2023-12-20 12:24:00
In the week from December 11 to December 15, the average value of the China Financial Conditions Daily Index of the China Business Research Institute was -0.85, an increase of 0.17 from the previous week, and the index fell by 0.83 during the year.From the perspective of the index’s component indicators,Currency and bond market indicators last week pointed to tightening.From the perspective of the money market, although major money market interest rates increased compared with the previous week, overall, inter-bank market liquidity remained basically stable. From the perspective of the bond market, the yields on government bonds and credit bonds have both fallen, and credit spreads have fluctuated widely. From the perspective of the stock market, A-share valuations are still at low levels, and corporate listing financing and secondary market leveraged financing are both picking up.
Interbank market liquidity remained flat last week.In terms of trading volume, the average daily trading volume of pledged repos in the inter-bank market was 7.34 trillion yuan, a decrease of approximately 198.5 billion yuan from the previous week. From the perspective of fund prices, major money market interest rates have not changed much. As of December 15, DR007 has fallen back to 1.79% (that is, around the policy rate), while R007 is still 2.15%. The difference between the two indicates that non-bank funds are slightly tight. The central bank has recently continued to issue large amounts of reverse repos to maintain market liquidity balance. Last week, the central bank issued a total of 1.28 trillion yuan in 7-day reverse repurchases, and a total of 1.08 trillion yuan of reverse repurchases expired. On December 15, the central bank exceeded its quota and renewed the one-year MLF by 1.45 trillion yuan. It is worth noting that during this year, the central bank has repeatedly renewed one-year MLF in excess of its quota. As of December 15, the balance of one-year MLF was 7.08 trillion yuan, an increase of 2.53 trillion yuan from the beginning of the year.
Last week, both bond market issuance and net financing increased compared with the previous week.Among them, the total issuance amount of the bond market was 1.4 trillion yuan, an increase of 482.985 billion yuan from the previous week; the net financing of the bond market was 337.56 billion yuan, an increase of 343.143 billion yuan from the previous week. During the year, new bond financing basically provided financing for government departments and the financial sector. From the perspective of the secondary bond market, the yields on interest rate bonds and credit bonds have fallen simultaneously. As liquidity in the inter-bank market has remained stable recently, short-term government bond yields, which have been at high levels before, have recently shown a downward trend. The average yields of 3-month, 6-month and 1-year government bonds fell by 4.93bp, 5.48bp and 3.14 respectively. bp. The yields on medium- and long-term government bonds continued to fall last week, and the yields on AAA and AA-rated credit bonds fell simultaneously. Since the decline in credit bond yields was not as sharp as that on government bonds, credit spreads widened last week.
Last week, the total amount of A-share financing was 13.702 billion yuan.Judging from the four-week rolling average data of A-share financing, the recent financing trend has picked up.From the perspective of the secondary market, the major A-share stock indexes, average daily trading volume and price-to-earnings ratio all declined last week. Specifically, the Shanghai Composite Index, Small and Medium Enterprises Index and GEM Index fell 0.9%, 1.1% and 2.3% respectively. The average daily trading volume of A-shares dropped below 800 billion yuan, and the price-to-earnings ratio still fluctuated in the bottom range. Recently, the difference between A-share financing and securities lending balances has continued to rise, reaching 1.52 trillion yuan as of December 15.
In the week from December 11 to December 15, the average value of the China Financial Conditions Daily Index of the China Business Research Institute was -0.85, an increase of 0.17 from the previous week, and the index fell by 0.83 during the year.
From the perspective of the index’s component indicators,Currency and bond market indicators last week pointed to tightening.From the perspective of the money market, although major money market interest rates increased compared with the previous week, overall, inter-bank market liquidity remained basically stable. From the perspective of the bond market, the yields on government bonds and credit bonds have both fallen, and credit spreads have fluctuated widely. From the perspective of the stock market, A-share valuations are still at low levels, and corporate listing financing and secondary market leveraged financing are both picking up.
currency market
Interbank market liquidity remained flat last week.In terms of trading volume, the average daily trading volume of pledged repos in the inter-bank market was 7.34 trillion yuan, a decrease of approximately 198.5 billion yuan from the previous week. From the perspective of fund prices, major money market interest rates have not changed much. As of December 15, DR007 has fallen back to 1.79% (that is, around the policy rate), while R007 is still 2.15%. The difference between the two indicates that non-bank funds are slightly tight.
The central bank has recently continued to issue large amounts of reverse repos to maintain market liquidity balance.Last week, the central bank issued a total of 1.28 trillion yuan in 7-day reverse repurchases, and a total of 1.08 trillion yuan of reverse repurchases expired. On December 15, the central bank exceeded its quota and renewed the one-year MLF by 1.45 trillion yuan. It is worth noting that during this year, the central bank has repeatedly renewed the 1-year MLF in excess of the quota. As of December 15, the balance of 1-year MLF was 7.08 trillion yuan, an increase of 2.53 trillion yuan from the beginning of the year.
01.
Money Market Volume and Interest Rates
Last week, the interbank market funding remained stable. In terms of trading volume, the average daily trading volume of pledged repurchases last week was 7.34 trillion yuan, a decrease of approximately 198.5 billion yuan from the 7.54 trillion yuan in the previous week.
From the perspective of fund prices, major money market interest rates have not changed much. Among the overnight interest rates, the average values of R001 and DR001 last week were 1.81% and 1.67% respectively, which increased by 1.66bp and 1.18bp respectively from the previous week. Among the 7-day repo rates, the average values of R007 and DR007 last week were 2.27% and 1.84% respectively, which increased by 6.91bp and 2.94bp respectively from the previous week.
Compared with banks, the funding situation of non-bank financial institutions is slightly tight. As of December 15, DR007 has dropped to 1.79% (that is, around the policy rate), while R007, which measures the liquidity of the entire interbank market, is 2.15%, and the difference between the two is 36.78bp.
02.central bank open market operations
Last week, the central bank still protected market liquidity by maintaining a balance between 7-day reverse repurchase and withdrawal. Last week, the central bank invested a total of 1.28 trillion yuan in seven-day reverse repurchases, and a total of 1.08 trillion yuan of reverse repurchases expired, with a net investment of 199 billion yuan.
On December 15, the central bank exceeded its quota and renewed the one-year MLF. A total of 650 billion yuan of MLF expired that day, and the central bank issued a new phase of MLF of about 1.45 trillion yuan. It is worth noting that during this year, the central bank has repeatedly renewed the 1-year MLF in excess of its quota. As of December 15, the balance of 1-year MLF was 7.08 trillion yuan, an increase of 2.53 trillion yuan from the beginning of the year.
Bond Market
Last week, both bond market issuance and net financing increased compared with the previous week.Among them, the total issuance amount of the bond market was 1.4 trillion yuan, an increase of 482.985 billion yuan from the previous week; the net financing of the bond market was 337.56 billion yuan, an increase of 343.143 billion yuan from the previous week. During the year, new bond financing basically provided financing for government departments and the financial sector.
From the perspective of the secondary bond market, the yields on interest rate bonds and credit bonds have fallen simultaneously. As liquidity in the interbank market has remained stable recently, short-term government bond yields, which have been at high levels before, have recently shown a downward trend, with the average yields on 3-month, 6-month and 1-year government bonds falling by 4.93bp, 5.48bp and 3.14bp respectively. . The yields on medium- and long-term government bonds continued to fall last week, and the yields on AAA and AA-rated credit bonds fell simultaneously. Since the decline in credit bond yields was not as sharp as that on government bonds, credit spreads widened last week.
01.bond market issuance
Last week, both bond market issuance and net financing increased compared with the previous week. Among them, the total issuance amount of the bond market was 1.4 trillion yuan, an increase of 482.985 billion yuan from the previous week; the net financing of the bond market was 337.56 billion yuan, an increase of 343.143 billion yuan from the previous week. During the year, new bond financing basically provided financing for government departments and the financial sector.
From the perspective of the secondary bond market, the yields on interest rate bonds and credit bonds have fallen simultaneously. As liquidity in the interbank market has remained stable recently, short-term government bond yields, which have been at high levels before, have shown a downward trend, with the average yields on 3-month, 6-month and 1-year government bonds falling by 4.93bp, 5.48bp and 3.14bp respectively. The yields on medium- and long-term government bonds continued to fall last week, and the yields on AAA and AA-rated credit bonds fell simultaneously. Since the decline in credit bond yields was not as sharp as that on government bonds, credit spreads widened last week.
02.Bond Yield Trends1) Interest rate bonds
Last week, Treasury bond yields of major maturities fell. From a short-term perspective, as tight liquidity in the inter-bank market eased, the average yields on 3-month, 6-month and 1-year government bonds fell by 4.93bp, 5.48bp and 3.14bp respectively last week. Although the average yield increased by 5.66bp from the previous week, its increase has fallen sharply from 45.5bp at the end of last week. From the perspective of medium and long-term treasury bond yields, the 2-year, 5-year, 10-year and 30-year treasury bond yields fell by 5.96bp, 5.84bp, 3.46bp and 2.88bp respectively last week.
Treasury term spreads remain at one-year lows. As of December 15, the term interest rate difference between the 10-year and 1-year Treasury bonds was 31.51bp. From the perspective of the year, the maturity spread of government bonds first increased and then fell, reaching a high of 90bp in the year in early August and then falling back. Currently, the maturity spread of government bonds has dropped by 42.33bp compared with the beginning of the year.
2) Credit debt
Credit bond yields fell broadly last week. Among AAA-rated bonds, the yields of 5-year corporate bonds, corporate bonds and asset-backed securities fell by 1.47bp, 3.48bp and 2.97bp respectively. Among AA-rated bonds, the yields of 5-year corporate bonds, corporate bonds and asset-backed securities fell by 2.04bp, 5.03bp and 4.03bp respectively.
Judging from the interest rate spread between credit bonds and treasury bonds, the yields on interest rate bonds and credit bonds fell simultaneously. Because the treasury bond yields fell more sharply, credit spreads increased last week. Among AAA-rated bonds, the spreads between 5-year corporate bonds, corporate bonds, and asset-backed securities and government bonds increased by 4.37bp, 2.36bp, and 2.87bp respectively last week. Among AA-rated bonds, the spreads between 5-year corporate bonds, corporate bonds and asset-backed securities and treasury bonds increased by 3.8bp, 0.81bp and 1.81bp respectively last week.
stock market
Last week, the total amount of A-share financing was 13.702 billion yuan.Judging from the four-week rolling average data of A-share financing, the recent financing trend has picked up.From the perspective of the secondary market, the major A-share stock indexes, average daily trading volume and price-to-earnings ratio all declined last week. The Shanghai Composite Index, Small and Medium Enterprises Index and ChiNext Index fell 0.9%, 1.1% and 2.3% respectively. The average daily trading volume of A-shares dropped below 800 billion yuan, and the price-to-earnings ratio still fluctuated in the bottom range. Recently, the difference between A-share financing and securities lending balances has continued to rise, reaching 1.52 trillion yuan as of December 15.
01.
primary market
Last week, the total amount of A-share financing was 13.702 billion yuan. Judging from the four-week rolling average data of A-share financing, the recent financing trend has picked up.
02.Secondary market
Last week, all major A-share stock indexes fell, with the Shanghai Composite Index falling 0.9%, the Small and Medium Enterprises Index falling 1.1%, and the ChiNext Index falling 2.3%. During the year, the Shanghai Composite Index fell by 4.7%, the Small and Medium Enterprises Index fell by 19.2%, and the GEM Index fell by 21.2%. Recently, market risk appetite, measured by the year-on-year growth rate of the stock index minus the 10-year Treasury bond yield, has continued to fluctuate.
Last week, A-share trading volume and price-earnings ratio fell simultaneously. In terms of trading volume, the average daily trading volume of A-shares fell 7.8% from the previous week to 789.3 billion yuan. From the perspective of price-to-earnings ratio, the weighted price-to-earnings ratio of A-shares fell by 0.1% to 15.32 last week, still fluctuating in the bottom range. Recently, the difference between A-share financing and securities lending balances has continued to rise. As of December 15, it has risen to 1.52 trillion yuan. The proportion of A-share market value has increased from 1.7% at the beginning of the year to 2%.
(Source of the title picture of this article: China Business News)
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Text | Liu Xin, researcher at First Financial Research Institute
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