利率债6月报：政策性金融工具如何影响债市？-20250611

Report Industry Investment Rating - The report does not mention the industry investment rating [1] Core Viewpoints - Overseas uncertainties have marginally eased, and the domestic bond market yield curve has steepened. The launch of policy - based financial tools may impact the bond market, and in the current situation of balanced and loose liquidity and narrow - range bond market fluctuations, attention should be paid to factors that may break the balance of long - and short - term forces and some structural opportunities [2][3][4] Summary by Directory PART1: Overseas Uncertainties Marginally Eased, Domestic Yield Curve Steepened 1.1 Overseas - Policy uncertainties have marginally eased, and market risk appetite has recovered. In May, the US made partial progress in trade negotiations, risk assets outperformed safe - haven assets, the US dollar index stopped falling but was weak, and the market focus shifted to fiscal and tax policies. The Trump tax - cut bill passed in the House, which may increase a deficit of $2.3 - 3 trillion in the next decade, and Moody's downgraded the US sovereign credit rating, causing the 30Y US Treasury yield to exceed 5%. Japanese and European long - term bond yields generally rose, with Japanese bond yields rising due to concerns about fiscal sustainability, and the eurozone pricing in fiscal leverage and risk - appetite recovery [7][10][13] 1.2 Domestic - The asset performance was stable, with the equity market rising first and then moving sideways, and the commodity market fluctuating at a low level. In May, the central bank cut interest rates and the reserve - requirement ratio, the liquidity was loose, and the yield curve steepened. Credit bonds outperformed interest - rate bonds, with credit spreads narrowing by 7 - 19BP. In terms of institutional behavior, the bond - market leverage ratio was stable at a low level. Large banks' bond - buying scale may have increased, rural commercial banks actively bet on duration, funds reduced duration and positions and shifted to credit bonds, insurance companies' bond - allocation rhythm returned to normal, and wealth management products' liabilities became abundant again and continued to overweight inter - bank certificates of deposit [15][22][28] PART2: Policy - based Financial Tools Review 2.1 Politburo Meeting Mentioned "Establishing New Policy - based Financial Tools" - In April 2025, the Politburo meeting mentioned "establishing new policy - based financial tools". Historically, there were two rounds of policy - based tools led by policy banks: the 2 - trillion special construction funds from 2015 - 2017 and the policy - based and development financial tools in 2022. Both used policy - bank - established funds as project capital with fiscal subsidies to boost infrastructure investment [44] 2.2 Policy - based Tools' Effects and Bond - Market Pricing - Both rounds of policy - based tools were accompanied by a package of policies, supporting specific areas of investment. The 2015 - 2017 tools mainly supported the shantytown renovation and real - estate investment, while the 2022 tools mainly supported transportation infrastructure and infrastructure investment. In the bond market, short - term pricing was based on policy expectations, with the 10Y Treasury yield rising by 2 - 7BP within 3 trading days after policy announcements. Medium - term pricing depended on the rhythm of policy announcements and fundamental data improvement, with the 10Y Treasury yield rising by 18 - 30BP over 2 - 5 months [3][46][48] PART3: Bond - Market Strategy 3.1 Since April, the Bond - Market Trading Mainline Entered a Sideways State after Several Switches - Since April, the bond - market trading mainline has entered a state of balanced long - and short - term forces after several switches, and the 10Y Treasury yield has been fluctuating around 1.67% [53] 3.2 Mid - term Impact of Deposit - Rate Cuts - On May 20, large banks initiated a new round of deposit - rate cuts. Since 2024, deposit - rate cuts have effectively reduced deposit costs, with different impacts on large and small banks [57] 3.3 Mid - term Impact and Market Structure - Deposit - rate cuts may have two structural impacts: if the central bank does not cooperate, the flow of large - bank deposits to non - banks or small banks may tighten liquidity; in the medium term, small banks and non - banks have abundant funds, which support the bond market. However, trading funds are scattered among different assets, making it difficult to form a unified force [61][64] 3.4 Central Bank's Concerns - The probability of further decline or increase in the funding rate is low. Recently, external pressure has eased, the net - interest - margin pressure has decreased, capital - market prices have basically recovered, and the risk of capital idling is controllable [70] 3.5 Cost - effective Structural Points - The 10Y Treasury yield is still fluctuating around 1.65 - 1.70%, and positions can be established at the upper limit of the range. Factors that may drive the yield curve down include deposit - rate cuts, slow adjustment following fundamental data announcements, and the central bank's restart of Treasury trading. Possible resistances are the flat yield curve and the non - implementation of "new policy - based financial tools". Currently, cost - effective structural points include medium - and long - term credit bonds, 1 - 5Y Treasuries, 7Y Agricultural Development Bank bonds, and 15Y local bonds [75]