Bond market index

A bond index is an index that is used to measure the performance of the relevant bond market. An increase in the pension index means that the bond market has increased the prices and consequently the yields and interest rates have fallen. The sub-markets, applies to a bond index may by currency risks (eg mortgage bond market, high-yield market, the government bond market ), maturities, regions and emission volumes are not limited.

Composition

Thus, the mapped pension fund portfolio for the market considered representative, it is necessary to consider both the issuer risk, and the remaining term in the selection of papers. To minimize issuer risk comparable, the main bond indices deal solely with government bonds. The remaining terms (duration) must reflect the situation of the market. Due to the automatic reduction of the running time, it is necessary to adjust the index composition at relatively short intervals.

Use

Bond indices serve as a benchmark for the development of the bond market (eg as a benchmark for pension funds), as a direct investment strategy for bond index funds, and as a basis for calculating the cash flows of derivatives ( in particular warrants) and certificates.

Important bond indices

German bond market

REX

The REX reflects the market for government bonds. It is available in the variant of a price index, which takes into account only the courses and not the interest, and reflected in the variation of the performance index REXP, interest income and believed to flow again in the papers of the index. The REX is a synthetic index, because it is based on the performance of fictitious bonds. For this is extrapolated with a model from the prices actually available bonds a yield curve.

PEX

The PEX reflects the market development of the German Pfandbriefe and is determined in the various maturities. It is used in accordance with the jurisprudence of the Supreme Court of the calculation of prepayment penalties for early repayment of loans from individuals.

Eb.rexx

The index family eb.rexx reflects the market for government bonds and Jumbo Pfandbriefe. In contrast to the REX and PEX it is based on baskets of actually traded bonds.

RDAX

The RDAX is an index of German corporate bonds. It is calculated daily since 9 May 2005, the German stock market. The RDAX is made up of euro-denominated bonds of the 30 DAX companies. The bonds must ( BBB or better ) have a rating of " investment grade " and a volume of at least 500 million euros. The weight of all bonds of a single issuer in the index is limited to twenty percent. The index starts on May 9 with 89 bonds of 20 companies in the DAX index. It has a historical time series to January 1999.

Other

  • Commerzbank bond market index
  • FAZ- bond market index

Swiss bond market

  • SBI

Austrian bond market

  • API
  • PIA

International bond indices

  • JP Morgan Government Bond Index ( for many countries )
  • EMLE (Emerging Markets Bond Index Liquid euro, emerging market debt index of Deutsche Bank)
  • iBoxx
Economic indicator Bond duration Benchmarking Derivative (finance) BGH Stock market index
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