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  • Citi Flexible Allocation 6 Excess Return Index

    Index Methodology

    Citi Investment Strategies

    2 February 2016

  • Citi Investment Strategies Citi Flexible Allocation 6 Excess Return Index

    Index Methodology

    1

    Table of Contents

    Part A: Introduction 2

    Part B: Key Information 4

    Part C: Calculation of the Index Level 7

    Part D: Data 28

    Part E: Specific Risks 34

    Part F: Index Specific Disclaimers 41

    Index General Conditions

    Section A: Introduction 2

    Section B: Valuations and Adjustments 5

    Section C: General Risks 9

    Section D: Definitions 16

    Section E: Miscellaneous 20

    Section F: Constituent Schedules 24

  • Citi Investment Strategies Citi Flexible Allocation 6 Excess Return Index

    Index Methodology

    2

    Part A: Introduction

  • Citi Investment Strategies Citi Flexible Allocation 6 Excess Return Index

    Index Methodology

    3

    Introduction

    This document constitutes the "Index Methodology" in respect of the Index (as defined below) and is made available by Citigroup Global Markets Limited in its capacity as the Index Sponsor. This Index Methodology dated 2 February 2016 and the Index General Conditions dated 26 October 2015 (as amended from time to time, the "Index General Conditions") together comprise the Index Conditions applicable to the Index and must be read together. In the case of any inconsistency between this Index Methodology and the Index General Conditions, this Index Methodology shall prevail in respect of the Index. Full information in respect of the Index is only available on the basis of the combination of this Index Methodology and the Index General Conditions. Full information in respect of any Index Linked Product is only available on the basis of the combination of this Index Methodology and the Index General Conditions and the confirmation, prospectus or offering document (however described) in respect of such Index Linked Product. This Index Methodology may be amended in the circumstances described in Section E (Miscellaneous), and will be available from the Index Sponsor. See Section E (Miscellaneous) of the Index General Conditions for a description of the circumstances in which a change to this Index Methodology may be required. Terms used in this Index Methodology but not defined in this Index Methodology shall have the meanings given to them in the Index General Conditions.

  • Citi Investment Strategies Citi Flexible Allocation 6 Excess Return Index

    Index Methodology

    4

    Part B: Key Information

  • Citi Investment Strategies Citi Flexible Allocation 6 Excess Return Index

    Index Methodology

    5

    Key Information

    Index: Citi Flexible Allocation 6 Excess Return Index (the "Index"). The Index is a notional rules-based proprietary index developed by the Index Sponsor.

    Summary of strategy: The Index is a volatility-targeted index that tracks the excess return (i.e., the return above a cash rate) of the performance of a Core Index representing a notional long position in either: (a) a Core Asset composed of a notional basket of four distinct

    asses classes: equities, commodities, US real estate and fixed income; or

    (b) a Reserve Asset, composed of commodities and fixed income

    assets, in each case, as further described in Part D (Data) below, depending on the monthly observation of output of an algorithmic indicator or "signal". The signal is based on a Trend Indicator in respect of the Core Asset which aims to model the recent directional performance of the Core Asset over a specified Trend Look Back Period of up to 120 Index Business Days and a backward-looking indicator of macro-economic sentiment or risk, being the Citi Risk Aversion Indicator Index (the "Citi RAI Index"). Asset selection and Index rebalancing (whereby the weights of the relevant constituents forming part of the Index are reset to their fixed weights, as specified in Part D (Data) below) takes place on a monthly basis (subject to the occurrence of an Additional Rebalancing Date) and, in certain circumstances described below, the relative exposure of the Index to the Core Index, representing the Core Asset or the Reserve Asset (as the case may be) may be adjusted on a daily basis. All assets in the basket are together the "Eligible Constituents" of the Index and the assets selected to form part of the Index are together the "Constituents" of the Index, each as defined in Section D (Definitions) of the Index General Conditions. The performance of the Constituents is reflected in the Core Index. The exposure of the Index to the Core Index is adjusted, potentially on a daily basis, so that the annualised volatility of the Index is maintained as close as practicable to a target level of 6%, as determined with reference to the recent volatility of the Core Index. The exposure of the Index to the Core Index is designed not to exceed 100%.

    Index Sponsor: Citigroup Global Markets Limited

    Index Calculation Agent: S&P Dow Jones Indices LLC and/or its subsidiaries (as applicable)

    Index Base Currency: US dollars ("USD")

    Index Launch Date: 18 July 2014

    Index Start Date: 31 March 1997

    Index Start Level: 100

  • Citi Investment Strategies Citi Flexible Allocation 6 Excess Return Index

    Index Methodology

    6

    Core Index Start Date: 6 February 1997

    Core Index Start Level: 100

    Core Asset Start Date: 5 January 1996

    Core Asset Start Level: 100

    Reserve Asset Start Date: 5 January 1996

    Reserve Asset Start Level: 100

    Index Fee: Not Applicable. However, note the overall notional index cost associated with change in exposure to the Core Index, the notional core index cost associated with a change in exposure to the Core Asset or the Reserve Asset as a result of a change in signal, and the notional transaction and replication costs associated with the individual constituents weights and levels, as described in paragraphs 2.6 (Index Cost), 2.7 (Core Cost), 2.8 (Transaction Costs) 2.9 (Weight) and 2.5 (Index Constituent Levels), respectively, of Part C (Calculation of the Index Level)

    Frequency of calculation of the Index Level:

    Daily, as of each Index Business Day

    Frequency of rebalancing: Monthly, as of each Rebalancing Date

    Index Electronic Page: Bloomberg page: CIISFM6E

    The Index was launched by the Index Sponsor as of the Index Launch Date and has been calculated by the Index Calculation Agent for the period from the Index Start Date. Any back-testing or similar performance analysis undertaken by any person in respect of the Index for any reason must be considered illustrative only and may be based on assumptions or estimates not used by the Index Calculation Agent when determining the Index Level. The Citi RAI Index is a proprietary index of the Index Sponsor which tracks the performance of specified indicators to serve as a proxy for estimating the level of general market risk aversion. Such indicators include emerging market sovereign spreads, US credit spreads, the cost of credit protection against corporate default and implied foreign exchange, equity and swap rate volatilities. Further information relating to the Citi RAI Index is available free of charge upon request to Citigroup Global Markets Limited.

  • Citi Investment Strategies Citi Flexible Allocation 6 Excess Return Index

    Index Methodology

    7

    Part C: Calculation of the Index Level

  • Citi Investment Strategies Citi Flexible Allocation 6 Excess Return Index

    Index Methodology

    8

    Calculation of the Index Level

    1. INTRODUCTION The Index Sponsor is Citigroup Global Markets Limited. As at the date of this Index Methodology, the Index Sponsor has appointed S&P Dow Jones Indices LLC and/or its subsidiaries (as applicable) as Index Calculation Agent to calculate and publish the Index in accordance with the Index Conditions. The Index Sponsor may, in its sole discretion and without notice, appoint an alternative Index Calculation Agent at any time which may be one of its Affiliates. The Index Calculation Agent's calculations of the Index Level shall be final in the absence of manifest error. Please refer to Section E (Miscellaneous) of the Index General Conditions for further information. The Index Level is calculated by the Index Calculation Agent as of the Index Valuation Time on each Index Business Day (each as defined in Table 7 (Defined Terms) of Part D (Data) below). The Index Level for each Index Business Day is published on the Index Electronic Page, generally on the following Index Business Day. This should be considered the official source for the Index Level and a level obtained from any other source (electronic or otherwise) must be considered unofficial. The Index Level is the closing level of the Index for the relevant Index Business Day. The Index Calculation Agent may also, but is not obliged to, calculate the level of the Index in respect of any other valuation time on any Index Business Day or any other day with the consent of the Index Sponsor. All of the calculations and determinations described in this Part C are the responsibility of the Index Calculation Agent. The calculations and determinations in this Part C are subject to the occurrence of, and adjustments made as a consequence of, Additional Adjustment Events as set out below in this Part C, Disrupted Days and Adjustment Events (as described in Section B (Valuations and Adjustments) and Section F (Constituent Schedule) of the Index General Conditions). 2. DAILY INDEX CALCULATION

    2.1 Index Level The "Index Level" as

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