Data Dashboard | Weekly Market Analysis (3.23-3.27)

（Source: China Agricultural Bank Investment Banking）

Weekly Currency Market Trend

From Monday to Thursday this week, the PBOC conducted net open market operations of CNY 85.7 billion. As of Thursday this week, the PBOC carried out CNY 328.0 billion worth of 7-day reverse repo operations in the open market this week, with no 14-day reverse repo operations conducted. Reverse repo matured at CNY 242.3 billion. The Medium-Term Lending Facility (MLF) injected CNY 500.0 billion, while CNY 450.0 billion matured, resulting in net open market liquidity injection of CNY 85.7 billion.

Most funding rates in the repo and interbank borrowing markets moved up. Overall, liquidity conditions in the market tended to ease this week, and most funding rates moved down. DR001 was unchanged from last week. DR007 fell by 0.2 BP from last week. DR014 fell by 0.54 BP from last week. DR021 fell by 7.83 BP from last week. DR1M fell by 3 BP from last week.

Weekly Interest Rate Trend

The 7-day reverse repo rate was 1.40% this week, and the 1-year MLF rate was 2.00%.

Net financing via interbank CDs decreased, and most yields moved down. In terms of issuance size: the total issuance of interbank CDs this week was CNY 431.69 billion, with total maturities of CNY 583.13 billion, resulting in a net financing scale of -CNY 151.44 billion. In terms of issuance prices: the weekly average of the maturity yield for 1-month interbank CDs (AAA) fell by 2.60 BP this week; the 3-month maturity yield’s weekly average fell by 2.73 BP; the 6-month maturity yield’s weekly average fell by 2.23 BP; the 9-month maturity yield’s weekly average fell by 0.40 BP; and the 1-year maturity yield’s weekly average rose by 0.23 BP. Of these, the weekly average of the 1-year maturity yield was 47 BP lower than the MLF rate of the same maturity.

Bill market rates fell. The weekly average of 3-month China Government-backed bills (directly discounted) fell by 3.7 BP this week, and the weekly average of 6-month China Government-backed bills (directly discounted) fell by 2.75 BP. The weekly average of 3-month China Government-backed bills (rediscounted) fell by 6.7 BP, and the weekly average of 6-month China Government-backed bills (rediscounted) fell by 5 BP.

Most derivative market rates moved up. The weekly average swap rate for 1-month FR007 fell by 2.56 BP this week; the 3-month FR007 swap rate’s weekly average fell by 1.36 BP; the 6-month FR007 swap rate’s weekly average fell by 1.10 BP; the 9-month FR007 swap rate’s weekly average rose by 0.83 BP; the 1-year FR007 swap rate’s weekly average rose by 1.76 BP; the 2-year FR007 swap rate’s weekly average rose by 2.30 BP; the 3-year FR007 swap rate’s weekly average rose by 2.17 BP; the 4-year FR007 swap rate’s weekly average rose by 1.64 BP; and the 5-year FR007 swap rate’s weekly average rose by 1.53 BP.

Weekly Trend in the Bond Market

Most yields on government bonds and policy bank bonds moved up. For government bond yields: the 1-year government bond yield rose by 1 BP from last week to 1.27%; the 3-year yield fell by 0.23 BP from last week to 1.34%; and the 10-year yield fell by 0.66 BP from last week to 1.82%. For policy bank bond yields: the 1-year policy bank bond yield rose by 0.34 BP from last week to 1.47%; the 3-year yield rose by 1.30 BP from last week to 1.61%; and the 10-year yield fell by 0.87 BP from last week to 1.96%.

Credit bond issuance volume decreased, and coupon rates rose. In terms of issuance size: this week, 425 non-financial credit bonds were issued, with a total amount of CNY 388.00966 billion; issuance volume decreased by 2.70% month-over-month. In terms of credit ratings and maturities: the AAA rating continued to account for the majority of issuance volume. The top three by issuance volume were: 5-year-and-above AAA at CNY 104.578 billion, 1–5 year AAA at CNY 97.463 billion, and 1-year-and-below AAA at CNY 70.5 billion. In terms of issuance yields: for AAA-rated bonds, the average issued coupon rate was 1.96%, up 0.7 BP from last week. For AA+ rated bonds, the average issued coupon rate was 2.21%, up 2.5 BP from last week. For AA and below rated bonds, the average issued coupon rate was 2.31%, up 4.2 BP from last week.

Weekly Equity Index Trend

As of Thursday this week, most major market indices declined, with the CSI 500 rising the most. Among the three major indices, the SSE Composite Index fell by 1.72%, the SZSE Component Index fell by 1.87%, and the ChiNext Index fell by 2.38%. This week, most sectors in the broad market declined. The Utilities sector index rose notably, while the Consumer Staples sector index and the Information Technology sector index saw larger declines. In terms of turnover rate: the Utilities sector index and the Healthcare sector index rebounded significantly. This week, most sectors in the CITIC first-level industry categories declined, with the Agriculture, Forestry and Animal Husbandry sector, Non-banking Financials, and Comprehensive Finance showing the largest declines. In terms of activity: most first-level industry categories saw a rebound this week, with Power & Utilities, Textile & Apparel, and Defense & Military Industry rebounding notably.

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Responsible editor: Song Yafang