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China Securities Fixed Income Indexes (CSI)

CSI Bond Indices reflect the performance of the inter-bank market and the securities exchange fixed income market. These indices include the following:

  • SSE Government Bond Index – Constituents are all fixed-rate government bonds listed at Shanghai Stock Exchange. The index is weighted by amounts outstanding. The objective of the index is to reflect the changes in the government bond market at Shanghai Stock Exchange.
  • CSI Aggregate Bond Index – As the first bond index designed and launched by CSI, this index covers both the inter-bank market and exchanges market. The index consists of government bonds, financial bonds and corporate bonds in the inter-bank and exchanges market.
  • CSI Treasury Bond Index – This index is composed of treasury bond trading in SSE, SZSE or Inter-bank market, with term to maturity over 1 year.
  • CSI Corporate Bond Index – This index consists of eligible credit bonds trading in SSE, SZSE or Inter-bank market, whose remaining term to maturity is over 1 year, and the credit rating is investment grade or above.
  • CSI Diversified High Grade Commercial Paper Index – The bond type for this index is RMB commercial papers trading on the inter-bank market, with an issuer credit rating of AAA, or issuer credit rating of AA+ and the bond credit rating is A-1. The Term to Maturity is over 1 month and the interest-bearing pattern is either fixed rate or bullet.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 20090 bonds and 5 indices (described above). Some of the data items available include:

  • Bond Items – Accrued Interest, Clean Price, Convexity, Coupon Frequency – Chinese, Daily Total Return – RIMES Calculated, Database Source and Symbol Code, Date of Portfolio, Dirty Price Index Description Chinese, Industry Classification Code – Chinese, Investable Factor, Investable Weight, Last Price Date, Market Value, Modified Duration, Notional Outstanding, Opening Daily Total Return Market Value, Opening Market Value in Local Currency, Price Return, etc.
  • Index Items – Country Code, Country Description, Coupon, Coupon Frequency, Identifier, Issue Date, Issuer Rating, Listed Market, Maturity Date, Portfolio Headline Index Symbol, Rating, Average Convexity, Average Macaulay Duration, Average Modified Duration, Average Price, Average Yield, Currency Code, Market Capitalization, Number of Constituents, Price Return, Reinvest Return Index, Total Return, etc.

 

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