whose returns are linked to the Consumer Price Index (CPI), published monthly by Statistics South Africa. The CPI figure used is the Headline CPI for all urban areas as this is the figure on which most inflation-linked Bonds are adjusted and this is the figure used for the South African Reserve Bank’s inflation targeting.

Index Details

Composite Inflation-Linked (CILI)
The CILI Index is a useful summary measure of the daily movement in the inflation-linked Bond space.
Characteristic Description
Name Composite Inflation-Linked.
Short Name CILI.
Universe Conventional CPI instruments which have a fixed (even if zero) semi-annual coupon inflated by the four month lagged Headline CPI for all urban areas. Have a remaining term greater than 1 year over the entire quarterly period for which the selection is being made.
Fixed No. of Bonds 15.
Averaging Period Twelve month period preceding the selection date (selection process is performed early in the month prior to reconstitution or reweighting month).
Ranking Dual ranking by average liquidity (clean consideration turnover) and average market capitalisation over the Averaging Period.
Weighting Methodology According to nominal amounts in issue as on the last day of the Averaging Period.
Index Reconstitution End of every quarter in Feb, May, Aug, Nov.
Effective 12 noon on the first Thursday of reconstitution month.
Index Reweighting Jan, Mar, Apr, Jun, Jul, Sep, Oct, Dec.
Effective the Friday following the first Thursday of reweighting month.
Dissemination End of Day.
Base Date 2007/02/01.
Government Issued Bonds (IGOV)
The IGOV is a sub-index of the CILI Index that comprises Bonds that are issued by the Republic of South Africa.
Characteristic Description
Name Government Issued Bonds.
Short Name IGOV.
Universe CILI Index.
Other Screening RSA issued bonds.
Fixed No. of Bonds N/A
Ranking Dual ranking by average liquidity (clean consideration turnover) and average market capitalisation over the Averaging Period.
Weighting Methodology According to nominal amounts in issue as on the last day of the Averaging Period.
Index Reconstitution End of every quarter in Feb, May, Aug, Nov.
Effective 12 noon on the first Thursday of reconstitution month.
Index Reweighting Jan, Mar, Apr, Jun, Jul, Sep, Oct, Dec.
Effective the Friday following the first Thursday of reweighting month.
Dissemination End of Day.
Base Date 2010/02/05.
State Owned Enterprises Issued (ISOE)
The ISOE is a sub-index of the CILI Index that comprises Bonds that have a government guarantee.
Characteristic Description
Name State Owned Enterprises Issued.
Short Name ISOE.
Universe CILI Index.
Other Screening Bonds with a government guarantee.
Fixed No. of Bonds N/A
Ranking Dual ranking by average liquidity (clean consideration turnover) and average market capitalisation over the Averaging Period.
Weighting Methodology According to nominal amounts in issue as on the last day of the Averaging Period.
Index Reconstitution End of every quarter in Feb, May, Aug, Nov.
Effective 12 noon on the first Thursday of reconstitution month.
Index Reweighting Jan, Mar, Apr, Jun, Jul, Sep, Oct, Dec.
Effective the Friday following the first Thursday of reweighting month.
Dissemination End of Day.
Base Date 2010/02/01.
Corporate Issued (ICORP)
The ICORP is a sub-index of the CILI Index that comprises all remaining Bonds that do not form part of the IGOV and ISOE Indices.
Characteristic Description
Name Corporate Issued.
Short Name ICORP.
Universe CILI Index.
Other Screening Exclude IGOV and ISOE constituents.
Fixed No. of Bonds N/A
Ranking Dual ranking by average liquidity (clean consideration turnover) and average market capitalisation over the Averaging Period.
Weighting Methodology According to nominal amounts in issue as on the last day of the Averaging Period.
Index Reconstitution End of every quarter in Feb, May, Aug, Nov.
Effective 12 noon on the first Thursday of reconstitution month.
Index Reweighting Jan, Mar, Apr, Jun, Jul, Sep, Oct, Dec.
Effective the Friday following the first Thursday of reweighting month.
Dissemination End of Day.
Base Date 2010/02/01.
CILI 1 to 3 Year Term Split
The CILI 1-3 Year is a sub-index of the CILI Index based on a term to maturity of 1-3 years. This sub-index allows for analysis of the inflation-linked Bond Market by term and by liquidity.
Characteristic Description
Name CILI 1 to 3 Year Term Split.
Short Name CILI 1-3 Year.
Universe CILI Index.
Other Screening Term to maturity between 1-3 years.
Fixed No. of Bonds N/A
Ranking Dual ranking by average liquidity (clean consideration turnover) and average market capitalisation over the Averaging Period.
Weighting Methodology According to nominal amounts in issue as on the last day of the Averaging Period.
Index Reconstitution End of every quarter in Feb, May, Aug, Nov.
Effective 12 noon on the first Thursday of reconstitution month.
Index Reweighting Jan, Mar, Apr, Jun, Jul, Sep, Oct, Dec.
Effective the Friday following the first Thursday of reweighting month.
Dissemination End of Day.
Base Date 2010/02/01.
CILI 3 to 7 Year Term Split
The CILI 3-7 Year is a sub-index of the CILI Index based on a term to maturity of 3-7 years. This sub-index allows for analysis of the inflation-linked bond market by term and by liquidity.
Characteristic Description
Name CILI 3 to 7 Year Term Split.
Short Name CILI 3-7 Year.
Universe CILI Index.
Other Screening Term to maturity between 3-7 years.
Fixed No. of Bonds N/A
Ranking Dual ranking by average liquidity (clean consideration turnover) and average market capitalisation over the Averaging Period.
Weighting Methodology According to nominal amounts in issue as on the last day of the Averaging Period.
Index Reconstitution End of every quarter in Feb, May, Aug, Nov.
Effective 12 noon on the first Thursday of reconstitution month.
Index Reweighting Jan, Mar, Apr, Jun, Jul, Sep, Oct, Dec.
Effective the Friday following the first Thursday of reweighting month.
Dissemination End of Day.
Base Date 2010/02/01.
CILI 7 to 12 Year Term Split
The CILI 7-12 Year is a sub-index of the CILI Index based on a term to maturity of 7-12 years. This sub-index allows for analysis of the inflation-linked Bond Market by term and by liquidity.
Characteristic Description
Name CILI 7 to 12 Year Term Split.
Short Name CILI 7-12 Year.
Universe CILI Index.
Other Screening Term to maturity between 7-12 years.
Fixed No. of Bonds N/A
Ranking Dual ranking by average liquidity (clean consideration turnover) and average market capitalisation over the Averaging Period.
Weighting Methodology According to nominal amounts in issue as on the last day of the Averaging Period.
Index Reconstitution End of every quarter in Feb, May, Aug, Nov.
Effective 12 noon on the first Thursday of reconstitution month.
Index Reweighting Jan, Mar, Apr, Jun, Jul, Sep, Oct, Dec.
Effective the Friday following the first Thursday of reweighting month.
Dissemination End of Day.
Base Date 2010/02/01.
CILI 12 Year and Over Term Split
The CILI 12+ Year is a sub-index of the CILI Index based on a term to maturity of 12 years an over. This sub-index allows for analysis of the inflation-linked Bond Market by term and by liquidity.
Characteristic Description
Name CILI 12 Year and Over Term Split.
Short Name CILI 12+ Year.
Universe CILI Index.
Other Screening Term to maturity 12 years and over.
Fixed No. of Bonds N/A
Ranking Dual ranking by average liquidity (clean consideration turnover) and average market capitalisation over the Averaging Period.
Weighting Methodology According to nominal amounts in issue as on the last day of the Averaging Period.
Index Reconstitution End of every quarter in Feb, May, Aug, Nov.
Effective 12 noon on the first Thursday of reconstitution month.
Index Reweighting Jan, Mar, Apr, Jun, Jul, Sep, Oct, Dec.
Effective the Friday following the first Thursday of reweighting month.
Dissemination End of Day.
Base Date 2010/02/01.

 

 

 

 

 

 

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