Updated CBI RU indices of the Russian corporate bond market – Cbonds release
February 1, 2018
|The updated methodology of the Cbonds-CBI RU indices meets all the latest market innovations.|
IA Cbonds presents updated indices of the Russian corporate bonds market (CBI RU group). The rules for the formation of index lists for new indices have been completely changed, and the archive of values since 2015 has been recalculated.
The Cbonds-CBI RU indices show the general direction and short-term fluctuations in the market for Russian corporate bonds aggregated by the credit rating level (Cbonds-CBI RU BBB/ruAA-, Cbonds-CBI RU BB/ruBBB, and Cbonds-CBI RU B/ruB-).
The following changes were made in the methodology:
- Indices Cbonds-CBI RU BBB, Cbonds-CBI RU BB and Cbonds-CBI RU B have been renamed into Cbonds-CBI RU BBB/ruAA-, Cbonds-CBI RU BB/ruBBB, and Cbonds-CBI RU B/ruB-, respectively.
- Starting from 01.01.2015, when forming index lists, the level boundaries for international ratings in the national currency from Moody's, S & P and Fitch are counted from the sovereign rating of the Russian Federation. Starting from 01.10.2017, ratings from ACRA (AO) and Expert RA on a fixed national scale are included in the accounting.
- Starting from 01.01.2015, securities having a corresponding rating from at least two rating agencies are included in Cbonds-CBI RU BBB/ruAA- and Cbonds-CBI RU BB/ruBBB indices, at least from one rating agency – in Cbonds-CBI RU B/ruB- index list.
- The rule of listing if security satisfies the criteria of two lists has been changed: now the security is included in the index list of a lower rating.
- Cbonds-CBI RU BBB/ruAA-, Cbonds-CBI RU BB/ruBBB from 01.01.2015, and Cbonds-CBI RU B/ruB- from 01.01.2014 Index Archives have been recalculated in accordance with the new methodology.
- Starting from 01.01.2018, the calculation of Cbonds-CBI RU 1-3Y and Cbonds-CBI RU 3-5Y indices has been suspended
Revision of the lists is made quarterly: on the first working day of January, April, July, October.
You can read more about the methodology of calculating Cbonds indices of the Russian bond market at the following link: https://data.cbonds.info/files/Cbonds_Methodology_Eng_Jan18.pdf
IA Cbonds expresses gratitude to the experts of the research and forecasting group ACRA (AO) and the Expert RA methodological department for participating in the methodology change.
Current values of indices are available for all registered Cbonds users http://cbonds.com/indexes/.
The value archive and export of values to Excel file are available to Cbonds Premium users (http://cbonds.ru/about/paccess.php).
Index Name — Cbonds-CBI RU BBB/ruAA-
Company — Cbonds Group
Full name"Cbonds.ru" Ltd
IndustryInformation and High Technologies