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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

FTSE/JSE Inflation-Linked Index (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
FTSE/JSE Inflation-Linked Government Index (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.
​Index Code
​CILI15G
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
FTSE/JSE State Owned Enterprises Index (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 Bonds
​Index Code
​CILI15S
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
FTSE/JSE Inflation-Linked State-Owned Index (ICOR)
The ICOR is a sub-index of the CILI Index that comprises Bonds that are issued by corporates.
Characteristic Description
Name Corporate Issued Bonds
​Index Code
​CILI15C
Short Name ICOR
Universe CILI Index
Other Screening Bonds issued by corporates
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
FTSE/JSE Inflation-Linked 1-3 Years Index
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.
​Index Code
​CILI151
Short Name CILI 1-3 Year
Universe CILI Index
Other Screening Term to maturity greater than 1 year or less than or equal to 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
FTSE/JSE Inflation-Linked 3 - 7 Years Index
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
​Index Code
​CILI153
Short Name CILI 3-7 Year
Universe CILI Index
Other Screening Term to maturity greater than 3 years or less than or equal to 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
FTSE/JSE Inflation-Linked 7 - 12 Years Index
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
​Index Code
​CILI157
Short Name CILI 7 to 12 Year
Universe CILI Index
Other Screening Term to maturity greater than 7  years or less than or equal to 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
FTSE/JSE Inflation-Linked 12+ Years Index
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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