I. Interbank bond index series

On  10 June 2002, the National Interbank Funding Center (hereinafter  referred to as CFETS) launched the interbank bond index series. On 29  June 2009, in order to coordinate the new generation RMB system online,  CFETS launched the new version of the interbank bond index series which  includes a treasury bond index, a short-term treasury bond index, a  medium-term treasury bond index, a long-term treasury bond index, a  policy financial bond index, a composite bond index, a corporate bond  index and a medium-term note index, all of which comprise full price and  net price indices.

Type of Index

 Maturity (Years)

Initial Date

Bond Sample

Treasury Bond Index


June 10, 2002

Book-entry  Treasury Bonds

Short-term  Treasury Bond Index


June 10, 2002

Book-entry  Treasury Bonds

Medium-term  Treasury Bond Index


June 10, 2002

Book-entry  Treasury Bonds

Long-term  Treasury Bond Index


June 10, 2002

Book-entry  Treasury Bonds

Policy Financial Bond Index


June 10, 2002

Policy Financial Bonds

Composite Bond Index


January 4, 2007

Book-entry  Treasury Bonds, Policy Financial Bonds, Corporate Bonds and Medium-term Notes

Corporate Bond Index


January 4, 2007

Corporate Bonds

Medium-term Note Index


May 4, 2008

Medium-term Notes

II. Pricing rules

 Purpose  of compilation: in order to offer real-time, comprehensive information  reflecting the overall operating status of the bond market or a certain  type of bond in the interbank bond market.    

 Initial index points: 1,000 points    

 Types of indices: full price index and net price index

 Bond types: fixed rate bonds, zero coupon bonds and discount bonds

 Options types: option-free bond

 Frequency  of updates: the opening index is calculated at 9:00 on every workday  and updated every five minutes until closing at 16:30.        

 Pricing  sources: market-making quotations, one-click quotations, cash bond deal  prices and bond valuations in the interbank bond market    

 Order of priority for prices: deal price, mean price of one-click quotation, and bond valuations       

 Weighting of sample bonds: market capitalization in the interbank market          

 Frequency of sample adjustments: samples are adjusted at the end of every month  

 Sampling  rules for new bonds: after the new bond is listed and goes into  circulation, the new bond is incorporated into the index sample after  market closing on the first day on which effective market-making prices,  click prices or deal prices exist.

 Rules  for discarding abnormal prices: according to historical volatility in  net bond prices over the 60 preceding trading days, the normal range of  net price volatility for the next trading day is determined in light of  the established confidence level, and net prices outside this range are  deemed to be abnormal prices; abnormal price assessments are made  throughout the whole bond index calculation process, including for the  opening index, the intraday index and the closing index.

III. Calculation method

(1) Calculation formula

Aggregate market value method (Passche Weighted Index):


is the market value at publication time point k on trading day t for the index sample, that is,  .   and   are the price and turnover chosen for bond i in the index sample at publication time point k, respectively;   is  the market value after calculating the closing index and adjusting the  index sample for the previous trading day (t-1 period), for which the  algebraic expression is as follows Bonds  denoted by j are discarded after the close of the t-1 period and bonds  denoted by I are included after the close of the t-1 period.


(2) Adjustment for dividend

If there is a dividend in the current month, the amount of interest paid is deducted from   after closing on the last trading day of that month.