ChinaBond Pricing Center Co., Ltd (CBPC) is a benchmark pricing platform that CCDC has built by leveraging its neutrality and professionalism as a central securities depository over the past decade. Since its release of China's first RMB government bond yield curve in 1999, CBPC has developed a range of ChinaBond information products which constitute an index system fully reflecting the RMB bond market’s prices and risk profile. ChinaBond pricing products now stand as the reference for the fair values of bonds with the fullest domestic coverage and the widest market application.
ChinaBond Yield Curves are major references for macroeconomic policies including fiscal and monetary policies, and are important tools for risk
prevention and control of national financial market.
ChinaBond Government Bond Yield Curve and some other yield curves are displayed or applied on the official websites of the Ministry of Finance, the People's Bank of China, and the China Banking & Insurance Regulatory Commission. The 3-month ChinaBond Government Bond Yield has been used by the International Monetary Fund (IMF) as the representative RMB interest rate in the calculation of SDR interest rate.
ChinaBond Yield Curves are widely used as the pricing benchmarks for financial assets, the measurement of market risk, as well as pricing references for financial derivative instruments such as equity or government bond futures. By the end of 2021, floating-rate securities with ChinaBond Yield Curves as benchmarks amounted to RMB 4.2 trillion approximately.
In addition, more and more commercial banks conduct Funds Transfer Pricing (FTP) based on ChinaBond Yield Curves; A few banks also conduct research
on loan pricing model based on ChinaBond Yield Curves.
1. Yield Curves
CBPC publishes over 3,500 curves every day, covering domestic bond yield curves such as government bonds, policy bank bonds and credit bonds with different ratings or sectors, as well as overseas bond yield curves such as Chinese offshore bonds and CNH bonds.
As for the end of 2021, 238 Yield-to-Maturities (YTM) curves, 212 spot curves and 3,074 forward rate curves are provided.
Product Series – ChinaBond Yield Curves
2. ChinaBond Chinese Offshore Bond Yield Curves
(1)Classification: ChinaBond Chinese Offshore Bond Yield Curves include:
ChinaBond Chinese Offshore USD Bond Yield Curves (A+ to CCC+)
ChinaBond Urban Construction Sector Chinese Offshore USD Bond Yield Curves (A to BB-)
ChinaBond Real Estate Sector Chinese Offshore USD Bond Yield Curves (BBB+ to CCC+)
ChinaBond Floating Rate Chinese Offshore USD Bond (LIBOR-3M) Discount Margin Curves (A+ to BBB-)
ChinaBond China Sovereign/Policy Bank Bond (CNH) Yield Curves
ChinaBond Chinese Offshore EUR Bond Yield Curves (A+ to BB+)
(2) Methodology: When there are reliable market prices, the curves are compiled according to market prices; When there is no market price, curves are compiled with reference to adjacent price points, curve relations and term structures.
(3) Model: Hermite Model
(4) Valuation Scope: All Chinese offshore USD bonds (including investment-grade/speculative-grade bonds, bonds with rights/non-rights, fixed-rate/floating-rate bonds, default bonds, Chinese Bank Offshore USD Undated Additional Tier 1 Capital Securities, etc.); China sovereign and policy bank CNH bonds; fixed-rate Chinese offshore EUR bonds.
(5) Valuation Method: According to the reliable market price, Chinese o‑shore bonds are valued by comprehensively referring to factors such as international
bond ratings, credit qualification (whether there is any credit enhancement; credit enhancement method), liquidity (issuance method, investor scope, etc.), and taxation.
3. Product Advantages
(1) High Precision
ChinaBond Chinese Offshore Bond Curves fully cover Chinese offshore USD bonds with various credit ratings and real estate and urban construction sectors, as well as China sovereign and policy bank CNH bonds, Chinese o‑shore EUR bonds, etc., accurately reflecting the market trends of offshore bonds in different
sectors, markets, or with different credit qualifications.
(2) Valuation Timeliness
ChinaBond Chinese Offshore Bond Yield Curves and Valuations are updated daily with reliable market prices. For the bonds with no market price, the curves are adjusted according to the market price of the same issuer or comparable companies, and valuations of bonds with no market price are timely adjusted and updated according to the corresponding curve fluctuations.
(3) High Transparency
CBPC has established a sound internal and external quality supervision mechanism, and the information on the methodology and daily dynamics has been fully publicly disclosed.
CBPC has an independent quality control team to test the rationality of the curve and valuation method, the compliance of the preparation process and the reliability of curves and valuation results.
(4) Wide Information Coverage
CBPC has 20 years of experience in domestic bond yield curves and valuation, and comprehensively collects relevant information on curve and valuation pricing to ensure the accuracy and timeliness of the information has been used.
CBPC conducts a comprehensive integration and analysis of the relevant information of the Chinese offshore USD bond issuers to timely reveal the credit risks.
ChinaBond Valuations have covered valuations of bonds, preferred shares, restricted shares, credit risk mitigation tools, wealth management direct financing vehicles, non-standardized assets for wealth management, credit assets registered in CCRE, insurance asset management products and trust products. Every CIBM working day, more than 130,000 asset valuations are released, including more than 99,000 bond valuations and related risk indicators, covering all negotiable bonds of various currencies in the onshore market.
1. Product Usage
ChinaBond Valuations cover indicators such as Net Price, Full Price, Accrued Interest, etc. It is usually used for reference in trading, risk management, and as fair value measurement for accounting departments.
Asset Management Association of China (AMAC) recommended ChinaBond Valuations as authoritative third-party valuations, to serve as the basis for measurement of fair value of domestic bonds. Ministry of Finance (MOF) and State Administration of Taxation (SAT) recommended ChinaBond Valuation as the fair value of purchase price of bonds when calculating sales revenues.
ChinaBond Valuations are also used as fair values of bond collaterals in collateral management service, including mark-to-market value and automatic
addition/refund. Guidelines for CCDC Collaterals Default Disposal released in 2019 state that the full price of ChinaBond Valuation on the day before the auction day is used as fair value of the underlying bond collaterals.
2. Product Category
Product Category | Product Subcategory |
CRMW | Standard Bond Valuation |
Defaulted Debt Valuation | |
Chinese USD Bond Valuation | |
Chinese Euro Bond Valuation | |
Offshore RMB Bond Valuation | |
Convertible Bond and Exchangeable Bond Valuation | |
Preferred Stock Valuation | |
Restricted Stock Valuation | |
Offshore RMB Bond Valuation | |
Non-Standard Valuation Category | Insurance Asset Management Product Valuation |
Trust Product Valuation | |
Wealth Management Non-Standard Asset Valuation | |
Financial Direct Financing Tool Valuation | |
CCRE Credit Assets Valuation | |
Public Offering REITs Valuation and Liquidity Discount | |
Real-Time Yield Products | Real-Time Treasury Bond Yield Product Real-Time Policy Financial Bond Yield Product |
Intraday Multi-Batch Valuation | Intraday Multi-Batch Yield Curve and Valuation |
1. Yield Curves
Highlights of ChinaBond Indices
(1) Professional, In-depth and Market-leading
Since the first ChinaBond Index was compiled and released in 2002, the index compiling capabilities for ChinaBond Indices have been continuously optimized. The number of publicly released indices has exceeded 1,300, making ChinaBond Indices a professional brand of RMB bond index the most widely used with the longest history and the largest number of products in China.
(2) Abundant Indicators and Wide Coverage
Relying on its own advantages, ChinaBond Indices currently consist of 12 major index families, including more than 260 aggregate indices and more than 820 sub-indices, with more than 60 index indicators released daily, covering more than 100 trillion yuan of fixed income assets and achieving full coverage of domestic RMB bonds. In 2019, ChinaBond Indices expanded to offshore assets with the launch of Chinese Offshore USD Bond Index as well as China Sovereign and Policy Bank Offshore Bond (CNH) Index.
(3) Pioneering, Innovative and Ahead of the Market
ChinaBond Indices actively explore market demands, pursue product innovation, and provide domestic and foreign investors with plenty of innovative index products. As the important performance benchmark and underlying indices, ChinaBond Indices have a market share of nearly 80% of domestic bond index fund products and are tracked by a number of overseas debut fund products investing in domestic RMB bonds, thus helping the international development of the domestic RMB bond market. Since the release of the first ChinaBond China Green Bond Indices in 2016, ChinaBond Indices have continuously made in-depth efforts in the fields of green and sustainable development in China and successively released China’s first Climate-Aligned Bond Index, Carbon-Neutral Index, ESG Index, Labeling Green Bond Index and so on, aiming to offer green finance investors professional performance benchmarks and investment tracking targets.
(4) Panoramic and Diverse Perspectives
Actively responding to the needs of national strategies and following the market development trends, one after another, ChinaBond Indices have launched thematic indices that meet market demands, such as Yangtze River Delta, Beijing-Tianjin-Hebei Region, Yangtze River Economic Belt, Guangdong-Hong Kong-Macao Greater Bay Area, rural revitalization, sub-sectors and so on, and are committed to providing market participants with refined investment research tools. In recent years, ChinaBond Indices have deeply cooperated with market institutions to jointly compile Strategy Indices such as target duration, spread factor and Smart Beta, and help partners effectively capture market opportunities by innovating indexed investment products by embedding fixed income investment strategies.
2. Application of ChinaBond Indices
ChinaBond Index Indicators can be used as indicators for observing the trend of bond market, references for characterizing and forecasting macroeconomic condition, benchmarks for investment performance evaluation of bond portfolios and tracking targets for index fund products. ChinaBond Index Constituents can be used for attribution analysis, duplication and tracking of bond portfolio performance. So far, More and more domestic and overseas institutions such as National Council for Social Security Fund, commercial banks, insurance companies and securities companies are using ChinaBond Indices as performance evaluation benchmarks or underlying target index for investment portfolios.
3. ChinaBond Indices as Tracking Target
4. ChinaBond Indices as Performance Benchmarks
ChinaBond Indices have become an important reference for the onshore RMB bond market and a preferred instrument for bond portfolio tracking and investment performance evaluation.
By the end of 2021, of all 6436 funds that use bond indices as performance benchmarks, 4070 take ChinaBond Indices as benchmarks, which accounts for 64%. Besides, of all 2381 bond funds, 1983 use ChinaBond Indices as performance benchmarks, which accounts for 83%.
From the perspective of fund size, by the end of 2021, among a total size of RMB9.83 trillion of funds that use bond indices as performance benchmarks, a size of RMB6.75 trillion of funds use ChinaBond Indices as benchmarks, which accounts for 69%. Besides, among a total size of RMB4.38 trillion of bond funds, a size of RMB3.78 trillion of bond funds take ChinaBond Indices as benchmarks, which accounts for 86%.
5. ChinaBond Index Performance Attribution
(1) Product Forms
ChinaBond Index performance attribution products cover the publicly released ChinaBond Indices, and are mainly provided in the two forms of the standard- ized data and the index attribution module of the ChinaBond Dr.Quant.
(2) Attribution Framework
The Campisi model, most commonly used in the field of fixed income, divides the attributions of bond yields into three main categories, namely, holding period yields that reflect time yields, yields that reflect movements in the risk-free interest rate (government bond curve), and yields that reflect movements in individual bond risk (spread). The performance attribution of ChinaBond Indices is mainly based on the Campisi model, which adopts a bottom-up approach by first splitting the yields of individual bonds and then aggregating them to obtain the yield contribution of each factor to the index.
(3) Product Features
Universal Framework
The Campisi model, the most accepted model in the field of fixed income, is adopted to make it easy to integrate into users’ analytical framework.
(4) Product Usage
To quantitatively analyze the reasons for the rise and fall of the indices and index constituents;
To facilitate the analysis of performance differences in the investment portfolios and the benchmark indices;
To discover the advantages and disadvantages of different investment strategies.
Accurate Results
The most meticulous ChinaBond Yield Curve, whose model formulas are in line with ChinaBond Valuation, is adopted to match ChinaBond Valuation to the greatest extent, obtain more accurate and standardized attribution results, and at the same time to tackle the attribution pain points such as option-embed- ded bonds in a targeted manner.
Rich Dimensions
Diversified output results are provided from different aspects, in different cycles, and at different attribution levels, aiming to help users solve their pain points instantly.
Various Forms
The product forms include both standardized data products for index attribution and index constituent attribution and more flexible performance attribution function modules provided by ChinaBond Dr.Quant to meet the needs of different customers.
