However, due to the Brent Future Contract Change, the Affected Future Contract will expire on the last business day of the second calendar month preceding the relevant Delivery Month which is before the scheduled roll period for the index.
The cost applied on a calculation day will be the cost observed on the immediately preceding index rebalancing date rather than the index calculation day. A full list of index identifiers and further information is available on request.
Where indices currently include such bonds, they will be removed at the next regular bond reselection rebalancing date. A full list of impacted index identifiers can be provided on request. DBIQ will provide notice of the transition as soon as a determination has been made which will be at least one business day prior to the rebalancing. For more information or to discuss alternative benchmarks, please contact your Deutsche Bank representative or the DBIQ team on index. Users should contact DBIQ directly for any further information on this restatement.
The consultation period will end on Aug The decision is a consequence of the announcement by the Bank Negara Malaysia that directed all non-resident banks and non-resident securities companies to cease to engage in any offshore foreign exchange derivatives involving MYR. The amended Index Description of this index can be obtained by requesting index. The review will focus on the existing sources compared to potential alternative sources and capture processes. The consultation period will end on Jun A full list of affected index identifiers is available on request.
Where available DBIQ will use the estimates from its data sources to be the amount applicable on the ex dividend date. Should an estimate not be available the amount which was paid on the previous year shall be used instead. DBGLSTBU hereby announces the following clarification and changes with respect to the methodology as documented in the index description.
Calculation Date should mean all weekdays. DBGLSNQU hereby announces the following clarification and changes with respect to the methodology as documented in the index description. DBGLSNMU hereby announces the following clarification and changes with respect to the methodology as documented in the index description.
DBGLSNVU hereby announces the following clarification and changes with respect to the methodology as documented in the index description. Other Selection Pool Assets remain unchanged. There are 5 versions of the index, each ticker expressing the return in different currencies. All versions will be retired. In absence of the call option price of the contract, we have made an expert judgment to determine the call option price of this contract from 1st February to 7th February by using the implied volatility derived from the corresponding put option of the same strike Reuters RIC: NGQ7 as this put option contract is being published on a daily basis.
There was an error detected in the Valuation of one of the 3 underlying Libor Swap rates and one of the 3 underlying Muni Swap rates, the error occurring on one of the three quarterly rebalance dates. Because of the error occurring on the rebalance dates, and the direction of the error being predominantly unilateral, the difference in the backtest is significant. Hence, a decision to restate the entire Backtest has been taken, versus the restatement Policy, as per which only the last 1 year's levels need to be changed.
An error in the market data process resulted in an incorrect update in index values for this period. This error has now been corrected and the index along with its dependents are republished. The Index description of such index stated the time zone as GMT earlier. The amended Index Description of such index will reflect BST as the time zone and can be obtained by requesting index.
In particular we would like the views on these rules;. The amount outstanding cut off is currently million for new issues and million for aged issues. Should these be increased and set to a common value? Do you have a view on the cut off? The rating criteria is based on the average rating. A bond that has one agency rating in default may not be excluded.
Should the rule be changed so if any agency rates as default it is excluded? The bond notionals are currently calculated on the rebalancing date. Should normalized bond notionals be calculated on the selection date which in turn determine the rebalancing notional? Users should contact DBIQ directly for any further information. Specifically the dates are as follows for these indices;. Due to the inclusion of additional holidays there has been an amendment to the number of Calculation Dates between the March Expiry and the March Expiry.
As such a correction will be made to the number of Back Units on the 6th July and the new Daily Unit Change from the 6th July will be corrected to account for the addition of these holidays, there will be no change to published historical levels.
As such the new Daily Unit Change from the 5th July will be amended to account for the addition of these holidays and there will be no change to published historical levels. This follows a period of consultation with impacted parties on how to handle a Disruption Event associated with the index.
Please refer to the earlier notice dated 25Feb for details on the disruption event. For more information or to discuss alternative benchmarks please contact your Deutsche Bank representative or the DB Index Quant team on index.
This error has now been corrected and the index values republished. DBIQ has determined not to restate the Index. An error in the market data process resulted in an incorrect update in index values on Mar for calculation dates Mar and Mar Investors in a product linked to the Index should contact the issuer of that product to discuss the consequences of the termination of the Index.
Historically the running cost has been calculated referencing the first rebalancing date from the rebalancing period. The index guide has also reflected this logic. From the March rebalancing the index guide and calculations will be aligned with the index description. The impact on the index level is below any DBIQ restatement policy levels and so no restatement will take place. For the following exchanges Euronext Paris, Amsterdam, Lisbon and Brussels 31st December was changed from a full day holiday to a half day.
This impacted a number of indices with constituent underlying that include stocks from one or more of the aforementioned exchanges. The indices were rerun and restated for 31st December and 1st January on the 6th January using the closing prices published by the exchange for the 31st December Annex 1 contains the list of indices which were impact. Should you have any further questions please contact index-help db. As a consequence, Deutsche Bank AG, London Branch in its capacity as Index Sponsor as defined in the index description of the Index has deemed it appropriate to proceed with the permanent cancellation of the Index to be permanently cancelled as at 19 December Further information can be obtained from index.
On 17th October Intercontinental Exchange, Inc. B with effect from the March contract month https: The Index Sponsor has therefore determined that, in order to ensure seamless continuity for the roll of the Exchange Instruments for the Index and the uninterrupted administration of the Index, Schedule 3 for all Component Sub-Indices for Brent Crude Oil will be changed by the Index Sponsor from and including the January roll.
The amended description of the Index containing the replacement Schedule 3 is available here. The description of all other indices administered by the Index Sponsor of which the Index is a component, will be available on the Index Sponsor's website at http: Capitalised terms used in this notice bear the meanings given to them in the description of the Index.
However, due to the Brent Future Contract Change, the Affected Future Contract will expire on the last business day of the second calendar month preceding the relevant Delivery Month which is before the scheduled roll period for the index. The Index Sponsor has therefore determined that, in order to ensure seamless continuity for the roll of the Exchange Traded Instruments for the Index and the uninterrupted administration of the Index, the Brent Crude Oil Sub-index will roll out of the Existing Exchange Instrument if the Delivery Month is within two 2 calendar months from the Verification Date.
This change will be effective from January Verification Date. Also, in order to maintain consistency the 14th calendar month contract will also be an Eligible Contract for Brent Crude Oil. The amended description of the Index is available here. Delay Notification - Due to systems issues at our primary data partner, DBIQ will experience significant delays in producing most indices today.
We will provide further notification as soon as our partners systems are restored and we can estimate the length of the delay. In light of the Ukraine sovereign bond exchange effective as of Nov, the 9 new Ukraine Sovereign notes maturing between and shall be the candidates in place of any old Ukraine Sovereign notes subject to the eligibility criteria for each relevant index.
The Index Rules governing the calculation, publication and maintenance of the Index prior to February 1, the Old Index Rules can be obtained free of charge from Deutsche Bank. The Index was calculated in accordance with the methodology set out in the Old Index Rules, on a retrospective basis, from the Commencement Date and, on a live basis, from the Live Date to, but excluding, February 1, This publication is not intended for private customers in the UK or any person in the US.
This publication is protected by copyright and may not be reproduced in whole or in part without permission. Close alert Thanks for following this author!
Close alert You've unfollowed this author. You won't receive any more email notifications from this author. What's on our minds - General credit market news Last week began with strong risk sentiment but renewed fears of a Brexit sent stocks into the red and credit indices wider towards the end of the week. Itraxx Europe and Xover widened 4bp and 10bp respectively. ETF portfolios versus active fund portfolios - who wins?
Distributing or Accumulating ETFs: How to handle investment income. YTD 0. Quotes and reference data provided by Xignite, Inc. Returns include dividend payments. There is no warranty for completeness, accuracy and correctness for the displayed information.
Track your ETF strategies online.