Dear users of ChinaBond Pricing Products：
In order to meet the domestic and foreign investors' requirements for the refinement of the price indicator products of Chinese dollar bonds, and to objectively reflect the market situation of Chinese dollar bonds, CBPC will release ChinaBond Financial Sector Chinese Offshore USD Bond Yield Curve on February 26, 2024. The methodologies are shown in the attachment. In addition, CBPC have traced the historical data of the curves, which started from May 27, 2019.
The ChinaBond yield curve and valuation data are available through the ChinaBond DQ Financial Terminal and authorized information vendors. Your valuable comments are highly appreciated.
Contacts:
Yield Curve& Valuation: 010-88174711/0641/0622
Technical Support: 010-88177357
Sales: 400-898-8989
Email: cbpc_complaints@chinabond.com.cn
ChinaBond Pricing Center Co., Ltd
February 9, 2024
Attachment：Methodology of ChinaBond Financial Sector Chinese Offshore USD Bond Yield Curve
No. | Curve Name | Curve Type | Key Terms(Year) | Constituent | Model |
1 | Methodology of ChinaBond Financial Sector Chinese Offshore USD Bond Yield Curve(A+) | Yield to Maturity, Spot Rate, Forward Rate | 0、0.08、0.25、0.50、 1、2、3、4、 5、6、7、8、9、10、 15、20、30 | Fixed Rate Financial Sector Chinese Offshore USD Bond, excluding undated capital instruments | Hermite Interpolation Model |
2 | Methodology of ChinaBond Financial Sector Chinese Offshore USD Bond Yield Curve(A) | ||||
3 | Methodology of ChinaBond Financial Sector Chinese Offshore USD Bond Yield Curve(BBB+) | ||||
4 | Methodology of ChinaBond Financial Sector Chinese Offshore USD Bond Yield Curve(BBB) |
