DailyReportofChinaOnshoreRMBBondMark

(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 0.0138%; and the total return index including interest reinvested revenue rose by 0.0258%. In addition, the average yield to maturity was 4.3936%. The average market capitalization yield was 4.3680%. And the market value weighted duration was 3.858.

(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 Treasury Bonds on 3M dropped within a small range. By the end of day, except for bonds of individual terms, the yields of Treasury Bonds and CDB Bonds went up by 1BP; the yields of ADBC and EXIMBC Bonds waved within a range of 1BP.

To be more specific, the yield of Treasury Bonds (3Y) stood at 3.58% according to the transaction of 170016; 5Y Bonds went up by 1BP to 3.62% resulted from the transaction of 170014; referring to the quotation and transaction of 170013, the yield for 7Y Bonds kept stable at 3.7%, and notably, the yield for Treasury Bonds (10Y) increased by 1BP to 3.64% caused by the quotation and transaction of 170018; the yield for Treasury Bonds (30Y) kept stable at 4.22% caused by the quotation and transaction of 170015.

Similarly, the yields of CDB bonds went up slightly. The yield of 3Y Bond stood at 4.26% because of the transaction of 170205; 5Y Bond kept stable at 4.35% resulted from the quotation and transaction of 170206; referring to the transaction of 170215, the yield for 10Y Bond kept stable at 4.28%.

Moreover, the yields of ADBC Bonds fluctuate a little entirely. The yield for 1Y Bond decreased by 2BPs to 3.99% according to the transaction of 170410; 3Y Bond stood at 4.26% caused by the transaction of 170411.

Furthermore, the yields of EXIMBC Bonds waved slightly. The yield for 5Y Bond went down by 1BP to 4.35% according to the transaction of 170309; 10Y Bond dropped by 1BP to 4.40% caused by the transaction of 170303.

Credit Bonds

The yields for credit bonds especially short-term bonds dropped obviously owing to easy money side. To be more specific, the yield of 1M went down by 32BPs to 4.14%, while 3M descended by 9BPs to 4.51%. The yield of AAA 6M decreased by 5BPs to 4.45%, and the yield for 1Y dropped by 4BPs to 4.61%. The yield for 3Y of AAA decreased by 4BPs to 4.71%, while that of AAA 5Y Bonds went down by 2BPs to 4.75%.

The short-term yields for Financial Bonds of Commercial Bank Yield, including CD, went down sharply. The spot of Financial Bonds of Commercial Bank on (AAA 7d/1M/3M/6M/1Y) changed -97BPs, -46BPs, -5BPs, -10BPs and -6BPs to 3.53%, 3.94%, 4.51%, 4.49% and 4.55%.

The yields for Urban Construction Bonds went down entirely. Specifically, the yield of Urban Construction Bonds AAA on 0.5Y/3Y/5Y changed by -4BPs, -4BPs and -1BP to 4.68%, 4.81% and 4.86%. The yields of AA Bonds on 2Y dropped by 1BP to 5.09%, while that of 5Y decreased by 1BP to 5.31%.

What’s more, AAA Local Government Bonds on 3Y/5Y/7Y reached the level of 3.89%, 3.99 % and 4.08% caused by market transaction. AAA- Local Government Bonds on 3Y reached the level of 3.94% because of the market transaction.

Exchange Market

In addition, there was 3.2 billion of transaction on exchange bidding system, which was scale increased than previous. The yields of highly rated corporate bonds rose by 1BP. Those of corporate bonds and enterprise bonds with middle and low ratings kept stable. There was active transaction for 122392 today.

(3) Data and Statistics

Currency Market: the fund interest rates fluctuated a little entirely, with the overnight shibor down by 1.8BPs to 2.8130%, and 1M shibor kept stable at 3.8920%.

Foreign Exchange Data: the intermediate value of USD/CNY quotation is 6.5909 today, with CNY appreciating by 101BPs today, the fifth day of appreciation, which was the new highest since June 24th last year.

PBOC:The Central Bank made an announcement that the fiscal expenditure would increase towards the end of the month, so that the liquidity in bank system would be high after hedging issue payment for local government bonds and the reverse repurchase due. It made no reverse repurchase today. There was 50 billion reverse repurchase due and the net withdrawal was 50 billion. The net withdrawal of this whole week was 280 billion.

Stock Market:The trends of the stock markets went up today. Shanghai composite index increased to 3367.12 by 6.31 points (0.19%) and Shenzhen component index increased to 10880.56 by 63.92 points (0.59%). GEM index ascended by 15.87 points (0.86%) to 1865.25.

Treasury Future

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