New ICEX Bond Indices

ICEX has started calculating new bond indices. The new bond indices are a response to changes in Treasury bond issuance in the past year or so, as well as restructuring by the Housing Financing Fund (HFF) in the summer of 2004. The changes have meant that many of the largest and most active bond series have been excluded from ICEX?s previous indices, which were designed for zero-coupon bonds.

Like their predecessors, the new bond indices have a fixed duration. On the other hand, the new indices cover a larger portion of the bond market than did the earlier indices, e.g., HFF bonds and recent Treasury bond classes can now for the first time be considered for inclusion in the ICEX indices. The definition of the new indices is broader than that of the previous ones. The former indices for individual bond classes, such as T-bonds and Housing Bonds, are replaced by indices for government-guaranteed, indexed and non-indexed bonds of varying maturities. Finally, now there can be more than two bonds in each index at any point in time, while this was previously limited to two bonds at a time.

The following indices will be calculated for government-guaranteed bonds and bills:

Name	Code	Duration	ISIN
ICEX 10-year indexed	ICEX-10Y-I	10 years	IS0000010031
ICEX 5-year non-indexed	ICEX-5Y-NI	5 years	IS0000010023
ICEX 1-year non-indexed	ICEX-1Y-NI	1 year	IS0000010007
ICEX 3-month non-indexed	ICEX-3M-NI	3 months	IS0000010015

The 1-year index will include both bonds and bills to attain the one-year duration. Historical values for the indices are calculated back to year-end 1997. A more detailed description of the indices can be found in the first issue of ICEX News & Views 2005 and on ICEX?s website under Quotes and markets/Bond Indices/About bond indices. The older bond indices will soon be discontinued. To subscribe to the new indices, please send an e-mail to Agusta H. Larusdottir (agusta@icex.is).