The Municipal Bond Index The Bond Buyer Municipal Bond Index was created by the Chicago Board of Trade to be the basis for the Municipal Bond Index futures contract, and is calculated by The Bond Buyer. The index's value is expressed in points and 32ds. The figures shown are weekly averages of the new index's daily figures for each week ending Thursday. The index contains 40 long-term municipal bonds. Taxable bonds, variable-rate bonds, and private placements are excluded, but bonds subject to the alternative minimum tax and fixed-rate remarketings can be included. The index is based on price quotations provided by six municipal bond dealer-to- dealer brokers. It is calculated twice a day every day at 12 noon and 3 p.m. The index's value is calculated by taking the average dollar bid price for each bond, converting it to represent what the price would be if the bond had a standard 8% coupon rate, averaging the converted prices, and multiplying the result by the current value of the coefficient. The coefficient compensates for the changes made twice a month in the composition of the index. The average yield to par call is calculated using the average coupon rate, average par call date, and average dollar price. The average yield to maturity is calculated using the average maturity date. The yields were not affected by the switch to the new index. The composition of the index is revised twice a month, on the 15th and the last business day of the month. Revision adds newly issued bonds to the index and drops the least actively traded bonds. On these revision dates a new average maturity, average par call date, average coupon rate, and coefficients are calculated. The Weekly Bond Indexes The three weekly bond indexes are calculated every Thursday (or Wednesday if Thursday or Friday is a legal holiday). They represent theoretical yields rather than actual price or yield quotations. Municipal bond dealers and banks are asked to estimate what a current-coupon bond for each issuer would yield if the bond was sold at par value. The indexes are simple averages of the average estimated yields of the bonds. The 20-Bond Index consists of 20 general obligation bonds that mature in 20 years. The average rating of the 20 bonds is roughly equivalent to Moody's Investors Service's Aa2 and Standard & Poor's Corp.'s AA-minus. The 11-Bond Index uses a select group of 11 bonds in the 20-Bond Index. The average rating of the 11 bonds is roughly equivalent to Moody's Aa1 rating and S&P's AA-plus. The bonds currently used in the two indexes are listed below. The bonds in the 11-Bond Index are marked with an asterisk.
Moody S&P Moody S&P Moody S&P Baltimore A1 A Houston, Tex. Aa3 AA Pennsylvania Aa3 AA California* Aa3 A+ Memphis* Aa2 AA Phoenix, Ariz.* Aa1 AA+ Chicago A1 AA Milwaukee Aa1 AA+ Puerto Rico Baa1 A Dade County, Fla. A1 A+ New Jersey* Aa1 AA+ Seattle* Aaa AA+ Denver* Aa2 AA New York City A3 A South Carolina* Aaa AAA Florida* Aa2 AA+ New York State A2 A Washington* Aa1 AA+ Georgia* Aaa AAA North Carolina* Aaa AAA The Revenue Bond Index The Revenue Bond Index consists of 25 various revenue bonds that mature in 30 years. The average rating is roughly equivalent to Moody's A1 and S&P's A-plus. The bonds currently used in the index and their ratings are listed below.
Moody S&P Atlanta, airport (AMT) A2 A California Housing Finance Agency, multi-unit rental Aa2 A+ Connecticut Housing Finance Authority Aa2 AA Dallas-Fort Worth Regional Airport Board (AMT) A1 A+ Illinois Health Facilities Authority (Northwestern Memorial Hospital) Aa2 AA Illinois Housing Development Authority, multifamily housing A1 A+ Intermountain Power Agency, Utah A1 A+ Jacksonville Electric Authority, electric revenue Aa2 AA Kentucky Turnpike Authority A A Los Angeles Department of Water and Power, electric revenue Aa3 A+ Maricopa County Industrial Development Authority, Ariz. (Samaritan Health Service) Baa1 BBB Massachusetts Port Authority (AMT) Aa3 AA MEAG Power (Municipal Electric Authority of Georgia) A3 A Nebraska Public Power District, power supply A1 A+ New Jersey Turnpike Authority, turnpike revenue Baa1 BBB+ New York Local Government Assistance Corp., revenue A3 A New York State Power Authority, general purpose Aa2 AA North Carolina Municipal Power Agency No. 1, Catawba electric revenue A3 A Port Authority of New York and New Jersey, consolidated (AMT) A1 AA Puerto Rico Electric Power Authority Baa1 BBB+ Salt River Project Agricultural Improvement and Power District, Ariz., electric revenue Aa2 AA South Carolina Public Service Authority, electric system Aa2 AA Texas Municipal Power Agency A2 A+ Virginia Housing Development Authority (AMT) Aa1 AA+ Washington Public Power Supply System, power revenue Aa1 AA Short-Term Indexes The Bond Buyer One-Year Note Index is calculated once a week on Wednesday (Tuesday if Wednesday is a legal holiday). It represents theoretical yields rather than actual price or yield quotations. Municipal bond dealers and banks are asked to estimate what a current-coupon note for each issuer would yield if the note was sold at par value. The index is a simple average of the average estimated yields of the notes. Ten note issuers are used in the index: California, Colorado, Idaho, Los Angeles County, Michigan, New Jersey, New York City (RANs), Pennsylvania, Texas, and Wisconsin. Michigan replaced New York State in the index on Dec. 2, 1998. All issues are rated MIG-1 by Moody's Investors Service. California, Michigan, and New York City (RANs) are rated SP-1 by Standard & Poor's Corp., while all other issuers are rated SP-1-plus. The Commercial Paper Rate is provided by Municipal Market Data. The figures shown here are averages of the daily figures for each week ending Thursday. 30-Year Treasury Bond The U.S. Treasury 30-year bond yield is the quote at 3:30 p.m. EST (or EDT) posted by Garvin GuyButler on Bridge/Telerate.
