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ChinaBond Pricing System Bond Information Department China Government Securities Depository

Learn about China Government Securities Depository Trust & Clearing Co.'s bond pricing system, offering transparent bond valuation, market analysis, and daily yield curves. Gain access to comprehensive bond market data and indices for informed investment decisions. <br>

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ChinaBond Pricing System Bond Information Department China Government Securities Depository

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  1. ChinaBond Pricing System Bond Information Department China Government Securities Depository Trust & Clearing Co. Ltd

  2. Contents • Background of CGSDTC • Introduction to ChinaBond Pricing System • Examples • Data Delivery Channel

  3. 1. Background of CGSDTC • China Government Securities Depository Trust & Clearing Co., Ltd. (CGSDTC) was set up in 1996, undertake the function of centralized depository and inter-bank bond market settlement. • In order to promote China bond market development, CGSDTC started yield curve research since 1999.

  4. 2. Introduction to ChinaBond Pricing System

  5. 2. Introduction to ChinaBond Pricing System 2.1 Main Development 2.2 Key Characteristics 2.3 Business Scope 2.4 ChinaBond Pricing System Structure 2.5 ChinaBond Pricing Process

  6. 2.1 Development of ChinaBond Pricing System • Research Stage(1999-2001): The first treasury bond yield curve was created under the Discounted Cash Flow (DCF) method. • Development Stage (2002-2005): Four yield curves, i.e. Inter-bank Treasury Bond,Exchange Treasury Bond, Treasury Bond (compounded) and Floating interest rate Treasury Bond, and Indices for Treasury Bond (Inter-bank and Exchange) were worked out by CGSDTC. The method of quadratic polynomial was adapted at this stage . • Initial Application Stage (2006-now): CGSDTC has worked out a wide variety of yield curves and indices; the study and analysis for bond pricing are rapidly improved. July 2007: CSRC requires all mutual funds must use CGSDTC’s daily valuation to calculate NAV (net asset value) Oct 2007: CBRC authorized ChinaBond Yield curves as the benchmark of Treasury bond, Policy bank Bond & Central bank bills.

  7. 2.2 Key Characteristics Neutral Objective Professional Experience • CGSDTC is an independent third party, its valuation is objective and fair ; • Only concentrated on fixed-income products, has a high quality and professional team in this area; • Comprehensive and reliable data source to ensure consist and market neutral valuation; • Incorporate a fast and convenient market feedback mechanism with customers; • Almost 60 market members providing daily valuation on key terms of yield curves, adding extra value to bond valuation

  8. 2.2 Key Characteristics Transparent • The bond pricing process is transparent and provide full documentation of valuation methodology to clients • Daily and Monthly “ChinaBond Yield Curve Analysis” is available on the website • “ Annual ChinaBond Yield Curve Quality Report” is provided to the market • Great Customer Support

  9. 2.3 Business Scope • Daily Mark-to-Market Yield Curves and Indices • Bond valuations on a daily basis at INDIVIDUAL bond level (about 1300 bonds /day) • Monthly Bond Market Statistics Service • Bond Market Database (maturity, coupon, freq, type, issuer, credit rating, settlement volume & price, etc) • Bond Market Research and Analysis Report • Bond market analysis tool

  10. 2.4 Structure

  11. ChinaBond Index Aggregate Indices Composite Indices Account Indices Custom Indices Central Bank Paper Index Commercial Paper Index Client A AI Client B AI Client A AI Client B AI BY MARKET BY MATURITY BY ISSUER BY COUPON • Gov. Bond Index • Financial Bond Index • Corporate Bond Index • …... • Fixed Rate • Floating Rate • Inter-bank Market • Exchange Market • Long term • Middle & Short • term

  12. 2.5 ChinaBond Pricing Process Market Analysis Gov. Policy / Money Market / Economic Factors Key Issuance/ Observation / Past Trend Data Selection • Inter-bank bid/ask quotation data and settlement price • Commercial bank counter quotation data • Exchange market closing price • Valuation data provided by market members Building YC Hermite Model + Bootstrapping Bond Valuation Pricing ALL Bonds Composite Index (18 sub-indices) Constituent Index (2 sub-indices) Account Index (800 individual account indices) Bond Indices

  13. 3. Examples

  14. 3. Examples • ChinaBond Yield Curves • ChinaBond Indices

  15. 3. 1 Comparison of Market PriceChina Inter-bank Treasury Bond Yield Curveas of 20/11/2007

  16. 3. 2 Comparison of Market PriceChina Exchange Treasury Bond Yield Curveas of 20/11/2007

  17. 3. 3 Members’ ValuationChina Inter-bank Policy Bank Bond Yield Curve as of 20/11/2007

  18. 3. 4 Different CurvesComparison of Three Different Curvesas of 20/11/2007

  19. 3. 5 Comparison of Different CurvesComparison of Credit Bond Yield Curvesas of 20/11/2007

  20. 3. 6 Historical TrendTread of 5-YEAR China Inter-bank Treasury Bond Yield Curve(08/01-2007-20/11/2007)

  21. 3. 7 Comparison of Yield Curves at Different DateChina Inter-bank Central Bank Bill Bond Yield Curve

  22. 3. 8 Space CurveChina Inter-bank Treasury Bond Yield Curve(08/10-2007-20/11/2007)

  23. 3. 9 ChinaBond IndexChinaBond Aggregate Index(07/09/2005-23/11/2007)

  24. 3. 10 ChinaBond IndexChinaBond Aggregate Index(as of 23/11/2007)

  25. 3. 11 Comparison of Composite Indices(07/03/2005-23/11/2007) Fixed-rate Treasury Bond Index Fixed-rate Finance Bond Index

  26. 3. 11 Daily ChinaBond Valuation

  27. 4. Data Delivery Channel

  28. Data Delivery Channel ChinaBond TERMINAL Excel / DBF/ XML ChinaBond Daily Pricing WEB DOWNLOAD Excel download DIRECT DATA FEED File to file transfer direct into client’s system INFORMATION PROVIDERS Reuters / Wind / FC

  29. Bond Valuation Team Tel: 0086-10-88170613/0615/0616/0617/0620 Fax: 0086-10-66061883 Email: zhaoling@chinabond.com.cn Website: www.chinabond.com.cn

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