News

PIMCO Granted U.S. Patent for Global Advantage Bond Index Methodology
Intellectual property protection underscores PIMCO’s focus on delivering innovative solutions to help investors navigate a New Normal investment landscape

NEWPORT BEACH, CALIFORNIA (December 4, 2012) – PIMCO, a leading global investment management firm, has been granted a patent by the U.S. Patent and Trademark Office for the methodology behind the firm's Global Advantage Bond Index (GLADI).

GLADI is an innovative fixed income benchmark designed to better capture investment opportunities in a New Normal investment landscape. It is also an example of PIMCO's focus on delivering responsive global solutions to help investors meet their return and risk management goals.

U.S. Patent Number 8,306,892 was awarded to PIMCO founder and Co-Chief Investment Officer Bill Gross and Ramin Toloui, the firm’s Global Co-Head of Emerging Markets Portfolio Management, as inventors of GLADI’s unique index construction methodology. The methodology is designed to capture the ongoing transformations in global bond markets – in particular the shifting economic weight from developed countries to emerging markets – by assigning more appropriate portfolio weights rather than using a backward-looking, market-capitalization weighting common to most global bond indexes.

The GDP weighting approach is intended to help investors to gain a first-mover advantage by positioning portfolios in markets that are underrepresented in traditional indexes. GDP weighting also helps investors avoid the biases embedded in market capitalization-weighted indexes that concentrate large weights in the most highly indebted countries. In addition, GLADI makes fuller use of the global fixed income opportunity set, incorporating both nominal and inflation-linked securities.

“PIMCO’s goal in designing a new bond index was to provide investors with a superior compass to guide their portfolios in a New Normal environment where economic and financial power is shifting from developed to emerging markets,” said Mr. Toloui. “Ultimately, we think the Global Advantage Bond Index enhances investors’ ability to target improved risk-adjusted returns, and we are gratified that our work has been recognized with a U.S. patent.”

GLOBAL ADVANTAGE and GLADI are trademarks of Pacific Investment Management Company LLC.

About PIMCO
PIMCO is a leading global investment management firm, with offices in 11 countries throughout North America, Europe and Asia. Founded in 1971, PIMCO offers a wide range of innovative solutions to help millions of investors worldwide meet their needs. Our goal is to provide attractive returns while maintaining a strong culture of risk management and long-term discipline. PIMCO is owned by Allianz S.E., a leading global diversified financial services provider.

The PIMCO Global Advantage Bond Index (GLADI) is a diversified global index that covers a wide spectrum of global fixed income opportunities and sectors, from developed to emerging markets, nominal to real assets, and cash to derivative instruments. Unlike traditional indices, which are frequently comprised of bonds weighted according to their market capitalization, GLADI uses GDP-weighting which puts an emphasis on faster-growing areas of the world and thus makes the index forward-looking in nature. It is not possible to invest directly in an unmanaged index.

As of October 31st, 2012 BofA Merrill Lynch (BofAML) Global Research will become the official calculation agent for the PIMCO Global Advantage Bond Index (GLADI). This transition will impact all indices related to the GLADI family, as well as custom indices based on GLADI (e.g., GLADI 80% Developed/20% Emerging). BofAML Global Research is currently the calculation agent for PIMCO GLADI Government Bond Index and PIMCO GLADI Inflation-Linked Bond Index. Upon the GLADI transition on October 31st, 2012, Markit will no longer provide calculation agent responsibilities for the PIMCO GLADI Bond Index suite. BofAML Global Research will be the official calculation agent for the entire PIMCO GLADI Bond Index suite.

Historical and current data for GLADI indices will be publically available on mlindex.ml.com – the BofAML Global Research index website. All relevant GLADI index profiles, constituent files and average analytics files will remain publically available on pimcoindex.com. Indices currently available on Bloomberg will continue to be made available with no changes to their associated tickers.

Directions to access GLADI data on the BofA Merrill Lynch sites: Upon entry onto the BofAML Global Research website registration is required and use of the website is subject to the terms and conditions provided therein. There is no charge for registration. Once logged into the site, options include searching for the index manually through the BofAML Global Research Index website or skipping directly to the relevant index by utilizing the list of BofAML Global Research tickers and indices shown below in the Index/IND ticker reference table. In addition, BofAML Global Research will also provide access to GLADI information via the IND pages on Bloomberg for customers currently subscribed to this service. The tickers listed below should be used to access the indices on either www.mlindex.ml.com  or the IND pages.

If you have questions or concerns about this transition, please contact PimcoIndexML@pimco.com.

Index/IND Ticker Reference Table:

BofA Merrill Lynch Global Research has performed the annual review of index weights for the PIMCO Emerging Market Advantage Local Bond Index. The new target weights are determined on the basis of the updated GDP data and will become effective on 31 October 2012. The updated regional weights and country inclusions/exclusions have been discussed with the Oversight Committee of the PIMCO Emerging Market Advantage Local Bond Index.

Regional weights are constructed as the equally-weighted average of the last five years global share of the GDP.

The weights of all sub-indices are available in the attached file.

BofA Merrill Lynch Global Research has performed the annual review of index weights for the PIMCO Global Advantage Inflation-Linked Bond Index. The new target weights are determined on the basis of the updated GDP data and will become effective on 31 October 2012. The updated regional weights and country inclusions/exclusions have been discussed with the Oversight Committee of the PIMCO Global Advantage Inflation-Linked Bond Index.

Regional weights are constructed as the equally-weighted average of the last five years global share of the GDP

The weights of all sub-indices are available in the attached file.

BofA Merrill Lynch Global Research has performed the annual review of index weights for the PIMCO Global Advantage Government Bond Index. The new target weights are determined on the basis of the updated GDP data and will become effective on 31 October 2012. The updated regional weights and country inclusions/exclusions have been discussed with the Oversight Committee of the PIMCO Global Advantage Government Bond Index.

Regional weights are constructed as the equally-weighted average of the last five years global share of the GDP

The weights of all sub-indices are available in the attached file.

As of October 31, 2012 BofA Merrill Lynch will become the official calculation agent for the PIMCO Global Advantage Bond Index (GLADI) – more details to follow. In preparation to take over this responsibility, BofA Merrill Lynch Global Research has performed the annual review of index weights for the PIMCO GLADI. The new target weights are determined on the basis of the updated GDP data and will become effective on 31 October 2012. The updated regional weights and country inclusions/weights have been discussed with the Oversight Committee of the PIMCO Global Advantage Bond Index.

Regional weights are constructed as the equally-weighted average of the last five years global share of the GDP

The weights of all sub-indices are available in the attached file.

Please note that the PIMCO Global Advantage Bond Index was restated for 5th October 2012.The reason for the restatement was a restatement of INR currency rates from a third party provider. The following files were reposted to FTP:

• pgladi_us_eod_indices_20121005.csv
• pgladi_eu_eod_indices_20121005.csv
• pgladi_us_eod_underlyings_20121005.csv
• pgladi_eu_eod_underlyings_20121005.csv
  

The following indices were affected:

• PIMCO Global Advantage Bond Index
• PIMCO GLADI Emerging Markets Bond Index
• PIMCO GLADI Emerging Markets Currencies
• PIMCO GLADI India Local Currency
  

Please contact iboxx@markit.com if you have further questions.

The US forward file for the PIMCO Global Advantage Bond Index for August 30th was incorrectly published in the month end components folder. The correct US month end components file with prices and analytics as of August 31st is now posted on the FTP server. There is no impact to the EU components file, other index files or the index values as published. The correct values were used for all September calculations.

If you have any questions regarding this announcement please contact pimcoindex@pimco.com.

As of July 31st, 2012 BofA Merrill Lynch Global Research will become the official calculation agent for the PIMCO Global Advantage Inflation-Linked Bond Index (GLADI ILB). This transition will impact all indices related to the Global Advantage Inflation-Linked Bond Index family, as well as custom indices based on GLADI ILB including the Global Advantage Inflation-Linked 1-15 Year Bond Index. BofA Merrill Lynch Global Research is the calculation agent for PIMCO GLADI Government. The Global Advantage Bond Index Family (GLADI) will currently continue to be calculated by Markit.

Both historical and current data for GLADI ILB will be made publicly available on the BofAML Global Research index website (www.mlindex.ml.com). Upon entry onto the BofAML Global Research website registration is required and use of the website is subject to the terms and conditions provided therein. There is no charge for registration. Once logged into the site, options include searching for the index manually through the BofAML Global Research Index website or skipping directly to the relevant index by utilizing the list of BofAML Global Research tickers and indices shown below in the Index/IND ticker reference table. Index profiles, monthly average analytic files and index constituent files will remain on pimcoindex.com. Indices currently available on Bloomberg will continue to be made available with no changes to their associated tickers. In addition, BofAML Global Research will also provide access to GLADI ILB information via the IND pages on Bloomberg for customers currently subscribed to this service. The tickers listed below should be used to access the indices on either www.mlindex.ml.com or the IND pages.

If you have questions or concerns about this transition, please contact PimcoIndexML@pimco.com.

Index/IND Ticker Reference Table:

Four new MBS TBA issues will enter the PIMCO GLADI index during the 31 July 2012 rebalancing process. The securities meet all eligibility criteria for the index, but the necessary information to add these issues to the index is not made available by the external data provider until after the close of business on 1 August 2012. Because of the delay in the availability of information from the external data provider, these bonds will not be present in the final membership (e.g. preview) files published on Monday, 30 July 2012 and Tuesday, 31 July 2012. They will only be present after rebalancing.

The four new issues to be added are:

• FGLM 3.5 30Y
• FNCL 3.5 30Y
• GNJO 3.5 15Y
• GNSF 3.5 30Y
  

In addition, there is an anticipated delay in publication of the following files:

• The month-end components files (pgladi_eu_eom_components_201208.csv and pgladi_us_eom_components_201208.csv),
• The indices files (pgladi_us_eod_indices_20120801.csv and pgladi_eu_eod_indices_20120801.csv), and
• The underlyings files (pgladi_us_eod_underlyings_20120726.csv and pgladi_eu_eod_underlyings_20120726.csv).
  

These files will be published as early as possible on 2 August 2012. The publication of the indices and underlyings files from 2 August 2012 onwards will proceed according to the normal schedule.

Please contact iboxx@markit.com if you have any questions.

The USD/INR NDF data used in the indices on May 1st 2012 was based on incorrect values. The issue does not affect the PIMCO Global Advantage US Bond Indices , PIMCO Global Advantage Eurozone Bond Indices, PIMCO Global Advantage Japan Bond Indices and PIMCO Global Advantage Other Industrialized Countries Bond Indices.

• The total return index level for May 1st for the PIMCO Global Advantage Index (US fixing) should be 139.6772
• The total return index level for May 1st for the PIMCO Global Advantage Emerging Markets Bond Index (US fixing) should be 122.3903
• The total return index level for May 1st for the PIMCO Global Advantage India Local Currency (US fixing) should be 117.0669
  

The updated index values for May 1st and files for May 2nd are available on www.pimoindex.com and on the ftp server.

Please email pimcoindex@pimco.com for any questions about this revision.

As of April 30, 2012 Merrill Lynch (ML) will become the official calculation agent for the PIMCO Global Advantage Government Indices (GLADI Government). This transition will impact all indices related to the GLADI Government Index family, including custom indices based on the Global Advantage Government Index (e.g., GLADI Government ex-Japan) and the custom hedging of the GLADI Government indices. However, all other Global Advantage Index Families including the PIMCO Global Advantage Index family (PIMCO GLADI) and the PIMCO Global Advantage Inflation-Linked Bond Index family (PIMCO GLADI ILB) will continue to be calculated by Markit.

Both historical and current data for the GLADI Government indices will be made publicly available on the Merrill Lynch index website (www.mlindex.ml.com). Upon entry onto the Merrill Lynch website, registration is required; there is no charge for registration. Once logged into the site, options include searching for the index manually through the ML system or skipping directly to the relevant index by utilizing the list of ML tickers and indices shown below. Index profiles, monthly average analytic files and index constituent files will remain on www.pimcoindex.com. Indices currently available on Bloomberg will continue to be made available with no changes to their associated tickers. In addition, ML will also provide access to GLADI Government index information via the IND system for customers currently subscribed to this service. The tickers listed below should be used to access the indices on either www.mlindex.ml.com or the IND system.

If you have questions or concerns about this transition, please contact PimcoIndexML@pimco.com.

The data used in the PIMCO Global Advantage U.S. Securitized Indices for the April 6th and April 9th was based on incorrect TBA value. Therefore the values from April 6th and April 9th will be republished. The issue does not affect the regional PIMCO Global Advantage Eurozone Bond Index, PIMCO Global Advantage Japan Bond Index, PIMCO Global Advantage Other Industrialized Countries Bond Index, PIMCO Global Advantage Emerging Markets Bond Index and their sub-indices.

1. The total return index level for April 6th and 9th for the PIMCO Global Advantage U.S. Securitized Index (US fixing) should be 125.3559 and 125.4292.
2. The total return index level for April 6th and 9th for the PIMCO Global Advantage Index (US fixing) should be 136.7970 and 137.0470.
   

The updated index values for April 6th -9th are available on www.pimcoindex.com and on the ftp server.

Please email pimcoindex@pimco.com for any questions about the revision.

Due to an error with the UK CPI level, an incorrect index ratio was used for index calculation and analytics. As a result, the underlyings and indices files for the following list of indices have been restated for the period between 2nd April and 4th April 2012:

• Global Advantage Bond Index
• Global Advantage Inflation-Linked Bond Index
• Global Advantage Inflation-Linked Bond Index 1-15
• Markit iBoxx Inflation-Linked Bond Index
  

If you have any questions regarding this announcement please contact pimcoindex@pimco.com  

Please note that the newly issued Italian inflation Linked Bond with ISIN: IT0004806888, first accrual date March the 26th 2012 and maturity March the 26th 2016 is a retail bond, trading only via the Italian exchange and has no institutional pricing. This bond is therefore not eligible for the Markit Inflation linked bond Index as well as the Global Advantage Inflation-Linked Bond Index. See attachment for details.

If you have any questions, do not hesitate to contact us at pimcoindex@pimco.com 

Due to an incorrectly displayed rating for Mexico the component and underlyings files for the following list of indices have been restated for the period between 31 August 2011 and 31 January 2012:

• Global Advantage Bond Index
• Global Advantage Government Bond Index
• Global Advantage Government Bond Index 1-5
• Global Advantage Inflation-Linked Bond Index
• Global Advantage Inflation-Linked Bond Index 1-15
  

The iboxx average rating for Mexico was incorrectly displayed as A. The correct rating is BBB.

Please note that this change does not have any impact on the overall membership or the index levels for these indices.

If you have any questions regarding this announcement please contact pimcoindex@pimco.com.

Markit has republished the annual index weights for the Pimco Advantage Government Bond Index. Hungary has been downgraded and, as a result, no longer qualifies for the index. The weights of the sub-indices containing Hungary have changed. The overall regional weights have not changed.

Regional weights are constructed as the equally-weighted average of the last five years’ global share of the GDP

The weights of all sub-indices are available in the attached file.

Markit has republished the annual index weights for the Pimco Advantage Bond Index. Hungary has been downgraded and, as a result, no longer qualifies for the index. The weights of the sub-indices containing Hungary have changed. The overall regional weights have not changed.

Regional weights are constructed as the equally-weighted average of the last five years’ global share of the GDP

The weights of all sub-indices are available in the attached file.

Please note that the PIMCO Global Advantage Bond Index was restated for 1st of November, 2011.The daily index files have been restated because the following bonds were not taken into index calculation:

The following files were restated:

• pgladi_eu_eod_underlyings_20111101.csv
• pgladi_us_eod_underlyings_20111101.csv
  
  
  
• pgladi_eu_eod_indices_20111101.csv
• pgladi_us_eod_indices_20111101.csv
  

The updated files are now available on the FTP server.

Markit has republished the annual index weights for the Pimco Advantage Bond Index. The reason for the republishement is that the weights for Mexico and Poland were rounded in line with the other PIMCO GLADI indices. This change does not affect the regional weights but however affect the weights of the sub-indices containing Mexico and Poland.

Regional weights are constructed as the equally-weighted average of the last five years global share of the GDP

The weights of all sub-indices are available in the attached file.

Markit, the financial information services company that owns the Markit iBoxx indices, has performed the annual review of index weights for the PIMCO Global Advantage Inflation-Linked Bond Index. The new target weights are determined on the basis of the updated GDP data and will become effective on 31 October 2011. The updated weights have been discussed with the Oversight Committee of the PIMCO Global Advantage Inflation-Linked Bond Index.

Regional weights are constructed as the equally-weighted average of the last five years global share of the GDP

The weights of all sub-indices are available in the attached file.

Markit, the financial information services company that owns the Markit iBoxx indices, has performed the annual review of index weights for the PIMCO Global Advantage Government Bond Index. The new target weights are determined on the basis of the updated GDP data and will become effective on 31 October 2011. The updated weights have been discussed with the Oversight Committee of the PIMCO Global Advantage Government Bond Index.

Regional weights are constructed as the equally-weighted average of the last five years global share of the GDP

The weights of all sub-indices are available in the attached file.

Markit, the financial information services company that owns the Markit iBoxx indices, has performed the annual review of index weights for the PIMCO Global Advantage Bond Index. The new target weights are determined on the basis of the updated GDP data and will become effective on 31 October 2011. The updated weights have been discussed with the Oversight Committee of the PIMCO Global Advantage Bond Index.

Regional weights are constructed as the equally-weighted average of the last five years global share of the GDP

The weights of all sub-indices are available in the attached file.

Please note that the daily underlying and indices files for the PIMCO Global Advantage Bond indices US fixing for June 2nd have been recalculated and republished. The EU fixing was not affected from the restatement. The updated files are available on our ftp.

Please note that the daily underlying and indices files for the PIMCO Global Advantage Bond indices for May 20th have been recalculated and republished. The NDF data for MYR/USD used was inaccurate and affected the Currency indices.

The updated files are available on our ftp.

Based on the target weights, the PIMCO Global Advantage Bond Index has a 0.4% exposure to Egyptian local currency government bonds and FX instruments and the PIMCO Global Advantage Government Bond Index has a 0.8% exposure to Egypt via internal bonds. Following the downgrade of Egypt by Fitch, Moody's and S&P, the average local currency sovereign debt rating of Egypt has fallen below investment grade. Therefore, debt and FX instruments denominated in Egyptian Pounds no longer qualify for the PIMCO Global Advantage Bond Index as well as the PIMCO Global Advantage Government Bond Index and will be excluded during the index rebalancing at the end of February.

Markit, the financial information services company that owns the Markit iBoxx indices, has performed the annual review of index weights for the PIMCO Global Advantage Government Bond Index. The new target weights are determined on the basis of the updated GDP data and will become effective on 31 October 2010. The updated weights have been discussed with the Oversight Committee of the PIMCO Global Advantage Bond Index.

Regional weights are constructed as the equally-weighted average of the last five years global share of the GDP.

The weights of all sub-indices are available in the attached file.

Markit, the financial information services company that owns the Markit iBoxx indices, has performed the annual review of index weights for the PIMCO Global Advantage Bond Index. The new target weights are determined on the basis of the updated GDP data and will become effective on 31 October 2010. The updated weights have been discussed with the Oversight Committee of the PIMCO Global Advantage Bond Index.

Regional weights are constructed as the equally-weighted average of the last five years global share of the GDP.

The weights of all sub-indices are available in the attached file.

Please note that the PIMCO Global Advantage Bond Index components files for August 2010 were restated. The PIMCO Global Advantage Bond Index rule allows a maximum of 15 bonds per country from the emerging market. Due to a data export problem, the number of bonds for Egypt and Mexico in the components files was above the maximum number of eligible bonds. Therefore, the following bonds were excluded from the components files.

The following files were affected:

• pgladi_eu_eom_components_201008.csv
• pgladi_us_eom_components_201008.csv

The updated files are available on the FTP server.

Markit, the financial information services company that owns the Markit iBoxx indices, has performed the annual review of index weights for the PIMCO Global Advantage Bond Index. The new target weights are determined on the basis of the updated GDP data and will become effective on 31 October 2009. The updated weights have been discussed with the Oversight Committee of the PIMCO Global Advantage Bond Index.

Regional weights are constructed as the equally-weighted average of the last five years global share of the GDP.

The weights of all sub-indices are available in the attached file.