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ChinaBond Indices

Published in Fixed Income Indices

China Central Depository & Clearing Co., Ltd. (CCDC) is the first central securities depository (CSD) approved by the State Council in China. It is a state owned financial institution, which bears the national wills and represents market demands. CCDC is  a financial market infrastructure characterized by neutrality, independence, and public interest. CCDC has established a set of ChinaBond pricing products that reflect market price and the risks of bonds issued in RMB.

The ChinaBond Index is widely applied in representing the price tendency in the bond market, forecasting the operation of macro-economy, performance evaluation of bond investment portfolios, as well as tracking and benchmarking index investment product. Taking the Chinabond valuation as a reference, the market maker price is used to be a priority source. If there is no market maker price, settlement price in the interbank market or closing price in the exchange stock market will be selected as price sources.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 300 indices.

Index coverage includes:

  • Financial bonds: Policy and Commercial bank bonds, Non-bank financial bonds (including insurance company bonds)
  • ABS: Credit asset-backed securities, Corporate asset-backed securities
  • Government bonds: Treasury & Local government bonds , Central bank bills, Government-backed agency bonds
  • Corporate credit bonds: Non-financial enterprise debt-financing instruments, Corporate, Convertible, Enterprise & Exchangeable bonds

Some of the data items available include:

  • Bond Items: Accrued Interest, Amount Outstanding at Issue, Bloomberg Global Identification Key, Bond Market Description, Bond Type – Chinese, Cash Weight, Clean Price, Convexity, Country Code, Country Description, Coupon, Coupon – RIMES Calculated, Coupon Frequency – Chinese, Coupon Payment, Currency Code, Daily Cash Return, Database Domain Code, Date of Portfolio, Description – Chinese, Dirty Price, Dirty Price Over 1 Day, Dollar Value Change for 1 Basis Point, Investable Weight in Index (Source), ISIN Code, Issue Date/Price, Issuer Ticker Code – Chinese, Liquidity, Local Market ID, Long Description – Chinese, Market Bond Code, Market Type (Source), Market Value, Maturity Bands, Maturity Date, Modified Duration, Municipal Flag, Notional Outstanding in Local Currency, Opening Convexity, Opening Macaulay Duration, Option Description – Chinese, Price Return Investable Weight, Price Return Market Value, Price Type, Price Weight, Principle Repayment, Rating, Semi Convexity, Spread, Spread Duration, Total Return Investible Weight (Source), Trade Date, Yield Description – Chinese, Yield to Maturity, etc.
  • Index Items: Average Cash Flow Convexity, Average Cash Flow Yield to Maturity, Average Coupon, Average Dollar Value Change for 1 Basis Point, Average Market Capitalization Convexity, Average Market Capitalization Duration, Average Market Capitalization Duration, Average Market Capitalization Yield to Maturity, Average Maturity, Cash Settlement Amount, Coupon Income Index, Daily Dirty Price Index Change, Daily Price Return, Market Capitalization, Price Index, Total Return, etc.

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