中债策略周报-20250902

Report Investment Rating - No information provided Core Viewpoints - In the last week of August, with limited incremental news and a tug - of - war between bulls and bears, the bond market maintained a volatile trend. The central bank protected liquidity, and cross - month funds were relatively stable. Most major - term varieties showed slight recoveries, with the 1 - year Treasury yield dropping 2.5bp to 1.35% [3][12] - In terms of fundamentals and monetary policy, although the probability of further weakening of economic data is not low, the bond market still faces significant adjustment pressure. According to seasonal patterns, September usually has the weakest market performance, with a yield decline probability of only 17% in the past six years. From the end of August to the peak, the adjustment was 5.25bp - 13bp, and the median adjustment to the September central level was 2.59bp. However, if the 10Y Treasury rate further breaks through to 1.8%, it will return to the cost - pricing framework above OMO + 40bp, and the allocation portfolio will gradually have cost - effectiveness [6] - Given that the central bank's actions will dominate the bond market trend in September, if the central bank does not introduce incremental tools such as reserve requirement ratio cuts or restart bond purchases in September, the pressure on the money market may continue to affect market sentiment. Currently, using a barbell strategy to maintain portfolio liquidity and returns may be the best strategy [6] - Looking at the second half of the year, with the Fed likely to restart interest rate cuts in September, combined with weak domestic demand and the global trend of returning to interest rate cuts, the expectation of double - rate cuts may increase in mid - to - late August. For the second half of the year, the bond market may experience a strong downward trend from August to September. It is advisable to appropriately relax the restrictions on portfolio duration, and the 30 - year variety, which has performed weakly recently, may have high cost - effectiveness [35] Summary by Directory Bond Market Performance Review - In the last week of August, with limited incremental news and a tug - of - war between bulls and bears, the bond market maintained a volatile trend. The central bank protected liquidity, and cross - month funds were relatively stable. Most major - term varieties showed slight recoveries, with the 1 - year Treasury yield dropping 2.5bp to 1.35% [3][12] - In terms of interest - rate bonds, the 1 - year yield remained stable at 1.37%, while the yields of 3 - year and above increased by 3 - 5bp, with the 10 - year and 30 - year Treasury yields rising 4bp and 3bp to 1.78% and 2.08% respectively. The trend of policy - bank bonds was similar to that of Treasuries, with the yields of each term decreasing by about 2 - 3bp [15] - In the credit - bond market, medium - and long - term varieties were under pressure. On the implied AA + urban investment bond curve, the 1 - year, 3 - year, and 5 - year yields increased by 3bp, 8bp, and 9bp respectively, with the yields of 3 - year and above generally returning above 2.0%. On the AAA - secondary capital bond curve, the 1 - year, 3 - year, and 5 - year yields increased by 4bp, 6bp, and 7bp respectively, with the adjustment amplitudes of the 3 - year and 5 - year yields larger than those of the same - term policy - bank bond varieties [15] Bond Market Primary Issuance Situation - This week, local bonds were issued at 369.2 billion yuan, with a net issuance of 201.3 billion yuan, including 9.5 billion yuan of new general bonds, 239.3 billion yuan of new special bonds (including 68 billion yuan of special special bonds), 95.8 billion yuan of ordinary refinancing bonds, and 24.5 billion yuan of special refinancing bonds [20] - Treasury bonds were issued at 392.7 billion yuan, with a net issuance of 352.6 billion yuan, including 83.1 billion yuan of special Treasury bonds [20] - Policy - bank bonds were issued at 164 billion yuan, with a net issuance of 162 billion yuan [20] - Specific issuance details of some interest - rate bonds are provided in the table, including various Treasury bonds, local government bonds, and policy - bank bonds, with information on trading codes, bond names, issuance scales, issuance terms, and coupon rates [19] Funds Market Situation - With the central bank's liquidity injection, the money market during the tax period remained stable. Under the central bank's protection, cross - month interest rates were relatively stable. The weekly averages of R001 and DR001 decreased significantly compared to the previous week (tax period), dropping 13bp and 14bp respectively, DR007 also decreased by 1bp, and R007 increased slightly due to cross - month effects, with the weekly average rising 1bp [26] - This week, the overnight and 1 - week Shibor rates closed at 1.32% and 1.45% respectively, changing by - 5bp and + 3.8bp compared to the previous week; the overnight and 1 - week CNH Hibor rates closed at 1.1% and 1.28% respectively, changing by - 43.1bp and - 36.2bp compared to the previous week [26] - Affected by the tightening of the money market during the tax period, most certificate of deposit yields increased. The 3 - month, 6 - month, and 1 - year yields increased by 3bp, 2bp, and 3bp respectively, reaching 1.55%, 1.61%, and 1.67%. The weighted issuance period extended to 8.1 months, compared to 6.4 months in the previous week. As the money market tightened more than expected during the tax period, the trading volume of inter - bank pledged repurchase decreased, with the average trading volume dropping from 8.15 trillion yuan in the previous week to 7.13 trillion yuan [29] China Bond Market Macro Environment Tracking and Outlook - The US dollar index has remained below 100 in the past week. With the continuous global "de - dollarization" trend, the offshore RMB has continued to appreciate, closing below 7.18 on Friday. Looking forward to the second half of the year, under the "moderately loose" monetary policy tone, the central bank may maintain a loose stance [34] - This week, the central bank had a net withdrawal of 4.95 billion yuan, including a net withdrawal of 0.2 trillion yuan from reverse repurchases, a net injection of 0.3 trillion yuan from outright reverse repurchases, and a net withdrawal of 0.1 trillion yuan from treasury deposits at banks [34] - In terms of fundamentals, in July, CPI year - on - year growth was 0, higher than the expected - 0.1%, and the commodity retail sub - items showed varying degrees of recovery; PPI year - on - year was - 3.6%, remaining in a sluggish state, indicating that price recovery still faces significant pressure. Meanwhile, credit data is to be released in the coming week. Considering the decline in the cumulative transfer discount scale of large - scale banks in July and the return of the end - of - month bill rate to zero, the social financing data for July may not be optimistic [35] - In terms of monetary policy, due to insufficient effective economic demand, the loose monetary policy will continue. In terms of exchange rates, as the Japanese yen and the euro strengthen, the US dollar index has fallen below 100, and the pressure on RMB depreciation is relatively controllable in the short term. Therefore, external shocks will not restrict the intensity of monetary easing in the short term. For the second half of the year, the monetary policy still needs to cooperate with fiscal bond issuance, and liquidity is likely to remain loose. Currently, the periodic tightness of liquidity may be mainly caused by institutional expectations [35]