债券周报 20251116：如何理解央行的利率比价？-20251116

1. Report's Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The central bank focuses on maintaining a reasonable interest rate ratio to prevent financial risks and improve the interest rate transmission system. Four groups of interest rate ratios are analyzed to guide bond market investors [2][12][14]. - In the bond market strategy, it is advisable to continue to explore alpha opportunities and wait for the year - end front - running market. Although year - end front - running by funds may weaken, institutions such as banks, insurance, and wealth management still have bond allocation needs [4][5]. - The bond market lacked a trading theme in the review period, with its trend following the stock market and yields fluctuating slightly around 1.8% [10]. 3. Summary by Relevant Catalogs 3.1 How to Understand the Central Bank's Interest Rate Ratio? 3.1.1 Why Does the Central Bank Focus on a Reasonable Interest Rate Ratio? - Low - interest environments can lead to "involution" in the financial industry, and an imbalanced interest rate ratio may trigger financial risks. For example, in early 2025, the bond market's over - anticipation of policy rate cuts led to an imbalance between the 10 - year Treasury yield and financial institutions' liability costs [12][13][14]. - A reasonable interest rate ratio is crucial for improving the central bank's interest rate transmission system. Since 2024, the central bank has reformed its monetary policy framework, emphasizing the importance of interest rate ratio in policy transmission and correcting banks' irrational competition [14]. 3.1.2 Clarifying Four Groups of Interest Rate Ratios - Central Bank Policy Rates and Market Rates: Policy rates are transmitted to money, bond, and loan markets. Since 2024, the central bank has strengthened its control over the money market, with DR001 fluctuating around the policy rate and DR007 about 10bp higher. The 10 - year Treasury yield is expected to range from OMO + 40bp to OMO + 70bp [15][17][20]. - Commercial Banks' Asset and Liability Interest Rates: The central bank emphasizes the balance between banks' liability costs and asset yields. From the end of 2022 to June 2025, deposit rates decreased less than loan rates, causing net interest margin compression. Maintaining a stable net interest margin can expand the central bank's counter - cyclical adjustment space [25][26]. - Different Types of Asset Yields: In asset allocation, funds flow to higher - return assets. The central bank prohibits loans with after - tax rates lower than those of Treasury bonds of the same term. Banks also consider tax and capital occupation when comparing assets [32]. - Bond Asset Interest Rates of Different Terms and Risks: Term spreads and credit spreads are important indicators for measuring the effectiveness of the bond market pricing mechanism. The central bank may focus on these spreads when managing market interest rates [40]. 3.2 Bond Market Strategy: Continue to Explore Alpha in the Short Term and Wait for the Year - End Front - Running Market 3.2.1 How to View the Year - End Institutional Allocation Market? - Banks: With less bond supply at the year - end, weakening credit demand, and limited pressure to realize floating profits, banks may still have an active demand for bond allocation. In 2025, bank bond - holding growth has rebounded, and some banks may have a need to replenish their bond portfolios [44]. - Insurance: After the reduction of the预定 interest rate in Q3 2025, insurance premium growth has recovered. Although equity market prosperity has affected bond allocation, long - term bonds are still attractive, and insurance may still have bond - buying demand at the year - end [54]. - Wealth Management: "Deposit migration" supports the scale of wealth management products. The scale of bank wealth management has increased, and the bond - buying intensity has also risen, which is conducive to the year - end front - running market [60]. - Funds: Based on the expectation of monetary easing, funds still have a tendency to front - run at the year - end, but the intensity may weaken due to limited expectations of interest rate cuts [4][5]. 3.2.2 Strategy: Continue to Explore Alpha in the Short Term and Wait for the Year - End Front - Running Market - Before the implementation of the new fund sales regulations, the 10 - year Treasury yield may fluctuate around 1.8%. After the regulations are implemented, the year - end allocation market may drive the yield down slightly [67]. - The 10 - year Treasury is in a volatile market, and the alpha exploration strategy is in its second half. Currently, 3 - 5 - year policy - financial bonds still have room for spread exploration, while the exploration space for 8 - 10 - year local bonds is limited. Attention can be paid to 7 - year China Development Bank bonds and long - term bonds after the supply peak in November [69][72]. 3.3 Interest Rate Bond Market Review: The Bond Market Lacks a Trading Theme and Fluctuates Slightly with the Stock Market - Overall Market Performance: In the second week of November, the bond market lacked a trading theme, with its trend following the stock market. The yield of the 10 - year Treasury fluctuated around 1.8%, with a daily fluctuation of less than 1BP [10]. - Funding Situation: The central bank conducted large - scale net OMO injections, and the funding situation remained balanced. The weighted average prices of DR001 and DR007 increased, and the issuance price of 1 - year inter - bank certificates of deposit also rose [11]. - Primary Market Issuance: The net financing of Treasury bonds and local bonds increased, while that of policy - financial bonds and inter - bank certificates of deposit decreased [85][87][88]. - Benchmark Changes: The term spreads of Treasury bonds and China Development Bank bonds both narrowed. The short - end yields of Treasury bonds increased slightly, while the long - end yields decreased slightly. The long - end performance of both Treasury bonds and China Development Bank bonds was better than the short - end [83].