The Securities Industry and Financial Markets Association Auction Rate Securities Indices
Why were The Securities Industry and Financial Markets Association Auction Rate Securities Indices Created?
The Securities Industry and Financial Markets Association (the “Association”) created The Securities Industry and Financial Markets Association Auction Rate Securities Indices (“SIFMA ARS Indices” or “Indices”) in order to make available a series of market accepted indices for Auction Rate Securities (“ARS”) for both debt and preferred securities.
The SIFMA ARS Indices were developed based on recognition by market participants that the unique nature and characteristics of the auction rate market requires distinct benchmarks. It is intended that the SIFMA ARS Indices will serve as a benchmark for the auction rate market for issuers, investors and swap providers. The SIFMA ARS indices are similar in concept and approach to the current weekly SIFMA Swap Index for tax-exempt Variable Rate Demand Notes.
What is the Source of the Data Used in the SIFMA ARS Indices Calculations?
The SIFMA ARS Indices are based on data from actual ARS issues provided by broker dealers and auction agents. The number of issues used to calculate the Indices may vary from week to week as new issues come to market, as issues are called, converted or mature, and whether the ARS issues continue to meet the Indices Criteria.
We intend that the calculation of the index value for each Index will include the greatest possible number of auctions that meet the Index Criteria. In the event that changes in an existing program or the introduction of a new program are not reported to the index agent in a timely manner, the calculation of the applicable index value will not capture all eligible auctions.
Who is Responsible for Developing and Maintaining the SIFMA ARS Indices?
The SIFMA ARS Indices are constructed and maintained through a partnership between The Securities Industry and Financial Markets Association and Thomson Municipal Market Data, or MMD, a division of Thomson Financial. In its role, MMD works with auction agents and broker dealers to collect the relevant data, maintain the data, and make the index calculations. A subcommittee of the Association’s Auction Rate Securities Task Force designed the criteria and, from time to time, reviews the criteria to ensure marketplace currency and relevance.
It is expected that the SIFMA ARS Indices will continue to be available for years to come based on the commitment of both the Association and MMD to this market. Since its inception in 1981, MMD has built its reputation as demonstrated by its development of strategic and analytical tools for institutional investors, broker dealers and issuers, including its weekly production of the SIFMA Swap Index. The Securities Industry and Financial Markets Association represents the shared interests of more than 650 securities firms, banks and assets managers locally and globally through offices in New York, Washington D.C., and London. Its associated firm, the Asia Securities Industry and Financial Markets Association, is based in Hong Kong.
What is the Report Format for the SIFMA ARS Indices Dissemination?
The data elements comprising each index will be fully transparent and available to market participants. The format of the weekly SIFMA ARS Indices report includes disclosure of information and assumptions underlying the calculations, as well as the actual SIFMA ARS Indices values. The weekly index report would include the index criteria, the index methodology, the final index value, the high and low rates within the standard deviation, one standard deviation, the number of qualifying securities and the total par amount of securities represented by the index. You will find the same information for historical or previous periods since the inception of index series. Previous or historical date reports may be found by clicking on 'Select an Index Date' and choosing the desired date. You may also find the entire history of reported information for a specific index by clicking on 'Index Name'.
Which ARS Indices are Calculated and Reported?
The following indices are maintained and reported, distinguishing between taxable and tax-exempt (non-AMT):
Tax-Exempt Indices
- Auction Rate Debt issues (all eligible securities) – 7 day index (“SIFMA Auction Rate 7-Day Index”)
- Auction Rate Debt issues (all eligible securities) - 28-35 day (one month) index (“SIFMA Auction Rate One Month Index”).
- Auction Rate Debt in which the issuer is domiciled in any of the following states: New York, California, New Jersey and Massachusetts - 7-Day Specialty State Index (“SIFMA Auction Rate 7-Day Specialty State Index”).
- Auction Rate Preferred issues (all eligible securities) 7-day index (“SIFMA Auction Rate Preferred 7-Day Index”)
- Auction Rate Preferred issues (all eligible securities) 28-35 day (one month) index (“SIFMA Auction Rate Preferred One Month Index”).
- Auction Rate Preferred Stock in which the issuer is domiciled in any of the following states: New York, California, New Jersey and Massachusetts - 7-Day Specialty State Index (“SIFMA Auction Rate Preferred 7-Day Specialty State Index”).
Taxable Indices
- Auction Rate Debt issues (all eligible securities) – 28 – 35 day (one month) index (“SIFMA Auction Rate One Month Taxable Index”).
- Auction Rate Preferred issues (all eligible securities) – 7 day index (“SIFMA Auction Rate Preferred 7-Day Taxable Index”).
Over time, the Association may add or remove one or more Indices from the program.