Особенности подходов к измерению доходности облигаций с переменным купоном на примере сравнения ОФЗ-ПК и ОФЗ-ПД
Almost a quarter of Russian government domestic bonds (OFZ) are issued as floating rate
bonds. Due to the peculiarities of cash flow, yields of such bonds are calculated differently than of
fixed coupon bonds and have different interpretation.
However, in some trading platforms (for example, MICEX Trade SE) and other information
sources yield measures for Russian government bonds with fixed coupon (OFZ–PD) and floating
coupon (OFZ–PK) are presented in identical way which may mislead user.
The aim of this paper is to highlight differences between yield measures applicable for OFZ
with fixed and floating coupon and prevent any confusion that may arise in practice. We also study
different credit spread measures of OFZ–PK that might be found in Bloomberg.