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Euro-Cbonds Sovereign Russia |
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The following Cbonds indices are published on a daily basis:
List of securities for calculation of the Index for the current month (from 01.05.2012)
| ¹ | Issues | Volume and currency, mln | Maturity date | ISIN | ID | | 1 | Russia 2015 | 2 000.00 USD | 29.04.2015 | XS0504954180 | 12438 | | 2 | Russia 2017 | 2 000.00 USD | 04.04.2017 | XS0767469827 | 26867 | | 3 | Russia 2018 | 3 466.40 USD | 24.07.2018 | XS0089375249 | 240 | | 4 | Russia 2020 | 3 500.00 USD | 29.04.2020 | XS0504954347 | 12439 | | 5 | Russia 2022 | 2 000.00 USD | 04.04.2022 | XS0767472458 | 26869 | | 6 | Russia 2028 | 2 500.00 USD | 24.06.2028 | XS0088543193 | 238 | | 7 | Russia 2030 | 21 218.18 USD | 31.03.2030 | XS0114288789 | 242 | | 8 | Russia 2042 | 3 000.00 USD | 04.04.2042 | XS0767473852 | 26871 |
Archive: 01.05.2012, 01.04.2012, 01.03.2012, 01.02.2012, 01.01.2012, 01.12.2011, 01.11.2011, 03.10.2011, 01.09.2011, 01.08.2011, 01.07.2011, 01.06.2011, 02.05.2011, 01.04.2011, 01.03.2011, 01.02.2011, 01.01.2011, 02.12.2010, 01.11.2010, 01.10.2010, 01.09.2010, 02.08.2010, 05.07.2010, 01.06.2010, 05.05.2010, 01.04.2010, 02.03.2010, 01.02.2010, 11.01.2010, 01.12.2009, 02.11.2009, 01.10.2009, 01.09.2009, 03.08.2009, 01.07.2009, 01.06.2009, 03.05.2009, 01.04.2009, 02.03.2009, 02.02.2009, 12.01.2009, 05.12.2008, 01.11.2008, 01.10.2008, 01.09.2008, 01.08.2008, 01.07.2008, 01.06.2008, 01.05.2008, 01.04.2008, 01.03.2008, 01.02.2008, 01.01.2008 |
Calculation Methodology for Eurobond Indices
The CIS Eurobond indices offered by Cbonds.ru are total return indices calculated according to the following formula:
n – number of securities on the Index List;
P (i,t) – price of the i-th security at moment t (*);
ACI (i,t) - accrued coupon income on the i-th security at moment t (this figure equals 0 on a coupon payment date being simultaneously the beginning on a new coupon period);
G(i,t) – coupon payments made on the i-th security at moment t;
V(i) – par amount of the i-th issue on the Index List.
(*) - By a price of the i-th security at moment t we understand an average price among best bid and ask quotes displayed on Cbonds in the Market Quotes section.
The Index is calculated in the beginning of a trading day (every trading day) using the data from the previous trading day at its closure.
Apart from the main index we also calculate a subsidiary ('conjuncture') index. It us a price-based index calculated the following way:
n – number of securities on the Index List;
P (i,t) – price of the i-th security at moment t;
V(i) – par amount of the i-th issue on the Index List.
Concomitant figures
Apart from indices we calculate a number of gauges characterizing weighted average yield to maturity and weighted average duration of the index portfolio.
We calculate “simple” weighted average yield (not including within-year coupon investments; it meets the standards of yield calculation on the Eurobond market).
Weighted average duration is average duration weighted according to the share of each security in general capitalization. We use duration to maturity for every security if it is possible to calculate it correctly, otherwise duration to put option is used.
Weighted average yields are weighted yields either to maturity or to put option of securities included in the Index portfolio. If it is possible to calculate yield to maturity correctly, we use yield to maturity, otherwise we employ yield to put option. Yields are weighted according to the security’s share in the market capitalization and duration.
Methodology of Index List Formation
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