What are the SIFMA ARS Indices Criteria?
The Securities Industry and Financial Markets Association established the following criteria for SIFMA ARS Indices Calculations
- All programs reset on Tuesday, effective Wednesday and Wednesday, effective Thursday, reported on Wednesday. Should a market holiday fall on one of the days, the calculation and reporting will be moved up to the previous day in which the markets are open, for example, if a holiday is on a Tuesday, Monday resets will be used.
- Both competitive and exclusive ARS issues are included.
- The ARS issue must be “AAA” rated by at least one of the three leading rating agencies, S&P, Moody’s or Fitch, on either an insured or uninsured basis. “AAA” insured programs included in the indices must carry underlying ratings of investment grade or better.
- The minimum tranche size is $25 million in order to be included in an Index.
- Issues outside of (+ or -) one standard deviation are excluded from the Index calculation for that period’s calculation. The final index rate calculation is then made once those issues outside of one standard deviation are removed.
- New deals that meet the eligibility criteria will be added to the Index and programs that fall outside of the criteria and issues that are retired will be removed from the Index. That determination will be made on a weekly basis.
- Issues with capital gains are excluded to the extent that MMD is able to remove capital gains from the calculation.
- The index calculation only includes public issues and excludes private deals including 144A, Qualified Institutional Buyers, Institutional Accredited Investors and Qualified Purchasers.
- The index calculation shall only include those issues which have interest payment dates every 7, 28, or 35 days, and will exclude semi-annual payment issues.
- The index calculation may “gross up” the base yield calculations based on 360/365 day year conventions.
- The index calculation will be based on the issue/security’s dollar value at auction reset (dollar weighted index).