MICEX government bond price index. RGBI Government Bond Index
Calculated
Russian Corporate Bond Index (RCBI) (until April 21, 2008 inclusive)
meaning
components
Corporate bonds
calculations
Once every 5 seconds
indices
MICEX Corporate Bond Index (MICEX CBI) is a volume-weighted index of bonds of corporate issuers admitted to circulation on the MICEX Stock Exchange. The index is calculated from January 1, 2003 (base value 100 points).
Methods for calculating the MICEX Corporate Bond Index
The index is calculated using three methods:
- MICEX CBI CP- Clean price index methodology;
- MICEX CBI GP- Methodology of the “dirty” price index (English) (gross price index);
- MICEX CBI TR- Methodology of the total return index (English) (total return index (English)).
Calculation base for the MICEX Corporate Bond Index
Bonds can be included in the MICEX CBI index calculation base if they meet the requirements for the issuer's credit rating, liquidity, minimum issue volume at par, as well as the period until the maturity date or the nearest offer. When including bonds in the calculation base for the MICEX CBI index, credit ratings assigned to bond issuers by international agencies Standard & Poor’s, Moody’s and Fitch Ratings, as well as Russian rating agencies: RusRating, Expert RA, National Rating Agency and AK&M are taken into account. At the same time, to be included in the index calculation base, the bond issue must meet the following conditions:
- issue volume at par - at least 3 billion rubles;
- period until maturity/nearest offer (for the period of validity of the calculation base) - at least 6 months;
- The average daily volume of transactions for the quarter is at least 3 million rubles.
The index is recalculated in real time with each bond transaction. To calculate indices and include bonds in the calculation bases, transactions concluded in the Main Trading Mode and the Negotiated Transactions Mode with an execution period of up to 3 days are taken into account (settlement codes used are T0, B0-B3).
The rules for calculating the MICEX Corporate Bond Index provide a clear and transparent mechanism for forming the basis for calculating the index; in addition, they fully meet international standards for constructing stock indices: MICEX bond indices are developed in accordance with the recommendations of the European Bond Commission of the European Federation of Financial Analysts (European Federation of Financial Analysts Societies). The calculation base for the MICEX Corporate Bond Index is revised quarterly.
Additional indexes
Along with the calculation of the main indices, sub-indices are calculated for two additional calculation bases, segmented by terms to maturity or the nearest offer of bonds from 6 months. up to 2.5 years and from 2.5 years to 5 years: MICEX CBI 3Y And MICEX CBI 5Y.
Reference Information. Calculation start dates and initial values of the MICEX CBI index
Calculation base | Index calculation method | |||
---|---|---|---|---|
Price index |
Gross index |
Index total income |
||
Basic calculation base | date started calculation |
31.12.2002 | 21.04.2008 | 31.12.2002 |
Initial meaning |
100,00 | 99,59 | 100,00 | |
Additional calculation bases |
date started calculation |
30.12.2005 | 30.12.2005 | 30.12.2005 |
Initial meaning |
101,84 | 101,84 | 134,73 |
Using the MICEX Corporate Bond Index
The MICEX CBI index allows you to track both the general direction and short-term fluctuations in the Russian corporate bond market, evaluate the effectiveness of investments in these instruments, and make forecasts for market development.
Identifiers of the MICEX Corporate Bond Index.
MICEX Stock Exchange (MICEX) | MICEXCBITR |
ISIN | RU000A0JPT17 |
Calculation formulas
1. The calculation of price indices for each calculation base is carried out according to the following formula:
2. The calculation of total income indices for each calculation base is carried out using the following formula:
3. Calculation of gross indices for each calculation base is carried out according to the following formula:
, WhereDesignations:
The Russian Government Bond Index (RGBI) has been calculated since 2002 using the clean price index method. The base index value is 100 points. The index is traded on the Moscow Interbank Currency Exchange. Calculated continuously in real time during trading as transactions with bonds included in the calculation base are completed
The MICEX government bond indices are designed to serve as indicators of the situation developing on the Russian government debt market. By increasing the transparency and information content of the Russian stock market, they allow investors and all interested parties to monitor both the general direction and short-term fluctuations in the Russian government bond market, evaluate the effectiveness of investments in these instruments, and make forecasts for market development.
The rules for calculating the Indices provide a clear and transparent mechanism for forming the calculation base; in addition, they fully comply with international standards for constructing stock indices: MICEX bond indices were developed in accordance with the recommendations of the European Bond Commission and the European Federation of Financial Analysts. Financial Analysts Societies (English)).
RGBI index calculation base
The basis for calculating the RGBI index is the list of bond issues (GKO-OFZ) used in calculating the Russian government bond indices and indicators of the yield to maturity of Russian government bonds.
The calculation base is automatically recalculated at the end of each calendar month, which makes it possible to timely take into account the changing conditions of the GKO-OFZ market. The calculation base includes bond issues for which the liquidity indicator exceeds the threshold value equal to 1.
When determining the calculation base for the RGBI index, bond issues are not considered:
Used in operations for the sale by the Bank of Russia of bonds with a repurchase obligation;
- the maturity date of which is less than 365 days as of the last calendar day of the month of validity of the new calculation base.
As indicators of the price dynamics of the government bond market (GKO-OFZ), the MICEX calculates the Russian government bond indices and indicators of the yield of Russian government bonds.
Indices reflect changes in the market value of government bonds and include:
1. Russian government bond index (RGBI), which is calculated using the “clean price index” method;
2. Russian government bond index – gross (RGBI-g), which is calculated using the “gross price index” method;
3. Russian government bond index – total return (RGBI-tr), which is calculated using the “total return index” method.
The indices comply with the main recommendations for the development and calculation of bond indices of the European Bond Commission and the European Federation of financial analysts societies.
The need to launch new indices is due to the need of Russian and foreign investors for a representative indicator of the government bond sector, which allows them to evaluate the effectiveness of investments in these instruments and make forecasts for medium- and long-term market development. In addition, the proposed indices can be used by Russian regulatory authorities, foreign observers and independent researchers to monitor the state of the government debt sector and conduct a comparative analysis of various segments of the financial market.
The advantages of government bond indices calculated on the MICEX are:
· calculation in real time;
· compliance of the calculation methodology with established practice abroad;
· a wide selection of securities, allowing one to assess the development of the market as a whole, and not just any one part of it;
· smoothing out the influence of non-market factors (market price jumps for individual securities caused, for example, by the immediate actions of any one trading participant), making it possible to identify and predict long-term trends.
The initial values of the Indices as of December 31, 2002 are assumed to be equal to 100 points.
The calculation of the Index values is carried out continuously in real time during trading as transactions are carried out with bonds included in the Index calculation base. In this case, only those transaction prices that are included in the calculation of weighted average prices are taken into account.
In addition to indices for the government securities market, MICEX also calculates Yield Indicators, which are market value-weighted values of the yield to maturity of government bonds and include:
1. Effective yield to maturity of Russian government bonds (RGBEY);
2. Gross yield to maturity of Russian government bonds (RGBY), which is calculated using the average gross redemption yield method.
The calculation of the values of the Yield Indicators is carried out once a day at the end of trading based on the weighted average prices and yields calculated in the Trading System at the weighted average price for bond issues included in the calculation base of the Yield Indicators.
An analysis of the behavior of government bond indices for the period since the beginning of 2003 showed that they adequately reflect the situation on the Russian government debt market and in the future may become a separate commercial product. As of November 22, 2004, the value of the Russian government bond index was 114.33 points.
Information on the values of government bond indices is posted on the updated MICEX website on the start page (www.micex.ru) and at the address “Information services / Government securities market /” (http://www.micex.ru/online/state/) and will be reflected in the trading results for the day.
The Russian GKO-OFZ market began functioning on the MICEX in May 1993. The market carries out primary placement and secondary circulation of government bonds and bonds of the Bank of Russia. Over its more than ten-year history, which has seen both rapid growth and dramatic declines, the market has introduced numerous new products and services, the most significant of which are repos, deferred transactions, and improved clearing and settlement mechanisms for trades. Currently, 31 issues of OFZ are traded on the secondary market of government securities of the MICEX, and the total number of market participants is 286 organizations. The market volume of GKO-OFZ increased from 334.8 billion rubles. at the beginning of 2004 to 456.2 billion rubles. at the end of September, i.e. by 36.3%. The trading volume of GKO-OFZ on the MICEX in January-September 2004 exceeded 1 trillion. rub.
Professional traders do not need to explain the importance of the RTS and MICEX indices for the Russian stock market. It is no secret to almost any of them that, in addition to the indicated indices for the stock market, the Moscow Exchange also calculates the blue chip index, the second-tier index, the broad market index, nine industry and a number of thematic indices. But not everyone knows that the largest group of indices calculated by the Moscow Exchange are bond indices.
There are 28 bond indices in total: 3 main and 25 additional. Each of them is calculated by two methods - the net price method (only changes in the prices of bonds that make up the index basket are taken into account) and the total income method (coupon income is taken into account, given that it is reinvested in the same bonds). Thus, taking into account the above methods, there are actually not 28 indices, but twice as many. In turn, there are slightly fewer stock indices taking into account dollar and ruble values - 27. The impressive number of bond indices indicates that it is important for an investor to understand their structure and listen to their values. Especially when you consider that daily trading turnover in shares and shares averages about 250 billion rubles, and the bond market (excluding OFZs) is 500 billion, plus the OFZs themselves are 150 billion. It turns out that the turnover of trading in bonds is more than twice the volume of trading in stocks and shares of investment funds.
Rice. 1. Daily turnover of Moscow Exchange markets
How are bond indices calculated?
For a beginner, it may seem very easy to get confused in 28 bond indices (or 56, taking into account the two calculation methods). However, this is not the case - bond indices have a clear hierarchy built according to a matrix type. The entire rich family of bond indices consists of indices of state, municipal and corporate bonds, which contain sub-indices that segment these indices by duration (the period during which the invested money is returned back to the investor) and by credit quality, determined by assigned ratings and occupied listing level. There is also an index that combines state, municipal and corporate securities - this is a composite bond index that shows the general trend in the debt market.
The government bond index has sub-indices segmented by duration into the following groups: less than 1 year, 1-3 years, 3-5 years, 5-10 years and more than 5 years.
The corporate bond index has sub-indices segmented:
By duration - for indices with a duration of up to 1 year, 1-3 years, more than 3 years and 3-5 years;
. by quotation level - into indices of the 1st, 2nd and 3rd levels, each of which, in turn, has credit rating sub-indices: “BBB” - for the first level, “BB” - for the second and “B” - for the third.
These indices, in turn, also have sub-indices based on duration:
For the first level rating “BBB” - with a period of 1-3 years, 3-5 years and more than 3 years;
. for level 2 rating “BB” - with a period of 1-3 years, 3-5 years and more than 3 years;
. for the third level rating “B” - only for a period of 1-3 years.
The structure of the municipal bond index group is a little simpler. It is segmented into indices with a duration of less than 1 year, 1-3 years and more than 3 years, as well as into the first and second levels of listing, which, in turn, contain rating sub-indices “BBB” for the first level and “BB” for second. The first level “BBB” is divided by duration into indices with a period of 1-3 years and more than 3 years. The second level of listing of the “BB” rating has only one subindex for the duration period - 1-3 years.
Rice. 2. Hierarchy of bond indices
Composite Bond Index
It begins its history on December 30, 2010 with a value of 100 points. Today it has 91 bonds in its basket (OFZ, municipal, corporate). How is this type of bond index calculated? Just like everyone else - the price method and the total income method.
To be included in the index, bonds must have a duration of at least one year. At the same time, the number of trading days in the past quarter during which transactions were concluded with the issue of bonds must be at least 30 for OFZs, 20 for corporate bonds and at least 10 for municipal bonds. The duration of availability of bilateral quotes for bonds must be at least 30% of the time for OFZs, 20% for corporate bonds, 10% for municipal bonds of the total trading time for the past quarter. The minimum level of long-term credit rating must be no less than “B-” for corporate bonds and “BB-” for municipal bonds on the international scale according to the classification of rating agencies Standard & Poor's or Fitch Ratings, or “B3” for corporate bonds and “Ba3” " - for municipal ones according to the classification of the rating agency Moody`s Investors Service. The index itself is reviewed quarterly - February 15, May 15, August 15 and November 15, and changes come into force (if any) on the first day of March, June, September and December.
Rice. 3. Description of the Composite Bond Index
Government Bond Index
The government bond market index includes 20 OFZ in its basket, and is calculated both by price and by the total return method. Its history begins on December 31, 2002, with a value of 100 points. To be included in the index basket, a bond must have a duration of at least 1 year. The number of trading days in the past quarter during which transactions were made with bonds must be at least 30. The duration of availability of bilateral bond quotes must be at least 30% of the total trading time. As for the dates of rebalancing and their entry into force, they are similar to the previous index.
Rice. 4. Description of the government bond index
Corporate Securities Index
The corporate securities index has 37 bonds of corporate issuers in its basket. The index begins its history on December 31, 2002, with a value of 100 points. To be included in the index basket, a bond must have a duration of at least 1 year, a par value of at least 2 billion rubles, and the number of trading days in the past quarter during which transactions were concluded with bonds - at least 20, the duration of availability of bilateral quotes on bonds - at least 20% of the total trading time for the previous quarter. Also, the bond must have a long-term credit rating of “B-” in Standard & Poor’s and Fitch Ratings, and “B3” in Moody’s Investors Service. The dates for index rebalancing and their entry into force are similar.
Rice. 5. Description of the corporate bond index
Municipal Bond Index
Includes 35 bonds. The history of its calculation begins on December 30, 2005, with a value of 100 points. The duration period for inclusion in the index basket must be at least 1 year, the issue volume at par must be at least 1 billion rubles, the number of trading days in the past quarter during which transactions were concluded with bonds - at least 10, the duration of availability of bilateral quotes on bonds - at least 10% of the total trading time for the previous quarter. As for the long-term credit rating, it must be at least “BB-” in Standard & Poor’s and Fitch Ratings, and “Ba3” in Moody’s Investors Service. The dates and periods of rebalancing are similar.
Rice. 6. Description of the municipal bond index
Conclusion
The bond sector plays an important role in the life of the stock market and the Moscow Exchange as a whole. At the same time, indices for Russian bonds play the role of a kind of barometer.
Do you want to learn all the nuances of working with bond indices on the stock market and learn how to make money by changing their dynamics? Register on the Otkritie Broker portal - we will tell you where to start!