As the Chinese yuan (CNY) plays a 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 demand for investors to clearly identify anchor points against which to measure investment performance on CNY denominated fixed-income assets.
The World Bank Treasury and the ChinaBond Pricing Center Co. Ltd have successfully developed two new indices. This is the first partnership between the two institutions.
- The CNY Interest Rate on Excess Reserve Index tracks the performance of a synthetic asset invested in the CNY overnight interest rate on excess reserve set by the People’s Bank of China on a rolling basis.
- The SDR CNY 3-Month Constant Maturity Index tracks the performance of a synthetic asset paying the 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 the IMF. This provides more transparency, enabling international financial institutions to invest in SDR. The indices are expected to be available on ChinaBond’s website in May 2018.
Established in Shanghai in July 2017, ChinaBond Pricing Center Co. Ltd is a subsidiary that is wholly-owned by China Central Depository & Clearing Co. Ltd. (CCDC) founded in 1996. ChinaBond Pricing Center Co. Ltd is a benchmark pricing platform that was built as a central securities depository by the CCDC, based on its neutrality and professionalism. ChinaBond Pricing Data has been widely used by market participants, and has become one of the core pricing benchmarks in the Chinese financial market.
Alexandra Klopfer -Hernandez
World Bank Treasury
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