IMA - ANBIMA Market Index
Methodology
March 2011
What is the Anbima Market Index?
The IMA – ANBIMA market index - is a family of indexes representing the
evolution, at market prices, of a public bond portfolio, used by the segment as a
benchmark.
To meet different types of investors needs and their respective portfolios, the IMA
is subdivided into four sub-indexes, related to bond indexers – fixed rate, linked to
IPCA, linked to IGP-M and floating (Selic rate). Except floating bonds (IMA-S)
theoretical portfolio, in all other portfolios, sub-indexes are calculated based on
terms of their components. Additionally, by virtue of explicit intention of the National
Treasury Secretariat (STN) of no longer issuing bonds linked to IGP-M (NTN-C)
and still due to low liquidity observed in this segment, it was decided to elaborate
an index linked to same models than IMA-General, but without participation of the
IMA-C, named IMA-General ex-C. Therefore, ANBIMA market family of indexes
shows following composition:
IMA General
Daily rate of return weighted average of
IMA-B, IMA-C, IMA-S and IRF-M
IMA General ex-C
Daily rate of return
weighted average of
IMA-B, IMA-S and IRF-M
IMA-B
Composition
NTN-B
(IPCA)
IMA-B 5
Composition:
NTN-B
Matur. < 5
yrs
IMA-B 5+
Composition:
NTN-B
Matur. ≥ 5 yrs
IMA-C
Compostiion
NTN-C
(IGP-M)
IMA-C 5
Composition:
NTN-C2
Matur. < 5 yrs
IMA-C 5+
Composition:
NTN-C2
Matur. ≥ 5 yrs
IRF-M
Composition:
LTN e NTN-F
(Fixed rate)
IRF-M 1
Composition:
LTN e NTN-F
Matur < 1 yr
IMA-S
Composition
LFT 1
(Selic rate)
IRF-M 1+
Composition:
LTN e NTN-F
Matur ≥ 1 yr
1 – It does not include LFT-A and LFT-B. 2 – Until 3/1/11 two sub-indexes of IMAC have been calculated according to the term of its components (IMA-C 5,
consisting of NTN-C maturing under 5 years and IMA-C 5+, consisting of NTN-C
with maturity over 5 years). From this date, due to the reduced number of
maturities and the explicit intention of Brazilian National Treasury no longer issue
IGP-M linked bonds (NTN-C), ANBIMA’s board of directors approved the
discontinuance of these two sub-indexes, analyzed and recommended by
ANBIMA’s Benchmarks Subcommittee and the Pricing Committee members.
1. Theoretical portfolios
Theoretical portfolio composition is monthly revised; to capture changes occurred
to inventory of bonds currently on the market, to preserve the representativeness
of the indicator.
a. Bond eligibility criteria
Among all public bonds priced by the Association, following are not eligible:
 Bonds maturing in less than one month – and maturity being during validity
period of the theoretical portfolio;
 Bonds placed only directly, without public offer;
 Bonds with only one placement, through public offer (*);
 New maturities, placed on the market in the two last business days before
date of theoretical portfolio rebalancing.
(*)New maturities placed on the market after April 2010, will immediately be
registered in the index. However, in case no placements be performed in the next
three months, they will be removed from the index until the National Treasury
Secretariat makes the second placement, through public offer.
When classifying by maturities, for indexes IRF-M in IRF-M 1/IRF-M 1+, IMA-B in
IMA-B 5/IMA-B 5+ and IMA-C in IMA-C 5/IMA-C 5+, adopted criteria will be the
following:
 Portfolio “5+” with bonds having five years or longer maturity term. Portfolio
“5” have bonds with maturity bellow five years.
 Portfolio “1+” with bonds having one year or longer maturity term. Portfolio
“1” have bonds with maturity bellow one year.
Remark: Bonds reaching participation term-limit in long maturity bonds portfolios
are redeemed and invested in short maturity bonds portfolios, at the theoretical
portfolio rebalancing date.
b. Theoretical amount
 Amounts used is the one in the market, checked three previous business
days before theoretical portfolio rebalancing date.
Such volume may only be modified through definitive purchase, sell or bond
exchange operations, performed by the National Treasury Secretariat.
Nevertheless bonds sold through direct operations are not eligible to be part of
IMA’s theoretical portfolio; amounts placed under this way are added to the
quantity of bonds used for calculation. Besides, amounts of eligible maturities,
issued by Treasury Direct program (Programa Tesouro Direto), are also included in
calculation.
c. Validity and Theoretical Portfolio Rebalancing
Theoretical IMA sub-indexes portfolio will have a constant composition along each
validity period. In the case of IRF-M, IMA-C e IMA-S, theoretical portfolio validity
will go from second business day of the month until first business day of following
month. Regarding IMA-B, validity period of the theoretical portfolio will go from the
day 16 to day 15 of next coming month. In case these dates are not business days,
validity periods will be adjusted to the next business day.
Rebalancing, for his part, only occurs after calculating the result of last validity day
of theoretical portfolios.
Index
Validity
Rebalancing
From second
business day of the
month until first
business day of
next month.
After calculation of
first business day of
the month.
From first business
day after day 15,
until day 15 of next
month.
After calculation of
the 15th day of the
month.
IRF-M
IRF-M 1
IRF-M 1+
IMA-C
IMA-C 5
IMA-C 5+
IMA-S
IMA-B
IMA-B 5
IMA-B 5+
IMA General ex-C
Weight adjustment, according to
alterations of its three components.
IMA General
Weight adjustment, according to
alterations of its four components.
2. Index Calculation
IMA index is entailed to Laspeyres index method (weighing prices of its
components by theoretic quantities of the base period). Therefore, variations in
theoretical portfolio composition do not impact index rate of return.
To get the result of the index, it has to be multiplied theoretical amount of bonds
(from the base period) by its respective prices (at the reference date) and the result
is the number of points of each bond in the index. Result from adding up total
amount of points obtained from all its components in the index, corresponds to
figure number index. It must be observed that both interest coupons and eventual
redemptions occurred in the date, will be taken into account when calculating the
index value.
The index is calculated with the following formula:

j
I t   Qvj  Pt j  Ct j

(1)
k 1
Where: I t is the number index in date t.
Qvj is valid amount of bond j in the portfolio.
Pt j is the ex coupon price of bond j in date t.
Ct j is coupon value paid by bond j in date t.
On rebalancing date, following procedures must be executed:
1) From eligible bond amount in the market, ( Qmj ), described in item 2.b, it must
be entered an auxiliary index:
j
I ta   Qmj  Pt j
(2)
k 1
2) Following, new valid amount of each eligible bond must be adjusted ( Qnvj )1
and substitute amounts calculated in the equation (1):
I
Qnvj  Qmj   at
 It



(3)
3. Data Base
a. Amounts
The agreement signed between ANBIMA and the National Treasury Secretariat
established that the Autarchy would send daily to the Association existing market
amount of all the maturities being part of different portfolios.
In case it would not be possible sending at the appropriate time amounts files, by
means
mutually agreed between the two parties, ANBIMA will calculate the
indexes based in last available day amounts, until flow of information between the
two entities be regularized.
j
1
Therefore, we have:
Q
k 1
j
nv


 Pt j  Ct j  I t , preserving continuity of the index, in view of changes in
the theoretical portfolio, and safeguarding relative values of each bond, compared to market portfolio (total
value of eligible bonds ).
b. Prices
Prices used to value theoretical portfolio bonds are daily established by ANBIMA,
based in price survey done with a representative sample of banks, resource
managers and financial brokers, acting in public bonds secondary market. The
objective of this survey is finding fair bond prices; in other words, the value at
which the institution would negotiate the bonds, including days when no business
is done with bonds.
Several statistic criteria are applied to eliminate spurious prices and possible
outliers. A detailed description of the statistical process is in Annex VI – Federal
Public Bonds: Calculation Criteria and Pricing Methodology, available at the
ANBIMA
site,
in
the
following
link
http://www.andima.com.br/comites/arqs/com_anexo_6.pdf. When finishing the
process, an indicative average rate for each maturity will be determined. In the
case it could not be possible to calculate rates for anyone of maturities being part
of index portfolios, last available one will be used, and it will be established a new
unitary price for this date.
4. Events causing interference to Index daily calculation
Index will not be recalculated, except in cases related to operational mistakes or
human error.
5. Disclosure
a. Monthly Theoretical Portfolio
During the morning, it is disclosed a list of components and volume to be
considered in each portfolio along their respective validity periods, two business
days before date of rebalancing indexes.
b. Daily market amounts
A list with statistics regarding stock of public bond in the market and their
alterations is daily disclosed during the morning, one day after the trade.
c. Daily Results
Results of indexes and their daily statistics are disclosed every each day, soon
after settlement of secondary market component prices. This is usually done after
7 PM.
6. Exoneration from Responsibility
Disclosure of IMA index will have a merely informative objective, and its use by
economic agents is optional. ANBIMA is not responsible for eventual damages that
could arise to users employing this index for any objectives. Therefore in this case,
their use is of their entire and exclusive responsibility.