日历看债系列之一：资金的季节性及时点观察

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - The influencing factors of the capital market have significant seasonal patterns, and the main line of capital market conditions switches throughout the year, including "Spring Festival disturbance - Fiscal expenditure - Government bond issuance." Identifying these seasonal patterns helps in understanding the bond market trading environment. The central bank's hedging decisions based on these seasonal patterns are crucial for determining the capital market trend. The report combines seasonal and supra - seasonal factors to comprehensively assess the capital market trend and provides bond market trading guidance [1][8][12]. Summary by Directory 1. Capital's Calendar Effect: Main Line Switch of "Spring Festival Disturbance - Fiscal Expenditure - Government Bond Issuance" - Spring Festival (January - March): Affected by factors like cash withdrawal, the capital market is usually tight before the Spring Festival and eases afterwards. Around 10 trading days before the Spring Festival, capital prices tend to rise, and the increase depends on the central bank's liquidity arrangements. The price fluctuation range of DR007:15DMA around the Spring Festival is usually within 20bp, and may narrow to 10bp with reserve requirement ratio cuts. If the total scale of reserve requirement ratio cuts and open - market operations reaches 2 trillion or more, the capital market can remain relatively stable [2][13][16]. - Second Quarter (April - July): With the acceleration of construction progress due to warmer weather and increased fiscal expenditure, the volatility of the capital market decreases, and the capital center tends to decline seasonally. The non - bank stratification in the second quarter is at a seasonal low. In 2024, driven by manual interest compensation, the capital stratification was compressed to below 10bp [2][24]. - After August: As the supply of government bonds increases at the end of the year, the pressure on banks' liability gaps may increase again, and capital prices may rise. In August and September, government bond issuance usually speeds up, and even with reserve requirement ratio cuts in 2023 and 2024, the capital center still rose seasonally, with DR007 deviating from the OMO center by about 20bp [2][13][28]. 2. Timing Disturbances: Tax Period, Tool Maturity, and Quarter - End - Tax Period: Tax payments may cause a short - term tightening of the inter - bank capital market. The tax payment deadline is usually the 15th of each month, and the tax payment usually occurs about 2 working days after the deadline. The tax payments in January, April, July, and October are relatively large, but they generally do not cause a long - term upward trend in capital prices. The central bank may increase reverse repurchases to hedge the impact [3]. - Mid - Month: Attention should be paid to the maturity of monetary policy tools. The maturity of outright reverse repurchases is mainly concentrated in the first half of the month, and the maturity of MLF has been postponed to the 25th since July. The months with large MLF maturities are at the beginning and end of the year, and the monthly maturity of outright reverse repurchases is close to one trillion [3][37]. - Quarter - End: Banks may increase their reserve levels to meet regulatory requirements such as the Liquidity Coverage Ratio (LCR) and broad credit indicators, which may lead to a reduction in capital lending. However, the fiscal department usually accelerates fund allocation in the last week of the quarter, which can partially relieve the capital pressure [3][42]. 3. Bond Market Trading Insights: Calendar Effect and Central Bank Observation - Seasonal Opportunities and Risks - After the Spring Festival, as the capital market recovers, there may be trading opportunities in the bond market. Except in 2025 when the central bank actively guided long - term interest rates upward and in 2022 due to the large - scale maturity of reverse repurchases after the Spring Festival, the yield of 10 - year treasury bonds generally showed a downward trend [4][43]. - After the quarter - end, with the easing of capital and the entry of wealth management funds, the probability of success in the bond market is relatively high. The yield of long - term bonds in April and July tends to decline after the quarter - end [4][47]. - In the third quarter, leveraged trading is generally more cautious. The issuance of government bonds may speed up, the leverage arbitrage space for short - term assets may shrink rapidly in July, and the risk of capital fluctuations caused by redemptions may increase [4][48]. - Supra - Seasonal Hints and Central Bank Observation - Since the monetary policy reform in 2024, the central bank's control over the capital market has become more flexible. It is necessary to observe the central bank's attitude from a "top - down" perspective. - Tightening Window: Pay attention to whether the policy goals of "stabilizing the exchange rate" and "preventing risks" are prioritized. High exchange - rate pressure may restrict the significant easing of the capital market, and "preventing risks" includes concerns about long - term yields and cracking down on capital arbitrage [5][53]. - Stabilizing Window: When there is pressure to stabilize growth, the equity market shows weak expectations, there are credit shocks, or redemption disturbances increase, the central bank usually provides support. For example, during the trade frictions in 2018, the epidemic in 2020, and the trade frictions in 2025, the central bank took measures to maintain a loose monetary environment [5][56].