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Daily Report of China Onshore RMB Bond Market 2017-09-07

原标题:Daily Report of China Onshore RMB Bond Market 2017-09-07

(1) ChinaBond Index Analysis

ChinaBond Composite Index tracking general performance of bond market went up today. The net price index excluding interest revenue rose by 0.0821%; and the total return index including interest reinvested revenue rose by 0.0921%. In addition, the average yield to maturity was 4.3893%. The average market capitalization yield was 4.3632%. And the market value weighted duration was 3.8533.

(2) Bond Market Performance:

Rate Securities

Generally speaking, the yields of Treasury Bonds and Policy Bank Bonds went down entirely. In the morning, the auction outcome of EXIMBC Bonds on 1Y/3Y/5Y/10Y and CDB Bonds on 3Y/7Y in the afternoon dropped entirely. By the end of day, the yields of Treasury Bonds went down by 1-4BPs; The yield of CDB Bonds decreased 2-5BPs except for a few bonds; ADBC and EXIMBC Bonds entirely descended by 1-3BPs.

To be more specific, the yield of Treasury Bonds (3Y) dropped by 3BPs to 3.54% according to the transaction of 170016; 5Y Bonds decreased by 3BPs to 3.61% resulted from the transaction of 170014; referring to the quotation and transaction of 170013, the yield for 7Y Bonds went down by 3BPs to 3.69%, and notably, the yield for Treasury Bonds (10Y) descended by 4BPs to 3.62% caused by the quotation and transaction of 170018; the yield for Treasury Bonds (30Y) dropped by 1BP to 4.22% caused by the quotation and transaction of 170015.

The yields of CDB bonds went down entirely. The yield of 3Y Bond dropped by 6BPs to 4.22% because of the transaction of 170205; 5Y Bond decreased by 6BPs to 4.29% resulted from the quotation and transaction of 170206; referring to the transaction of 170215, the yield for 10Y Bond went down by 5BPs to 4.25%.

Moreover, the yields of ADBC Bonds decreased entirely. The yield for 1Y Bond went down by 4BPs to 3.99% according to the transaction of 170410; 10Y Bond dropped by 3BPs to 4.38% caused by the transaction of 170415.

Furthermore, the yields of EXIMBC Bonds decreased entirely. The yield for 3Y Bond went down by 2BPs to 4.25% according to the transaction of 170310; 10Y Bond dropped by 4BPs to 4.4% caused by the transaction of 170303.

Credit Bonds

The yields for credit bonds on short-term bonds and mid-term bonds went down entirely. To be more specific, the yield of 3M descended by 3BPs to 4.4%. The yield of AAA 6M increased by 1BP to 4.46%, and the yield for 1Y went down by 4BPs to 4.55%. The yield for 3Y of AAA kept stable at 4.73%, while that of AAA 5Y Bonds stayed at 4.77%.

The short-term yields for Financial Bonds of Commercial Bank Yield, including CD, were mixed. The spot of Financial Bonds of Commercial Bank on (AAA 7d/1M/3M/6M/1Y) changed -5BPs, +11BPs, -7BPs, -4BPs and -6BPs to 3.25%, 4.30%, 4.49%, 4.53% and 4.56%.

The yields for Urban Construction Bonds decreased a little. Specifically, the yield of Urban Construction Bonds AAA on 0.5Y/3Y/5Y changed by +2BPs, -2BPs and 0BP to 4.70%, 4.81% and 4.90%. The yields of AA Bonds on 2Y kept stable at 5.09%, while that of 5Y increased by 2BPs to 5.35%.

What’s more, AAA Local Government Bonds on 3Y/5Y reached the level of 3.87% and 4.0% caused by market transaction.

Exchange Market

In addition, there was 4.1 billion of transaction on exchange bidding system, which was scale decreased than previous. The yields of highly rated corporate bonds kept stable. Those of corporate bonds and enterprise bonds with middle and low ratings decreased by 1BP. There was active transaction for 122249 today.

(3) Data and Statistics

Macro Economics:China’s foreign exchange reserve of August was 3091.53 billion dollars, while the expectation was 3095 billion and the former data was 3080.72 billion, which increased by 10.8 billion dollars than last month, the first increasing for consecutive seven months since June 2014. China’s foreign exchange reserve of August was 2187.31 billion SDR, and the former data was 2188.40 billion.

Currency Market:the fund interest rates fluctuated a little entirely, with the overnight shibor down by 0.01BPs to 2.6406%, and 1M shibor increasing by 1.45BPs to 3.9335%.

Foreign Exchange Data:the intermediate value of USD/CNY quotation is 6.5269 today, with CNY appreciating by 42BPs today, the ninth day of appreciation, which was the new highest since 18th May of last year and marked the longest period for increasing since the year of 2011.

PBOC: The Central Bank made no reverse repurchase but MLF operation with 298 billion for 1Y, and the interest rate was 3.2%, the same level as last operation. There was no reverse repurchase but 88.5 billion for 6M and 81 billion for 1Y MLF due today. There will be 113.5 billion MLF for 6M due on 16th September.

Stock Market:The trends of the stock markets went down slightly today. Shanghai composite index decreased to 3365.50 by 19.89 points (-0.59%) and Shenzhen component index descended to 10969.13 by 55.46 points (-0.50%). GEM index dropped by 12.48 points (-0.66%) to 1890.38.

Treasury Future

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