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Shenzhen SE Fixed Income Indices

The “SZSE” indices typically focus on providing benchmarks and investable indices that comprised of securities listed and trading on the Shenzhen Stock Exchange. The most well-known and flagship indices include the SZSE Component Index, SZSE Composite Index, ChiNext Index, SME Index, SZSE100, SME-ChiNext 100, etc. The “CNI” indices are based on the whole China security market covering a wide variety of indices such as fixed income, currency, multi-asset, etc.

Bond and Green Bond Indices include the following:

  • CNI Treasury and Policy Bank Bond – Offers a broad coverage of the fixed rate book entry treasury bonds and policy bank bonds. Prices for the bonds in the index have a transparent hierarchy of data input, and CNI Evaluated Prices are used when market-marking and transactional prices are not available. The index is calculated on total return basis together with the clean price index and gross price index, providing the marketplace accurate and reliable benchmark to assess the performance of bond market and investment.
  • CNI Treasury Bond – Offers a broad coverage of the fixed rate book entry treasury bonds. Prices for the bonds in the index have a transparent hierarchy of data input, and CNI Evaluated Prices are used when market-marking and transactional prices are not available. The index is calculated on total return basis together with the clean price index and gross price index, providing the marketplace accurate and reliable benchmark to assess the performance of bond market and investment.
  • CUFE-CNI High Grade Green Bond Total Return Index – Designed to reflect the performance of Chinese green bonds with a broad representation and high level of transparency. It’s the first Chinese Green Bond index series to provide synchronous quotes between China and Europe, through a cross-border cooperative program between the Shenzhen Stock Exchange (‘SZSE’) and the Luxembourg Stock Exchange (LuxSE).  The index is developed jointly by the Shenzhen Securities Information Co., Ltd (‘SSI’) , a subsidiary of Shenzhen Stock Exchange (‘SZSE’), and the International Institute of Green Finance (‘IIGF’), part of Central University of Finance and Economics (‘CUFE’). To be included in the index, all bonds must be flagged as “Green Bond” by IIGF-CUFE, the authorized organization for certification and evaluation of green bonds in China. The index is weighted by green asset of constituent bonds, and calculated on total return basis together with the clean price index and gross price index, providing the marketplace accurate and reliable benchmark and investment tool for Chinese green bonds. Also, the issuer must have a domestic AAA credit quality or be recognized as government-related organizations.

Key Features and Coverage on RIMES

For this data source, RIMES hosts multiple bonds and indices. 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.

China Securities Index Co., Ltd

 

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