Report Industry Investment Rating - Not provided Core Viewpoints - Short - term bond market is under pressure. If 1.8% is verified as the top level of 10 - year treasury bonds, the bond - bull logic can be maintained. In the medium term, the recovery of risk preference is reflected in the term spread premium, which may reach 50 - 60BP. In September 2025, the bond market may experience a weak recovery [3][9]. - After the stock - bond market desensitizes, the bond market has not recovered. The uncertainty of the public fund liability side still exists, and the bond market is still hovering between adjustment and recovery [3][10]. - After the long - term yield reaches a new high, the sensitivity to fundamental and liquidity positives will increase. The decline of government bond net financing scale will promote the return of allocation - disk power and the stabilization of the bond market [3][13]. - Liquidity is still loose. The short - term yield has slightly increased, and there is still room for a central decline if the policy rate is cut [4][15]. - The term spread has fully priced the change in risk preference. The bond's allocation value has emerged, and the probability of extreme compression of the term spread is low [4][24]. Summary by Directory 1 Bond Pricing in the "Three Spreads" - Short - and Medium - Term Market Outlook: Short - term bond market is under pressure. Verifying the top level of 10 - year treasury bonds can maintain the bond - bull logic. In the medium term, the term spread premium may reach 50 - 60BP, and the bond market in September may have a weak recovery [3][9]. - Current Bond Market Situation: After the stock - bond desensitization, the bond market sentiment has not recovered. The uncertainty of the public fund liability side exists, and the bond market is in adjustment and recovery [10]. - Long - Term Yield and Market Reaction: After the long - term yield reaches a new high, the sensitivity to positives increases. The decline of government bond net financing will promote market stabilization [13]. - Liquidity Analysis: Liquidity is loose. The short - term yield has increased slightly, and there is room for a central decline if the policy rate is cut [4][15]. - Measurement of Risk Preference Pricing: - The spread between inter - bank certificates of deposit and funds is at the upper edge of the fluctuation range [4][17]. - The spread between ultra - long - term and long - term bonds is fully priced, and the long - short spread is close to the historical center [4][19]. - The adjustment of credit spread is relatively lagged and is protected by defensive strategies and wealth - management allocation disks [22]. - Conclusion: The term spread has fully priced the change in risk preference. The bond's allocation value has emerged, and the probability of extreme compression of the term spread is low [24].
流动性周报：债券定价中的“三个利差”-20250915
China Post Securities·2025-09-15 07:05