In order to fully reflect the price change trend of Shanghai and Shenzhen stock exchanges and the inter-bank bond market, and provide bond investors with input analysis tools and performance evaluation benchmarks, CSI Index Co., Ltd. officially released the CSI Total Bond Index (referred to as "CSI Total Bond") on June 5438+February 65438+July 2007. The index selects government bonds, financial bonds and corporate bonds from the Shanghai and Shenzhen stock exchanges and the interbank market to form sample coupons. The base date is 65438+February 3, 20021,and the base point is 100.
The constituent bonds of the CSI General Bond Index include: inter-bank bonds, financial bonds, corporate bonds and corporate bonds, Shanghai bonds, corporate bonds and corporate bonds, Shenzhen bonds, corporate bonds and corporate bonds, and meet the conditions of fixed interest rate, remaining maturity of more than one year and credit rating of investment grade and above.
The sample numbers of China government bonds, financial bonds and corporate bonds in the CSI total bond index are 7 1, 99 and 189, respectively, accounting for 6 1.2%, 30.9% and 7.9% of the market value respectively. The sample bonds of CSI 3 bonds, CSI 7 bonds, CSI 10 bonds and CSI 10+ bonds in each annual index are 58, 10 1 1,16 and 84 respectively, accounting for 27.5% of the market value.
Innovations of CSI Total Bond Index The compilation method of CSI Total Bond Index combined with the actual situation of China bond market has achieved three innovations:
1, the model pricing mechanism is introduced, which effectively solves the influence of bond price and abnormal price on index distortion. Calculate the model price of sample bonds every day and compare it with the market price. When the difference between them exceeds a certain range, the model price is used to calculate the index.
2. The model price of bonds is as close to the actual value as possible. In the process of constructing the yield curve, the accuracy of the curve is ensured by eliminating abnormal data, adding data and setting model parameters, so as to ensure the accuracy of the model price, and then accurately reflect the yield to maturity and duration of bonds.
3. In the process of price selection and term structure construction, several kinds of price information, such as bilateral quotation between banks, bilateral quotation of Shanghai fixed income platform, weighted closing price between banks, closing price of Shanghai Stock Exchange and closing price of Shenzhen Stock Exchange, are considered, which makes the bond price used for index calculation closer to its actual price.