Equity and bond indices >
Indices >
Corporate bond indices
Corporate bond indices
GPW Benchmark operates the Corporate Bond Market Monitoring System, which includes the calculation of indices for selected segments of the non-sovereign debt securities market. In addition, GPW Benchmark provides information and metadata that enable the monitoring of activity and trends in this segment of the financial market.
The POLCBF Index Rules and the WIPID Index Rules are available in the Documentation section. WIPID-Catalyst is a version of the WIPID Index calculated solely using data from the WSE Catalyst market to reflect the state of the regulated market.
Corporate Bond Market Monitoring System
Current Values
| WIPID_Catalyst | WIPID | POLCBF |
|---|---|---|
| Value: 1220.53 | Value: 1215.26 | Value: 1207.95 |
| YTD Change (%): 3.34% | YTD Change (%): 3.19% | YTD Change (%): 3.22% |
| MTD Change (%): 0.63% | MTD Change (%): 0.53% | MTD Change (%): 0.50% |
| CAGR*: 8.00% | CAGR*: 7.82% | CAGR*: 7.57% |
| Index Volatility**: 1.07% | Index Volatility**: 1.23% | Index Volatility**: 0.67% |
where n is the number of years, V0 value as of 29 December 2023, Vt the latest available value
Annualized Index Volatility** - a risk measure indicating the extent to which the index's returns deviate from their average on an annualized basis,
σannually = σdaily × √252 , where σdaily is a standard deviation of the daily logarithmic returns
Key Assumptions
| WIPID_Catalyst | WIPID | POLCBF |
|---|---|---|
| Bonds and covered bonds listed on Catalyst | Bonds and covered bonds listed on Catalyst | Bonds and covered bonds listed on Catalyst from the financial sector* (including unlisted issues) |
| PLN-denominated instruments | PLN-denominated instruments | PLN-denominated instruments |
| Issue value greater than or equal to PLN 100 million | Issue value greater than or equal to PLN 100 million | Issue value greater than or equal to PLN 100 million |
| Maturity longer than 12 months | Maturity longer than 12 months | Maturity longer than 12 months |
| Trading volume-weighted clean price** (Catalyst) | Trading volume-weighted clean price** (Catalyst+OTC) | Trading volume-weighted clean price** (Catalyst+OTC) |
| Accrued interest as of the settlement date T+2 | Accrued interest as of the settlement date T+2 | Accrued interest as of the settlement date T+2 |
| Based on the three-month trading volume on WSE Catalyst (>=0,2% trading volume***) | Based on the three-month trading volume on WSE Catalyst+OTC (>=0,2% trading volume***) | - |
| Total return index (with income reinvested) | Total return index (with income reinvested) | Total return index (with income reinvested) |
** - if no transaction or settled trade is available, the previous day's price is carried forward
*** - of the aggregate trading volume of instruments satisfying the other eligibility criteria