Daily Report of China Onshore RMB Bond Market 2017

(1)ChinaBondIndex Analysis

ChinaBond Composite Index tracking general performance of bond market wentup today. The net price index excluding interest revenue rose by 0.0307%; andthe total return index including interest reinvested revenue rose by 0.0681%.In addition, the average yield to maturity was 4.2489%. The average marketcapitalization yield was 4.1883%. And the market value weighted duration was3.8699.

(2)BondMarket Performance:

Generally speaking, the yields of Treasury Bonds and Policy Bank Bonds experienceda small downtrend for short-term bonds but a waving for other ones. In the afternoon,the auction outcome of ADBC Bonds on 3Y/5Y went down a little. By the end of day,the yields of short-term Treasury Bonds dropped a little and other terms bondswaved slightly, while CDB, ADBC and EXIMBC Bonds fluctuated within 2BPs.


To be more specific, the yield of Treasury Bonds (3Y) went down by 1BP to3.47% according to the transaction of 170008; 5Y Bonds went down by 1BP to 3.5%resulted from the transaction of 170007; referring to the quotation andtransaction of 170013, the yield for 7Y Bonds kept stable at 3.59%, andnotably, the yield for Treasury Bonds (10Y) kept stable at 3.56% caused by thequotation and transaction of 170010; the yield for Treasury Bonds (30Y)increased by 1BP to 3.97% caused by the quotation and transaction of 170005.

Similarly, the yields of CDB bonds waved slightly. The yield of 3Y Bonddropped by 1BP to 3.99% because of the transaction of 170205; 5Y Bond keptstable at 4.09% resulted from the quotation and transaction of 170206;referring to the transaction of 170210, the yield for 10Y Bond kept stable at4.17%.

Moreover, yields of ADBC Bonds went down slightly. The yield for 3Y Bond decreasedby 3BPs to 4.02% according to the transaction of 170407; 5Y Bond dropped by2BPs to 4.11% caused by the transaction of 170409.

The yields of EXIMBC Bonds descended a little. The yield for 1Y Bond went downby 6BPs to 3.71% according to the transaction of 170308; 10Y Bond stood at 4.25%caused by the transaction of 170303.

What’s more, AAA Local Government Bonds on 1Y/3Y/5Y reached the level of 3.82%,3.85% and 3.94% caused by market transaction. The yield for AAA- Bonds on 3Y/5Ywas finally 3.91% and 3.99%.

The yields for credit bonds experienced a small downtrend today. To bemore specific, the yields of AAA CP&Notes on 3M descended by 4BPs to 3.9%. Theyield of AAA 6M went up by 2BPs to 4.23%, and the yield for 1Y kept stable at 4.38%.The yield for 3Y of AAA went down by 4BPs to 4.46%, while that of AAA 5Y Bonds wentdown by 3BPs to 4.6%.

The yields for Financial Bonds of Commercial Bank Yield, including CD, presentedmixed pattern especially for short-term ones. The spot of Financial Bonds ofCommercial Bank on (AAA 7d/1M/3M/6M/1Y) changed 0BP, +10BPs, -2BPs, -5BPs and -5BPsto 2.98%, 3.65%, 4.12%, 4.28% and 4.31%.

The yields for Urban Construction Bonds descended entirely. Specifically, theyield of Urban Construction Bonds AAA on 1M/3Y/5Y changed by -4BPs, -3BPs and -3BPsto 3.81%, 4.53% and 4.68%. The yields of AA Bonds on 3Y went down by 3BPs to 4.77%.

In addition, there was 4.7 billion of transaction on exchange biddingsystem, which was scale decreased than previous. The yields of highly ratedcorporate bonds went up by 2BPs; those of corporate bonds and enterprise bondswith middle and low ratings kept stable. There was active transaction for 136136today.

(3)Data and Statistics

Macro Economics: according to the Statistical Bureau, China’s GDP of the secondseason grew by 6.9% than last year, leveling off with the first season, higherthan expectation of 6.7%.

From January to June in the year of 2017, investment in fixed assets allover the country was 28060.5 billion, up by 8.6% year on year and at the samelevel as that from January to May.

From January to June in the year of 2017, total retail sales of consumergoods were 17236.9 billion, increasing by 10.4%.

Above-scale industrial added value increased actually by 7.6% in June, fasterthan May by 1.1%, and the data was 6.9% from January to June.

Foreign Exchange Data: the intermediate value of USD/CNY quotation is 6.7562 today, with CNY increasingby 212BPs today, which was the new highest since 4th November oflast year.

Currency Market:the fund interest rates were mixed entirely, with the overnight shibor downby 0.59BPs to 2.6329%, while 1M shibor descended by 2.77BPs to 4.0120%.

PBOC:the Central Bankmade an announcement that, in order to hedge the affection of taxation, theissue of government bonds, the payment of reserve requirements and theexpiration of reverse repurchase, it made an action of 170 billion reverserepurchase with 130 billion of 7 days and 40 billion of 14 days today. Therewas 30 billion reverse repurchase due today, and there was a net release of 140billion.

Stock Market:The stock marketswent down obviously today. Shanghai composite index descended to 3176.46 by 45.96points (-1.43%) and Shenzhen component index decreased to 10055.8 by 371.99 points(-3.57%). GEM index went down by 89.14 points (-5.11%) to 1656.43.


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