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Bloomberg Launches New Fixed Income Indices Covering China Bonds

March 1, 2017

Beijing, New York – March 1, 2017 – Bloomberg today launched two new hybrid fixed income indices that include RMB-denominated China bonds on top of the global indices under the Bloomberg Barclays Benchmark Fixed Income Index family. The two new indices are:

  1. Global Aggregate + China Index, which combines the Global Aggregate Index with the treasury and policy bank component of the China Aggregate Index.
  2. EM (Emerging Market) Local Currency Government + China Index, which combines the EM Local Currency Government Index and treasury component of the China Aggregate Index.

The Bloomberg Barclays Indices have been the most widely-used for fixed income investors seeking objective, rules-based, and representative benchmarks to measure asset class risk and returns. Bloomberg Barclays Global Aggregate Index has been a central reference point for international fixed income investors.

Bloomberg is the first index provider to include China bonds in its global indices offering. The decision to create the new hybrid China fixed income indices was due to the increasing accessibility to China’s bond market for international investors and based on Bloomberg’s ongoing global index review and governance process, including investor feedback from the company’s Index Advisory Council meetings in November 2016. RMB-denominated bonds are not currently eligible for inclusion in the Global Aggregate Index.

“We are proud to introduce these China indices, which are the first of their kind. By presenting Chinese securities in the context of the world’s most widely-used independent fixed income benchmarks, we can provide global investors with a new way to analyze China’s bond market, and enable fund managers to proactively assess the impacts of including Chinese securities in their portfolios,” said Steve Berkley, Global Head of Bloomberg’s Index Business. “Our robust governance process takes into consideration changing market developments and investor opinion, and we will continue to evaluate China’s inclusion in our indices as interest in China’s interbank bond market increases.”

The Global Aggregate + China Index currently includes 18,386 member securities with a market value of USD 48.45 trillion, among which there are 151 China Treasury bonds and 251 bonds issued by Chinese Policy Banks. The market weight of the Chinese yuan is 5.31%, ranking fourth after the U.S. dollar, Euro and Japanese Yen. The breakdown of this index by Class 2 and Currency respectively is provided in Figures 1 and 2 in the Appendix.

The EM Local Currency Government + China Index is a market capitalization-weighted index. The index has 616 member securities including 151 China Treasury bonds. China bonds weigh 39.10% in the index. Figure 3 in the Appendix shows this.

In addition to the two new indices, Bloomberg has also updated the China Aggregate Index, which was first introduced to the market in 2004. As previously announced, the minimum amount outstanding for inclusion in the China Aggregate Index has increased from RMB 1 billion to RMB 5 billion for government securities and from RMB 1 billion to RMB 1.5 billion for corporate securities, effective today. Additionally, all eligible securities should be traded in the China Interbank Bond Market. According to data as of February 24, 2017 the total number of the index members stands at 2,094 securities with a market value of USD 4.14 trillion based on the updated rules. Figure 4 in the Appendix shows the impact of the updated rules on the China Aggregate Index.

Bloomberg Professional service subscribers can access the Bloomberg Barclays indices at IN<GO>. For more information about Bloomberg Barclays indices, please visit https://www.bloombergindices.com/bloomberg-barclays-indices/.

*Note: The index data referenced in this press release is based on data as of February 24, 2017.

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Media Contacts

Bloomberg LP

  • Asia, Irene Gu, +86-10-6649-7535, igu3@bloomberg.net
  • US, Alyssa Gilmore, +1-212-617-4901, agilmore7@bloomberg.net
  • EMEA, Anna Schoeffler, +44 20 3525 0776, aschoeffler@bloomberg.net
  • LATAM, Pam Snook, +212-617-7652, pamsnook@bloomberg.net

 

APPENDIX:

Figure 1: Global Aggregate + China Projected Index Composition by Class 2 as of 2/24/17

fig 1

 

Figure 2: Global Aggregate + China Projected Index Composition by Currency as of 2/24/17

fig2

Figure 3: EM Local Currency Government + China Projected Index Composition as of 2/24/17

fig3

 

Figure 4: China Aggregate with Updated Rules Projected Index Composition as of 2/24/17

fig4