26.03.2021 13:41

Moscow Exchange to launch high yield fixed income index

On 26 March 2021, Moscow Exchange will start calculation and publication of the High Yield High Risk Bond Index, an index of high yield bonds with increased investment risk.

The new gauge will improve transparency of the Russian debt market and complement MOEX’s family of bond indices, which includes a wide range of government, corporate and municipal bond market indicators.

A bond issue must meet the following criteria to be included in the new index:

  • the issuer has fully discharged its obligations to pay coupon income, redeem on offer, and repay all bond issues admitted to trading,
  • the issuer has a credit rating of at least ruB- (or its analogue on the national scale) from a national rating agency,
  • the issue is denominated in RUB,
  • the nominal value of the issue is at least RUB 200 million,
  • the term to maturity is at least three months.

When classifying an issue as high-yield, MOEX will use the spread of the issue's current yield against the Zero Coupon Yield Curve for government securities calculated by the Exchange. Bond issues from the High Investment Risks Sector are eligible for the index.

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