Bloomberg Launches First Daily China Credit Derivatives Pricing

Bloomberg Professional announced the launch of the first daily reference prices for the Chinese Renminbi credit derivatives market. The new service is designed to reduce risk and increase transparency, according to the press statement

The Bloomberg proprietary tool was developed in cooperation with major Chinese banks, and provides accurate pricing for risk assessments on credit derivatives, which help with mark-to-market valuations.

Bloomberg’s Credit Risk Mitigation Instrument Fixing (CRMC) tool provides current market information on CNY credit risk mitigation instrument fixing, as well as individual bank’s credit risk mitigation instrument data. CRMC is a reference price calculated from prices quoted on a particular tenor and credit rating, from twelve of the largest dealers in China. Their prices are averaged after removing the highest and lowest quotes. The data is collected at 4:00 p.m. Beijing‐time daily.

"Prices for credit risk mitigation instruments calculated by Bloomberg are important for every bank. China Development Bank needs to use prices provided by Bloomberg's CRMC service daily to mark to market positions on CRMI," commented Sun Shixin, Department Head, Risk‐ Management Department, China Development Bank in the release.

Xuebing Ding, Chief Investment Officer of CBIC, stated, “As the first Chinese credit enhancement institution and the leading market maker, China Bond Insurance (CBIC) focuses on developing the credit derivative market in China. Bloomberg's ‘Information and Quotes’ platform for Credit Risk Mitigation Instruments is very useful to us. We believe the cooperation between Bloomberg and CBIC will greatly improve the market efficiency for credit products in China.”

"Bloomberg worked closely with the leading banks in China to create the daily reference pricing service. By bringing transparency to a new and complex market place, the data we provide helps financial market participants better manage their risk and more effectively hedge their credit exposure," commented Gerard Francis, head of emerging markets, Bloomberg.

The Chinese Risk Mitigation Instruments, a form of credit derivatives for the Renminbi bond market, began trading earlier this month. Bloomberg began providing the CRMI price contributions from the key banks and the daily reference pricing on the 5th of November, 2010, the first day of trading.

Ivy is Editor-at-Large for Advanced Trading and Wall Street & Technology. Ivy is responsible for writing in-depth feature articles, daily blogs and news articles with a focus on automated trading in the capital markets. As an industry expert, Ivy has reported on a myriad ... View Full Bio