‼️ Russia: “Moscow Exchange to Start Calculating New OFZ Index on September 1” 👉 RGBILP “The composition of the calculation base of the new index, the calculation method, the timing and frequency of rebalancing are similar to the RGBI” www.interfax.ru/business/104...
“Currently, the Moscow Exchange calculates a group of federal loan bond indices segmented by duration and type of coupon payment rate. OFZ indices are calculated based on the weighted average prices of bonds included in the calculation base….”
“…When determining prices, transactions concluded during the trading session are taken into account, both in the main trading mode and in the negotiated transactions mode.”
“The new OFZ index, calculated at current prices, can be used to launch new instruments in the futures market, the exchange noted.”
I have questions about what exactly all the differences will be. I guess I’ll just need to wait until it’s launched & look at it.
This is what was in the RGBI a couple months ago. It’s all constant coupon bonds.
Every fifteen seconds? So does the interest accrue every fifteen seconds as well?
That’s the way the RGBI works too. They’re tracking how much these bonds are trading at on the exchange
Probably just mudding the water 🤷
