深交所发布两条高等级信用债指数 持续丰富债券指数体系

Core Insights - Shenzhen Stock Exchange's subsidiary, Shenzhen Information, will launch the Shenzhen AAA State-Owned Enterprise Credit Bond Index and the Shenzhen AAA Private Enterprise Credit Bond Index on August 15, 2023, to meet the investment demand for high-grade credit bonds [1][2] Group 1: Shenzhen AAA State-Owned Enterprise Credit Bond Index - The index includes bonds issued by state-owned enterprises with an AAA rating, fixed interest payment, and a remaining term of at least one month, reflecting the performance of high-grade state-owned enterprise credit bonds in the Shenzhen market [1] - As of the end of July, the index comprises 1,072 sample bonds with a total market value exceeding 1.3 trillion yuan, covering 94% of the underlying market [1] - The index has an annualized yield of 4.0% since its base date on December 28, 2018, with a Sharpe ratio of 3.6 and a weighted duration of approximately 2.52 years, catering to conservative yield-seeking investors [1] Group 2: Shenzhen AAA Private Enterprise Credit Bond Index - The index consists of bonds issued by private enterprises with an AAA rating, fixed interest payment, and a remaining term of at least one month, reflecting the performance of high-grade private enterprise credit bonds in the Shenzhen market [2] - As of the end of July, the index includes 95 sample bonds with a total market value of 178.7 billion yuan, covering 98% of the underlying market [2] - The index has an annualized yield of 4.0% since its base date on December 30, 2022, with a Sharpe ratio of 3.8 and a weighted duration of approximately 1.87 years, indicating a moderately low risk level [2] Group 3: Broader Context and Future Plans - Shenzhen Information aims to promote the innovative development of bond indices as a key strategy to support high-quality economic development, continuously enhancing the bond index system to provide diversified investment targets and performance benchmarks [2] - By the end of July 2025, Shenzhen Information plans to have released over 50 bond indices covering various categories, including government bonds, policy bank bonds, local government bonds, corporate bonds, and financial bonds [2] - The combined scale of Shenzhen's credit bond indices and Shenzhen AAA Sci-Tech Innovation Bond Index tracking ETF products exceeds 52 billion yuan, offering efficient on-site allocation tools for investors [2]