The CILI Index is a useful summary measure of the daily movement in the inflation-linked Bond space.
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FTSE/JSE Inflation-Linked Index
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The CILI Index is a useful summary measure of the daily movement in the inflation-linked Bond space.
Characteristic Description Name Composite Inflation-Linked Index Code 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 ending on the Cut Date. The Cut Date is the last trading day of the month, two months prior to the 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)
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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 monthIndex 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)
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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)
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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
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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
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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 to7 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
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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 7-12 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
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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 Index Code CILI1512 Short Name CILI 12+ Year Universe CILI Index Other Screening Term to maturity greater than 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