Report Industry Investment Rating No information provided in the content. Core Viewpoints of the Report - The market fluctuated upward, and the term spread widened. The market was mainly driven by deposit rate cuts in the first half - week and shifted to focus on the money market and fiscal supply in the second half - week. The market showed a pattern of "short - term strength and long - term weakness" [3][97]. - There was an asymmetric cut in deposit and lending rates, and CD price hikes reappeared. The non - symmetric cut aimed to relieve banks' interest margin pressure, but it might exacerbate financial disintermediation. State - owned and joint - stock banks' CD issuance accounted for about 58% last week, and their CD price hikes were more obvious [3][97]. - Trading desks increased their positions in 7 - 10Y Treasury bonds during the market adjustment to lower the cost of adding positions. The central cost of adding positions for major trading desks has moved up to around 1.67%, which may be an important position for both bulls and bears in the short term [3][98]. - After the deposit rate cut, more attention should be paid to market liquidity. Policy implementation may need to wait for economic data verification or fiscal supply pressure, and in the short term, policy may not be the main market driver. "Deposit migration" may coincide with the peak of government bond supply, and the maturity of inter - bank CDs in June is as high as 4.16 trillion yuan, so factors such as the stability of large commercial banks' liabilities and the issuance rhythm of government bonds need to be focused on [3][98]. - In the current state of unclear direction, a "high - probability" portfolio may be more suitable for the liability side of asset management products. It is recommended to allocate coupon - bearing assets, adopt a "coupon + carry trade" strategy, use a neutral - duration barbell portfolio, and select 2 - year AA - / AA - rated credit bonds and 10 - year local bonds as the underlying coupon - bearing assets. The spread between the active and sub - active 10 - year CDB bonds may indicate an upcoming bond - swapping market [3][99]. Summary by Relevant Catalogs 1. Important Matters - On May 20, the 1 - year and 5 - year LPR were cut by 10BP, and state - owned banks simultaneously lowered deposit rates. The 1 - and 2 - year deposit rates were cut by 15BP, and the 3 - and 5 - year fixed - deposit rates were cut by 25BP. This aimed to relieve banks' interest margin pressure but may exacerbate financial disintermediation and affect the stability of commercial banks' liabilities [6]. - On May 22, the central bank conducted a 5000 - billion - yuan MLF operation, with a net investment of 3750 billion yuan in May, achieving three consecutive months of over - renewal [8]. - From January to April 2025, China's total retail sales of consumer goods increased by 4.7% year - on - year. Catering performed slightly better than commodity retail. Some consumer categories such as home appliances and cultural office supplies grew strongly, while clothing, textiles, and automobiles were relatively weak. Consumption was policy - driven, and the "618" promotion and subsequent policy support are expected to continue to boost consumption [13]. 2. Money Market 2.1 Open Market Operations and Money Rate Trends - Last week, the central bank's open market operations turned to net investment, with 5000 billion yuan of MLF invested, achieving three consecutive months of over - renewal. The non - bank money price generally increased, but DR007 remained below 1.6%. From May 19 to 23, the central bank's net investment was 12000 billion yuan, and it is expected to withdraw 9460 billion yuan from May 26 to 30 [17][18]. 2.2 CD Rate Trends and Repo Transaction Volume - In the primary market, the net financing of inter - bank CDs was negative last week. The issuance scale was 7143.30 billion yuan, and the maturity scale was 7383.40 billion yuan, with a net financing of - 240.10 billion yuan. State - owned banks were the largest issuers due to "deposit migration". The issuance rates of inter - bank CDs increased compared with the previous week [26][29][31]. - In the secondary market, the yields of inter - bank CDs across all tenors increased. The 1Y - 3M spread is currently at the 32.14% quantile level [35]. 3. Bond Market Primary Market - The supply of Treasury bonds accelerated significantly, and 30 - year and 50 - year special Treasury bonds were issued last week. As of May 23, the cumulative net financing of various Treasury bonds in 2025 was about 2.87 trillion yuan, and that of local bonds was about 3.54 trillion yuan, significantly higher than the average from 2021 - 2024. The issuance of local bonds has gradually slowed down compared with Treasury bonds [39]. - The cumulative net financing of long - term Treasury bonds and long - term local bonds was 11937.60 billion yuan and 32676.99 billion yuan respectively as of May 23. The net financing of long - term local government bonds increased significantly in Q1 and slowed down in Q2, while the issuance of ultra - long - term special Treasury bonds boosted the net financing of long - term Treasury bonds in Q2 [42]. - Last week, 89 interest - rate bonds were issued, with a total issuance of 9683.22 billion yuan, a maturity of 2153.47 billion yuan, and a net financing of 7529.74 billion yuan. As of last week, 1.60 trillion yuan of special refinancing bonds had been issued, mainly with long - and ultra - long - term tenors [46][50]. Secondary Market - Interest rates fluctuated upward. The yields of 1 - year, 3 - year, 5 - year, 7 - year, 10 - year, and 30 - year Treasury bonds changed by - 0.27BP, - 1.14BP, - 1.20BP, - 1.98BP, 4.15BP, and 1.10BP respectively. The 10Y - 1Y Treasury bond yield spread widened to 27.27BP [53]. - The trading activity of 10 - year Treasury and CDB active bonds decreased. The average daily trading volume of the 10 - year Treasury active bond (250004) decreased by about 19.95%, and its average turnover rate decreased by about 2.97 percentage points. The average daily trading volume of the 10 - year CDB active bond (250205) decreased by about 7.26%, and its average turnover rate decreased by about 6.41 percentage points [56]. - The spread between the 10 - year Treasury active and sub - active bonds widened, while the spread between the 10 - year CDB active and sub - active bonds narrowed slightly, indicating a possible upcoming CDB bond - swapping market [58]. - The term spread widened, but the 10 - year - 1 - year Treasury bond term spread remained at a historical low. The long - and ultra - long - term local - Treasury bond spread generally narrowed, and the 10 - year local - Treasury bond spread was more likely to be compressed from the supply perspective [59][65]. 4. Institutional Behavior Tracking - The market leverage level rebounded significantly. The institutional leverage ratio in April decreased slightly but remained at a comparable level. Last week, rural commercial banks' purchases of Treasury bonds were concentrated in the 5 - 10 - year tenor, with a significantly weakened buying force. Insurance companies changed from buying to selling 10 - year - plus Treasury bonds, and state - owned and joint - stock banks were the main sellers of long - term Treasury bonds [66][79]. - The central cost of adding positions for major trading desks has moved up to around 1.67%. The average duration of all pure - bond funds increased from 2.49 years to 2.61 years, and that of high - performing pure - bond funds increased from 4.37 years to 4.55 years [80][88]. - Considering capital occupation and tax costs, commercial banks and insurance companies can obtain relatively higher returns by investing in local bonds [90]. 5. High - Frequency Data Tracking - Last week, the settlement price of rebar futures increased by 0.03% week - on - week, wire rod futures increased by 2.16% week - on - week, cathode copper futures decreased by 1.47% week - on - week, the cement price index decreased by 1.78% week - on - week, and the Nanhua Glass Index decreased by 4.40% week - on - week. The CCFI index increased by 0.23% week - on - week, and the BDI index increased by 5.84% week - on - week [94]. - The pork wholesale price increased by 0.24% week - on - week, and the vegetable wholesale price remained flat. The settlement price of Brent crude oil futures increased by 10.20% week - on - week, and that of WTI crude oil futures decreased by 3.09% week - on - week. The central parity rate of the US dollar against the RMB was 7.19 [94].
当50年国债“发飞”遇上存款搬家
Southwest Securities·2025-05-26 04:15