DailyReportofChinaOnshoreRMBBondMark

(1)ChinaBond Index Analysis

ChinaBond Composite Index tracking general performance of bond marketslightly went up today. The net price index excluding interest revenue declinedby 0.0063%; and the total return index including interest reinvested revenuerose by 0.0055%. In addition, the average yield to maturity was 4.5018%. Theaverage market capitalization yield was 4.5154%. And the market value weightedduration was 3.8386.

(2)Bond Market Performance:

Rate Securities

Generally speaking, the yields of Treasury Bonds and Policy Bank Bonds fluctuatedoverall. In the morning, the auction outcome of CDB Bonds (3/7/10Y) went upslightly apart from 7Y. By the end of day, the yields of Treasury Bonds and CDBBonds increased by 1-3BPs. The yield of EXMCH and ADBC Bonds fluctuatedslightly.

To be more specific, the yield of Treasury Bonds (3Y) went up by 1BP to3.59% according to the transaction of 170008; 5Y Bonds went up by 3BPs to 3.58%resulted from the transaction of 170007; referring to the quotation andtransaction of 170006, the yield for 7Y Bonds increased by 2BPs to 3.68%, andnotably, the yield for Treasury Bonds (10Y) increased by 2BPs to 3.63% causedby the quotation and transaction of 170010.

Similarly, the yields of CDB bonds went up slightly. The yield of 3Y Bondincreased by 1BP to 4.31% because of the transaction of 170205; 5Y Bond went upby 1BP to 4.34% resulted from the quotation and transaction of 170206;referring to the transaction of 170210, the yield for 10Y Bond increased by2BPs to 4.35%.

Moreover, yields of ADBC Bonds fluctuated slightly. The yield for 3Y Bondwent down by 1BP to 4.34% according to the transaction of 170407; 5Y Bond stoodat 4.43% caused by the transaction of 170409. The yield for 10Y went up by 1BPto 4.48%. 20Y bond kept stable at 4.60% according to 160410.

The yields of EXIMCH Bonds waved slightly. The yield for 3Y Bond went upby 1BP to 4.34% according to the transaction of 170307; 20Y Bond went down by1BP to 4.61% caused by the transaction of 150319.

What’s more, the yield of AAA Local Government Bonds on 3Y reached 4.24%; theyield for (AAA- 2Y) went down to 4.27%.

Credit Bonds

The yields of CPamp;Notes had experienced uptrend and downtrend. Specifically,the yield for AAA 3M decreased by 1BP to 4.24%. The yield of (AAA 6M/1Y)changed -1BP and +1BP to 4.41% and 4.56%; the 3Y of AAA decreased by 2BPs to4.80%. The yield of 5Y of AAA went up 1BP to 4.92%.

The yields for Financial Bonds of Commercial Bank Yield went up ingeneral. The yields of Financial Bonds of Commercial Bank on (AAA 7d/1M/3M/6M)changed +18BPs, +38BPs, +6BPs, and +2BP to 3.47%, 4.81%, 4.83%, and 4.71%.

The yields for Urban Construction Bonds waved slightly. Specifically, theyield of Urban Construction Bonds AAA on 1Y/4Y changed -1BP and -2BP to 4.83%and 4.95%. The yield of AA on 3Y went down by 2BPs to 5.28%, the yield for 5Ywent up by 3Bps to 5.82%.

Exchange Market

In addition, there was 3.3 billion of transaction on exchange biddingsystem, which was scale decreased than previous. The yields of high-ratedcorporate bonds descended 3BPs; those of corporate bonds and enterprise bondswith middle and low ratings went down by 2BPs. There was active transaction for122110, for example.

(3)Data and Statistics

Foreign Exchange Data

Theintermediate value of quotation of USDCNY was 6.7934 today, with CNY appreciatingby 1BP, the fifth appreciation in a row.

Money Market Data

OnTuesday, the Central Bank made an MLF of 498 billion Yuan at 3.2%, same rate aslast time, while 151 billion Yuan of MLF due. With 60 billion Yuan of reverse repurchasedue today and no new reverse repurchase made, the Central Bank made a netrelease of 287 billion Yuan.

Shiborcontinued to go up as a whole today. Shibor(1M) went up to 4.3633% by 8.03BPs.

Domestic Market Data

Stock Market:Thestock market went up today. By end of day, Shanghai compositeindex went up to 3102.13 by 10.47 points (or 0.34%) and Shenzhen componentindex went up to 9915.92 by 73.32 points (or 0.74%). GEM index went up to 1766.39by 5.15 points (or 0.29%).

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