(1) ChinaBond Index Analysis
ChinaBond Composite Index tracking general performance of bond market went up today. The net price index excluding interest revenue declined by 0.0433%; and the total return index including interest reinvested revenue rose by 0.0561%. In addition, the average yield to maturity was 4.3704%. The average market capitalization yield was 4.3472%. And the market value weighted duration was 3.8093.
(2) Bond Market Performance:
Generally speaking, the yields of Treasury Bonds and Policy Bank Bonds went up a little entirely. By the end of day, the yields of Treasury Bonds, CDB, ADBC and EXIMBC Bonds entirely increased while short-term ones went down obviously.
To be more specific, the yield of Treasury Bonds (3Y) rose by 2BP to 3.58% according to the transaction of 170016; 5Y Bonds went up by 2BP to 3.64% resulted from the transaction of 170014; referring to the quotation and transaction of 170020, the yield for 7Y increased by 1BP to 3.7%, and notably, the yield for Treasury Bonds (10Y) ascended by 3BP to 3.65% caused by the quotation and transaction of 170018; the yield for Treasury Bonds (30Y) rose by 2BP to 4.24% caused by the quotation and transaction of 170015.
The yields of CDB bonds went up a little entirely. The yield of 3Y Bond increased by 2BP to 4.27% because of the transaction of 170209; while 5Y Bond ascended by 3BP to 4.29% according to the transaction of 170206; referring to the transaction of 170215, the yield for 10Y Bond went up by 3BP to 4.22%.
Moreover, the yields of ADBC Bonds rose entirely. The yield for 5Y Bond went up by 2BP to 4.33%; while 10Y Bond increased by 3BP to 4.35% caused by the transaction of 170415.
Furthermore, the yields of EXIMBC Bonds also ascended entirely. The yield for 3Y Bond increased by 2BP to 4.28% according to the transaction of 170310; due to the transaction of 170309, 5Y Bond rose by 2BP to 4.35%.
The yields for credit bonds decreased for short term bonds while the mid and long term ones waved. To be more specific, the yield of AAA on 1M went down by 17BP to 4.14%, while 3M ascended by 3BP to 4.28%. The yield of AAA 6M kept stable at 4.43%, and the yield for 1Y went down by 1BP to 4.52%. The yield for 3Y of AAA rose by 2BP to 4.62%, while that of AAA 5Y Bonds increased by 1BP to 4.74%.
The short-term yields for Financial Bonds of Commercial Bank Yield, including CD, dropped as a whole. The spot of Financial Bonds of Commercial Bank on (AAA 7d/1M/3M/6M/1Y) changed -28BP, -13BP, 0BP, +2BP and -3BP to 3.74%, 4.25%, 4.34%, 4.49% and 4.52%.
The yields for Urban Construction Bonds for terms below 1M dropped obviously, while other terms waved slightly. Specifically, the yield of Urban Construction Bonds AAA on 1M/3Y/5Y changed by -17BP, +1BP and +1BP to 4.33%, 4.73% and 4.81%. The yields of AA Bonds on 2Y went down by 1BP to 4.95%, while that of 5Y stood at 5.26%.
What’s more, AAA Local Government Bonds on 7Y/10Y reached the level of 4.03% and 4.06% caused by the market transaction.
In addition, there was 2.1 billion of transaction on exchange bidding system, which was scale decreased than previous. The yields of highly rated corporate bonds went up by 4BP. Those of corporate bonds and enterprise bonds with middle and low ratings also increased by 5BP. There was active transaction for 112138 today.
(3) Data and Statistics
Micro Economics:Caixin PMI of Sevice Industry was 50.6 in September, which was 2.1% lower than that of August. It was the new lowest point in the last 21 months.
Currency Market:the fund interest rates dropped a little other than some certain periods, with the overnight shibor decreasing by 19.80BP to 2.7400%, and 3M shibor decreasing by 0.63BP to 4.3502%.
Foreign Exchange Data:the intermediate value of USD/CNY quotation is 6.6493 today, with CNY depreciating by 124BP today. It was the sixth consecutive day of depreciation, which was the new lowest since 25th August 2017.
PBOC:It made no reverse repurchase and there was a net withdrawal of 180 billion today. There was 180 billion due this week.