Daily Report of China Onshore RMB Bond Market 2017-08-08
(1) ChinaBondIndex Analysis
ChinaBond Composite Index tracking general performance of bond marketdropped today. The net price index excluding interest revenue declined by0.0343%; and the total return index including interest reinvested revenuedeclined by 0.0211%. In addition, the average yield to maturity was 4.3211%.The average market capitalization yield was 4.2555%. And the market valueweighted duration was 3.8649.
(2) Bond Market Performance:
Rate Securities
Generally speaking, the yields of Treasury Bonds and Policy Bank Bondsexperienced an uptrend as a whole. In the morning, the auction outcome of CDBBonds on 3Y/5Y/7Y/10Y went up slightly. By the end of day, the yields of TreasuryBonds presented mixed pattern, while CDB, ADBC and EXIMBC Bonds increasedentirely around by 1-2BPs.
To be more specific, the yield of Treasury Bonds (3Y) went up by 1BP to3.48% according to the transaction of 170016; 5Y Bonds went up by 2BPs to 3.61%resulted from the transaction of 170014; referring to the quotation andtransaction of 170013, the yield for 7Y Bonds kept stable at 3.7%, and notably,the yield for Treasury Bonds (10Y) dropped by 1BP to 3.65% caused by thequotation and transaction of 170018; the yield for Treasury Bonds (30Y) keptstable at 4.13% caused by the quotation and transaction of 170015.
Similarly, the yields of CDB bonds went up slightly. The yield of 3Y Bondincreased by 2BPs to 4.14% because of the transaction of 170205; 5Y Bond stoodat 4.23% resulted from the quotation and transaction of 170206; referring tothe transaction of 170210, the yield for 10Y Bond increased by 1BP to 4.31%.
Moreover, the yields of ADBC Bonds rose totally. The yield for 3Y Bond wentup by 2BPs to 4.12% according to the transaction of 170407; 5Y Bond increasedby 3BPs to 4.24% caused by the transaction of 170409.
Furthermore, the yields of EXIMBC Bonds increased as well. The yield for 1YBond went down by 1BP to 3.71% according to the transaction of 170308; 10Y Bondkept stable at 4.37% caused by the transaction of 170303.
Credit Bonds
The yields for credit bonds on all terms increased apparently today. To bemore specific, the yields of AAA CP&Notes on 3M stood at 4.13%. The yield ofAAA 6M went down by 5BPs to 4.23%, and the yield for 1Y dropped by 1BP to 4.40%.The yield for 3Y of AAA increased by 4BPs to 4.58%, while that of AAA 5Y Bonds roseby 2BPs to 4.66%.
The yields for Financial Bonds of Commercial Bank Yield, including CD, weremixed especially for short-term ones. The spot of Financial Bonds of CommercialBank on (AAA 7d/1M/3M/6M/1Y) changed +17BPs, +10BPs, +2BPs, -1BP and -2BPs to 3.34%,3.63%, 4.28%, 4.37% and 4.39%.
The yields for Urban Construction Bonds went up entirely. Specifically, theyield of Urban Construction Bonds AAA on 0.5Y/3Y/5Y changed by -4BPs +2BPs and+2BPs to 4.34%, 4.62% and 4.73%. The yields of AA Bonds on 2Y went up by 3BPsto 4.82%, while that of 4Y ascended by 5BPs to 5.06%.
What’s more, AAA Local Government Bonds on 2Y/5Y/6Y reached the level of 3.88%,3.96% and 3.97% caused by market transaction. The yield for AAA- Bonds on 4Ywas finally 3.97%.
Exchange Market
In addition, there was 5.4 billion of transaction on exchange biddingsystem, which was scale increased than previous. The yields of highly ratedcorporate bonds were lower by 1BP than yesterday; those of corporate bonds andenterprise bonds with middle and low ratings kept stable. There was activetransaction for 122483 today.
(3) Data and Statistics
Macro Data：according to the Customs Bureau, China’s trade surplus was 321.2 billion in RMB, andthe former data was 294.3 billion, with importation up by 14.7% year on yearand exportation up by 11.2%.
Foreign Exchange Data: the intermediate value of USD/CNY quotation is 6.7184 today, with CNY decreasing by 44BPs today.
Currency Market:the fund interest rates fluctuated slightly, with the overnight shiborgoing up by 4.8BPs to 2.7840%, while 1M shibor descended by 0.26BPs to 3.8775%.
PBOC:the Central Bankmade a series of reverse repurchase with 70 billion for 7 days and 70 billionfor 14 days today. There was 140 billion reverse repurchase due today, and therewas a total hedge.
Stock Market:The stock marketswent up as a whole today. Shanghai composite index increased to3281.87 by 2.41 points (0.07%)and Shenzhen component index rose to 10496.25by 45.17 points (0.43%). GEM index ascended by 29.99 points (1.73%) to 1762.42.
Futures Market:
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