Moscow Exchange to start calculating new OFZ index on Sept 1

MOSCOW. Aug 27 (Interfax) - The Moscow Exchange will begin publishing a new federal loan bond (OFZ) index on September 1, the calculation base of which includes issues with fixed coupon income, the trading platform said.

The index code is RGBILP. The calculation will be carried out every 15 seconds during the main trading session based on current prices.

The composition of the new index's calculation base, calculation methodology, timing and frequency of rebalancing are similar to the RGBI index calculated by the Moscow Exchange.

The Moscow Exchange currently calculates a group of OFZ indices, segmented by duration and type of coupon payment rate. The calculation of OFZ indices is based on the weighted average prices of bonds included in the calculation base. When determining prices, transactions concluded during the trading session, both in the main trading mode and in the negotiated deals mode, are taken into account.

The new OFZ index, calculated based on current prices, can be used to launch new derivative market instruments, the exchange said.