Pension index
A bond index is an index that is used in the context of market analysis to measure the market development in a bond market . A rise in the bond index means that the rates have risen in the bond market and consequently yields or interest rates have fallen. The sub-markets to which a bond index refers can be limited according to currencies, risks (e.g. Pfandbrief market, high-yield market, government bond market), remaining terms, regions and issue volumes.
composition
In order for the portfolio shown in the bond fund to be representative of the market under consideration, it is necessary to consider both the issuer risk and the respective remaining term when selecting the securities. In order to keep the issuer risk comparable, the most important bond indices only deal with government bonds. The remaining terms ( duration ) must reflect the market situation. Due to the automatic decrease in maturity, it is necessary to adjust the index composition at relatively short intervals.
use
Bond indices serve as a yardstick for the development of the bond market (e.g. as a benchmark for bond funds ), as a purchase or sale decision for bonds by investors , as a direct investment strategy for bond index funds and as a basis of calculation for the cash flows of derivatives (especially warrants ) and certificates .
Important pension indices
German bond market
REX
The REX, which has existed since June 1991, reflects the market for federal bonds . It is available in the variant of a price index, which only takes into account prices and not interest, and in the variant of the REXP performance index, which takes interest income into account and assumes that they flow back into the securities of the index. The REX is a synthetic index because it is based on the performance of fictitious bonds. To do this, a model is used to extrapolate a yield curve from the prices of the bonds actually available.
PEX
The PEX (Mortgage Pfandbrieindex of the Association of German Mortgage Banks) reflects the market development of German Pfandbriefe and is determined for the different maturities.
The Supreme Court has decided by judgment of 30 November 2004 that when using the asset and liability method of calculating the prepayment penalty as reference rate not known. May be used "PEX yields" because they do not actually achieved on the market returns are The returns are purely offered, but they can be so low that Pfandbrief buyers do not want to conclude any transactions at these returns. The prepayment loss is therefore too high under these returns. Instead, the reinvestment returns from the capital market statistics of the Deutsche Bundesbank must be used.
eb.rexx
The eb.rexx index family reflects the market for Bunds 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 . Since May 9, 2005, it has been determined daily by Deutsche Börse . The RDAX is made up of EUR-denominated bonds from the 30 DAX companies. The bonds must have an investment grade rating (BBB- or better) and a volume of at least EUR 500 million. The weight of all bonds from a single issuer in the index is limited to twenty percent. The index starts on May 9th with 89 bonds from 20 companies in the DAX share index. It has a historical time series up to January 1999. On November 24, 2014, Deutsche Börse stopped calculating and distributing the RDAX indices.
Others
- Commerzbank bond market index
- FAZ bond market index
Swiss bond market
Austrian bond market
International pension indices
- JP Morgan Government Bond Index (for many countries)
- EMLE (Emerging Markets Liquid Eurobond Index, Deutsche Bank's emerging market bond index)
- iBoxx
- IFX-Cbonds ( Russia )
See also
Individual evidence
- ↑ Federal Law on Old Age and Survivors' Insurance (AHVG)
- ↑ Federal Court of Justice for calculating a prepayment penalty based on the PEX-Index BGH, judgment of November 30, 2004, Az .: XI ZR 285/03 Federal Court of Justice, press office notification, accessed on May 24, 2015 XI ZR 285/03
- ↑ Indices.com via eb.rexx ( Memento of the original from December 24, 2012 in the Internet Archive ) Info: The archive link was automatically inserted and not yet checked. Please check the original and archive link according to the instructions and then remove this notice.
- ↑ NewsDetail | DAX-Indices.com. (No longer available online.) In: www.dax-indices.com. Archived from the original on March 15, 2016 ; accessed on March 15, 2016 . Info: The archive link was inserted automatically and has not yet been checked. Please check the original and archive link according to the instructions and then remove this notice.
Web links
- List of bond indices broken down by region, country and type of bond