Daily Report of China Onshore RMB Bond Market 2017-10-10

发布时间:2017-10-09 19:57

  (1) ChinaBond Index Analysis

  ChinaBond Composite Index tracking general performance of bond market slightly dropped today. The net price index excluding interest revenue declined by 0.0182%; and the total return index including interest reinvested revenue declined by 0.0069%. In addition, the average yield to maturity was 4.3751%. The average market capitalization yield was 4.3505%. And the market value weighted duration was 3.8064.

  (2) Bond Market Performance:

  Rate Securities

  Generally speaking, the yields of Treasury Bonds and Policy Bank Bonds waved a little entirely. In the morning, the auction outcome of CDB Bonds on 1Y/3/Y/5Y/7Y/10Y fluctuated slightly. By the end of day, the yields of Treasury Bonds, CDB, ADBC and EXIMBC Bonds entirely waved within 1BP.

  To be more specific, the yield of Treasury Bonds (3Y) stood at 3.59% according to the transaction of 170016; 5Y Bonds kept stable at 3.64% resulted from the transaction of 170014; referring to the quotation and transaction of 170020, the yield for 7Y stand still at 3.7%, and also, the yield for Treasury Bonds (10Y) leveled off at 3.65% caused by the quotation and transaction of 170018; the yield for Treasury Bonds (30Y) rose by 1BP to 4.25% caused by the quotation and transaction of 170015.

  The yields of CDB bonds waved a little entirely. The yield of 3Y Bond increased by 1BP to 4.28% because of the transaction of 170209; while 5Y Bond kept stable at 4.29% according to the transaction of 170206; referring to the transaction of 170215, the yield for 10Y Bond stood at 4.22%.

  Moreover, the yields of ADBC Bonds also fluctuated. The yield for 3Y Bond went up by 2BP to 4.29%; while 10Y Bond stood at 4.35% caused by the transaction of 170415.

  Furthermore, the yields of EXIMBC Bonds also experienced a small waving. The yield for 3Y Bond increased by 1BP to 4.30% according to the transaction of 170310; due to the transaction of 170309, 5Y Bond rose by 1BP to 4.36%.

  Credit Bonds

  The yields for credit bonds increased for both short term bonds and mid or long term ones. To be more specific, the yield of AAA on 3M ascended by 3BP to 4.31%. The yield of AAA 6M kept stable at 4.43%, and the yield for 1Y went up by 3BP to 4.55%. The yield for 3Y of AAA rose by 2BP to 4.64%, while that of AAA 5Y Bonds increased by 1BP to 4.75%.

  The short-term yields for Financial Bonds of Commercial Bank Yield, including CD, waved as a whole. The spot of Financial Bonds of Commercial Bank on (AAA 7d/1M/3M/6M/1Y) changed +11BP, 0BP, +1BP, -5BP and -2BP to 3.85%, 4.25%, 4.35%, 4.44% and 4.50%.

  The yields for Urban Construction Bonds went up slightly. Specifically, the yield of Urban Construction Bonds AAA on 1M/3Y/5Y changed by +1BP, 0BP and +1BP to 4.34%, 4.73% and 4.82%. The yields of AA Bonds on 2Y went up by 1BP to 4.95%, while that of 5Y rose by 3BP to 5.29%.

  What’s more, AAA Local Government Bonds on 3Y/5Y/10Y reached the level of 3.90%, 3.96% and 4.07% caused by the market transaction.

  Exchange Market

  In addition, there was 5.1 billion of transaction on exchange bidding system, which was scale increased than previous. The yields of highly rated corporate bonds went up by 2BP. Those of corporate bonds and enterprise bonds with middle and low ratings kept stable. There was active transaction for 112457 today.

  (3) Data and Statistics

  Micro Economics:Chinese currency reserves rose to $3.1085 trillion. It was the eighth consecutive month of increasing. The last number was $3.09 trillion.

  Currency Market: the fund interest rates waved slightly today, with the overnight shibor decreasing by 0.2BP to 2.7380%, and 3M shibor increasing by 0.39BP to 4.3541%.

  Foreign Exchange Data:the intermediate value of USD/CNY quotation is 6.6273 today, with CNY appreciating by 220BP today, giving an end to the consecutive depreciating in the past 6 days.

  PBOC: The PBOC made ¥40 billion reverse repurchase and there was no cash withdrawal today. There was 40 billion due today.

  Treasury Future


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