▌ChinaBond Index Trend Analysis
ChinaBond Composite Index tracking general performance of bond market dropped today. The net price index excluding interest revenue declined by 0.0332%; and the total return index including interest reinvested revenue declined by 0.0224%. In addition, the Cap-weighted YTM was 3.0807%. And the Cap-weighted duration was 3.8757.
▌Sovereign Bonds
The Sovereign Bonds market went up today. To be more specific, the yield of SKY_3M was stable at 1.63%; the yield of ChinaBond Government Bond_2Y went up by 1BP to 2.32%; and the yield of SKY_10Y went up by 5BP to 2.83%.
▌Corporate Bonds
The Corporate Bonds market fluctuated slightly. To be more specific, the ChinaBond CP&Note Yield Curve (AAA) of 3M/3Y/5Y changed by -2BP, -1BP and 1BPto 2.68%, 3.16% and 3.42%, respectively; while the ChinaBond CP&Note Yield Curve (A) of 1Y went up by 2BP to 9.18%.
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
In order to offset the impact of the maturing of reverse repos, and to maintain reasonable and adequate liquidity in the banking system, the People’s Bank of China conducts reverse repo operations in the amount of RMB100 billion by interest rate bidding on February 11, 2020.
▌Money Market
The Shibor went down today. The overnight Shibor went down by 9.20BP to 1.5600% and 1M Shibor went down by 5.00BP to 2.5270%.
▌Treasury Futures
On February 11th, TS2003 went down by 0.08% to 101.055, the yield went up by 4.88BP to 2.3042%; TF2003 went down by 0.12% to 101.445, the yield went up by 3.26BP to 2.6196%; T2003 went down by 0.36% to 100.730, the yield went up by 4.21BP to 2.8886%.
▌Foreign Exchange Data
On February 11th, the intermediate value of USD/CNY quotation was 6.9897 with CNY down by 34BP.
▌Stock Market
The stock markets went mixed today. SSE composite index went up by 11.19 points (or 0.39%) to 2901.67 points, Shenzhen component index went up by 40.17 points (or 0.37%) to 10768.63 points, and ChiNext price index went down by 13.74 points (or -0.67%) to 2028.44 points.
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