# 2.3 Index Construction

The construction of the index is done in two stages:

Rules-based inclusion in the index universe

Determination of constituent weights

## Infra100 private debt index construction

The infra100 debt indices are designed to represent the performance of the latest 100 senior debt instruments issued by private infrastructure companies in any given market segment, ranked by total senior borrowing by value. The indices include the debt instruments with a face value of greater than USD 10mn at the time of origination, having at least 2 years to maturity, and allowing only up to 2 instruments per borrower. These indices are rebalanced annually in January.

**Weighting schemes**

The index is market-value weighted.

In value-weighted indices, each constituent influences the index in proportion to its value. The weights are calculated at each rebalancing date using the following formula:

where:

denotes the weight of constituent at time .

denotes index constituent 's estimate of fair value at time .

The fair value is estimated using a consistent asset pricing methodology. Index-constituent value weights are calculated in the reference currency so that all constituent market values denominated in a different currency than the reference currency are converted accordingly.

Alternative weighting schemes are available including equal weights and capped weights, by which individual weights cannot exceed a 5% cap. A capped value-weight index follows the same calculation methodology as the value-weights scheme described above. However, it prevents any single constituent from having a disproportionate influence on the index. A limit is imposed whereby an individual constituent's weights are capped at 5%. Thereafter, the weights of the remaining index constituents are increased as a consequence of reducing the weights of the larger companies. The weights of the uncapped constituents are then checked, and if they exceed 5%, they are then also capped at 5%. This is an iterative process that is repeated until no company exceeds 5%.

**Customised weights**

Custom weighting schemes can also be designed in order to over- or under-weight different TICCSÂ® segments.

**Constituent selection**

Constituents (or Index Universe) are selected with the aim of creating a representative sample of the Identified Universe, as described in the Universe Standard.

**Constituent entry and exit**

Constituents enter the index when they enter the index universe, i.e. on their date of issuance. Constituents exit the index when they reach maturity or default.

**Timing of changes**

The index is reviewed on a quarterly basis by the index committee for new entries and exits.