Euro-Cbonds Indices

Euro-Cbonds Indices
Euro-Cbonds Indices
start date; calculation	January 1, 2008
Status	Calculated
Basic; value	100.00 points
Type of; components	CIS international bonds
Frequency; computation	daily
Web site	Official index page

Euro-Cbonds Indices is a group of indices for various segments of the Russian and CIS Eurobonds market, developed by Cbonds Information Agency . The calculation base has been conducted since January 1, 2008 ^[1] .

Content

1 Euro-Cbonds Index Group
2 Methodology for calculating Euro-Cbonds Eurobonds Indices
3 Using indexes
4 Calculation base
5 Start dates and start values
6 calculation formula
- 6.1 Related indicators
7 See also
8 Notes
9 References

Euro-Cbonds Index Group

Euro-Cbonds Sovereign (RU, UA) - Indices of sovereign international bonds of Russia and Ukraine
Euro-Cbonds IG (Investment grade: RU) - Russian Corporate Eurobonds Index with an investment grade rating
Euro-Cbonds NIG (Non-Investment grade: RU) - Russian Corporate Eurobonds Index with a top non-investment grade rating
Euro-Cbonds Сorporate (UA, KZ) - Indices of corporate international bonds of Kazakhstan and Ukraine

Euro-Cbonds Eurobond Indices Calculation Method

The CIS bond indexes offered by Cbonds are the total return index, and an auxiliary price index is also calculated for each group. In addition to indices, indicators are calculated that characterize the weighted average yield to maturity (simple and effective) and the weighted average duration of the index portfolio.

Using Indexes

The indices provide a complete picture of the dynamics of prices and yields of the main segments of the CIS Eurobonds market.

Calculation Base

To calculate the index, all Eurobonds in circulation throughout the country ( Russia , Ukraine, Kazakhstan) are initially considered, type of debt - senior unsecured, issue structure - Eurobonds issued in the format of LPN or global bonds and Eurobonds, listed on international exchanges and rated at least from one international rating agency . The following are excluded from the original list:

Securities with a currency other than the US dollar;
Securities with a maturity of less than 1 year;
Low liquid securities determined by the following criteria:

- The issue volume for the Euro-Cbonds Sovereign and Euro-Cbonds IG indices is less than $ 250 million, for Euro-Cbonds NIG, Euro-Cbonds Сorporate - less than $ 100 million;

- The number of days when quotes on the Cbonds website were not quoted on this issue of Eurobonds exceeds half the trading days of the month;

Further, from the received list of Eurobonds, emissions are selected according to the level of credit rating and classification as sovereign or non-sovereign debt for calculating each of the indices:

Euro-Cbonds Sovereign - issues with any rating and issuer - state.

Euro-Cbonds IG - non-sovereign issues with a rating of at least (from at least two agencies, if the rating is assigned by more than one agency) Baa3 according to Moodys and / or BBB- according to S&P and Fitch .

Euro-Cbonds NIG - non-sovereign issues with a rating lower (from at least two agencies, if the rating is assigned by more than one agency) Baa3 according to Moodys and / or BBB- according to S&P and Fitch , but not lower than B3 according to Moodys and B - according to S&P and Fitch .

Euro-Cbonds Сorporate - non-sovereign issues with a rating of at least B3 according to Moodys and B- according to S&P and Fitch .

Lists obtained for each index as a result of the above actions are called Index Lists .

Review of the list in accordance with this methodology, as well as the inclusion of new emissions is made by Cbonds monthly.

Start dates and start values

start date	01/01/2008
Initial value	one hundred

Calculation Formula

The CIS Eurobonds market indices offered by the Cbonds news agency represent the total return index and is calculated using the following formula:

$I(0)=100;I(t)=I(t-1)*\sum _{i-1}^{n}{\frac {[P(i,t)+A(i,t)+G(i,t)]*V(i)}{[P(i,t-1)+A(i,t-1)]*\sum \limits _{j-1}^{n}V(j)}}$ ${\ displaystyle I (0) = 100; I (t) = I (t-1) * \ sum _ {i-1} ^ {n} {\ frac {[P (i, t) + A (i, t) + G (i, t)] * V (i)} {[P (i, t-1) + A (i, t-1)] * \ sum \ limits _ {j-1} ^ {n } V (j)}}}$

Where:

$n$ ${\ displaystyle n}$ - the number of papers in the index list;
$P(i,t)$ ${\ displaystyle P (i, t)}$ - the price of the i-th paper at time t (*);
$A(i,t)$ ${\ displaystyle A (i, t)}$ - accumulated coupon yield on the i-th security at time t (on the coupon payment day, which, accordingly, is also the beginning of a new coupon period, this indicator is 0);
$G(i,t)$ ${\ displaystyle G (i, t)}$ - coupon payments received on the i-th paper at time t;
$V(i)$ ${\ displaystyle V (i)}$ - nominal volume of the i-th bond issue from the index list.

(*) As the price of the i-th paper at time t, the average price between the best buy and sell quotes displayed on the Cbonds website in the “Quotes of Market Participants” section is used.

The index is calculated once (at closing) every trading day at the beginning of the next day.

In addition to the main index, an auxiliary (“market”) index is also calculated, which is a “price” index. Its calculation is carried out as follows:

$IP(0)=100;IP(t)=IP(t-1)*\sum _{i-1}^{n}{\frac {P({i,t})*V(i)}{P(i,t-1)*\sum \limits _{j-1}^{n}V(j)}}$ ${\ displaystyle IP (0) = 100; IP (t) = IP (t-1) * \ sum _ {i-1} ^ {n} {\ frac {P ({i, t}) * V (i )} {P (i, t-1) * \ sum \ limits _ {j-1} ^ {n} V (j)}}}$

Where:

$n$ ${\ displaystyle n}$ - the number of papers in the index list;
$P(i,t)$ ${\ displaystyle P (i, t)}$ - the price of the i-th paper at time t;
$V(t)$ ${\ displaystyle V (t)}$ - nominal volume of the i-th bond issue from the index list.

Related indicators

In addition to indices, indicators are calculated that characterize the weighted average yield to maturity and the weighted average duration of the index portfolio.

The weighted average duration is the duration averaged over the portfolio; weighting is based on the share of each paper in the total capitalization . Duration to maturity is used for each security if this indicator can be correctly calculated, otherwise duration to offer is used .

Weighted average returns represent the weighted yield of the securities included in the index portfolio to maturity or offer . If it is possible to correctly calculate the yield to maturity, this indicator is taken, otherwise the yield to offer is used. Weighing is carried out taking into account the share of paper in market capitalization and duration .

Notes

↑ Cbonds announces the launch of the Euro-Cbonds Eurobond Market Index Family

Links

Euro-Cbonds Index Group
Methodology for constructing Euro-Cbonds Eurobonds Indices
Analytical review. Russian market. VTB
Euro-Cbonds Sovereign Russia
Euro-Cbonds IG Russia
Euro-Cbonds NIG Russia
The main trends in the development of the Russian bond market. Analytical review.
Daily bond market review. Nord-Capital. (unavailable link from 05-24-2013 [2344 days])

[1] Cbonds announces the launch of the Euro-Cbonds Eurobond Market Index Family

Euro-Cbonds Indices

start date calculation	January 1, 2008
Status	Calculated
Basic value	100.00 points
Type of components	CIS international bonds
Frequency computation	daily
Web site	Official index page