News
GPW Benchmark Publishes Composition of Indices in the Treasury Bond Index Family
PRESS RELEASE
- GPW Benchmark has announced the composition of five new government bond (fixed income) indices which cover portfolios of bonds with different maturities and are part of the Treasury Bond Index Family
- Publication of the indices starts on 28 November 2022
- The input data for the provision of the new bond indices are the TBSP reference prices used in the TBSP.Index method
- The Family also includes TBSP.Index
GPW Benchmark has announced the composition of five new government bond (fixed income) indices which cover portfolios of bonds with different maturities and are part of the Treasury Bond Index Family. The input data for the provision of the new bond indices are the TBSP reference prices used in the TBSP.Index method.
The indices in the Treasury Bond Index Family measure the reality and trends of the wholesale fixed-rate and zero-coupon government bond market organised by BondSpot. Each Index tracks changes in the reference prices of the government bonds in its composition, the amount of accrued interest, and the income from the reinvestment of interest coupons (total return indices).
The base values of the indices are 1,000.00 points as at 31 December 2016. The historical index values have been recalculated as of this date and will be available on the GPW Benchmark website on the first day of publication.
Portfolios of the new indices in the Treasury Bond Index Family
Attached are the compositions of portfolios of individual indices.
Other statistics per portfolio
|
Index |
TBSP.Index |
GPWB-B1Y3Y |
GPWB-B1Y4Y |
GPWB-B1Y5Y |
GPWB-B3Y5Y |
GPWB-B5Y |
|
Number of constituents |
15 |
5 |
7 |
9 |
4 |
5 |
|
Notional value (PLN mn) |
403 718 |
139 700 |
205 083 |
257 825 |
118 125 |
119 702 |
|
YTM (%) |
7.16% |
7.19% |
7.23% |
7.25% |
7.32% |
7.05% |
|
Macaulay duration (years) |
3.79 |
2.04 |
2.56 |
2.90 |
3.92 |
6.33 |
|
Modified duration (years) |
3.54 |
1.90 |
2.39 |
2.70 |
3.65 |
5.92 |
|
Maturity (years) |
4.11 |
2.08 |
2.62 |
3.03 |
4.15 |
7.14 |
|
Coupon (%) |
2.38 |
2.05 |
1.91 |
2.16 |
2.29 |
2.50 |
Historical performance of the indices
Chart 1. GPWB-B1Y3Y performance in 30.12.2016 – 18.11.2022
Chart 2. GPWB-B1Y4Y performance in 30.12.2016 – 18.11.2022
Chart 3. GPWB-B1Y5Y performance in 30.12.2016 – 18.11.2022
Chart 4. GPWB-B3Y5Y performance in 30.12.2016 – 18.11.2022
Chart 5. GPWB-B5Y performance in 30.12.2016 – 18.11.2022
***
The Warsaw Stock Exchange Group (GPW Group) operates trading platforms for shares, Treasury and corporate bonds, derivatives, electricity and gas, and provides indices and benchmarks including WIBOR and WIBID. The index agent FTSE Russell classifies the Polish capital market as a Developed Market since 2018. The markets operated by the GPW Group are the biggest in Central and Eastern Europe. For more information, visit www.gpw.pl