January 31, 2016
Dim Sum (Offshore CNY) Bond Index
Multi-Asset | Renminbi
The Dim Sum (Offshore CNY) Bond Index measures the performance of RMB-denominated “Dim Sum” bonds issued and settled outside Mainland China. The
index includes fixed-rate securities issued by governments, agencies, supranationals, and corporations. The Dim Sum (Offshore CNY) Bond Index is a
benchmark for a rapidly growing market segment. Sub-indices are available in any combination of asset class, maturity, or rating.
INDEX PROFILE
# of
Issues
Par
Amount*
Market
Value*
Market
Weight (%)
Average
Coupon (%)
Effective
Duration
OAS
(bps)
140
239.79
234.28
100.00
4.26
2.97
95
160.12
156.46
66.78
3.52
3.36
6.04
2.59
189
4.95
2.93
85
High Yield
8
14.30
13.91
5.94
7.24
Not Rated
37
65.37
63.91
27.28
5.45
1.68
10.22
1.48
593
2.29
7.78
2.01
1-3 Years
103
180.56
176.34
75.27
357
4.39
1.83
6.52
1.70
3-5 Years
16
30.00
29.13
230
12.43
3.48
4.04
4.47
3.67
5-7 Years
8
10.60
57
10.44
4.46
4.32
6.02
4.83
4.82
7-10 Years
8
96
12.13
12.03
5.13
4.33
8.94
4.57
7.22
10+ Years
78
5
6.50
6.35
2.71
4.07
13.31
4.38
10.00
47
Domestic Sovereign
26
70.40
68.83
29.38
2.95
3.81
4.05
3.38
1
Agency
17
23.30
22.96
9.80
3.91
4.18
5.16
3.42
99
Description
Dim Sum Bond Index
Investment Grade
Supranational
Corporate
Industrial
Utility
Finance
Average Life
(Years)
Yield to
Maturity (%)
4
4.93
4.73
2.02
3.11
3.59
4.49
3.30
54
91
137.17
134.00
57.20
5.05
2.34
7.22
2.05
302
43
70.60
68.63
29.29
5.37
2.12
8.00
1.90
378
7
12.50
12.20
5.21
4.76
1.36
7.41
1.27
307
41
54.07
53.17
22.69
4.70
2.83
6.17
2.41
204
*In RMB billions
GEOGRAPHICAL AND QUALITY COMPOSITION
(Market Weight %)
HISTORICAL INDEX LEVEL (Unhedged)
--- Dim Sum --- Dim Sum Inv Grade --- Dim Sum High Yield
--- Dim Sum Not Rated
PAR AMOUNT
Index Quality: Index quality is defined to be the
rating assigned by Standard and Poor’s Financial
Services LLC (“S&P”) when it exists. If a bond is
not rated by S&P but it is rated by Moody’s
Investor Service, Inc (“Moody’s”), the S&P
equivalent of the Moody’s rating is assigned. If a
bond is split-rated, that is rated investment grade
by S&P or Moody’s and high yield by the other,
index quality is taken to be S&P equivalent of the
investment grade rating.
--- Dim Sum --- Dim Sum Inv Grade --- Dim Sum High Yield
--- Dim Sum Not Rated
www.yieldbook.com/citi-indices
Source: Citigroup Index LLC. Data as of 01/31/2016. Performance may be positive, negative, or zero.
Past performance is not an indication of future results. Back dated from 12/31/2010 through 04/12/2011.
Live data from 04/13/2011 through present.
01
Dim Sum (Offshore CNY) Bond Index | January 31, 2016
TOP 10 ISSUERS (By Market Weight)
Description
CHINA PEOPLES REPUBLIC OF
# of
Issues
Par
Amount*
Market
Value*
Market
Weight (%)
Average
Coupon (%)
Average Life
(Years)
Yield to
Maturity (%)
Effective
Duration
OAS
(bps)
26
70.40
68.83
29.38
2.95
3.81
4.05
3.38
1
BANK OF CHINA LTD
6
9.00
8.73
3.73
3.94
2.53
5.74
2.32
161
CHINA DEVELOPMENT BANK CORP
5
7.50
7.32
3.13
4.19
7.03
5.30
5.51
126
CHINA CONSTRUCTION BANK CORP
6
6.55
6.40
2.73
3.86
2.60
5.38
2.35
127
BEIJING CAPITAL LAND LTD
2
4.30
4.23
1.81
5.60
1.48
8.12
1.34
371
INDUSTRIAL AND COMMERCIAL BANK O
3
4.30
4.20
1.79
4.65
4.55
5.69
3.09
171
CHINA UNICOM (HONG KONG) LTD
1
4.00
3.93
1.68
4.00
1.21
6.55
1.14
213
LENOVO GROUP LTD
1
4.00
3.92
1.67
4.95
4.36
5.63
3.82
178
SINOCHEM GROUP
2
3.50
3.44
1.47
4.18
1.40
6.38
1.32
207
KOREA DEVELOPMENT BANK
3
3.50
3.43
1.47
3.98
2.63
5.11
2.45
104
*In RMB billions
DESIGN CRITERIA AND CALCULATION METHODOLOGY
Coupon:
Fixed-rate (excludes zero-coupon)
Currency:
Denominated and settled in RMB
Minimum Maturity:
At least one year
Minimum Size Outstanding:
RMB 1 billion
Minimum Quality:
No minimum S&P or Moody’s rating requirement, defaulted bonds excluded; if an individual issue is not rated by S&P
or Moody’s but its issuer has an S&P or Moody’s rating, we assign the issuer rating to the issue as its implied rating
Composition:
RMB-denominated governments, agencies, supernationals, and credit securities excluding synthetics, convertible
bonds, retail bonds, and certificates of deposits.
Weighting:
Market capitalization
Rebalancing:
Once a month at month end
Cash Reinvestment Rate:
At daily average of the one-month Euro Deposit rate, calculated from actual scheduled payment date of cash flow
through end of period
Pricing:
Primary: Citi trader pricing.
Supplementary: third-party sources, transaction-related information, proprietary pricing models.
Calculation Frequency:
Daily
Settlement Date:
Monthly – Settlement is on the last calendar day of the month.
Daily – Same day settlement except if the last business day of the month is not the last calender day of the month;
then, settlement is on the last calendar day of the month.
Base Date:
December 31, 2010
ACCESS TO CITI FIXED INCOME INDICES
•
•
•
•
•
•
www.yieldbook.com/citi-indices
The Yield Book
Citi VelocitySM
Bloomberg SBI <GO>; SBBI <GO>
- Dim Sum – RMB:SBDSBIL <INDEX>;USD:SBDSBIU <INDEX>;HKD:SBDSBIH <INDEX>
- Dim Sum IG – RMB:SBDSIGL <INDEX>;USD:SBDSIGU <INDEX>;HKD:SBDSIGH
<INDEX>
- Dim Sum HY – RMB:SBDSHYL <INDEX>;USD:SBDSHYU <INDEX>;HKD: SBDSHYH
<INDEX>
Reuters
- Dim Sum - RMB:.SBDSBIL; USD:.SBDSBIU; HKD:.SBDSBIH
- Dim Sum IG - RMB:.SBDSIGL; USD:.SBDSIGU; HKD:.SBDSIGH
- Dim Sum HY - RMB:.SBDSHYL; USD:.SBDSHYU; HKD:.SBDSHYH
Other data and analytic vendors and financial news organizations.
A full list of those is available in Citi's Index Guide
CUSTOMIZATION
•
•
Citi offers flexibility in customizing its family of fixed income indices to meet
the most specific investment goals
Customization options include sector, industry, geography, currency,
maturity, rating, issue size, weighting methodology, and more
LICENSING
Citi's fixed income indices are designed, calculated and published by Citigroup
Index LLC and may be licensed for use as underlying indices for OTC or
exchange-traded structured products, including ETFs, swaps, warrants, and
certificates.
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