Download CSI Short Term Note 50 Index Methodology

CSI Short Term Note 50 Index Methodology

Index code/index name
Index code：H11070
Index name：CSI Short Term Note 50 Index
Index shortened name：CSI Short Term Note 50
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Constituents selection
1. Index Universe
 Bond type: Short term notes listed on Inter-bank market (include super
short term notes). Corporate credit rating is AA- grade or above. The
bonds currency is RMB.
 Outstanding: No limit at present
 Term to maturity: over 0.25 year
 Interest bearing pattern: fixed rate or bullet
2. Constituents Selection
Step1
The medians of each eligible bond’s daily trading value over the
data-screen period are calculated and are then ranked in a descending order.
The bonds whose medians ranking out of top 50% are excluded.
Step2
The rest bonds are ranked by trading value, trading days and
outstanding respectively in descending order. The three ranks are then
summed up to get an overall rank. The top 50 bonds are selected as index
constituents.

Index calculation
1. Base point
Base date: 2007-12-31,
Base point: 100.
2. Calculation formula
Paasche weighted composite price index formula
1
The bond is weighted by its amount outstanding.
Current index=[（current total bond market value +current interest and
reinvestment return）/that of base date]×base point
There into: total market value=∑（full price × amount outstanding）.
Full price=clean price + accrued interest
Current interest and reinvestment return means the return that comes from the
current month interest reinvesting into the bond index itself.
3. Pricing
take the best market maker quote first, if unavailable, take the intraday
weighted close price, if unavailable either, use the modeling price.
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Index Adjustment
1. Adjustment formula
Divisor Adjustment Methodology.
2. Cases for Index Adjustment:
 Constituents adjustment
 Amount outstanding Adjustment— if issued amount of constituent bond
changes, the index is adjusted before the change occurs.
 On the last trading day of the month, interest and reinvestment return is
deducted from index.
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Index Review
 In principle, the constituents are reviewed and adjusted each quarter.
The constituents’ adjustment is implemented on the first trading day of
each January, April, July and October. In case that certain constituent is
not able to satisfy the constituent’s selection criteria during the period
between two consecutive periodic adjustments, CSI will deal with the
case depending upon specific situation.
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