利率债5月报：关注利差压缩行情的相关机会-20250506

Report Overview - Report Title: "Interest Rate Bond Monthly Report for May: Focus on Opportunities Related to Spread Compression" [1] - Analyst: Liu Lu, Zheng Zichen - Date: May 6, 2025 1. Report Industry Investment Rating - Not provided in the given content 2. Report's Core View - Since April, global trade uncertainties have intensified, leading to increased risk aversion and asset volatility. Gold prices have risen significantly, while US stocks, bonds, and the dollar have faced pressure. In China, bonds have risen, and the stock market has shown resilience. The current variables in the bond market mainly come from external environment changes and the sequence and intensity of domestic growth - stabilizing policies. It is recommended to hold bonds and wait, and also pay attention to structural valuation opportunities such as the relatively high variety spread of local bonds and the term spread of ultra - long - term treasury bonds, as well as the valuation advantages of 5Y credit bonds, 5Y Agricultural Development Bank bonds, and 7Y National Development Bank bonds [2][4] 3. Summary by Directory PART1: US Dollar Assets are Impacted, and the Domestic Bond Market Finds a New Oscillation Anchor 1.1 Overseas - US Dollar Assets Volatility: In April, overseas funds flowed out of the US, causing pressure on US stocks, bonds, and the dollar. Domestic institutional leveraged trading liquidation further exacerbated the volatility of US bonds. The US soft data weakened in April, and then consumer sentiment recovered. Gold strengthened, challenging the safe - haven asset status of the US dollar [10][11] - Fed's Stance: The Fed maintains a wait - and - see attitude. Policy uncertainty in the US remains high. Powell waits for the situation to become clearer, while some Fed officials have different stances, with Waller being relatively dovish [12][15] 1.2 Domestic - Market Review: In April, the 10 - year treasury bond yield quickly dropped by 15BP and then oscillated around 1.65%. The total amount of reserve requirement ratio and interest rate cuts did not materialize, but the funding rate dropped by 20BP. The stock market briefly declined and then slowly recovered [16] - Fundamentals: High - frequency data in April showed overall oscillation, and most commodity prices declined, except for agricultural products [22][24] - Institutional Behavior - Big banks' bond - allocation strength has weakened since March, and the net bond - buying scale in April was lower than the seasonal level [31][33] - Rural commercial banks sold short - term bonds and bought long - term bonds in the past two weeks, increasing their duration bets [36][38] - Funds mainly bought credit bonds and reduced duration in the past two weeks, betting on spread trading [40][43] - Insurance companies' bond - buying scale returned to the seasonal level as yields slightly declined in April. They still favored local government bonds due to the high local bond - treasury bond spread [45][50] - Wealth management products increased their allocation of inter - bank certificates of deposit. The scale decline in March was slightly larger than the seasonal level [52][53] PART2: How Does Deposit Interest Rate Cut Affect the Bond Market? 2.1 Regularity of Large Banks' Deposit Interest Rate Cuts - Since 2022, large banks have cut deposit interest rates 1 - 3 times a year, with the shortest interval being 3 months. Each deposit interest rate cut is accompanied by an LPR cut (usually the deposit interest rate cut comes first, with an interval of less than 2 months). In most cases, the OMO rate is also cut, but the order is not fixed. The decline of 1 - 2Y deposit interest rates is similar to that of OMO and LPR [55] 2.2 Impact on the Bond Market - Interest rate cuts rarely affect the bond market trend alone. When credit - easing policies are concentrated, the funding price is more likely to rise. The 1 - year treasury bond follows the funding price, and its decline is often greater when the funding is loose. The 10 - year treasury bond yield usually declines shortly after the interest rate cut, except when the funding price tightens significantly [57] 2.3 Expectation of Future Cuts - There is a probability of a new round of large - bank deposit interest rate cuts in the second quarter, which may open up room for the central bank to cut interest rates. This is in line with the central bank's concern about the net interest margin and historical patterns [59] PART3: Bond Market Strategy 3.1 Supply Pressure and Policy Expectation - The supply of government bonds in May is large, and there is a certain probability of a reserve requirement ratio cut. The variables in the bond market mainly come from external environment changes and domestic growth - stabilizing policies. Factors that may drive the bond market out of the oscillation in the second quarter include fundamental data, incremental monetary policy implementation, and stock market performance [62][63] 3.2 Bond Market Strategy - It is recommended to focus on opportunities related to spread compression. The variety spread of local bonds and the term spread of ultra - long - term treasury bonds are relatively high. 5Y credit bonds, 5Y Agricultural Development Bank bonds, and 7Y National Development Bank bonds also have certain valuation advantages [4][67]