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3.6.2 Index Maintenance

Rebalancing

The indices are reviewed and rebalanced on a quarterly basis. The Index Committee reserves the right to make adjustments to an index at any time that it believes appropriate.

Additions, deletions and other changes to the index arising from the rebalancing are made provided the security’s reference information and pricing are available on the rebalancing reference date. Changes to the index are published on the announcement date and become effective on the rebalancing date.

Rebalancing Schedule

Rebalancing Frequency

Quarterly

Rebalancing Date

Last day of the quarter (T)

Announcement Date

T+10

Reference Date

T

Day counts represent business days.

Ongoing Maintenance. The indices are also reviewed on an ongoing basis to account for the following:

  • Credit events: if security included in the index defaults, the price reported by the model is used. However, the Index Committee may determine that the security in question be included in the index at a different price and may determine the weight or a price of zero.

  • Data availability: if underlying data for security included in the index is no longer reported, the latest available data is used in the valuation models. Securities included in the index for which data is no longer available or has not been reported for more than 6 quarters are removed at the next rebalancing date.

Currency of calculation

All indices in the UK Inflation-linked Infrastructure Debt Index are computed in local currency or GBP.

These indices are also available in other reporting currencies as mentioned in Index Dissemination. Foreign exchange rates are taken from Datastream at the end of each quarter and averaged over the quarter.

Base Dates and History

Index

Launch Date

First Value Date

Base Date

Base Value

EDHECinfra UK RPI-Linked Debt Index

2020-03-31

2005-03-31

2005-03-31

1000

EDHECinfra UK RPI-Linked Network Utilities Debt Index

2020-03-31

2005-03-31

2005-03-31

1000

 

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