ICEX has started calculating new
bond indices. The new bond indices are a response to changes in Treasury bond
issuance in the past year or so, as well as restructuring by the Housing
Financing Fund (HFF) in the summer of 2004. The changes have meant that many of
the largest and most active bond series have been excluded from ICEX’s previous
indices, which were designed for zero-coupon bonds.
Like their predecessors, the new
bond indices have a fixed duration. On the other hand, the new indices cover a
larger portion of the bond market than did the earlier indices, e.g., HFF bonds
and recent Treasury bond classes can now for the first time be considered for
inclusion in the ICEX indices. The definition of the new indices is broader than
that of the previous ones. The former indices for individual bond classes, such
as T-bonds and Housing Bonds, are replaced by indices for
government-guaranteed, indexed and non-indexed bonds of varying maturities.
Finally, now there can be more than two bonds in each index at any point in
time, while this was previously limited to two bonds at a time.
The following indices will be
calculated for government-guaranteed bonds and bills:
Name Code Duration ISIN
ICEX 10-year indexed ICEX-10Y-I 10 years IS0000010031
ICEX 5-year non-indexed ICEX-5Y-NI 5 years IS0000010023
ICEX 1-year non-indexed ICEX-1Y-NI 1 year IS0000010007
ICEX 3-month non-indexed ICEX-3M-NI 3 months IS0000010015
The 1-year index will include both
bonds and bills to attain the one-year duration. Historical values for the
indices are calculated back to year-end 1997. A more detailed description of
the indices can be found in the first issue of ICEX News & Views 2005 and on
ICEX’s website under Quotes and markets/Bond
Indices/About bond indices. The older bond indices will soon be
discontinued. To subscribe to the new indices, please send an e-mail to Agusta
H. Larusdottir (firstname.lastname@example.org).