Daily Report of China Onshore RMB Bond Market 2017-06-02
原标题：Daily Report of China Onshore RMB Bond Market 2017-06-02
(1)ChinaBond Index Analysis
ChinaBond Composite Index tracking general performance of bond market wentup today. The net price index excluding interest revenue rose by 0.0011%; andthe total return index including interest reinvested revenue rose by 0.0120%.In addition, the average yield to maturity was 4.5096%. The average marketcapitalization yield was 4.5165%. And the market value weighted duration was3.84.
(2)Bond Market Performance:
Generally speaking, the yields of Treasury Bonds and Policy Bank Bonds experienceda slight fluctuation except the short-term bonds. In the morning, the auctionoutcome of Treasury Bonds on 3M surged because of the intensity of fund. By theend of day, the yields of short-term Treasury Bonds went up previously, whilethe others waved slightly within 1BP; the yields for CDB, ADBC and EXIMBC Bondspresented mixed pattern within 1BP.
To be more specific, the yield of Treasury Bonds (3Y) went up by 1BP to 3.59%according to the transaction of 170008; 5Y Bonds kept stable at 3.57% resultedfrom the transaction of 170007; referring to the quotation and transaction of170006, the yield for 7Y Bonds went upwards by 1BP to 3.67%, and notably, theyield for Treasury Bonds (10Y) ascended by 1BP to 3.63% caused by the quotationand transaction of 170010.
Similarly, the yields of CDB bonds showed mixed pattern, waving a littleoverall. The yield of 3Y Bonds increased by 1BP to 4.31% because of thetransaction of 170205; 5Y Bonds went up by 1BP to 4.35% resulted from the quotationand transaction of 170206; referring to the transaction of 170210, the yieldfor 10Y Bonds ascended by 1BP to 4.35%.
Moreover, the yields of ADBC Bonds fluctuated slightly. The yield for 1YBonds stood at 4.22% resulted from the quotation and transaction of 170408; 5YBonds dropped by 1BP to 4.43% due to the transaction of 170409; referring tothe transaction of 170405, the yield for 10Y Bonds kept stable at 4.49%.
Furthermore, the yields for EXIMBC Bonds also waved slightly. The yield of3Y EXIMBC Bonds went down by 1BP to 4.33% according to the transaction of 170307;5Y Bonds kept stable at 4.43% resulted from the quotation and transaction of 170304.
What’s more, AAA Local Government Bonds on 2Y/3Y reached the level of 4.26% and4.29% caused by market transaction, while the yield for AAA- Bonds on 2Y wentto 4.33% according to market price.
The yields for credit bonds showed mixed pattern today. To be morespecific, the yields of AAA CP&Notes on 3M ascended by 1BP to 4.21%. Theyield of AAA 6M slid to 4.43%, and the yield for 1Y also decreased by 1BP to 4.60%.The yield for 3Y of AAA decreased by 2BPs to 4.83%, while that of AAA 5Y Bondsdropped by 2BPs to 4.92%.
The yields for Financial Bonds of Commercial Bank Yield, including CD, alsopresented mixed pattern focused by funding intense. The spot of Financial Bondsof Commercial Bank on (AAA 7d/1M/3M/6M/1Y) changed -5BPs, +42BPs, +1BP, -1BP and-3BPs to 3.44%, 4.30%, 4.75%, 4.65%and 4.69%.
The yields for Urban Construction Bonds experienced a small downtrend. Specifically,the yield of Urban Construction Bonds AAA on 1Y/5Y decreased 2BPs and 3BPs to4.88% and 5.05%. The yields of AA Bonds on 3Y/5Y changed -1BP and -3BPs to 5.60%and 5.74%.
In addition, there was 4.0 billion of transaction on exchange biddingsystem, which was scale decreased than previous. The yields of highly ratedcorporate bonds went down by 1BP; those of corporate bonds and enterprise bondswith middle and low ratings also dropped by 1BP. There was active transactionfor 1180170 today.
(3)Data and Statistics
Foreign Exchange Data: the intermediate value of USD/CNY quotation is 6.8070 today, with CNYincreasing by 20BPs, which showed an uptrend for 3 days in a row.
Currency Market:the fund interest rate climbed today, with SHIBOR overnight rate up by14.28BPs to 2.7953%.
PBOC:the Central Bank madea series of reverse repurchase of 30 billion Yuan for 7 days and 20 billionYuan for 14 days. There was 20 billion Yuan reverse repurchase due today, andthe Central Bank made a net release of 30 billion. There was a net release of30 billion for the whole week.
Stock Market:The stock marketsboth rose after shocks today. Shanghai composite index ascended to 3105.54 by 2.92points (0.09%) and Shenzhen component index increased to 9794.89 by 64.56 points(0.66%). GEM index went up by 17.44 points (1.01%) to 1745.93.