BOC RMB Bond Trading Index Monthly Report 中国银行人民币债券交易指数月度报告 Bank of China Shanghai RMB Trading Unit 中国银行上海人民币交易业务总部 Copyright 2017 Bank of China. All rights reserved. Report Month: January, 2018 报告月份 :2018 年 1 月 Release Date: 5 th Feb. 2018 发布日期 :2018 年 2 月 5 日 Contact: Financial Market Department 金融市场部 Tel: (86) 021 2059 2813/2815 Email: ficc.shu@bankofchina.com
Content/ 目录 Monthly Review/ 月度回顾...1 Index Performance/ 指数表现...2 Term Structure/ 利率期限结构......3 Rebalance Report/ 指数调整报告....3 Disclaimer/ 免责声明.......4
20180102 20180103 20180104 20180105 20180108 20180109 20180110 20180111 20180112 20180115 20180116 20180117 20180118 20180119 20180122 20180123 20180124 20180125 20180126 20180129 20180130 20180131 20180102 20180103 20180104 20180105 20180108 20180109 20180110 20180111 20180112 20180115 20180116 20180117 20180118 20180119 20180122 20180123 20180124 20180125 20180126 20180129 20180130 20180131 Monthly Review 月度回顾 Chart1: BOC CGB Clean-price Trading Index, January 图表 1: 1 月中国银行国债净价交易指数走势图 中国银行国债净价交易指数 97.7 97.65 97.6 97.55 97.5 97.45 97.4 97.35 97.3 Chart2: BOC PFB Clean-price Trading Index, January 图表 2: 1 月中国银行政策性金融债净价交易指数走势图中国银行政策性金融债净价交易指数 94.4 94.2 94 93.8 93.6 93.4 93.2 93 1
Comments 市场评述 From the beginning of new year to the end of January, 10-year PFBs and bond futures hit a series of new lows under the pressure of financial regulatory policies. However, the performance of the on-the-run 10- year CGB 170025 was relatively strong. In the "higher reaching" of the relevant bonds, its yield has not once reached the 4% watermark. This led to the differentiation between the trend of CGBs index and the trend of PFBs index in the upper charts. Historically, many signs appearing in January were indicators of easing pressure on the bond markets. Such as the on-the-run 10-year CDB trading volume recorded a period lowest, showing the faded enthusiasm of traders; CDB-CGB spread hit a maximum of 115 Bps, almost the same with the historical highest. If due to factors such as Spring Festival in February, the regulators would like to show more mercy, the first rally in the new year will probably be witnessed. 开年至一月底, 在金融监管政策的冲击下,10 年国开债和国债期货创出本轮熊市新低, 但 10 年期活跃国债 170025 表现相对坚挺, 在相关债券的 摸高 行情中收益率始终未突破 4% 关口 这也导致了上图中国债指数走势与国开债指数走势的分化 从历史上来看, 一月出现的众多迹象均有债市压力缓解的预兆 比如活跃国开债券成交量出现历史新低 交易户参与热情薄弱 ; 国债国开债理财最高触及 115 Bps, 与历史最高点相差无几等等 如果 2 月份由于春节将至等因素造成监管条例发布放缓等现象, 债市有望迎来新年第一次的 小阳春 Index Performance 指数表现 Table1: BOC CGB Trading Index Sample Bonds 表格 1: 中国银行国债交易指数 - 样本券 Total 1-10ys CGB Outstanding 1 Sample Bonds Outstanding CGB Turnover, Jan. Sample Bonds Turnover, Jan. 1-10 年国债总市值 1 样本券总市值 1 月国债交易量 1 月指数样本券交易量 RMB 9055.3Billion RMB 1150.7Billion RMB 9717.9Billion RMB 3954.5Billion 90553 亿人民币 11507 亿人民币 97179 亿人民币 39545 亿人民币 Proportion 样本券占比 12.7% Proportion 样本券占比 40.7% 2
Table2: BOC PFB Trading Index Sample Bonds 表格 2: 中国银行政策性金融债交易指数 - 样本券 Total 1-10ys PFB Outstanding 1 Sample Bonds Outstanding PFB Turnover, Jan. Sample Bonds Turnover, Jan. 1-10 年政策性金融债总市值 1 样本券总市值 1 月政策性金融债交易量 1 月指数样本券交易量 RMB 11288Billion RMB 1595Billion RMB 25832Billion RMB 12756Billion 112881 亿人民币 15950 亿人民币 258319 亿人民币 127559 亿人民币 Proportion 样本券占比 14.1% Proportion 样本券占比 49.4% 1: Floating rate bonds are excluded. 此处已剔除浮息债券 The proportion contrast in outstanding and turnover is a reflection of BOC RMB Bond Trading Index s liquidity advantage. 样本券总市值占比和成交量占比的差异体现了中国银行人民币债券交易指数选券的流动性优势 Table 3: Index Return 表格 3: 指数收益 Index 指数 Month to Date(MTD) 月初至今 Year to Date(YTD) 年初至今 BOC CGB Dirty-price Trading Index 中国银行国债交易指数 BOC PFB Dirty-price Trading Index 中国银行政策性金融债交易指数 0.4% 0.4% -0.28% -0.28% Term structure 利率期限结构 Average YTM(%) 到期收益率 (%) BOC CGB Trading Index Sample Bonds 中国银行国债交易指数 - 样本券 BOC PFB Trading Index Sample Bonds 中国银行政策性金融债交易指数 - 样本券 1y tenor 1 年期 3.5% 5.07% 3y tenor 3 年期 3.55% 5.08% 5y tenor 5 年期 3.83% 4.97% 7y tenor 7 年期 3.87% 4.72% 10y tenor 10 年期 3.91% 2.89% Value from the month-end actual traded YTM 此处到期收益率取值为月末最后一个交易日的成交收益率 3
Rebalance Report 指数调整报告 月份 (Month) 1 月 (Jan.) 2 月 (Feb.) 样本券列表 (Sample Bonds List) 170024 170019 170012 170008 170016 170021 1700003 170014 170006 170020 170025 170018 160208 170410 160215 170205 170209 170206 170304 170208 160405 170215 170210 160213 170303 170012 170024 170019 180002 170016 180001 170021 1700003 170006 170013 170025 170010 170211 160208 180301 170205 170209 170206 170212 170208 180401 170215 170210 170405 160210 4
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