IMA - ANBIMA Market Index Methodology

Transcription

1 IMA - ANBIMA Marke Index Mehodology March 2011

2 Wha is he Anbima Marke Index? The IMA ANBIMA marke index - is a family of indexes represening he evoluion, a marke prices, of a public bond porfolio, used by he segmen as a benchmark. To mee differen ypes of invesors needs and heir respecive porfolios, he IMA is subdivided ino four sub-indexes, relaed o bond indexers fixed rae, linked o IPCA, linked o IGP-M and floaing (Selic rae). Excep floaing bonds (IMA-S) heoreical porfolio, in all oher porfolios, sub-indexes are calculaed based on erms of heir componens. Addiionally, by virue of explici inenion of he Naional Treasury Secrearia (STN) of no longer issuing bonds linked o IGP-M (NTN-C) and sill due o low liquidiy observed in his segmen, i was decided o elaborae an index linked o same models han IMA-General, bu wihou paricipaion of he IMA-C, named IMA-General ex-c. Therefore, ANBIMA marke family of indexes shows following composiion: IMA General ex-c Daily rae of reurn weighed average of IMA-B, IMA-S and IRF-M IMA General Daily rae of reurn weighed average of IMA-B, IMA-C, IMA-S and IRF-M IMA-B Composiion NTN-B (IPCA) IMA-C Composiion NTN-C (IGP-M) IRF-M Composiion: LTN e NTN-F (Fixed rae) IMA-S Composiion LFT 1 (Selic rae) IMA-B 5 Composiion: NTN-B Maur. < 5 yrs IMA-B 5+ Composiion: NTN-B Maur. 5 yrs IMA-C 5 Composiion: NTN-C 2 Maur. < 5 yrs IMA-C 5+ Composiion: NTN-C 2 Maur. 5 yrs IRF-M 1 Composiion: LTN e NTN-F Maur < 1 yr IRF-M 1+ Composiion: LTN e NTN-F Maur 1 yr 1 I does no include LFT-A and LFT-B. 2 Unil 3/1/11 wo sub-indexes of IMA- C have been calculaed according o he erm of is componens (IMA-C 5, consising of NTN-C mauring under 5 years and IMA-C 5+, consising of NTN-C wih mauriy over 5 years). From his dae, due o he reduced number of mauriies and he explici inenion of Brazilian Naional Treasury no longer issue IGP-M linked bonds (NTN-C), ANBIMA s board of direcors approved he disconinuance of hese wo sub-indexes, analyzed and recommended by ANBIMA s Benchmarks Subcommiee and he Pricing Commiee members.

3 1. Theoreical porfolios Theoreical porfolio composiion is monhly revised; o capure changes occurred o invenory of bonds currenly on he marke, o preserve he represenaiveness of he indicaor. a. Bond eligibiliy crieria Among all public bonds priced by he Associaion, following are no eligible: Bonds mauring in less han one monh and mauriy being during validiy period of he heoreical porfolio; Bonds placed only direcly, wihou public offer; Bonds wih only one placemen, hrough public offer (*); New mauriies, placed on he marke in he wo las business days before dae of heoreical porfolio rebalancing. (*)New mauriies placed on he marke afer April 2010, will immediaely be regisered in he index. However, in case no placemens be performed in he nex hree monhs, hey will be removed from he index unil he Naional Treasury Secrearia makes he second placemen, hrough public offer. When classifying by mauriies, for indexes IRF-M in IRF-M 1/IRF-M 1+, IMA-B in IMA-B 5/IMA-B 5+ and IMA-C in IMA-C 5/IMA-C 5+, adoped crieria will be he following: Porfolio 5+ wih bonds having five years or longer mauriy erm. Porfolio 5 have bonds wih mauriy bellow five years. Porfolio 1+ wih bonds having one year or longer mauriy erm. Porfolio 1 have bonds wih mauriy bellow one year. Remark: Bonds reaching paricipaion erm-limi in long mauriy bonds porfolios are redeemed and invesed in shor mauriy bonds porfolios, a he heoreical porfolio rebalancing dae. b. Theoreical amoun Amouns used is he one in he marke, checked hree previous business days before heoreical porfolio rebalancing dae. Such volume may only be modified hrough definiive purchase, sell or bond exchange operaions, performed by he Naional Treasury Secrearia. Neverheless bonds sold hrough direc operaions are no eligible o be par of IMA s heoreical porfolio; amouns placed under his way are added o he quaniy of bonds used for calculaion. Besides, amouns of eligible mauriies,

4 issued by Treasury Direc program (Programa Tesouro Direo), are also included in calculaion. c. Validiy and Theoreical Porfolio Rebalancing Theoreical IMA sub-indexes porfolio will have a consan composiion along each validiy period. In he case of IRF-M, IMA-C e IMA-S, heoreical porfolio validiy will go from second business day of he monh unil firs business day of following monh. Regarding IMA-B, validiy period of he heoreical porfolio will go from he day 16 o day 15 of nex coming monh. In case hese daes are no business days, validiy periods will be adused o he nex business day. Rebalancing, for his par, only occurs afer calculaing he resul of las validiy day of heoreical porfolios. IRF-M IRF-M 1 IRF-M 1+ IMA-C IMA-C 5 IMA-C 5+ IMA-S IMA-B IMA-B 5 IMA-B 5+ Index Validiy Rebalancing IMA General ex-c IMA General From second business day of he monh unil firs business day of nex monh. From firs business day afer day 15, unil day 15 of nex monh. Afer calculaion of firs business day of he monh. Afer calculaion of he 15h day of he monh. Weigh adusmen, according o aleraions of is hree componens. Weigh adusmen, according o aleraions of is four componens. 2. Index Calculaion IMA index is enailed o Laspeyres index mehod (weighing prices of is componens by heoreic quaniies of he base period). Therefore, variaions in heoreical porfolio composiion do no impac index rae of reurn. To ge he resul of he index, i has o be muliplied heoreical amoun of bonds (from he base period) by is respecive prices (a he reference dae) and he resul is he number of poins of each bond in he index. Resul from adding up oal amoun of poins obained from all is componens in he index, corresponds o figure number index. I mus be observed ha boh ineres coupons and evenual redempions occurred in he dae, will be aken ino accoun when calculaing he index value.

5 The index is calculaed wih he following formula: I k1 Q v P C (1) Where: I is he number index in dae. Qv is valid amoun of bond in he porfolio. P is he ex coupon price of bond in dae. C is coupon value paid by bond in dae. On rebalancing dae, following procedures mus be execued: 1) From eligible bond amoun in he marke, ( Q m ), described in iem 2.b, i mus be enered an auxiliary index: I a k1 Q m P (2) 2) Following, new valid amoun of each eligible bond mus be adused ( Q nv) 1 and subsiue amouns calculaed in he equaion (1): I Q nv Qm (3) a I 3. Daa Base a. Amouns The agreemen signed beween ANBIMA and he Naional Treasury Secrearia esablished ha he Auarchy would send daily o he Associaion exising marke amoun of all he mauriies being par of differen porfolios. In case i would no be possible sending a he appropriae ime amouns files, by means muually agreed beween he wo paries, ANBIMA will calculae he indexes based in las available day amouns, unil flow of informaion beween he wo eniies be regularized. 1 Therefore, we have: Qnv P C I k1, preserving coninuiy of he index, in view of changes in he heoreical porfolio, and safeguarding relaive values of each bond, compared o marke porfolio (oal value of eligible bonds ).

6 b. Prices Prices used o value heoreical porfolio bonds are daily esablished by ANBIMA, based in price survey done wih a represenaive sample of banks, resource managers and financial brokers, acing in public bonds secondary marke. The obecive of his survey is finding fair bond prices; in oher words, he value a which he insiuion would negoiae he bonds, including days when no business is done wih bonds. Several saisic crieria are applied o eliminae spurious prices and possible ouliers. A deailed descripion of he saisical process is in Annex VI Federal Public Bonds: Calculaion Crieria and Pricing Mehodology, available a he ANBIMA sie, in he following link - hp:// When finishing he process, an indicaive average rae for each mauriy will be deermined. In he case i could no be possible o calculae raes for anyone of mauriies being par of index porfolios, las available one will be used, and i will be esablished a new uniary price for his dae. 4. Evens causing inerference o Index daily calculaion Index will no be recalculaed, excep in cases relaed o operaional misakes or human error. 5. Disclosure a. Monhly Theoreical Porfolio During he morning, i is disclosed a lis of componens and volume o be considered in each porfolio along heir respecive validiy periods, wo business days before dae of rebalancing indexes. b. Daily marke amouns A lis wih saisics regarding sock of public bond in he marke and heir aleraions is daily disclosed during he morning, one day afer he rade. c. Daily Resuls Resuls of indexes and heir daily saisics are disclosed every each day, soon afer selemen of secondary marke componen prices. This is usually done afer 7 PM. 6. Exoneraion from Responsibiliy

7 Disclosure of IMA index will have a merely informaive obecive, and is use by economic agens is opional. ANBIMA is no responsible for evenual damages ha could arise o users employing his index for any obecives. Therefore in his case, heir use is of heir enire and exclusive responsibiliy.