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The Bank of Israel regularly monitors activity in the Israeli bond market. The Information and Statistics Department maintains an information system with regard to securities traded on the Tel Aviv Stock Exchange, including tradable corporate bonds. In order to monitor the range of corporate bonds and to analyze activity in this market, the Bank of Israel computes bond aggregates. Such an aggregate consists of a group of tradable corporate bonds sharing common features. Grouping bonds in aggregates allows for weighting of individual data to form a single benchmark representing the entire group, which may be used for analysis over time and comparison of the risk associated with market segments. This document describes the major calculations for bonds—yield to maturity, margin and duration—and how these calculations are weighted to reach an aggregate benchmark representative of a bond basket, with reference to key methodology issues. This document presents major aggregates used by the Bank of Israel. |