2025年5月债市展望：嵌套于宏观审慎的利率下行期

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Since 2021, the bond market yield has entered a downward cycle, influenced by the shift of monetary credit from supply - constraint to demand - constraint, the change of economic endogenous momentum, and insufficient effective demand [4][134][137] - The U.S. may shift from "loose fiscal + tight monetary" to "tight fiscal + tight monetary" during the debt - reduction process, and the Fed's rate - cut may require a significant weakening of the labor market [2][97] - China's current economic situation shows weak domestic demand and declining external demand. Policy elasticity may lie in the consumption sector, and monetary policy will gradually ease to cooperate with fiscal policy [3][131] - In Q2 2025, "macro - prudential" supervision may give way to loose trading, and the bond market curve may change from flat to bull - steep [4] 3. Summary According to the Table of Contents 3.1 1月至今债市走势分析及其宏观逻辑 - Monthly Trends - In January 2025, to stabilize the exchange rate and the central bank suspended buying treasury bonds, resulting in tight funds, short - term bond corrections, and long - term bond fluctuations [1][51] - In February, tight funds spread to banks, weakening easing expectations, and both short - and long - term bonds accelerated their corrections [2][51] - In March, the funds returned to equilibrium. In the first half of the month, the bond market self - adjusted due to the revision of easing expectations, and in the second half, long - term bonds gradually recovered [51] - In April, due to increased external uncertainties, long - term bonds fell to a low level and then fluctuated narrowly [2] - Interest Rate Curve - From January to April 2025, the interest rate curve changed from "bear - flat" to "bear - steep" and then to "bull - flat." The flat curve reflected pessimistic expectations of liquidity and fundamentals, which cannot coexist for a long time [22] - Credit Spreads - In 2025, the credit spread of medium - term notes showed an obvious compression trend, while that of commercial bank secondary capital bonds fluctuated [27] - Duration Strategy - In February - March 2025, the duration strategy underperformed, but in April, the long - duration strategy became dominant again [31] - Market Logic - Fundamentally, the economy was booming in Q1 2025, but external changes disturbed expectations. In terms of funds, from January to February, tight funds led to bond market corrections; from March to April, the central bank's attitude became more favorable, and the bond market strengthened. Institutionally, in January - February, institutions reduced duration and leverage; in March - April, the long - duration strategy was preferred, and institutions bet on long - term bond capital gains [51] 3.2 "对等关税"背后的"特里芬难题"与潜在冲击 - Triffin Dilemma - The Triffin Dilemma refers to the coexistence of the global credit of the US dollar and long - term trade deficits. The long - term trade deficit may lead to the hollowing - out of the manufacturing industry and debt inflation in the US [54][56] - First Impact of the Triffin Dilemma - The Bretton Woods system basically collapsed in the 1970s due to the continuous expansion of US demand and the rapid shrinkage of US gold reserves [61] - Consequences of the Triffin Dilemma - The global credit of the US dollar may lead to a high - valued dollar, which is negative for US manufacturing exports. The critical point of the Triffin Dilemma is the continuous expansion of the deficit, which may trigger credit risks for reserve assets [65][70] - "海湖庄园协议" - The core of the "Mar - a - Lago Agreement" is to reduce debt and revitalize the industrial system through measures such as replacing foreign - held US bonds with ultra - long - term zero - coupon bonds and asking countries to cooperate in depressing the dollar exchange rate [71][75] - US Fiscal - Monetary Policy Shift - The US may shift from "loose fiscal + loose monetary" to "tight fiscal + loose monetary" to break the negative feedback loop of "fiscal expansion - increased interest payments - passive fiscal expansion" [79][84] - US Economic Situation - Currently, a US recession is not the baseline scenario. The US economy has not significantly slowed down, and the employment market remains resilient. However, if labor - market "hard data" weakens significantly, recession trading may resume [90][93] - Potential Impact of "Reciprocal Tariffs" - "Reciprocal tariffs" may lead to a decline in global trade volume and a decrease in the potential economic growth rate [94][96] 3.3 Policy Hedging and Domestic Demand Stimulation: Focus on One's Own Affairs - Political Bureau Meeting - The April 2025 Political Bureau Meeting mainly implemented established policies, with highlights possibly in structural monetary policy tools [100] - Three - Horse Carriage - Investment: Weak investment is due to the downward real - estate cycle, limited infrastructure investment space under local debt regulations, and insufficient effective demand restricting manufacturing expansion [3][110] - Export: The export structure is being improved. Non - US economies contribute significantly to export growth but with high volatility, and high - tech products are not the main support for exports [3][116] - Consumption: Constrained by weak income expectations and falling housing prices, consumption has room for improvement compared to developed economies, and top - level meetings have increased their emphasis on it [3][119][121] - Monetary Policy - With the issuance of special treasury bonds, monetary policy is gradually easing to cooperate with fiscal policy. In May, as a credit - off month, weak credit demand may lead to spontaneous easing [122][130] 3.4 Nested in the Macro - Prudential Interest Rate Downward Cycle - Macro - background of the Interest Rate Downward Cycle - Since 2021, the bond market yield has been in a downward cycle, driven by the shift of monetary credit from supply - constraint to demand - constraint, the change of economic endogenous momentum, and insufficient effective demand [4][134][137] - Macro - Prudential Assessment - The bond market is expanding, mainly driven by interest - rate bonds, and investors face more interest - rate risks. Current regulatory assessments focus more on credit expansion, lacking constraints on interest - rate and duration risks. Asset management product scale is increasing, and fixed - income asset allocation is strong. Banks and insurance institutions face the pressure of inverted liability costs and asset returns. Monetary easing is necessary but needs to balance internal and external factors and risks [4][142][155] - Q2 Market Outlook - In Q2, "macro - prudential" supervision may give way to loose trading. Monetary - fiscal cooperation may be prioritized to boost domestic demand and hedge external risks. The liquidity in Q2 is expected to be loose, and the bond - curve shape may change from flat to bull - steep [4]