FLEMING ANDISA BOND INDEX (FABI)

Copyright © 2004 Fleming Asset Management Botswana
Managed by Fleming Advisors

Introduction

The Fleming Andisa Bond Index (FABI) is a market capitalization weighted total return bond index. The index has been compiled starting the 1st June 2003, in effect the inception date for the FABI. The index is comprised of a basket of corporate, government and quasi-government fixed rate bonds listed on the Botswana Stock Exchange. The methodology for inclusion is all fixed rate listed bonds and fixed rate government bonds with a tenor greater than twelve months.

Index components – underlying basket

Corporate component

The corporate bond component of the index is comprised of the Stanbic Bank Botswana (SBBL003) 10.50% due 1st June 2017, the Barclays Bank Botswana (BBB002) 10.50% due 26th May 2009, (BBB003) 11.10% due 6th October 2009, (BBB004) 11.25% due 28th September 2008, the Standard Chartered Bank (SCBB002) 10.30% due 20th December 2012, and the (SCBB003) 10.50% due 20th December 2020.

Quasi – government component

The quasi- government bond component of the index is comprised of the Botswana Telecommunications Corporation (BTC001) 13.75% due 30th November 2008, Botswana Development (BDC003) 11.00% due 1st June 2011, the Botswana Building Society (BBS002) 12.00% due 15th December 2016, the National Development Bank (NDB001) 11.25% due 1st August 2017 and the Debt Participation Capital Fund (DPCF) fixed rate bonds.

Government component

The government component is comprised of the BW003 10.25% due 31st October 2015.

Index calculation

The index is a market capitalization weighted total return index, in effect the following formulae is applied:

FABI Total Return Index Value= (W-BTC001 x TRP-BTC001) + (W-BDC003 x TRP-BDC003) + (W-BBS002 x TRP-BBS002) + (W NDB001 x TRP NDB001) + (W-BW003 x TRP-BW003) + (W-SBBL003 x TRP-SBBL003) + (W-SCBB002 x TRP-SCBB002) + (W-SCBB003 x TRP-SCBB003) + (W-BBB002 x TRP-BBB002) + (W-BBB003 x TRP-BBB003) + (W-BBB004 x TRP-BBB004) + (W-DPCF001 x TRP-DPCF001)+………+(W-DPCF007 x TRP-DPCF007) / divisor

Where:
TRP = Total Return Price = Clean price + Accrued interest since inception of index
Coupons paid out are reinvested back into the index
W = Weight = (All-in Price x Nominal in issue for each component) / (All-in Price x Nominal in issue of all the components)

Publication

Daily release

The publication includes the total return index value together with the modified duration, convexity, present value per basis point, yield to maturity and running yield for the index. The publication further includes the following constituent data; the all-in price, closing yield, coupon rate, maturity date, running yield, modified duration, duration, convexity, present value per basis point, issue size and constituent weight for each underlying index bond.

Weekly release

The publication includes performance statistics for the index since inception, a corporate bond valuation table for both index and non index bonds traded in the market and a summary of the index statistics for the week.

Historical data

A full history of daily index data and constituent bond data is available.

Reuters Pages

You can find the Index data on the following Reuters pages:

  • BWFABI01
  • BWFABI02
  • BWFABI03
  • BWFABI04
  • BWFABI05
  • BWFABI06

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