Index group description
The MICEX CBI methodology is based on market capitalization, liquidity of the bonds and investment grade of the corporate issuers. MICEX CBI is calculated in a real time as a performance index (which comprises price changes and accrued interest), as a clean price index and as a gross price index (which comprises price changes and accrued interest without coupon reinvestment). The bond prices used in the index calculation are consolidated from the main and the negotiated deals trading modes at the MICEX Stock Exchange. MICEX CBI is based on world-standard calculation methods and recalculated after each transaction in one of its constituent bonds.
A rigid selection procedure ensures the quality and liquidity of the Index. The MICEX CBI base is revised every three months (by the end of January, April, July and October). The number of bonds in the index is variable, and depends on the eligible bonds availability.
Eligible bonds are selected from among the bonds traded at MICEX Stock Exchange. There are four main criteria for selection:
the bond issuer minimum credit rating is to be equal to B- by “Standard&Poor’s” and “Fitch Ratings”, or B3 by “Moody’s Investors Service”, or equal ratings given by Russian rating agencies, the remaining maturity of the bond issue is to be of at last 6 months year at the next index revision date, the minimum bond amount outstanding is not less than 3 bln rubles, the bond daily turnover is not less than 3 mln rubles. The weight of all bonds of one issuer in MICEX CBI may not exceed 30% at the index revision date, which prevents an issuer from dominating the Index.
Indices included in the group
MICEX CBI TR
MICEX CBI CP
MICEX CBI GP
MICEX CBI Y
MICEX CBI D
MICEX CBI GP 3Y
MICEX CBI GP 5Y
Complete index description in Russian (*.pdf)
Complete index description in English (*.pdf)