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ICEX has reactivated its calculation of the three-month fixed-income index (ICEX-3M-NI). Now, ICEX calculates three non-indexed (i.e., without inflation protection) bond indices, with three-month, one-year and five-year duration. Also, ICEX calculates two inflation-indexed indices with a duration of five years and 10 years.
Due to shortage of government-guaranteed short-term securities, ICEX decided to use three-month REIBOR interest rates on the interbank market in ISK for interpolation from and including March 1 until and including June 1 this year.
The rules for calculating the three-month index have been changed for the purpose of increasing the probability that the index will have a fixed duration, three months. The rules have been changed in such a manner that if the situation arises that no eligible security with duration above three months and less than or equal to one year exists, then the government-guaranteed security with the shortest duration among those with duration above one year will be selected. Still, securities with a duration of more than two years do not qualify.
Further information can be found on ICEX’s website under Quotes and markets / Bond Indices / About bond indices.
