Indicators

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:

Name

Abbreviation for GS market

Abbreviation for corporate bond market

Description

Price market index

IBYRGov

IBYRComposite

Composite index of average price changes in the bond market

Integrated yield market index   

ITRBYRGov

ITRBYRComposite

Composite index of total income changes in the bond market

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

Price index:

Weighted average price in the par value currency

Index АР

Weighted average price for daily transactions in securities of one issue

Market price, BYR

Index Р

 

Performance-Based Indices 

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

Weighted average yield, %

Index AY

-

Weighted average yield to maturity for the daily transactions in securities of one issue

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

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

Turnover Indicators

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

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

Share Turnover Indicators

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

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

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

Capitalization Indicators

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

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

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

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

 

Equity Market Capitalization 

Indices for the equity market capitalization 

Name

Description

Equity market capitalization by   weighted average price 

Sum of products of weighted average price by number of shares issues in circulation.

Equity market capitalization by   market price 

Sum of products of market price by number of shares issues in circulation.

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)

Effective yield index

Yeff

Integrated indicator of the effective bond market yield

Gross yield index

Ryt

Integrated yield indicator to maturity upon the weighted average price calculated by the bond market

Duration before maturity, days

DM

The average term to maturity of traded bond issues (REPO excluding)

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.

REPO Yield Spread, %

SPRR

The difference between the minimum purchase bid and the maximum sale bid with the same repo term

 

Professional consulting:

Operational Department 

mail:  48a, Surganova str., Minsk 220013 BELARUS

e-mail: grevtsov@bcse.by