Summary
In the week from September 13 to September 16, the average daily index of First Financial Research Institute China Financial Conditions was -2.91, which was basically the same as the previous week, and the index fell by 1.88 this year.
Recently, the central bank in August and September tightened the liquidity of the interbank market by shrinking the volume of 1-year MLF for two consecutive months. The effect has been shown, including the transaction volume of interbank pledged reverse repurchase last week from 7.3 trillion yuan to 6.7 trillion yuan, and R007 and DR007 rose by 6bp and 10bp respectively compared with the previous week and continued to approach the policy interest rate center. On the other hand, in order to protect the liquidity fluctuations brought about by the mid-month tax period, the central bank restarted 14-day reverse repurchase on the 19th, with an injected volume of 10 billion yuan and an interest rate of 2.15%.
From the perspective of the bond market, the treasury bond yield curve rose across the board last week. Affected by the marginal tightening of liquidity in the money market, the upward increase in the short-term treasury bond yield is higher than that of the medium- and long-term treasury bond yield. Meanwhile, the yields of AAA and AA credit bonds rose slightly last week. As the upward rise in the yield of credit bonds is less than the yield of treasury bonds for the same period, the spread between the overall credit bonds and treasury bonds narrowed.
Last week, A shares major stock indexes weakened. Shanghai Composite Index html fell by 4.2% in 5 weeks, SME Index html fell by 4.5% in 5 weeks, and the ChiNext Index 7.3% in 5 weeks. The daily trading volume, risk preference and price-to-earnings ratio of the stock market fell simultaneously. As of September 16, the price-to-earnings ratio, weighted by the total market value of each board, was approximately 17.18, which is close to a historical low.
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. Overview of China's Financial Conditions Index
In the week from September 13 to September 16, the average China Financial Conditions Daily Index of the First Financial Research Institute was -2.91, which was basically the same as the previous week, and the index fell by 1.88 this year.
Judging from historical data, China's financial conditions index has shown a rapid decline since April this year, and has approached its low in 2015.
2. Money market
Recently, the central bank tightened the interbank market liquidity by resuming the 1-year MLF for two consecutive months in August and September. The effect has been shown, including the transaction volume of interbank pledge reverse repurchase last week from 7.3 trillion yuan to 6.7 trillion yuan, R007 and DR007 rose by 6bp and 10bp respectively compared with the previous week and continued to approach the policy interest rate center. On the other hand, in order to protect the liquidity fluctuations brought about by the mid-month tax period, the central bank restarted 14-day reverse repurchase on the 19th, with an injection volume of 10 billion yuan and an interest rate of 2.15%.
, central bank open market operations
Recently, the central bank's liquidity injection has mainly changed : one is to reduce the volume and renew the 1-year MLF. On September 15, a total of 600 billion 1-year MLF expired, while the central bank only invested 400 billion 1-year MLF on the same day, and the renewal volume decreased by one third; the second is that the central bank restarted 14-day reverse repurchase after 8 months. On September 19, the central bank issued 10 billion 14-day reverse repurchase, and the interest rate was lowered by 10bp to 2.15% as the 7-day reverse repurchase.
The central bank's recent operations show a trade-off between overall marginal tightening of interbank market liquidity and preventing excessive rise in money market interest rates. Since the end of April this year, the interest rates of major money markets have continued to be lower than the policy interest rates. The average daily pledge repurchase transaction volume of interbank markets is more than 6 trillion yuan. The phenomenon of financial institutions adding leverage in the money market is obvious, which has caused the central bank to shrink the volume twice in mid-August and mid-September to tighten the liquidity of the interbank market. On the other hand, the middle of the month coincides with the tax period, and liquidity fluctuations have increased. By extending the reverse repurchase period from 7 days to 14 days, it will help stabilize market fluctuations in the short term and prevent the money market interest rates from rising too fast.
, money market trading volume and interest rate
After the central bank reduced the scale of the one-year MLF resumption in mid-September, the interbank pledge reverse repurchase transaction volume fell, from 7.3 trillion yuan on September 13 to 6.7 trillion yuan on the 16th. The R001 interest rate rose simultaneously, from 1.25% on September 13 to 1.38% on September 16.
Among other major currency market interest rates, R007 and DR007 further approached the policy interest rate center last week. The averages of the two in the week were 1.62% and 1.52%, respectively, up 6bp and 10bp from the previous week.
3. Bond market
Last week, the scale of issuance and net financing of bonds in various departments has decreased compared with the previous week, but the net financing of bonds in various departments has risen for three consecutive weeks this year. Net financing in the bond market is mainly driven by government departments and financial departments.
From the perspective of the secondary bond market, the Treasury bond yield curve rose across the board last week. Affected by the marginal tightening of liquidity in the money market, the upward increase in short-term treasury bond yields is higher than that of medium- and long-term treasury bond yields. Meanwhile, the yields of AAA and AA credit bonds rose slightly last week. As the upward rise in the yield on credit bonds is less than the yield on treasury bonds for the same period, the interest rate spread between the overall credit bonds and treasury bonds narrowed.
, bond market issuance
Last week, the total issuance and net financing amount of the bond market fell slightly compared with the previous week. Among them, the government department had net financing of 157.871 billion yuan, the financial department had net financing of 58.75 billion yuan, and the non-financial enterprise department had net repayment of 113.482 billion yuan. From the perspective of this year, the net financing amount of bonds of various departments increased for three consecutive weeks this year. Net financing in the bond market is mainly driven by government departments and financial departments. Among them, the government department has net financing of 4.92 trillion yuan this year, the financial department has net financing of 2.37 trillion yuan this year, and the non-financial enterprise department has net financing of only 1.01 trillion yuan this year.
, bond yield trend
1) Interest rate bond
Last week, the yields of government bonds for each term generally rose. From the short-term perspective, the yields of January, June and 1-year Treasury bonds rose by 11.12bp, 5.04bp and 7.01bp respectively; from the medium- and long-term perspective, the yields of 5-year, 10-year and 20-year Treasury bonds rose by 4.82bp, 3.80bp and 2.29bp respectively.
Last week, the interest rate spread of treasury bond maturity fell slightly, mainly because under the influence of marginal tightening of liquidity in the money market, the upward increase in the short-term treasury bond yield is greater than that of the medium- and long-term treasury bond yield. As of September 16, the maturity spread between 10-year and 1-year treasury bonds was 84.32bp, down 3.21bp from the previous week, and the maturity spread between treasury bonds rose by 31.07bp during the year.
2) Credit bond
Last week, credit bond yields generally rose. Specifically, among AAA bonds, 5-year corporate bonds, asset-backed securities and medium-sized bill yields rose by 3.01bp, 1.20bp and 0.41bp respectively during the week. Among AA bonds, 5-year corporate bonds, corporate bonds, asset-backed securities and medium-sized bill yields rose by 3.01bp, 1.91bp, 0.34bp and 2.41bp respectively during the week.
Credit bond rating spread rose slightly last week. From the perspective of the mid-ticket spread, as of September 16, the interest rate spread between AA-level mid-ticket and AAA-level mid-ticket was 71.36bp, and the interest rate spread between AA-level mid-ticket and AAA-level mid-ticket was 310.36bp, both of which were up 2.0bp from the previous week.
Last week, the yield difference between credit bonds and treasury bonds also generally declined, mainly because the upward rise in the treasury bond yields for the same period is higher than the upward rise in the credit bond yields. In AAA bonds, the yield difference between corporate bonds and treasury bonds fell by 1.81bp, the yield difference between corporate bonds and treasury bonds fell by 4.827bp, the yield difference between asset-backed securities and treasury bonds fell by 3.62bp, and the yield difference between medium notes and treasury bonds fell by 4.41bp. Among AA bonds, the yield difference between corporate bonds and treasury bonds fell by 1.81bp, the yield difference between corporate bonds and treasury bonds fell by 2.91bp, the yield difference between asset-backed securities and treasury bonds fell by 4.48bp, and the yield difference between medium notes and treasury bonds fell by 2.41bp.
. Stock market
In the week from September 13 to September 16, the major A-share indexes all weakened. The Shanghai Composite Index fell by 4.2% during the week, the SME Index fell by 4.5% during the week, and the ChiNext Index fell by 7.3% during the week.
From the perspective of the major stock index risk premium (year-on-year changes in the stock index minus the 10-year treasury bond yield), A-share risk appetite further declined last week , with the average weekly risk premiums of the Shanghai Composite Index, SME Index and ChiNext Index being -15.05%, -19.53% and -25.50% respectively.
Last week, the overall trading volume of A-shares continued to decline, with the average daily trading volume falling to 805.743 billion yuan, while the transaction amount of the two markets further fell to a low of 666.924 billion yuan on the first trading day of this week.
In addition, the overall valuation of A shares continues to decline. As of September 16, the price-to-earnings ratio adjusted by weighted total market value of each board was approximately 17.18, down 5.43% from the previous week.The difference in balance between financing and margin trading dropped to 1.39 trillion yuan, accounting for 1.76% of the total market value of A-shares.
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text | Liu Xin Researcher at the First Financial Research Institute
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