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Aggregated Bond Market Indicators

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Bond type Nominal Issue Size, mln. RUB Trading value, mln. RUB
(Nominal)
Trading value, mln. RUB
(prices)
Nominal turnover coefficient,
%
Weighted avarage maturity, years
Main trading mode Negotiated deals mode Main trading mode Negotiated deals mode Main trading mode Negotiated deals mode
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Formulae used:

 

1. Nominal issue size

2. Trading value (nominal)

3. Trading value (prices)

4. Weighted avarage maturity

5. Nominal turnover coefficient

Where:

Qi,t – Quantity of bond units on day t;

Ni,t – Bond issue nominal on day t;

Voli,t – Quantity of bond units traded in Main traiding mode on day t;

Vali,t – Traded value on day t;

Ai,t – Accrued interest on day t;

Ti – Quantity of days before maturity date (or next put option date).