Market indices (indicators) - values calculated according to established formulas based on price, volume or time characteristics of transactions and (or) securities upon BCSE trading results. Currently BCSE calculates the following indices.
Market Indices
Indices for the exchange secondary market of government and corporate bonds:
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Name |
Abbreviation for GS market |
Abbreviation for corporate bond market |
Description |
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Price market index |
IBYRGov |
IBYRComposite |
Composite index of average price changes in the bond market |
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Integrated yield market index |
ITRBYRGov |
ITRBYRComposite |
Composite index of total income changes in the bond market |
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Gross yield market index |
GBYRGov |
GBYRComposite |
Composite index of income changes in the bond market, (accrued interest bonds) |
Market indicators
Indices for exchange secondary equities market, government securities market and corporate bond market:
|
Name |
Abbreviation for GS market transactions |
Abbreviation for corporate bond market |
Abbreviation for equities market |
Description |
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Price index: |
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Weighted average price in the par value currency |
Index АР |
Weighted average price for daily transactions in securities of one issue |
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Market price, BYR |
Index Р |
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Yield to maturity, % |
Index Y |
- |
Rate of return on investment in bonds, under condition the investor holds them till maturity (income payment) ,per cent per year |
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Weighted average yield, % |
Index AY |
- |
Weighted average yield to maturity for the daily transactions in securities of one issue |
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Effective Yield to maturity, % |
Index YM |
- |
The interest rate at which the average price of a bond is equal at the moment to the value of future cash flows received |
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Yield to maturity under equal rates condition, % |
Index Ymodel |
- |
Yield to maturity, subject to the rate of return equal to the current payment period and rates for the remaining period, percent per year |
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Turnover Indicators |
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Turnover (Volume in par value currency) |
Turnover, % (Ks) |
How many times the value of transactions is more (or less) than the total issue volume upon weighted average price |
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Turnover (Volume in items) |
Turnover, % (Kq) |
How many times the number of securities in transactions is more (or less) than the total number of securities in one issue |
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Share Turnover Indicators |
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Share in turnover (volume) |
Share in turnover, % (Ps) |
The share of volume of securities transactions of one issue from the total amount of exchange transactions in BYR |
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Share in turnover (number of securities) |
Share in turnover, % (Pq) |
The share of the total number of securities of one issue from the total number of traded securities |
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Share in turnover (number of transactions) |
Share in turnover, % (Pn) |
The share of number of transactions with the securities issue from the total number of all securities issues transactions |
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Capitalization Indicators |
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Capitalization by weighted average price |
Capitalization of issue, in par value currency (CAP) |
The product of weighted average price by number of issued securities in circulation |
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Capitalization by market price |
Capitalization of issue, in par value currency (CP) |
The product of the market price by the number of issued securities in circulation |
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Price Spread |
Spread, % (SPRp) at 11.00, 12.00, 14.00, 15.00 |
The difference between the minimum sale price and the maximum purchase price in the orders |
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Yield Spread |
Spread, % (SPRy) at 11.00, 12.00, 14.00, 15.00 |
- |
The difference between the minimum purchase yield and the maximum sale yield in the orders |
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Equity Market Capitalization
Indices for the equity market capitalization
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Name |
Description |
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Equity market capitalization by weighted average price |
Sum of products of weighted average price by number of shares issues in circulation. |
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Equity market capitalization by market price |
Sum of products of market price by number of shares issues in circulation. |
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Equity market capitalization by par value |
Sum of products of par value by number of shares issues in circulation. |
Integrated bond market indices
Indices for the exchange secondary bond market:
|
Name |
Abbreviation |
Description |
|
Market turnover index,% |
AYS |
Weighted average yield to maturity upon all transactions in all bond issues (REPO excluding) |
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Effective yield index |
Yeff |
Integrated indicator of the effective bond market yield |
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Gross yield index |
Ryt |
Integrated yield indicator to maturity upon the weighted average price calculated by the bond market |
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Duration before maturity, days |
DM |
The average term to maturity of traded bond issues (REPO excluding) |
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REPO duration, days |
DR |
The average REPO term upon concluded transactions with the same payment currency |
Bond REPO transactions Indicators
Indicators for Bond REPO transactions:
|
Name |
Abbreviation |
Description |
|
Average weighted REPO rate, % |
AR |
Average weighted REPO rate upon transactions with the same REPO term is calculated by each kind of payment currency. |
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REPO Yield Spread, % |
SPRR |
The difference between the minimum purchase bid and the maximum sale bid with the same repo term |
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