Fixed Interest bond index family on OMX Nordic Exchange Stockholm

OMRX - Fixed Interest bond index family – is a family of indexes. Its purpose is show the value trend of certain type of passively managed portfolio of Swedish interest bearing securities.

One of the OMTX's tasks is to measure the performance of Swedish fixed interest portfolio fund managers.

The index is calculated continuously during every Swedish banking day and is updated in real-time. Historical data on the OMRX family of indices has been stored since 2 January 1990.

The compilation of the index is based on official statistics from Swedish National Debt Office on their issues, with the exception of OMRX-MORT which has been collated from statistics provided by Statshypotekskassan.

The family of indices consists of eight different indices, these are:

TBILL OMRX TBILL is an index of the treasury bills issued by the Swedish National Debt Office.

TBOND OMRX-TBOND is an index of Swedish treasury bonds which have benchmark status (also known as "benchmark bonds). These have been issued by the Swedish National Debt Office.

GOVT OMRX-GOVT (TBILL and TBOND) is a complete index of the Swedish National Debt Office's borrowings in the Swedish market and includes treasury bill and government benchmark debt.

MORT OMRX-MORT is an index of bonds issues made by the Swedish mortgage institutions.

BOND OMRX-BOND (TBOND + BOND) is an index of the Swedish National Debt Office's and the mortgage institutions borrowings via bonds.

TOT OMRX-TOT (GOVT+BOND) is a complete index of the Swedish National Debt Office's and the mortgage institutions' borrowings in Sweden.

O/N OMRX-O/N is an index of call money interest rates and reflects the rise in value of a portfolio which is fully invested in call money.

REAL OMRX –REAL is an index of the Swedish National Debt Office's borrowings in index-linked bonds and reflects the rise in value of portfolio which is fully invested in index-linked bonds and changes in the consumer price index.

Valuation: The following equation can be used to calculate OMRXi (OMRX for a class of securities, for example TBOND) at point t

Where TMV i,t is the total market value of the securities which constitute the index at point t. TMV i,t is calculated as follows:

Where j= all securities ni, t which constitute the index at t, point in time

M,V i,j and t = the market value of all securities in j at t point in time for the i index. The market value refers to settled amounts. For bonds this is calculated as the price plus accrued interest.

IV i,j and t = issued volume (SEK million) of all securities j at t, point in time, for i index.

Link to Regulatory Framework (4.33 Addendum: OMRX)
Link to Swedish National Debt Office: www.rgk.se
(Please refer to Reports/Government Debt under the heading "Government Debt")

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