All Bond Indices

The All Bond Indices are Vanilla Indices that are comprised of “vanilla” bonds from across the full range of maturities in the bond market.  They serve as a useful measure of the daily movement in the bond market.

Index Details

Composite All Bond (ALBI)
The ALBI Index is a composite index containing the top 20 vanilla bonds ranked dually by liquidity and market capitalisation.
Characteristic Description
Name All Bond Composite
Index Code ALBI
Universe Only conventional listed vanilla bonds, with a fixed, even if zero, semi-annual coupon.  Bonds with a term less than one year are excluded.
Fixed No. of Bonds 20
Averaging Period Twelve month period preceding the selection date (selection process is performed early in the month prior to reconstitution or reweighting month).
Ranking Dual ranking by average liquidity (clean consideration turnover) and average market capitalisation over the Averaging Period.
Weighting Methodology According to nominal amounts in issue as on the last day of the Averaging Period.
Index Reconstitution End of every quarter in Feb, May, Aug, Nov
Effective at 12 noon on the first Thursday of reconstitution month.
Index Reweighting Jan, Mar, Apr, Jun, Jul, Sep, Oct, Dec
Effective the Friday following the first Thursday of reweighting month.
Dissemination End of Day
Base Date 2000/07/01
Government Bonds (GOVI)
The GOVI Index will contain all Bonds issued by the Republic of South Africa that fall into the top 10 positions of the ALBI Composite Index according to the dual ranking scheme.
Characteristic Description
Name Government Bonds
Short Name GOVI
Universe ALBI Index
Other Screening RSA issued bonds only
Fixed No. of Bonds 10
Ranking Dual ranking by average liquidity (clean consideration turnover) and average market capitalisation over the Averaging Period.
Weighting Methodology According to nominal amounts in issue as on the last day of the Averaging Period.​
Index Reconstitution
End of every quarter in Feb, ​May, Aug, Nov
Effective at 12 noon on the first Thursday of reconstitution month.
Index Reweighting
Jan, Mar, Apr, Jun, Jul, Sep, Oct, Dec
Effective the Friday following the first Thursday of reweighting month​.
Dissemination End of Day
Base Date 2000/07/01
Other Bonds (OTHI)
The OTHI Index contains the remainder of the ALBI Index Bonds that are not in the GOVI Index.
Characteristic Description
Name Other Bonds
Short Name OTHI
Universe ALBI Index
Other Screening Exclude GOVI constituents
Fixed No. of Bonds 10
Ranking Dual ranking by average liquidity (clean consideration turnover) and average market capitalisation over the Averaging Period.
Weighting Methodology According to nominal amounts in issue as on the last day of the Averaging Period.
Index Reconstitution End of every quarter in Feb, May, Aug, Nov.
Effective at 12 noon on the first Thursday of reconstitution month.
Index Reweighting Jan, Mar, Apr, Jun, Jul, Sep, Oct, Dec.
Effective the Friday following the first Thursday of reweighting month.
Dissemination End of Day
Base Date 2000/07/01
ALBI 1 to 3 Year Term Split
The ALBI 1-3 Year is a sub-index of the ALBI Index based on a term to maturity of 1-3 years. This sub-index allows for analysis of the Vanilla Bond Market by term and by liquidity.
Characteristic Description
Name ALBI 1 to 3 Year Term Split
Short Name ALBI 1-3 Year
Universe ALBI Index
Other Screening Term to maturity between 1-3 years
Fixed No. of Bonds N/A​​
Ranking Dual ranking by average liquidity (clean consideration turnover) and average market capitalisation over the Averaging Period
Weighting Methodology According to nominal amounts in issue as on the last day of the Averaging Period.
Index Reconstitution End of every quarter in Feb, May, Aug, Nov
Effective at 12 noon on the first Thursday of reconstitution month.
Index Reweighting Jan, Mar, Apr, Jun, Jul, Sep, Oct, Dec
Effective the Friday following the first Thursday of reweighting month.
Dissemination End of Day
Base Date 2000/07/01
ALBI 3 to 7 Year Term Split
The ALBI 3-7 Year is a sub-index of the ALBI Index based on a term to maturity of 3-7 years. This sub-index allows for analysis of the Vanilla Bond Market by term and by liquidity.
Characteristic Description
Name ALBI 3 to 7 Year Term Split
Short Name ALBI 3-7 Year
Universe ALBI Index
Other Screening Term to maturity between 3-7 years
Fixed No. of Bonds N/A
Ranking Dual ranking by average liquidity (clean consideration turnover) and average market capitalisation over the Averaging Period.
Weighting Methodology According to nominal amounts in issue as on the last day of the Averaging Period.
Index Reconstitution End of every quarter in Feb, May, Aug, Nov.
Effective at 12 noon on the first Thursday of reconstitution month.
Index Reweighting Jan, Mar, Apr, Jun, Jul, Sep, Oct, Dec
Effective the Friday following the first Thursday of reweighting month.
Dissemination End of Day
Base Date 2000/07/01
ALBI 7 to 12 Year Term Split
The ALBI 7-12 Year is a sub-index of the ALBI Index based on a term to maturity of 7-12 years. This sub-index allows for analysis of the Vanilla Bond Market by term and by liquidity.
Characteristic Description
Name ALBI 7 to 12 Year Term Split
Short Name ALBI 7-12 Year
Universe ALBI Index
Other Screening Term to maturity between 7-12 years
Fixed No. of Bonds N/A
Ranking Dual ranking by average liquidity (clean consideration turnover) and average market capitalisation over the Averaging Period.
Weighting Methodology According to nominal amounts in issue as on the last day of the Averaging Period.
Index Reconstitution End of every quarter in Feb, May, Aug, Nov
Effective at 12 noon on the first Thursday of reconstitution month.
Index Reweighting Jan, Mar, Apr, Jun, Jul, Sep, Oct, Dec
Effective the Friday following the first Thursday of reweighting month.
Dissemination End of Day
Base Date 2000/07/01
ALBI 12 Year and Over Term Split
The ALBI 12+ Year is a sub-index of the ALBI Index based on a term to maturity of 12 years and over. This sub-index allows for analysis of the Vanilla Bond Market by term and by liquidity.
Characteristic Description
Name ALBI 12 Year and Over Term Split
Short Name ALBI 12+ Year
Universe ALBI Index
Other Screening Term to maturity 12 years and over
Fixed No. of Bonds N/A
Ranking Dual ranking by average liquidity (clean consideration turnover) and average market capitalisation over the Averaging Period.
Weighting Methodology According to nominal amounts in issue as on the last day of the Averaging Period.
Index Reconstitution End of every quarter in Feb, May, Aug, Nov
Effective at 12 noon on the first Thursday of reconstitution month.
Index Reweighting Jan, Mar, Apr, Jun, Jul, Sep, Oct, Dec
Effective the Friday following the first Thursday of reweighting month.
Dissemination End of Day​
Base Date 2000/07/01

 

 

 

 

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