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Ivolga Capital company blog | New Index of High Yield Bonds Moscow Exchange VDO Index PIR will compete with Cbonds High Yield Index

Cbonds-CBI RU High Yield Index

HPOs are becoming, if not more important, then more institutional instruments of the Russian debt market. On March 26, the Moscow Exchange begins the calculation and publication of the VDO index – the Mosbirzh VDO PIR Index (https://t.me/moexnews/4013).

Since 2018, the Cbonds-CBI RU High Yield index has already existed on the HDV market. Now that the index has an alternative, it is important to understand how these indices differ and what securities underlie each of them.

Cbonds Index Criteria:
• Currency of issue Russian Rubles
• Fixed coupon, which is equal to or higher than the Central Bank rate + 5%
• Minimum circulation period 182 days
• At least a third of trading days per quarter, transactions were made on paper
• The maximum volume in circulation is 2 billion (until November 2019, 1 billion)

Index criteria MosExchange VDO PIR:
• The Issuer fulfilled in full the obligations to pay coupon yield, buyback on offer, redemption of all bond issues admitted to trading
• National rating agencies assigned the issuer a credit rating of at least ruB- or an equivalent
• The currency of the issue is Russian rubles
• The volume at the par value of the issue is at least 200 million rubles
• The maturity period is at least 3 months

At the moment, the Cbonds index includes 118 securities:
• Average coupon: 12.8%
• Average issue volume: 410 mln.
• Average yield to maturity as of 25.03: 10.62%
• 55% pay coupon quarterly, 37% pay coupon monthly

Initially, the Moscow Exchange VDO PIR Index will include 46 securities:
• Average coupon: 11%
• Average volume of issue: 2065 mln.
• Average yield to maturity as of 25.03: 10.8%
• 57% pay coupon quarterly, 20% pay coupon monthly

The indices coincide by less than half: only 22 of 46 issues from the Moscow Exchange index are present in the Cbonds index
The Mosbirzh index includes 5 issues organized by Ivolga Capital: TEKHLiz1P2, LTrade 1P1, ObuvPo1R2, ObuvPo1R3, ObuvPo1R4. The Cbonds Index includes 21 issues of Orioles

Mark Savichenko
Data: cbonds.ru, moex.ru

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