Since the inception of the Bonds and Bills Market, nearly all transactions executed in Treasury bills and Government bonds have had maturities of less than one year. Moreover, these Treasury bills and Government bonds are traded on discount basis. Consequently, these factors were taken into consideration during the process of formulating the indices. Indicators reflecting price changes in Treasury bills and Government bonds with maturities of 30, 91, and 182 days are considered as useful and meaningful benchmarks. As a result, performance and price indices calculated on the basis of three standard maturities (30, 91 and 182 days) and a general price index are being computed and published since the beginning of 1996.

The “Price Index” is an indicator reflecting price fluctuations of Treasury bills or Government bonds with the above mentioned maturities as a result of changes in interest rates prevailing in the market, provided that the maturity term remains constant. In order to reflect these changes, the “Price Index” is computed and published on maturity basis (30,90 and 182 days). In addition, a general index is also computed to reflect the overall tendency of the market.

The “Performance Index,” on the other hand, shows price changes of the bonds/bills (with the above mentioned maturities), not only due to current interest rate fluctuations but also as the time to maturity diminishes. Therefore, the Performance Index is an indicator of yield gained by an investor within a certain period. The Performance Index is computed and announced for each bond/bill with the characteristic maturity.

The base date for the indices is December 25-29, 1995. However, in order to ensure the continuity of the Performance Index, the base date is taken as the date on which each bond/bill with the characteristic maturity is redeemed and a new bill is included in the index while the base value is taken as the value on these dates.

In the prevailing market conditions, computing indices based on prices of bonds/bills with maturities more than 6 months would not be appropriate. For this reason, performance and price indices of bonds/bills with maturities of one month (30 days), 3 months (91 days) and 6 months (182 days) began to be published in the Daily Bulletins of the Istanbul Stock Exchange since the beginning of 1996.

As secondary market trading volume of medium-term transactions increases, it will be more meaningful to compute indices for securities with longer maturities exceeding one year.

Mathematical Formula of ISE GDS Indices

Abbreviations used in the formula are as follows:

• Price Indices (at the date of “t”)

• Performance Indices

• at the date of “t+i”

are calculated as index values.