IFX-Cbonds Russian Corporate Bond Index Methodology

Transcription

1 Approved a he meeng of he Commee represenng ZAO Inerfax and OOO Cbonds.ru on ovember wh amendmens complan wh Agreemen # 545 as of ecember IFX-Cbonds Russan Corporae Bond Index Mehodology Moscow March 2008

2 1. General rovsons 1.1. Ths Mehodology on calculang he Russan corporae bond ndex ses ou rules and he procedure of ndex calculaon carred ou by OOO Cbonds.ru and ZAO Inerfax Ths Mehodology and all amendmens o are approved and mplemened by a specal Commee made up of represenaves of OOO Cbonds.ru and ZAO Inerfax. The Mehodology s amended no sooner han once a quarer The ex of hs documen and all nformaon on amendmens o he Mehodology are dsclosed o marke parcpans and oher neresed pares by publshng correspondng news on he webse of OOO Cbonds.ru and n he newswre of ZAO Inerfax no laer han wo weeks pror o her enacmen IFX-Cbonds s an ndex on he Russan ruble bonds weghed by effecve marke capalsaon. The ndex base ncludes he mos lqud ruble bonds ssued by Russan companes and admed for radng on he MICEX quoaon lss. The ndex s calculaed on he bass of prces of deals done wh bonds from he Index Ls on he MICEX n he man radng mode The ndex s calculaed once a day based on he MICEX end-of-day radng resuls. 2. Index Ls 2.1. In he framework of hs Mehodology he Index Ls s a ls of ruble-denomnaed bonds ssued by Russan ssuers and admed for radng on he MICEX. IFX-Cbonds Index s calculaed on he bass of hs ls The Index Ls s formed and amended by he Exper Board se up for hs purpose. The Index Ls conans bonds of no fewer han 10 ssues The Index Ls s revsed by he Exper Board no sooner han once a quarer. Informaon on amendmens o he Index Ls s dsclosed on he webse of OOO Cbonds.nfo and n he newswre of ZAO Inerfax no laer han wo weeks pror o changng he Ls. 3. Index Ls Formaon 3.1. We sar formng he ls for calculang IFX-Cbonds by pckng all ruble-denomnaed corporae bonds lsed on quoaon lss (A1 A2 and B) of he MICEX Then we exclude foregn currency-pegged bonds from he array of bonds oulned n Clause Then we exclude bonds maurng or puable/callable n less han 120 days from he array of bonds seleced n Clause Then we exclude bonds wh low secondary marke lqudy from he array of bonds seleced n Clause 3.3. Bonds are excluded f

3 3.4.а. he number of days when he bond ssue was no raded n he man radng mode on he MICEX exceeds half of he radng days n he quarer; 3.4.b. he average daly radng urnover for hs bond ssue n he prevous quarer over he perod when he ssue was admed for radng on he radng floor was below RUB 3bn The ls formed n lne wh he above menoned rules s called he Marke Secures Ls and s used for formaon of he Index Ls The Index Ls ncludes all bonds from he Marke Secures Ls f her marke capalsaon accouns for 5% or more of he oal marke value of bonds on he MICEX quoaon lss If hs ls accouns for 95% of he marke value of all bonds from he Marke Secures Ls bu couns fewer han 10 ssuers s expanded by bond ssues havng he bgges share by marke value unl he number of ssuers reaches 10 by he formaon of he ls s compleed If hs ls does no accoun for 95% of he marke value of all bonds from he Marke Secures Ls s expanded by bond ssues havng he bgges share by marke value unl eher he 95% hreshold s reached (and hen all seps o mee condons oulned n Clause 3.7 are aken) or he number of bond ssues reaches If he selecon process oulned n Clause 3.8 s compleed based on he creron of he number of secures on he ls bu all secures on he ls accoun for 25% or more of marke value of all bonds bu he number of ssuers on he ndex ls s fewer han 10 hen he ndex ls formaon s compleed. Oherwse he ls s expanded by bond ssues havng he bgges share by marke value unl he number of ssuers reaches If 30 bonds are seleced bu he 25% hreshold s no reached he ls s expanded by bonds unl hs hreshold s reached and unl he number of ssuers on he Index Ls s no fewer han 10.

4 4. IFX-Cbonds Index Formula 4.1 IFX-Cbonds s calculaed usng he followng formula and s rounded o wo decmal places: I ( = I (-1) * n 1 n 1 I (0) = 100; ( ( G( * V ( * C( ; = (1) ( 1) ( 1)* V ( * C( n - number of underlyng secures on he ndex ls; ( - prce of bond a momen equal o he recognzed bond quoe publshed by he MICEX every radng day and denomnaed n RUB. If here s no recognzed quoe of bond a momen we use he recognzed quoe for he prevous day as ( ;.e. ( = ( -1); ( - accrued coupon neres on bond a momen ( s zero on he coupon paymen dae whch s a he same me he frs day of a new coupon perod); G ( - coupon paymens and/or amorzaon nsalmens payable on bond a momen n RUB (G ( dffers from 0 only on a coupon dae and /or amorzaon paymen dae for bond when G ( equals he coupon and/or amorzaon paymen; V ( - he amoun of bond ssue from he ndex ls (he number of secures) a momen ; C ( - a mulpler lmng he share of capalsaon for bonds of one ssuer. For all perods excludng cases of ndex ls revson C ( s a consan value.e. C ( = C ( -1). 5. IFX-Cbonds Informaon sclosure 5.1. Informaon on he curren IFX-Cbonds ndex values ndex ls and he capalzaon share for every secury n he oal capalzaon of bonds on he Index Ls s dsclosed on a daly bass on he webses of OOO Cbonds.nfo and n he newswre of ZAO Inerfax Ths Mehodology hsory of IFX-Cbonds ndex values and he capalzaon share for every secury n he oal capalzaon of bonds on he Index Ls over las wo years are dsclosed on he webse of OOO Cbonds.nfo. Annex o IFX-Cbonds Index Mehodology OOO Cbonds.ru also calculaes weghed average TM and weghed average duraon of he ndex porfolo. Weghed average yeld s calculaed as smple yeld (whou akng no accoun annual renvesmen of coupon paymens whch s a sandard coupon calculaon mehod for he

5 eurobond marke and effecve yeld (ncludng annual renvesmen of coupon paymens whch corresponds o yeld calculaon for he GKO-OFZ marke. Weghed average duraon s an averaged porfolo duraon weghed n lne wh he share of every secury n oal capalsaon. We use duraon o maury for every secury f can be calculaed correcly; oherwse we use duraon o pu/call. p p porfolo duraon p duraon of bond a momen By weghed average yelds we mean weghed average yeld o maury or o pu/call on bonds n he ndex porfolo. If s possble o calculae yeld o maury correcly we use yeld o maury; oherwse we resor o yeld o pu/call. eld s weghed based on he secures share n he marke capalzaon and s duraon. p p * * p weghed average yeld of he porfolo (smple) weghed average yeld of secury a momen (smple) *p weghed average yeld of he porfolo (effecve) * weghed average yeld of secury a momen (effecve)