债市启明｜如何理解近期外资持债的调仓？

Core Viewpoint - In May and June, foreign institutions continuously reduced their holdings of RMB bonds due to the narrowing basis of the one-year USD to onshore RMB, which compressed the comprehensive yield of interbank certificates of deposit, and the maturity peak of interbank certificates of deposit that foreign institutions had acquired in the previous year [1][4]. Group 1: Changes in Foreign Institutions' Bond Holdings - In May and June, foreign institutions reduced their RMB bond holdings, with a decrease of 96.26 billion in May and 116.09 billion in June [2]. - The main reductions were in interbank certificates of deposit and policy bank bonds, amounting to 146.55 billion and 28.89 billion respectively [2]. - The holdings of book-entry treasury bonds remained relatively stable, with a slight increase of 2.8 billion in May and a decrease of 8.88 billion in June [2]. Group 2: Understanding Foreign Institutions' Reallocation - The interest rate differentials between China and the U.S. remained deeply inverted, with the 10-year and 2-year treasury yield spreads at -274.5 basis points and -248 basis points respectively [3]. - The comprehensive yield of interbank certificates of deposit for foreign institutions was compressed due to the significant decrease in the basis of the one-year USD to onshore RMB [3]. - The peak maturity period for interbank certificates of deposit acquired by foreign institutions in 2024 led to substantial reductions in their holdings during May and June [3]. Group 3: Future Outlook - Following the "anti-involution" policy in July, inflation expectations have risen, impacting the interest rate bond market [4]. - Once the sentiment in the stock and commercial markets stabilizes, there may be opportunities for long-term bond allocation [4]. - The ongoing process of RMB internationalization and the trend of "de-dollarization" are expected to drive foreign institutions to continue increasing their holdings of RMB bond assets in the long term [4].