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World Bank, ChinaBond creating new indices in global fixed income market

As Chinese yuan (CNY) plays more and more important role in the global financial markets, especially after the inclusion of CNY into the SDR basket, more central banks have diversified their foreign exchange reserves to include CNY holdings. This has created increasing demand for investors to clearly identify anchor points, against which to measure investment performance on CNY denominated fixed-income assets, according to the World Bank.

The World Bank Treasury and ChinaBond Pricing Center Co., Ltd, in partnership for the first time, have successfully developed two new indices. CNY Interest Rate on Excess Reserve Index, which tracks the performance of a synthetic asset being invested in the CNY overnight interest rate on excess reserve set by the People’s Bank of China on a rolling basis. SDR CNY 3-Month Constant Maturity Index, which tracks the performance of a synthetic asset paying SDR CNY 3-month interest rate for 90 days of maturity on a daily rolling basis.

The first index effectively represents the “risk-free” investment return on CNY cash. The second index can be used to measure the CNY component return in the SDR basket, which is invested in the SDR 3-month interest rate published by IMF. It provides transparency to better facilitate international financial institutions to invest in SDR. The indices are expected to be available in ChinaBond's website this month.

ChinaBond Pricing Center Co., Ltd, a subsidiary wholly-owned by China Central Depository & Clearing Co., Ltd. (CCDC), is a benchmark pricing platform built by CCDC in the past decade based on its neutrality and professionalism as a central securities depository. It was established in Shanghai in July 2017. The ChinaBond Pricing Data has been widely used by market participants and has become one of the core pricing benchmarks in Chinese financial market.

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