▌ChinaBond Index Trend Analysis
ChinaBond Composite Index tracking general performance of bond market dropped today. The net price index excluding interest revenue declined by 0.1054%; and the total return index including interest reinvested revenue declined by 0.0934%. In addition, the Cap-weighted YTM was 2.9519%. And the Cap-weighted duration was 3.9011.
▌Sovereign Bonds
The Sovereign Bonds market went up today. To be more specific, the yield of SKY_3M went down by 5BP to 1.63%; the yield of ChinaBond Government Bond_2Y went up by 2BP to 2.21%; and the yield of SKY_10Y went up by 4BP to 2.71%.
▌Corporate Bonds
The Corporate Bonds market went up today. To be more specific, the ChinaBond CP&Note Yield Curve (AAA) of 3M/3Y/5Y changed by -2BP, 4BP and 4BPto 2.25%, 3.10% and 3.38%, respectively; while the ChinaBond CP&Note Yield Curve (A) of 1Y went up by 6BP to 9.07%.
Further information about fluctuations of bond market yields please refer to the chart of Changes of The Key-Term YTM of Main Yield Curves.
▌Notes
1. SKY is derived from ChinaBond Government Bond Yield Curve, including six key terms on 3M/1Y/3Y/5Y/7Y/10Y. It will be published on ChinaBond website at 5:30 every trading day of inter-bank bond market by ChinaBond Pricing Center.
2. The ChinaBond yield curves of corporate bonds are based on ChinaBond Market Implied Rating.
3. The daily update of ChinaBond Market Implied Rating please refer to Client terminal of ChinaBond Integrated Operation Platform and ChinaBond data download channel under ChinaBond Yield Curve and ChinaBond Market Implied Rating.
Data and Statistics
▌OMO
As the liquidity is reasonable and adequate in the current banking system, the People’s Bank of China decides not to conduct reverse repo operations on March 17, 2020.
▌Money Market
The Shibor went down today. The overnight Shibor went down by 14.80BP to 1.0830% and 1M Shibor went down by 3.00BP to 2.0630%.
▌Treasury Futures
On March 17th, TS2006 went down by 0.06% to 101.005, the yield went up by 2.67BP to 2.3983%; TF2006 went down by 0.16% to 101.450, the yield went up by 2.81BP to 2.6323%; T2006 went down by 0.37% to 100.620, the yield went up by 4.52BP to 2.9014%.
▌Foreign Exchange Data
On March 17th, the intermediate value of USD/CNY quotation was 7.0094 with CNY down by 76BP.
▌Stock Market
The stock markets fluctuated slightly today. SSE composite index went down by 9.61 points (or -0.34%) to 2779.64 points, Shenzhen component index went down by 50.53 points (or -0.49%) to 10202.75 points, and ChiNext price index went up by 6.93 points (or 0.36%) to 1917.70 points.
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