Eligibility criteria, rebalancing rules, return calculation, and corporate event handling. All documented, open, and available for consultation.
Monthly Report PDF ↓Each methodological decision exists to solve a concrete problem: ensuring the indices reflect the real market, with observable liquidity and executable prices.
Debentures traded in the Brazilian secondary market, calculated from bid rates obtained in reference brokers' calls, where trading orders are executable. The CDI family covers DI+ and %DI debentures. The Infra family covers IPCA+ infrastructure debentures. The NTN-B family tracks government bonds segmented by maturity, on a total return basis.
The sample is adjusted monthly. To enter the indices, debentures must have bid-ask spreads in more than 70% of the days of the last 2 months in reference brokers' calls, time to maturity greater than 2 months, nominal issuance volume above R$ 100 million (R$ 300 million for the Core cut), be non-convertible, and not have differentiated taxation. The Core cut additionally requires publicly listed issuers and credit rating. The Low Rated cut selects assets with rating below AA or without rating.
The composition is reviewed on the first business day of each month. Assets that no longer meet the criteria are removed. Weighting is based on the market value of each issuance, with a 10% cap per asset. Extraordinary rebalancing occurs in cases of unscheduled early redemption, default, or events that prevent correct price calculation.
Daily return is calculated from the price change derived from the lowest bid rate obtained in the calls, including paid events (interest, amortizations, premiums). The change is decomposed into a market component and a carry component. In NTN-B indices, the return is total, with reinvestment of coupon payments.
Each index family has its own documentation with eligibility criteria, rebalancing rules, and specific calculations. Select a family to access the full PDF.
CDI-indexed debentures (DI+ and %DI). Three cuts with progressive liquidity and rating criteria.
IPCA+ tax-incentivized infrastructure debentures. Two cuts: broad and restricted to publicly listed issuers with credit rating.
Total return indices for NTN-Bs with semi-annual coupon reinvestment, segmented by maturity.