ChinaBond Index. Monthly Review January JIANG, Junfei , LIU, Xiaoyi ,

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1 ChinaBond Disclaimer: This document and all of the information contained in it is the property of China Central Depository & Clearing Co., Ltd. (hereinafter referred to as CCDC ). The information is used for reference only. This document and any information herein do not constitute a basis or a suggestion on any securities, financial products or other investment vehicles or any trading strategy. In regard to any loss due to direct or indirect use of this document or any information herein, including without limitation to inaccuracy and incompletion of such information, CCDC will not bear or assume any legal liability. All rights are reserved by CCDC China Central Depository & Clearing Co., Ltd. All rights reserved. Monthly Review January 2017 For more information please contact: JIANG, Junfei , jiangjf@chinabond.com.cn LIU, Xiaoyi , liuxy@chinabond.com.cn LIAO, Qianyun , liaoqy@chinabond.com.cn

2 Content Chinabond Overview 4 Figure1:ChinaBond New Composite -Total Value-Total Reture Monthly Performance 4 Table 1: Overall Review of ChinaBond New Composite 4 Figure 2:ChinaBond New Composite Bond Type Constituent 5 Table2: ChinaBond New Composite Bond Type Constituent 5 ChinaBond -Total Value-Total Return Performance 6 Table3: ChinaBond -Total Value- Total Return Monthly Performance Top 10 Indices 6 Table4: ChinaBond -Total Value- Total Return Monthly Performance Last 10 Indices 6 Table5: ChinaBond -Total Value-Total Return Monthly and Annual Performance 7 ChinaBond Green Bond Overview 10 ChinaBond-China Green Bond Monthly Review 10 Figure3:ChinaBond-China Green Bond -Total Value-Total Return Monthly Performance 10 Table 6: Overall Review of ChinaBond-China Green Bond 10 Figure 4:ChinaBond-China Green Bond Constituents by Industry Classification 11 Table 7: ChinaBond-China Green Bond Constituents Top ChinaBond China Green Bond Select Monthly Review 12 Figure 5:ChinaBond China Green Bond Select -Total Value-Total Return Monthly Performance 12 Table 8: Overall Review of ChinaBond-China Green Bond Select 12 Figure 6:ChinaBond-China Green Bond Select Constituents by Industry Classification 13 Table 9: ChinaBond China Green Bond Select Constituents Top ChinaBond China Climate-Aligned Bond Monthly Review 14 Figure 7:ChinaBond China Climate-Aligned Bond -Total Value-Total Reture Monthly Performance 14 Table 10: Overall Review of ChinaBond China Climate-Aligned Bond 14 Figure 8:ChinaBond China Climate-Aligned Bond Constituents by Industry Classification 15 Table 11: ChinaBond China Climate-Aligned Bond Constituents Top ChinaBond CIB Green Bond Monthly Review 16 Figure 9:ChinaBond CIB Green Bond -Total Value-Total Reture Monthly Performance 16 2

3 Table 12: Overall Review of ChinaBond CIB Green Bond 17 Figure 10:ChinaBond CIB Green Bond Constituents by Industry Classification 17 Table 13: ChinaBond CIB Green Bond Constituents Top ChinaBond Monthly News and Bulletion 18 New Indices Launched in January 18 Application of ChinaBond Indices 19 Table14: Application of ChinaBond Indices 19 Table 15: Application of bond indices as benchmark by domestic funds (by quantity of funds) 20 Table 16: Application of bond indices as benchmark by domestic funds (by market value of funds) 20 Construction Rules for ChinaBond Family 21 Disclaimer 33 3

4 Chinabond Overview Chinabond slightly went down during January. ChinaBond New Composite Net Price decreased from of last month to by 0.65% and Total Return decreased from of last month to by 0.34%. Figure1:ChinaBond New Composite -Total Value-Total Return Monthly Performance ChinaBond New Composite Table 1: Overall Review of ChinaBond New Composite Term Total Return Total Value Full Price Total Value Net Price Total Value Market Value Weighted Duration Total Value Cash Flow Weighted Duration Total Value Market Value Weighted Convexity Total Value Cash Flow Weighted Convexity Total Value Average Yield to Maturity (%) Total Value Average Price Value of A Basis Point Total Value Average Maturity (year) Total Value Average Dividend Yield(%) Total Value Total Market Value of Constituents (100 million) Total Value

Average Market Capitalization Yield (%) Total Value 3.77 3.

Corporate Bonds 5% Enterprise Bonds 7% MTN 10% Commercial Bank Bonds 4%

Bonds Local Government Bonds Treasury Bonds MTN Enterprise Bonds Corporate

Bonds 22% Government Supporting Institute Bonds Others 2 Table2: ChinaBond

Weight(%) (100 million RMB) Policy Bank Bonds 120,105 25.

58 MTN 46,992 9.82 Enterprise Bonds 33,588 7.02 Corporate Bonds 26,338 5.

5 Average Market Capitalization Yield (%) Total Value Figure 2:ChinaBond New Composite Bond Type Constituent 1 CP/SCP 4% Corporate Bonds 5% Enterprise Bonds 7% MTN 10% Commercial Bank Bonds 4% Government Supporting Institute Bonds 3% Policy Bank Bonds 25% Policy Bank Bonds Local Government Bonds Treasury Bonds MTN Enterprise Bonds Corporate Bonds CP/SCP Commercial Bank Bonds Treasury Bonds 20% Local Government Bonds 22% Government Supporting Institute Bonds Others 2 Table2: ChinaBond New Composite Bond Type Constituent Market Value Bond Type Outstanding Weight(%) (100 million RMB) Policy Bank Bonds 120, Local Government Bonds 104, Treasury Bonds 93, MTN 46, Enterprise Bonds 33, Corporate Bonds 26, CP/SCP 20, Commercial Bank Bonds 16, Government Supporting Institute Bonds 13, Others 1, As of Jan. 26,

6 Total 478, ChinaBond -Total Value-Total Return Performance Table3: ChinaBond -Total Value- Total Return Monthly Performance Top 10 Indices Name Term Return(%) 1 ChinaBond China High Quality Bond Total Value (USD) ChinaBond High Yield Medium Term Notes Total Value ChinaBond Commercial Paper (AA) Total Value ChinaBond Commercial Paper 50 index Total Value ChinaBond Interbank Asset-Backed Total Value Security ChinaBond Commercial Paper Total Value ChinaBond High Yield Corporate Bond Total Value ChinaBond Corporate Bond(AA) Total Value ChinaBond Money Market Fund Investable Total Value Bond ChinaBond New Medium Notes Total Value Table4: ChinaBond -Total Value- Total Return Monthly Performance Last 10 Indices Name Term Return(%) 1 ChinaBond Long Term Total Value ChinaBond 10-Year Treasury Bond Total Value ChinaBond 7-10 Year CDB Bond Total Value ChinaBond Exchange Treasury Bond Total Value ChinaBond 10-Year Treasury Futures Total Value Maturity Matching Policy Bank Bond ChinaBond 10-Year Treasury Bond Total Value ChinaBond Fixed Rate Treasury Bond Total Value ChinaBond Local Government Bond Total Value ChinaBond Interbank Treasury Bond Total Value ChinaBond 5-Year Treasury Bond Total Value

7 Table5: ChinaBond -Total Value-Total Return Monthly and Annual Performance Name Term YTD Last (%) (%) (%) year (%) 1 ChinaBond China High Quality Bond Total Value (USD) ChinaBond High Yield Medium Term Total Value Notes ChinaBond Commercial Paper (AA) Total Value ChinaBond Commercial Paper 50 index Total Value ChinaBond Interbank Asset-Backed Total Value Security ChinaBond Commercial Paper Total Value ChinaBond High Yield Corporate Bond Total Value ChinaBond corporate Bond (AA-) Total Value ChinaBond Money Market Fund Total Value Investable Bond ChinaBond New Medium Notes Total Value ChinaBond Medium Term Notes Total Value ChinaBond Corporate Bond(AA) Total Value ChinaBond High Grade Medium Term Total Value Notes ChinaBond Company Credit Bond Total Value ChinaBond Corporate Bond (AA+) Total Value Chinabond High Grade Bond Total Value ChinaBond Credit Bond Total Value ChinaBond New High Grade Bond Total Value ChinaBond CBIC Bond Total Value ChinaBond Corporate Bond Total Value Inter-Bank Fix-rate Corporate Bond Total Value ChinaBond New High Grade Corporate Total Value Bond ChinaBond China Green Bond Total Value ChinaBond Floating Rate Total Value ChinaBond Floating Rate Finance Bond Total Value ChinaBond China Green Bond Select Total Value ChinaBond China Climate-Aligned Bond Total Value

8 28 ChinaBond CIB Green Bond Total Value ChinaBond Yinhua AAA Credit Bond Total Value Ping An ChinaBond Investment Grade Total Value Bond ChinaBond Corporate Bond (AAA ) Total Value ChinaBond Commercial Bank Bond Total Value ChinaBond 2012-Issuing Bond Total Value ChinaBond 2013-Issuing Bond Total Value ChinaBond ADBC Bond Aggregate Total Value ChinaBond 3-5year Treasury Bond Total Value ChinaBond China High Grade Bond Total Value ChinaBond 5-Year Treasury Futures Total Value 38 Maturity Matching Policy Bank Bond ChinaBond 5-Year Finance Bond Total Value ChinaBond 7-year Treasury Bond Total Value ChinaBond New Composite Total Value ChinaBond Composite Total Value ChinaBond Interbank Aggregate Total Value ChinaBond Finance Bond Aggregate Total Value ChinaBond Short-Middle Term Total Value ChinaBond CDB bond index Total Value ChinaBond Fixed Rate Finance Bond Total Value ChinaBond China 1-30 Year Sovereign Total Value and Quasi-Sovereign Bond ChinaBond Aggregate Total Value ChinaBond Fixed Rate Total Value ChinaBond Key Terms Treasury Bond Total Value ChinaBond 5-Year Treasury Bond Total Value ChinaBond Interbank Treasury Bond Total Value ChinaBond Local Government Bond Total Value

9 ChinaBond Treasury Bond Aggregate Total Value ChinaBond Fixed Rate Treasury Bond Total Value ChinaBond 10-Year Treasury Futures Maturity Matching Policy Bank Bond Total Value ChinaBond Exchange Treasury Bond Total Value ChinaBond 7-10 Year CDB Bond Total Value ChinaBond 10-Year Treasury Bond Total Value ChinaBond Long Term Total Value

10 ChinaBond Green Bond Overview ChinaBond-China Green Bond Monthly Review Figure3:ChinaBond-China Green Bond -Total Value-Total Return Monthly Performance ChinaBond China Green Bond Table 6: Overall Review of ChinaBond-China Green Bond Name Term Total Return Total Value Full Price Total Value Net Price Total Value Market Value Weighted Duration Total Value Cash Flow Weighted Duration Total Value Market Value Weighted Convexity Total Value Cash Flow Weighted Convexity Total Value Average Yield to Maturity (%) Total Value Average Price Value of A Basis Point Total Value Average Maturity (year) Total Value Average Dividend Yield(%) Total Value Total Market Value of Constituents (100 million) Total Value 25, ,

Average Market Capitalization Yield(%) Total Value 4.11 4.11 Green Bond Proportion(%) Total Value 92.43 88.

equipment 6% Utilities Electronics 15% Real Estate Transport 61% Construction Decoration 7% Non banking Finance Utilities Chemicals Machinery Equipment Computers Consruction

ChinaBond-China Green Bond Constituents Top 10 Bond Code Bond Name Issuing Market Bond Type Weight(%) 078077 07 铁道 02 Inter-bank 1.06 1280219 12 铁道 03 Inter-bank 0.

11 Average Market Capitalization Yield(%) Total Value Green Bond Proportion(%) Total Value Figure 4:ChinaBond-China Green Bond Constituents by Industry Classification 3 Mining Real Estate Conglomerate Non banking 1% 1% 7% Finance Mining Banking 1% Electronical equipment 6% Utilities Electronics 15% Real Estate Transport 61% Construction Decoration 7% Non banking Finance Utilities Chemicals Machinery Equipment Computers Consruction Materials Construction Decoration Transport Agriculture Vehicles Commerce Food & Beverage Entertainments Health Care Banking Nonferrous Metal Conglomerate Table 7: ChinaBond-China Green Bond Constituents Top 10 Bond Code Bond Name Issuing Market Bond Type Weight(%) 铁道 02 Inter-bank 铁道 03 Inter-bank 铁道 01 Inter-bank 铁道 01 Inter-bank 铁道 MTN001 Inter-bank Middle Term Notes 铁道 MTN001 Inter-bank Middle Term Notes 铁道 04 Inter-bank 铁道 08 Inter-bank As of Jan 26, 2017,data source: Wind. 11

12 农发 01 Inter-bank 铁道 01 Inter-bank ChinaBond China Green Bond Select Monthly Review Figure 5:ChinaBond China Green Bond Select -Total Value-Total Return Monthly Performance 144 ChinaBond China Green Bond Select Table 8: Overall Review of ChinaBond-China Green Bond Select Name Term Total Return Total Value Full Price Total Value Net Price Total Value Market Value Weighted Duration Total Value Cash Flow Weighted Duration Total Value Market Value Weighted Convexity Total Value Cash Flow Weighted Convexity Total Value Average Yield to Maturity (%) Total Value Average Price Value of A Basis Point Total Value

Average Maturity (year) Total Value 5.78 5.80 Average Dividend Yield (%) Total Value 4.55 4.58 Total Market Value of Total Value Constituents(100 million) 20909.

17 Figure 6:ChinaBond-China Green Bond Select Constituents by Industry Classification 4 Banking 7% Conglomerate 4% Utilities 10% Electronical equipment Real

72% Commerce Entertainments Health Care Banking Nonferrous Metal Conglomerate Table 9: ChinaBond China Green Bond Select Constituents Top 10 Bond Code Bond Name

13 Average Maturity (year) Total Value Average Dividend Yield (%) Total Value Total Market Value of Total Value Constituents(100 million) Average Market Capitalization Yield Total Value (%) Green Bond Proportion (%) Total Value Figure 6:ChinaBond-China Green Bond Select Constituents by Industry Classification 4 Banking 7% Conglomerate 4% Utilities 10% Electronical equipment Real Estate Construction Decoration 5% Non banking Finance Utilities Chemicals Machinery Equipment Construction Decoration Transport Agriculture Vehicles Transport 72% Commerce Entertainments Health Care Banking Nonferrous Metal Conglomerate Table 9: ChinaBond China Green Bond Select Constituents Top 10 Bond Code Bond Name Issuing Market Bond Type Weight(%) 铁道 02 Inter-bank 铁道 03 Inter-bank 铁道 01 Inter-bank 铁道 01 Inter-bank Source: WIND (As of Jan 26,2017) 13

14 铁道 MTN001 Inter-bank Middle Term Notes 铁道 MTN001 Inter-bank Middle Term Notes 铁道 04 Inter-bank 铁道 08 Inter-bank 农发 01 Inter-bank 铁道 01 Inter-bank 1.00 ChinaBond China Climate-Aligned Bond Monthly Review Figure 7:ChinaBond China Climate-Aligned Bond -Total Value-Total Reture Monthly Performance ChinaBond China Climate-Aligned Bond Table 10: Overall Review of ChinaBond China Climate-Aligned Bond Name Term Total Return Total Value Full Price Total Value Net Price Total Value Market Value Weighted Total Value Duration Cash Flow Weighted Duration Total Value

Market Value Weighted Total Value Convexity 50.01 50.32 Cash Flow Weighted Convexity Total Value 51.76 52.13 Average Yield to Maturity (%) Total Value 4.15 4.

69 Total Market Value of Total Value Constituents(100 million) 13750.26 13875.31 Average Market Capitalization Total Value Yield (%) 4.05 4.04 Green Bond Proportion (%) Total Value 99.87 99.

15 Market Value Weighted Total Value Convexity Cash Flow Weighted Convexity Total Value Average Yield to Maturity (%) Total Value Average Price Value of A Basis Total Value Point Average Maturity (year) Total Value Average Dividend Yield(%) Total Value Total Market Value of Total Value Constituents(100 million) Average Market Capitalization Total Value Yield (%) Green Bond Proportion (%) Total Value Figure 8:ChinaBond China Climate-Aligned Bond Constituents by Industry Classification 5 Non Banking Conglomerate Finance Banking 3% 1% 7% Utilities 3% Construction Decoration 3% Electronical equipment Real Estate Non Banking Finance Utilities Construction Decoration Transport Commerce Banking Transport 83% Conglomerate Electronics Table 11: ChinaBond China Climate-Aligned Bond Constituents Top 10 5 Source: WIND (As of Jan 26,2017) 15

16 Bond Code Bond Name Issuing Market Bond Type Weight(%) 铁道 02 Inter-bank 铁道 03 Inter-bank 铁道 01 Inter-bank 铁道 01 Inter-bank 铁道 04 Inter-bank 铁道 08 Inter-bank 铁道 01 Inter-bank 铁道 01 Inter-bank 铁道 01 Inter-bank 浦发绿色金融债 01 Inter-bank Commercial Bank Bonds ChinaBond CIB Green Bond Monthly Review Figure 9:ChinaBond CIB Green Bond -Total Value-Total Reture Monthly Performance ChinaBond CIB Green Bond

Table 12: Overall Review of ChinaBond CIB Green Bond Name Term 2017-01-26 2016-12-31 Total Return Total Value 127.25 127.01 Full Price Total Value 103.36 103.19 Net Price Total Value 101.89 101.

75 Cash Flow Weighted Convexity Total Value 11.35 24.06 Average Yield to maturity(%) Total Value 4.44 4.23 Average Price Value of A Total Value Basis Point 0.02 0.

17 Table 12: Overall Review of ChinaBond CIB Green Bond Name Term Total Return Total Value Full Price Total Value Net Price Total Value Market Value Weighted Duration Total Value Cash Flow Weighted Duration Total Value Market Value Weighted Convexity Total Value Cash Flow Weighted Convexity Total Value Average Yield to maturity(%) Total Value Average Price Value of A Total Value Basis Point Average Maturity (year) Total Value Average Dividend Yield (%) Total Value Total Market Value of Constituents(100 Total Value million) Average Market Capitalization Yield (%) Total Value Green Bond Proportion (%) Total Value 95.78% 55.02% Figure 10:ChinaBond CIB Green Bond Constituents by Industry Classification 6 Conglomerate 8% Machinery Equipment 1% Utilities 24% Real Estate Utilities Construction Decoration Banking Banking 61% Construction Decoration 5% Conglomerate Machinery Equipment Nonferrous Metal 6 Source: WIND (As of Jan 26,2017) 17

18 Table 13: ChinaBond CIB Green Bond Constituents Top 10 Bond Code Bond Name Issuing Market Bond Type Weight(%) 浦发绿色金融债 01 Inter-bank Commercial Bank Bonds 兴业绿色金融债 02 Inter-bank Commercial Bank Bonds 浦发绿色金融债 02 Inter-bank Commercial Bank Bonds 浦发绿色金融债 03 Inter-bank Commercial Bank Bonds 兴业绿色金融债 01 Inter-bank Commercial Bank Bonds 青岛银行绿色金融 Inter-bank Commercial Bank 01 Bonds 江西银行绿色金融 Inter-bank Commercial Bank 01 Bonds G16 三峡 1 Shanghai Exchange Enterprise Bonds 沪建债 02 Inter-bank Local corporate Bonds 沪建债 01 Inter-bank Local corporate Bonds 2.03 ChinaBond Monthly News and Bulletion New Indices Launched in January 1. ChinaBond CIB Green Bond ChinaBond CIB Green Bond is launched by CCDC and Industrial Bank Co., LTD. on January 6. The constituents must satisfy one of criteria as following: China Green Bond Endorsed Project Catalogue (2015 Edition), The Green Finance Committee of China Society of Finance and Banking; Green Bond Issuance Guidelines, National Development and Reform Commission; Green Bond Principles, International Capital Market Association; Climate Bonds Standard, Climate Bonds Initiative. And Industrial Bank confirmed that the constituents also satisfy CIB Green Finance certification (2016) 7 The base date is Dec. 31, 2012 and the basis point value is 100. This index is rebalanced quarterly. 2. ChinaBond China 1-30 Year Sovereign and Quasi-Sovereign Bond ChinaBond China 1-30 Year Sovereign and Quasi-Sovereign Bond is launched by CCDC on January 13. This index comprises total value index and sub-indices that are differentiated by the range of constituent 7 兴业银行绿色金融业务属性认定标准 (2016 版 ) 18

19 maturities. It covers bonds with maturities between 1year to 30 years (including 1 year and 30 years) issued in domestic bond markets, including Treasury Bond, Policy Finance Bonds and Commercial Paper. The base date is Dec. 31, 2012 and the basis point value is 100. This index is rebalanced monthly. ChinaBond Indices are available on http: //www. ChinaBond. com. cn. Users may also query and download ChinaBond Indices through ChinaBond Integrated Business Platform and Data Unloading Channel or through 10 authorized information vendors. Indices are trailed for three months and will be formally launched in three months under normal circumstances. Application of ChinaBond Indices As of the end of Jan.2017, 29 bond funds valued at billion in total take ChinaBond Indices as their benchmark for performance comparison. Besides, one ETN product initially valued at 300 billion KRW tracked ChinaBond. The details are shown below: Table14: Application of ChinaBond Indices Short Name Ticker Market Value Fund Manager Underlying ChinaBond New E Fund ChinaBond E Fund Management Composite Total New Composite RMB 271 million Co., Ltd Return (Total (LOF) Value) ChinaBond New CSAM ChinaBond China Southern Asset Medium Notes Total New Medium Notes RMB 55 million Management Co., Ltd Return (Total Value) CSOP ChinaBond HKD:3199 CSOP Asset Management ChinaBond 5-Year 5-Year Treasury RMB 275 million CNY:83199 Co., Ltd Treasury Bond Bond ETF Market Vectors USD 6.8 million Van Eck Global ChinaBond China CBON(NYSE ChinaAMC China (about RMB 47 China Asset Management High Grade Bond ARCA) Bond ETF million) Co., Ltd CSAM ChinaBond China Southern Asset ChinaBond 10-Year 10-Year Treasury RMB 228 million Management Co., Ltd Treasury Bond Bond ETF E Fund ChinaBond E Fund Management Co., ChinaBond 3-5year 3-5year Treasury million RMB Ltd Treasury Bond Bond ETF E Fund ChinaBond E Fund Management Co., ChinaBond 7-10 Year 7-10 Year CDB RMB 1,229 million Ltd CDB Bond Bond ETF GF ChinaBond 7-10 GF FUND Asset ChinaBond 7-10 Year RMB 793 million Year CDB Bond Management Co., Ltd CDB Bond 19

20 9 TRUE RMB China 5-Year Treasury Bond ETN KRG (ISIN CODE) KRW 30 billion (about RMB 177 million) Korea Investment Securities Co. ChinaBond 5-Year Treasury Bond (KRW) Total RMB 3,288 million By the end of 2016, 2252 funds take bond indices as their benchmark for performance comparison funds take ChinaBond Indices as benchmarks, which account for 49.56% of all funds.the quantity of bond funds which take ChinaBond Indices as benchmarks for performance comparison are 550, which account for 74.22% of all 741 bond funds. Table 15: Application of bond indices as benchmark by domestic funds (by quantity of funds) Quantity of Funds Bond Chinabond Proportion of ChinaBond Bond Fund % Balanced Fund 1, % Equity Fund % Total 2,252 1,116 50% Total (except Euity fund) 2,093 1,034 49% The market value of funds taking bond indices as their benchmark for performance comparison is 3040 billion RMB. The market value of funds taking ChinaBond Indices as benchmarks for performance comparison is 1,750 billion RMB, which account for 57.61% of the total value. The market value of bond funds taking bond indices as their benchmark for performance comparison is 1,389.3 billion RMB. The market value of bond funds taking ChinaBond indices as their benchmark for performance comparison is 1,105.9 billion RMB, which account for 79.60% of the total value. Table 16: Application of bond indices as benchmark by domestic funds (by market value of funds) Market value of Funds Bond ChinaBond Proportion of ChinaBond (100 million) Bond Fund 13,893 11,059 80% Balanced Fund 14,740 5,342 36% Equity Fund 1,783 1,032 58% Total 30,416 17,523 58% Total (except Euity fund) 28,633 16,491 58% 20

21 Construction Rules for ChinaBond Family (Ed. Jan 2017) ChinaBond Family is produced and released by China Central Depository & Clearing Co.ltd (CCDC). It is aimed to objectively track the performance of China domestic bond market. After over ten years of development and improvement, ChinaBond has grown into an index family of diversification and comprehension. And it is widely used as performance benchmark by a variety of government institutions, commercial banks, insurance companies and securities companies. As of the end of 2016, there have been more than 1100 mutual funds that selected ChinaBond as investment performance benchmarks. On the other hand, an increasing number of international and domestic investors are positively applying for the licenses to provide ETFs or LOFs based on the ChinaBond. Each index in ChinaBond family has specific qualification of inclusion and deletion, which is available to review on CCDC official website ( and ChinaBond Integrated Operation Platform. The general construction rules for ChinaBond family are as follows: 1. Overview It has formed an family with six sets, classified by rebalancing rules: ChinaBond Composite Indices, Constituent Indices, Strategy Indices, Investment Indices, Position Indices and Custom Indices. 1.1 ChianBond Tree 21

22 Figure11:ChinaBond Tree 8 ChinaBond Family Composite Indices Constituent Indices ChinaBond Central Bank Paper 50 ChinaBond Commercial Paper 50 Strategy Indices ChinaBond High Quality Bond ChinaBond Key Terms Treasury Bond Foreign Currency Indices ChinaBond High Quality Bond IndeX(USD) Position Indices User A Position User B Position Custom Indices Ping An ChinaBond Investment Grade Bond ChinaBond Yinhua AAA Credit Bond Investment Indices Market Indices Sector Indices Green Bond Indices ChinaBond China Green Bond ChinaBond China Green Bond Select ChinaBond China Climate-Aligned Bond ChinaBond CIB Green Bond ChinaBond Aggregate ChinaBond Company Credit Bond ChinaBond Composite ChinaBond Credit Bond Aggregate ChinaBond New Composite By Issuer: ChinaBond CDB Bond Aggregate ChinaBond ADBC Bond Aggregate ChinaBond Central Bank Paper Aggregate ChinaBond Commercial Bank Bond ChinaBond Commercial Paper Aggregate ChinaBond Corporate Bond Aggregate ChinaBond Finance Bond Aggregate ChinaBond Local Government Bond ChinaBond Medium Term Note Aggregate ChinaBond New Medium Term Note Aggregate ChinaBond Treasury Bond Aggregate By Market: ChinaBond Exchange Treasury Bond ChinaBond Interbank Bond Aggregate ChinaBond Interbank Treasury Bond ChinaBond Interbank Asset-Backed Security By Credit Rating: ChinaBond Commercial Paper (AA) ChinaBond Corporate Bond (AAA/AA+/AA/AA- ) ChinaBond High Credit Rating Corporate Bond ChinaBond High Credit Rating Medium Term Note ChinaBond High Grade Bond ChinaBond High Yield Corporate Bond ChinaBond High Yield Medium Term Note ChinaBond New High Grade Bond By Maturity: ChinaBond 3-5year Treasury Bond ChinaBond Long Term Bond ChinaBond Short and Medium Term Bond ChinaBond 7-10 Year CDB Bond ChinaBond 5-Year Treasury Futures Maturity Matching Policy Bank Bond ChinaBond 10-Year Treasury Futures Maturity Matching Policy Bank Bond ChinaBond China 1-30 Year Sovereign and Quasisovereign Bond ChinaBond 5-year Treasury Bond ChinaBond 5-year Finance Bond ChinaBond 10-year Treasury Bond ChinaBond Year CDB Bond By Issue term: ChinaBond 7-year Term Treasury Bond Others: ChinaBond 10-year Treasury Bond ChinaBond 2012/2013 Issuing Bond ChinaBond 5-year Finance Bond ChinaBond 5-year Treasury Bond ChinaBond CBIC Bond ChinaBond Money Market Fund Investable Bond ChinaBond Commercial Bank Investment ChinaBond Insurance Institution Investment ChinaBond Mutual Fund Investment ChinaBond Security Company Investment ChinaBond Trust Plan Investment 8 Note: The Diagram comprises of all indices published before Jan 26,

23 1.2 ChinaBond Composite Indices ChinaBond Composite Indices measure the overall performance of the domestic bond market or of a particular bond type. Constituents are selected based on single or multiple factors such as bond type, issuer, size, maturity, credit rating and etc. The index value and related indicators of ChinaBond Composite Indices are weighed based on the market capitalization of outstanding amount of bonds. At present, ChinaBond Composite Indices can be divided into Market Indices Sector Indices and Green Bond Indices. Market Indices are broad-based market indices, which reflect the market tendency of aggregate bond market (e.g. ChinaBond Composite, ChinaBond New Composite ), or overall interest-bond market tendency (e.g. ChinaBond Aggregate ), or overall credit bond market tendency (e.g. ChinaBond Credit Bond Aggregate, ChinaBond Company Credit Bond ). Sector indices can be further divided into seven sub-indices according to interest calculation method, type of issuer, market, credit rating, and term to maturity, maturity and other. ChinaBond Green Bond Indices reflect the market tendency of green bonds market. They can be used as benchmarks for performance comparison by inverstors. The widely-used Composite Indices in the market include ChinaBond Composite, ChinaBond New Composite, ChinaBond Aggregate, ChinaBond Treasury Bond Aggregate and ChinaBond Corporate Bond Aggregate, etc. 1.3 ChinaBond Constituent Indices ChinaBond Constituent Indices are similar to ChinaBond Aggregate Indices in the measurement of certain market and constituents selection. Unlike ChinaBond Aggregate Indices, the quantity of constituent bonds in Constituents Indices is limited in advance. For example, ChinaBond Commercial Paper 50 contains 50 qualified commercial papers, ranked by liquidity. The index value and related indicators of ChinaBond constituent index family are weighed based on the market capitalization of outstanding amount of bonds. 1.4 ChinaBond Strategy Indices ChinaBond Strategy Indices incorporate investment strategy into index by setting certain criteria to simulate investment performance. Non-market-capitalization weighting is used for this type of indices. 1.5 ChinaBond Investment Indices ChinaBond Investment Indices take all account holding of particular type of institutions as index constituents to measure overall investment performance of several classified institutions. 1.6 ChinaBond Position Indices ChinaBond Position Indices take each institution s bond account opened in CCDC to form an individual aggregate index, containing all bonds (excluding the dollar bonds and asset-backed securities) in each account. ChinaBond Position Indices are weighted by individual market capitalization of bond holding in the account and each account is provided with a position index. This type of index is used for account holders internal performance evaluation 23

24 and is not open to public. 1.7 ChinaBond Custom Indices ChinaBond Custom Indices are developed according to clients individualized and diversified demands. Clients may customize their special index based on their own investment objective and risk preference. Clients can customize their own index in three methods: (1) Clients may upload the list of constituent bonds on the ChinaBond website ( and set up a custom index, then the ChinaBond team will undertake the index calculation. This type of index is used internally for clients only and is not open to public. (2) After consulting with the ChinaBond team for professional opinions, clients may formulate a bond selecting rule fits their demand, then the ChinaBond team will undertake the maintenance of constituent bonds and index calculation. Clients may determine whether this index is open to the public and its publish channel. (3) Clients may identify the constituent bonds (or the constituent bonds negative list) and the ChinaBond team will undertake the index calculation. Clients may determine whether this index is open to the public and its publishing channel. If clients select the customized bond selection rule, the following options (partial options only) may be taken as a reference: Table 17:Customized Bond Selection Rule Selection Rule Type of bond Market Interest payment method Custodian Amount Term to maturity Cash flow reinvestment Currency Rebalance frequency Weighting method Detail Bonds available in the China bond market, including book-entry T-bonds, policy bank bonds, corporate bonds, commercial papers, and medium term note etc. Including Interbank bond market, Shanghai Stock Exchange (SSE), Shenzhen Stock Exchange (SZSE), counter and other Including interest-bearing fixed and interest-bearing floating method, etc. Amount of bonds under the custody A certain term to maturity interval may be set according to the investment strategy After receiving the cash flow, clients may immediately invest it in the index portfolio, or hold until the month end as demand deposit and then invest it in the index portfolio at beginning of following month. The RMB valuation index or foreign exchange hedge index may be selected Daily, monthly or quarterly Market value weighting and other non-market value weighting methods 2 General Policies and Practices 24

25 2.1 Sub-indices In addition to aggregate index, most ChinaBond Indices have sub-indices by term to maturity. The sub-indices with term to maturity groups all the bonds with term to maturity in the designated intervals. For example, the constituent bonds of ChinaBond Treasury Bond 1-3-year Aggregate satisfies all the criteria for ChinaBond Treasury Bond Aggregate and their term to maturity are in 1-3 years (including 1 year). In general, sub-indices have 6 designated intervals: shorter than 1 year, 1-3 years (including 1 year), 3-5 years (including 3 years), 5-7 years (including 5 years), 7-10 years (including 7 years), and longer than 10 years (including 10 years). 2.2 Pricing Source Taking ChinaBond valuation (with 0.1% price deviation) as reference, the primary pricing source is the average price of reasonable optimal bid-ask prices. If such price is not available, the reasonable weighted average settlement price in the interbank market or the closing price in the exchange market shall be selected; if none of above is available, ChinaBond valuation price shall be used. Among the index constituent bonds, same bond that circulates in different market will be treated as two different bonds. For example, 06 China Aerospace Corporate Bond was a constituent bond of ChinaBond Corporate Bond Aggregate on Dec. 31, 2013 and traded in the interbank bond market and SSE with two different prices. The quantity in the interbank market was calculated at the interbank price (market price/price in the valuation model), while that in SSE was calculated at the SSE price (market price/price in the valuation model). 2.3 Rebalancing The rebalancing frequency for ChinaBond is daily, monthly or quarterly. Most ChinaBond Indices are daily rebalanced, i.e. bonds are screened by rule of each index on each business day. Some widely used indices such as ChinaBond New Composite and ChinaBond Treasury Bond Aggregate are daily rebalanced. In addition, users of custom indices can decide their own rebalancing frequency. 2.4 Bond Rating Corporate bond rating and issuer rating used by ChinaBond Indices are issued by Chinese rating companies. If a bond has multiple ratings by different rating companies, its rating should be determined on the principle of lower of the new rating,which adopts the latest rating first and if multiple ratings exist in one recent month, the lowest rating will be used. 2.5 Defaults The defaulted bonds will be removed from index on the next rebalancing date. 2.6 Option-embedded Bonds For the option-embedded bonds (such as embedding investor s redemption option and issuer s right of redemption), they should be judged whether to exercise such right based on fair forward interest rate to obtain the 25

26 recommended term to maturity. If they are judged to exercise such right, they will be recommended to hold in a short term ; if they are judged not to exercise such right, they will be recommended to hold in a long term. The recommended term to maturity is used in index calculation. 2.7 Calculation 2.7.1Total Return Description: total return index is the index value calculated at the full price of bond, which takes the interest reinvestment into account. Two calculation methods are provided according to time of investment after receiving the cash flow. Method 1: Assumption: Investors invest the interest and principal received to the index portfolio in the same day. Formula: I I P Int Pr i W F TR TR i, T i, T i, T F T T 1 F i, T 1 i P it, 1 Where: Method 2: Assumption: Investors hold the interest and principal received during the calendar month to the last business day of such month in the form of demand deposit and then invest the accumulated cash in the index portfolio on the first day of following month. Under this assumption, the return on index consists of price appreciation, interest and principal 26

27 payment of the bond, and return on the cash. Formula: mw F it, 1 i MV MV F it, 1 Cash F i, T 1 i, T 1 cw F it, 1 i MV Cash it, 1 Cash F i, T 1 i, T 1 Where: Full Price Description: Full price index is calculated by using full price of bond. Paid interest will not be included in index calculation. Formula: 27

28 I I P W F F F it, F T T 1 F i, T 1 i PiT, 1 Where: Net Price Description: Net price index is calculated by using net price of bond. Both accrued and paid interest will not be included in index calculation. Formula: I I P W N N N it, N T T 1 N i, T 1 i PiT, 1 Where: 3 Authorization and Contact Information The product development based on ChinaBond Indices shall be authorized by CCDC and charged correspondingly: custom index service, ETF funds and development of other index funds, index options and other derivative products. For more detailed information about index authorization, please contact the following personnel: Lin Jin jinlin@chinabond.com.cn For custom index solutions, please contact the following personnel: Junfei Jiang jiangjf@chinabond.com.cn Xiaoyi Liu liuxy@chinabond.com.cn Liao Qianyun liaoqy@chinabond.com.cn 28

29 4 Governance ChinaBond Indiced are constructed and maintained by CCDC independently. The index business personnel are responsible for the daily calculation, maintenance, publication, development of new index products, regularly revision on ChinaBond Guide, and consultation for methodology of ChinaBond Indices. An independent quality control team is established under CCDC, which regularly inspects the quality of ChinaBond Indices. Every year ChinaBond Expert Committee is held to evaluate ChinaBond Indices products and provide guidance Internal Quality Control The independent quality monitoring team under CCDC is established to regularly inspect the indicator calculation of ChinaBond index, correction of sample selection and index fluctuation, issue quality inspection report and hold quality analysis meeting. The quality control team does not participate in the daily index calculation ChinaBond Expert Committee Established in 2005, the ChinaBond Expert Committee has 35 members from the People s Bank of China, the Ministry of Finance, China Banking Regulatory Commission (CBRC), China Securities Regulatory Commission (CSRC), the China Insurance Regulatory Commission (CIRC), Asset Management Association of China, commercial banks, Social Insurance Fund, research institutes and domestic famous universities. The Committee holds a meeting every year. Each member makes an evaluation on the overall work of ChinaBond pricing products, index compilation method and quality over the past time and gives their guidance opinions, thereby playing a supervisory role on the ChinaBond Indices Transparency ChinaBond Indices are featured with high market transparency. The general policies & practices and methodologies of individual index have been released to the public. Daily Review on ChinaBond Yield Curve and is published on a daily basis and it summarizes daily statistics of ChinaBond pricing products. Monthly Analysis Report on ChinaBond is released every month, which covers index return, characteristic index, risk return, changes in constituents and dynamic information about the index. CCDC regularly holds online and on site seminars to communicate with market participants and collects their opinions and suggestions. 5 Release and Analysis Reports 5.1 Release Channel ChinaBond Indices are released at around 18: 00 (Beijing time), and position indices and some non-published custom indices are released at about 8: 30 (Beijing time) on the next business day. 29

30 ChinaBond Indices are available on or through ChinaBond Integrated Business Platform and Data Unloading Channel for inquiry and unloading. For concrete usage, refer to (ChinaBond Integrated Operation Platform) or chinabond.com.cn/channel/21840 (data download channel). The search path for ChinaBond composite index and constituent index on the ChinaBond Integrated Operation Platform is as follows: Integrated business platform of ChinaBond>Market data>chinabond index The search path for ChinaBond position index on the ChinaBond Integrated Operation Platform is as follows: Integrated business platform of ChinaBond>My statistics>single account statistics>positioned bond statistics>position index trend (statement or curve chart) In addition, clients may also look up and download ChinaBond Indices data through 20 information vendors authorized by CCDC. The list of information vendors is as follows: Table18: Authorized information vendors SN Information provider 1 Shanghai DZH Limited 2 Shanghai Wind Information Co., Ltd. 3 China Chengxin Information Technology Co., Ltd. 4 Hexin Flush Information Network Co., Ltd. 5 East Money Information Co., Ltd. 6 ShangHai Gildata Inc. 7 Bloomberg L.P. 8 FactSet Research Systems Inc. 9 Reuters Limited 10 Northern Star Financial Engineering Technology, Ltd. 11 Imagine Software Inc. 12 MSCI Inc. 13 ADVANCED PORTFOLIO TECHNOLOGIES LTD (Sungard) 14 China Finance Corporation(Xinhua 08) 15 RIMES Technologies Corporation Users may log in Bloomberg Terminal and input CDCP or log in Thomson Reuters Terminal and input 0#. CCDCI command to look up ChinaBond index data. 5.2 Indicator Besides index values of total return, full price, net price and staged index values, each index further includes 14 related indicators, i.e.: average market cap duration, average cash flow duration, average market cap convexity, average cash flow convexity, average base value, average yield to maturity (YTM), average market cap YTM, average term to maturity, average coupon rate, total index market cap, wealth index price limits, 30

31 full price index price limits, net price index price limits, and quantity of bond settlement. 5.3 Daily and Monthly Reports To help clients better understand the ChinaBond Indices and dynamic market changes, CCDC prepares and publishes Daily Review on ChinaBond Yield Curve and (in Chinese and English) every day. Part III Trend Analysis of ChinaBond of the Daily Review covers the overall tendency of ChinaBond Indices on the day and volatility of each index in two days. For detailed information, refer to http: // (Chinese) or www. chinabond. cn/channel/ (English). In addition, CCDC publishes Monthly Report on ChinaBond Statistics and Analysis every month. This report introduces the trend of ChinaBond index, return on index, risk return on index, selection and withdrawal of sample bonds of some indices in the last month, as well as recent news about index products. For detailed information, please refer to http: //www. ChinaBond. com. cn/channel/ (Chinese) or www. //www. ChinaBond. cn/channel/ (English). 6 Frequent Qs & As Q 1: How to get constituents of ChinaBond Indices? A 1: Users may look up the data about sample bonds of ChinaBond index through the ChinaBond Integrated Operation Platform or the data downloading channel. The concrete inquiry path is as follows: Integrated business platform of ChinaBond>Market data>chinabond index>data about sample bonds of ChinaBond index (current year) or Data about sample bonds of ChinaBond index (last year and earlier time) If you want to look up the data about sample bonds in the current year, please use current year menu; if you want to look up the data about sample bonds last year or earlier time, please use last year or earlier time menu. The usage for the data downloading channel is similar. If you want to obtain the data about sample bonds of ChinaBond index from the information providers, please consult with the customer service staff of related information providers. Q 2: How to customize an index? A 2: First, you should contact the business personnel of CCDC and tell them your intent and index compilation program; there are two methods to compile the index; first, you may upload index sample bonds and CCDC is responsible for calculation of the index; second, after determining the index compilation program by both sides, CCDC is responsible for maintenance and calculation of index sample bonds. These custom indices may or may not be published according to clients demand. Q 3: Where can I download methodology of each ChinaBond index? A 3: You may download methodology of ChinaBond indices through ChinaBond website and ChinaBond Integrated Operation Platform. Q 4: Why is the data about sub-indices with term to maturity in a designated interval in a certain 31

32 period unavailable? A 4: Sub-indices with term to maturity in a designated interval are divided according to the residual maturity of index sample bonds; therefore, this practice may result in vacancy of some indices in the intervals. Once there is any vacancy of sample bonds, index indicator data cannot be calculated at the corresponding time point, namely the data is unavailable, and this is normal. 32

33 Disclaimer This document and all of the information contained in it, including without limitation to all text, data, graphs, charts (hereinafter referred to as the information ), is the property of China Government Securities Depository Trust & Clearing Co., Ltd. (hereinafter referred to as CCDC ). The information is protected by intellectual property right law of China and related laws. The information is used for reference only. This document and any information herein do not constitute a basis or a suggestion on any securities, financial products or other investment vehicles or any trading strategy. Furthermore, CCDC has never approved, agreed with or in any other form expressed any comments in regard to any issuer, securities, financial product or vehicle or trading strategy. In regard to any loss due to direct or indirect use of this document or any information herein, including without limitation to inaccuracy and incompletion of such information, CCDC will not bear or assume any legal liability. All rights are reserved by CCDC. 33

ChinaBond Index. Monthly Review February JIANG, Junfei , LIU, Xiaoyi ,

ChinaBond Index. Monthly Review February JIANG, Junfei , LIU, Xiaoyi , ChinaBond Disclaimer: This document and all of the information contained in it is the property of China Central Depository & Clearing Co., Ltd. (hereinafter referred to as CCDC ). The information is used