中债策略周报-20250909

Report Summary 1. Investment Rating The report does not provide an investment rating for the industry. 2. Core Views - The bond market's repair progress this week was poor, and the expected "stock - bond seesaw" effect did not occur despite significant fluctuations in equity indices around the military parade. Long - term 10 - year and 30 - year Treasury yields changed by - 1.3 and +1 bps to 1.77% and 2.03% respectively, while the 1 - year Treasury yield rose 3 bps to 1.39% [3][12]. - From the perspective 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. Seasonally, September usually has the weakest market performance, with a yield decline probability of only 17% in the past six years. However, if the 10Y Treasury rate breaks through to 1.8%, the allocation value gradually becomes attractive [6]. - In terms of strategy, 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, the pressure on the money market may continuously affect market sentiment. Currently, the dumbbell strategy to maintain portfolio liquidity and returns may be the best option [6]. 3. Summary by Directory Bond Market Performance Review - Interest - rate bond market: The 1 - year and 3 - year yields rose by 3 and 1 bps respectively, while the yields of 5 - year and above generally declined by 1 - 3 bps. The 10 - year and 30 - year Treasury yields changed by - 1.3 and +1 bps to 1.77% and 2.03% respectively. The 1 - year Treasury yield rose 3 bps to 1.39%. The 10 - year yield of policy - bank bonds remained stable at 1.87% [3][12][15]. - Credit - bond market: On the implied AA+ urban investment bond curve, the 1 - year, 3 - year, and 5 - year yields declined by 2, 1, and 5 bps respectively [15]. Bond Market Primary Issuance - Local government bonds: This week, 934 billion yuan was issued, with a net issuance of - 30 billion yuan, including 0 billion yuan of new general bonds, 178 billion yuan of new special bonds (162 billion yuan of special special bonds), 756 billion yuan of ordinary refinancing bonds, and 0 billion yuan of special refinancing bonds [20]. - Treasury bonds: This week, 3491 billion yuan was issued, with a net issuance of 2890 billion yuan, including 820 billion yuan of special Treasury bonds [20]. - Policy - bank bonds: This week, 1205 billion yuan was issued, with a net issuance of 805 billion yuan [20]. Money Market - At the beginning of the month, the central bank routinely withdrew the funds injected across months, but the money - market rates remained low. The overnight rates quickly recovered to pre - cross - month levels on the first day of the month, with R001 and DR001 down 6 and 2 bps respectively to 1.36% and 1.31%. The 7 - day money - market rates showed a similar trend, with R007 and DR007 falling on the first day of the month and then fluctuating around 1.46% and 1.44% [26]. - Most inter - bank certificate of deposit yields rose this week, except for the 1 - month AAA inter - bank certificate of deposit yield, which declined by 0.9 bps to 1.45%. The weighted issuance term extended to 6.1 months [29]. Macro - environment Tracking and Outlook - The US dollar index has been below 100 in the past week, and the offshore RMB has continued to appreciate. The central bank may maintain a loose stance in the second half of the year under the "moderately loose" monetary - policy tone [34]. - This week, the central bank net withdrew 1.2 trillion yuan, including 1.2 trillion yuan from reverse repurchases and 0 trillion yuan from outright reverse repurchases. The net payment of government bonds was 0.1 trillion yuan [34]. - The CPI in July had a 0% year - on - year increase, higher than the expected - 0.1%, while the PPI remained at - 3.6% year - on - year, indicating that price recovery still faces significant pressure. The July social - financing data may not be optimistic [35]. - Given that the Fed is likely to restart rate cuts in September, the expectation of double cuts (interest - rate and reserve - requirement ratio cuts) may rise in mid - to - late August [35]. - In the second half of the year, the bond market may experience a strong downward trend from August to September. The 30 - year bond, which has performed weakly recently, may have high cost - effectiveness [35].