Iceland ILB Index Bonds

Icelandic ILB Index Bonds are linked to Icelandic CPI. The ILB index precision is calculated to 6 decimals places. The initial principal investment at the time of issuance is not guaranteed. Therefore, in the event that the inflation index goes below 1 at the time of maturity, the bond matures at the ILB index ratio at the time of maturity. Icelandic Inflation Linked Bonds use an index 1 month back, and not 3 months back, as the US model does. Although these bonds accrue interest income and inflation income based upon a 30E/360 day count, the ILB Index Ratio changes between the 29th and 30th and not between 30th and 31st. In event that the inflation index is not available, these bonds use the inflation assumption from the Central Bank of Iceland. The new CPI is generally known by the 12th of the month (8th business day of the month).