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The MICEX calculates indices of the Russian government bonds and indicators of the Russian government bonds yields, which serve as measures of price movements in the government bonds (GKO/OFZ) market.
The indices reflect changes in the market value of government bonds. The family of these indices includes:
- the Russian Government Bonds Index (RGBI), calculated by the «clean price index» methodology;
- the Russian Government Bonds Index - gross (RGBI-g), calculated by the «gross price index» methodology; and
- the Gross Russian Government Bonds Index - total return (RGBI-tr), calculated by the «total return index» methodology.
The new indices satisfy the need of the Russian and foreign investors for a representative indicator of the government bonds, enabling to evaluate the effectiveness of investments in these instruments and forecast the mid- and long-term development of the market. Russian regulating agencies, foreign observers and independent researchers can use these indices to monitor the national debt sector and perform the comparative analysis of different segments of the financial market.
The benefits of the government bonds indices, calculated on the MICEX, are:
- the indices are calculated in the real-time mode;
- the methodology of their calculation corresponds to the international practice;
- the broad sampling of securities enables to evaluate the development of the market as a whole rather than one of its parts;
- the smoothing of the influence of extra-market factors (jumps in prices for certain securities caused by the actions of one of participants in trading) enables to identify and forecast long-term trends.
The indices are calculated continuously in the real-time mode in the course of trading while transactions are carried out in the bonds comprising the indices. Only those transaction prices are taken into account, which are used to calculate the average weighted prices.
Besides government securities indices, the MICEX calculates yield indicators, which represent market value-weighted yields to maturity of government bonds. These indicators include:
- the effective yield to maturity of the Russian government bonds (RGBEY);
- the gross yield to maturity of the Russian government bonds (RGBY), which is calculated by the "average gross redemption yield” methodology.
The analysis of the behavior of the government bonds indices since the beginning of 2003 shows that they properly reflect the state of the Russian national debt market and can become a commercial product. As of 22 November 2004, the value of the Russian Government Bonds Index was 114.33 points.
Information on the values of the government bonds indices is posted on the front page of the updated web site of the MICEX (www.micex.ru
The Russian market of GKO/OFZ was launched on the MICEX in May 1993. The primary placement and the secondary circulation of government bonds and the bonds of the Bank of Russia are organized in this market. A whole range of new products and services have been launched over more than ten years of the market’s history, the most significant of them being REPO operations, transactions with deferred execution and improved procedures of clearing and settlements. At present, 31 OFZ issues circulate in the MICEX secondary market of government securities, while the total number of market participants amounts to 286 organizations. The market volume of GKO/OFZ has grown from 334.8 billion rubles (early 2004) to 456.2 billion rubles (end of September 2004), or by 36.3%. In January-September 2004, the volume of trading in GKO/OFZ on the MICEX exceeded 1 trillion rubles.
