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固定收益周报:债券增值税新政落地:防御为先,把握结构性机会-20250805
Shanghai Aijian Securities· 2025-08-05 08:07
1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - From July 28 to August 1, treasury bond yields first rose and then fell due to multiple factors, with the yield curve showing a flattening trend. The resumption of VAT on bonds has a limited negative impact on the bond market, and credit bonds may see value re - evaluation opportunities. The tax advantage of public funds over bank self - operations is further enhanced, which may drive the outsourcing demand of bank self - operations. Next week, fund rates are expected to remain stable, while the supply pressure of treasury bonds will increase. The current bond market strategy suggests maintaining a defensive stance and seizing structural opportunities [2][3][7]. 3. Summary According to the Directory 3.1 Bond Market Weekly Review - From July 28 to August 1, treasury bond yields first rose and then fell. The fund - side was first loose and then tight, remaining generally loose. Important policy events were successively implemented, and the manufacturing PMI in July fell below the boom - bust line. Overall, yields of treasury bonds across various maturities generally declined. For example, the yields of 1 - year, 10 - year, and 30 - year treasury bonds decreased by 1.01BP, 2.65BP, and 2.35BP respectively, and the yield curve showed a flattening trend [2][12]. 3.2 Bond Market Data Tracking 3.2.1 Fund - side - From July 28 to August 1, the central bank's open - market operations had a net injection of 69.00 billion yuan. The central bank conducted 16,632.00 billion yuan of open - market reverse repurchases, with 16,563.00 billion yuan maturing. The fund - side was stable across the month, and the fund rate center declined. The differences in fund costs between non - bank institutions and banks increased, and the term spread of FR007S5Y - FR007S1Y converged [23][24]. 3.2.2 Supply - side - From July 28 to August 1, the total issuance of interest - rate bonds decreased, while the net financing increased. The issuance of government bonds decreased, and the issuance scale of inter - bank certificates of deposit also decreased. The net financing of treasury bonds increased, while that of local government bonds decreased [41][44]. 3.3 Next Week's Outlook and Strategy 3.3.1 Impact of Resuming VAT on the Bond Market - Starting from August 8, 2025, VAT will be resumed on the interest income of newly issued treasury bonds, local government bonds, and financial bonds. This has a limited negative impact on the bond market, and credit bonds may see value re - evaluation opportunities. The tax advantage of public funds over bank self - operations is further enhanced. The market impact after the implementation of the new policy needs to closely track the primary - market issuance [3][52]. 3.3.2 Next Week's Outlook - After crossing the month, fund rates are expected to remain stable. Next week, the planned issuance of treasury bonds is 4130.00 billion yuan, significantly higher than this week, and the supply pressure will increase [59][60]. 3.3.3 Bond Market Strategy - For interest - rate bonds, 10 - year treasury bonds above 1.70% have allocation value, with 1.80% regarded as the upper - limit pressure. For credit bonds, seize the value re - evaluation opportunities brought by the resumption of VAT on interest - rate bonds. In the convertible bond market, focus on equity - balanced varieties. This week, pay attention to the primary - market issuance results of local government bonds on August 8, the central bank's liquidity injection through various tools in July, and inflation data [7][61]. 3.4 Global Major Assets - As of August 1, 2025, yields of US treasury bonds generally declined, and the term spread widened. The US dollar index rose, and the central parity rate of the US dollar against the RMB increased slightly. Gold and crude oil prices rose, while silver prices fell [63][68].
每日债市速递 | 央行公布7月各项工具流动性投放情况
Wind万得· 2025-08-04 22:33
Group 1: Open Market Operations - The central bank conducted a 7-day reverse repurchase operation on August 4, with a fixed rate and quantity tendering, amounting to 544.8 billion yuan at an interest rate of 1.40%, with the same amount being the winning bid [1] - On the same day, 495.8 billion yuan of reverse repos matured, resulting in a net injection of 49 billion yuan [1] Group 2: Funding Conditions - The central bank's open market has shifted to net injection, leading to a stable yet slightly loose funding environment in the interbank market, with the overnight repo weighted average rate (DR001) slightly rising to around 1.31% [3] - The latest overnight financing rate in the U.S. stands at 4.39% [3] Group 3: Interbank Certificates of Deposit - The latest transaction rate for one-year interbank certificates of deposit among major banks is at 1.63%, showing a slight decrease from the previous day [7] Group 4: Bond Market Overview - The yields on major interbank bonds are as follows: - 1Y government bond yield at 1.3675% - 2Y at 1.4200% - 3Y at 1.4450% - 5Y at 1.5700% - 7Y at 1.6475% - 10Y at 1.7075% - Long-term bonds at 1.9190% [10] Group 5: Recent City Investment Bonds - The recent trends and data on AAA-rated city investment bonds show various yield spreads, indicating market conditions and investor sentiment [12] Group 6: Upcoming Bond Issuances - The Ministry of Finance plans to issue 60 billion yuan of 182-day discount treasury bonds on August 11 [21] - The China Development Bank will issue up to 34 billion yuan of three fixed-rate bonds on August 5 [21] - Ant Financial is starting the subscription for a 20 billion yuan, 3-year financial bond, with a subscription range of 1.7%-2.4% [21]
银河基金魏璇:多空博弈,2025债市波动加剧
Sou Hu Cai Jing· 2025-08-04 13:35
风险提示:投资有风险,投资需谨慎。 来源:金融界 在2025年市场步入下半场之际,投资风向的演变成为各界瞩目的焦点。债市,作为金融市场的重要组成 部分,其动态牵动着众多投资者的心弦。在银河基金中期策略中,基金经理魏璇对2025年以来债市的深 入剖析,她表示,2025年宏观环境纷繁复杂,债市波动性显著加大,据Wind数据统计显示,国债利率 总体上行。 魏璇分析,第一阶段是2025年开年到3月17日,据Wind数据显示,10年国债利率震荡上行28.8bp至 1.90%,其中2月开始上行节奏加快。具体来看,1月利率先上后下,曲线走平。元旦之后债市情绪延 续,但随后央行提及防范资金空转的风险、以及更加关注长期限国债收益率的变化,通过公开市场操作 (OMO)连续净回笼等方式,对资金面进行了调节之后央行宣布暂停国债买卖,这一系列动作使得货 币政策边际收敛的情绪发酵,从而推动国债利率上行。不过1月下旬利率也短暂回落了一段时间,主因 在于特朗普就职美国总统后,触发了市场避险情绪,叠加春节前资金转松、市场降准降息的宽松预期所 致等。2月到3月中旬利率加速上行,曲线走陡。根据Wind中债10年国债收益率看,2.05-3.17期间 ...
一周流动性观察 | 逆回购到期量仍处高位 关注DR001能否突破1.3%下限
Xin Hua Cai Jing· 2025-08-04 07:02
另一方面,市场宽货币预期较为稳固。7月30日召开的中央政治局会议定调"货币政策要保持流动性充 裕"。8月1日央行召开的2025年下半年工作会议中进一步明确了,要继续实施好适度宽松的货币政策, 市场或不再担忧资金利率出现类似1-3月的收紧。 新华财经北京8月4日电 人民银行4日开展5448亿元7天期逆回购操作,操作利率为1.40%,与此前持平; 鉴于当日有4958亿元逆回购到期,公开市场实现净投放490亿元。 上周(7月28日-8月1日)央行公开市场净投放流动性69亿元。上半周央行逆回购持续净投放,资金面逐 步转松,周四跨月当日逆回购小幅净回笼,但对资金面冲击有限,DR001小幅上升至1.40%,创去年12 月以来跨月新低,周五央行逆回购净回笼规模达到6633亿元,资金利率仍迅速回落。 跨月当日,央行"超预期"缩量续做,资金面依然维持均衡,隔夜资金价格虽有抬升,但幅度弱于季节 性,R001单日上行20BP至1.56%,增幅为历史同期低位;R007则继续下行3BP至1.58%。进入8月,资金 面转松,隔夜利率迅速回落,R001、DR001分别收至1.35%、1.31%,7天资金利率也下行至1.40%水 平,R00 ...
民生证券:综合看8月资金面不具备收紧的基础
Sou Hu Cai Jing· 2025-08-04 00:05
Core Viewpoint - The central bank's attitude towards the funding environment remains unchanged, indicating that there is no basis for tightening the funding situation in August [1] Group 1: Funding Situation - It is expected that the net financing of government bonds in August will be between 1.17 trillion and 1.39 trillion yuan, which is close to July's figures [1] - Starting in August, the maturity and operation timing of the Medium-term Lending Facility (MLF) will align, both occurring on the 25th of each month [1] - The combined maturity of MLF and reverse repos in August is 1.2 trillion yuan, which is lower than July's 1.5 trillion yuan [1] Group 2: Market Outlook - Since May, the combined net injection from MLF and reverse repos has been positive, suggesting that there is no need for excessive concern regarding the funding environment [1]
每日债市速递 | 买国债的利息免税标准调整
Wind万得· 2025-08-03 22:31
1. 公开市场操作 央行公告称,8月1日以固定利率、数量招标方式开展了1260亿元7天期逆回购操作,操作利率1.40%,投标量1260亿元,中标量1260亿元。Wind数据显 示,当日7893亿元逆回购到期,据此计算,单日净回笼6633亿元。当周净投放69亿元。 8月4日至8日一周,央行公开市场将有16632亿元逆回购到期,其中周一至周五分别到期4958亿元、4492亿元、3090亿元、2832亿元、1260亿元。 (*数据来源:Wind-央行动态PBOC) 2. 资金面 跨月后尽管央行公开市场大额净回笼,银行间市场周五资金面依旧充裕。存款类机构隔夜回购加权利率(DR001)下行超8个bp,重回1.31%附近,7天期 则下滑13个bp。 海外方面,最新美国隔夜融资担保利率为 4.32% 。 (IMM) // 债市综述 // 3. 同业存单 全国和主要股份制银行一年期同业存单最新成交在1.635%位置,较上日微降。 (*数据来源:Wind-同业存单-发行结果) 4. 银行间主要利率债收益率涨跌不一。 (*数据来源:Wind-国际货币资金情绪指数、资金综合屏) | (*数据来源:Wind-成交统计BMW) | | ...
固定收益策略报告:税负调整会打断债市修复吗?-20250803
SINOLINK SECURITIES· 2025-08-03 14:06
Group 1 - The report indicates that despite multiple events intertwining, the bond market sentiment has shown signs of recovery amidst volatility, with a focus returning to fundamentals and liquidity after a period of policy uncertainty [2][12][22] - The recent tax adjustment on interest income from newly issued government bonds is expected to lead to a one-time and structural price reassessment rather than a trend change, with potential central bank support to smooth the market response [3][11][21] - The report identifies four relatively certain impacts of the tax adjustment, including an estimated widening of the new and old bond yield spread by 6-11 basis points, benefits for certain bond types, enhanced advantages for asset management products, and increased attractiveness of credit assets for banks [3][8][9] Group 2 - The report suggests that the current recovery in bond market sentiment may have continuity, particularly as three core variables show marginal changes, including an increasing probability of a peak in social financing growth and signs of economic pressure in the second half of the year [4][15][18] - The basic economic indicators have begun to reflect a scenario of marginal pressure, with PMI data showing declines in production and demand orders, supporting the view of weakening economic momentum [15][22] - The likelihood of a significant tightening of liquidity is low, as the central bank is expected to maintain a supportive stance in light of the economic conditions, potentially leading to a continuation of a relatively loose liquidity environment [5][18][22]
流动性跟踪:月初资金季节性转松或占主导
Tianfeng Securities· 2025-08-03 12:13
Group 1: Report Core View - This week, the pressure on the capital market eased, with the central bank increasing support and the government bond issuance scale declining. The capital supply - demand pattern improved, and interest rates dropped. In August, liquidity will be "precisely regulated", with potential disturbances from large - scale certificate of deposit maturities, accelerated government bond issuance, and significant long - and medium - term liquidity maturities [1][22] - Looking at specific time points, disturbances may intensify around the tax payment period in the first and middle of August. Next week, the large - scale expiration of open - market operations is a concern, but the seasonal loosening at the beginning of the month may mitigate the pressure [2] Group 2: Market Data Summary Open Market - From July 28 to August 1, the net open - market injection was 69 billion yuan, a decrease from the previous week. From August 4 to August 8, the open - market operations due to expire amount to 166.32 billion yuan [3] Government Bonds - This week, the net government bond payment was 287.6 billion yuan. Next week, the planned government bond issuance is 578.5 billion yuan, with net payments of 339 billion yuan [37] Money Market - As of August 1, compared with July 25, various capital interest rates declined. The average daily trading volume of inter - bank pledged repurchase was 6716.6 billion yuan, a decrease of 982 billion yuan from July 21 - 25. The net capital outflow of the banking system averaged 3.02 trillion yuan, a decrease of 156.5 billion yuan from last week [5] Inter - bank Certificates of Deposit - From July 28 to August 1, the total issuance of inter - bank certificates of deposit was 386.7 billion yuan, with a net financing of - 16.2 billion yuan. Next week, the maturity scale is 583.8 billion yuan, an increase of 180.9 billion yuan from this week [5][81]
流动性和机构行为跟踪:央行呵护跨月资金,票据再创年内新低
GOLDEN SUN SECURITIES· 2025-08-03 03:29
Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - The central bank protected the cross - month liquidity. Capital prices declined, and bill rates hit a new low for the year. The central bank conducted net open - market operations to inject funds during the cross - month period and then shifted to net withdrawal after the cross - month period [1]. - Certificate of deposit (CD) yields decreased, and the government bond yield curve shifted downward. CD net financing rebounded, with large - bank CD issuance rates rising and the average issuance term shortening [2]. - Next week, the net issuance of government bonds will decrease, while the net payment amount will increase. Inter - bank repurchase trading volume and leverage ratio declined before the cross - month period and rebounded after it [3]. 3. Summary by Directory 3.1 Capital Market - **Capital Prices**: R001 closed at 1.35% (previous 1.55%), DR001 at 1.31% (previous 1.52%), R007 at 1.49% (previous 1.69%), and DR007 at 1.42% (previous 1.65%). The 6M national - share bank bill transfer and discount rate closed at 0.79% (previous 0.72%), hitting a new low of 0.40% for the year during the week [1]. - **Central Bank Operations**: The central bank's reverse repurchase injection was 1663.2 billion yuan, with 1656.3 billion yuan maturing, resulting in a net injection of 6.9 billion yuan. There was also 1.2 trillion yuan of buy - out reverse repurchase maturing this week [1]. 3.2 Inter - bank Certificates of Deposit - **Yield and Net Financing**: CD yields decreased. The 3M, 6M, and 1Y yields decreased by 4.44bp, 5.13bp, and 4.00bp respectively. CD net financing was 10 billion yuan (previous - 559.8 billion yuan) [2]. - **Issuance Rate and Term**: The 1Y CD issuance rates of state - owned banks, joint - stock banks, city commercial banks, and rural commercial banks were 1.63%, 1.63%, 1.70%, and 1.75% respectively, with changes of + 0.35bp, - 4.30bp, + 0.84bp, and + 6.67bp compared to the previous period. The weighted average issuance term was 5.9M (previous 7.3M) [2]. 3.3 Government Bonds - **This Week**: National debt net issuance was 160.2 billion yuan, and local government bond net issuance was 243.1 billion yuan, with a total net issuance of 403.3 billion yuan and a total net payment of 294.7 billion yuan [3]. - **Next Week**: It is expected that national debt net issuance will be 283 billion yuan, and local government bond net issuance will be 82.8 billion yuan, with a total net issuance of 365.8 billion yuan and a total net payment of 302.2 billion yuan [3]. 3.4 Market Transactions and Leverage - **Trading Volume**: The average daily volume of pledged repurchase transactions was 6.74 trillion yuan (previous 7.70 trillion yuan) [3]. - **Leverage Ratio**: The average daily inter - bank market leverage ratio was 108.72% (previous 108.85%) [3].
流动性月报:资金会有“二次收紧”吗-20250801
SINOLINK SECURITIES· 2025-08-01 13:49
Group 1: Report Industry Investment Rating - Not mentioned in the provided content Group 2: Core Views of the Report - The capital rate in July continued to decline, and the capital market was relatively friendly. It is expected that the capital rate in August will likely maintain a stable and slightly loose pattern [2][6] Group 3: Summary of July Review - Most term capital rates declined in July. The operating centers of DR007 and DR014 decreased by 6bp and 8bp respectively, and those of R001, R007, and R014 decreased by 4bp, 10bp, and 12bp respectively. The deviation of DR007 from the policy rate also narrowed [2][12] - The number of days when DR007 dropped below "policy rate + 10bp" increased significantly in July, rising from 5% in previous months to 45% [2][13] - The central bank continued to support the capital market in July. The total capital injection through reverse repurchase, MLF, and outright reverse repurchase was 48.8 billion, with the net injection scale being the second - highest in the same period since 2018. The capital injection during the tax period was the highest in the same period since 2018, and a large - scale reverse repurchase was carried out after the unexpected tightening of capital rates on July 24 [2][14] - The rapid decline in the bill rediscount rate may indicate poor credit demand in July. Banks may use bill financing to increase credit scale, which reduces the consumption of excess reserves and benefits the capital market [3][19] - The yield of inter - bank certificates of deposit fluctuated. The R007 - DR007 spread reached a new low in the same period since 2019 [21] Group 4: Summary of August Outlook - The market's expectation for further loosening of the capital market in the future is not strong, but the capital rate in August may still maintain a stable and slightly loose pattern [4][6] - Whether the capital market will experience "secondary tightening" is crucial for the bond market. The current bond market adjustment is mainly driven by price increase expectations. If the capital follows and tightens, it will form an additional negative factor [4][32] - Historically, commodity price increases do not necessarily lead to synchronous increases in capital prices. There were cases in 2017, 2018, and 2021 where the building materials composite index rose while the capital rate remained flat or declined [4][33] - The current social financing and exchange rate situations are different from those in the first quarter. Social financing is likely to decline in the second half of the year, and the exchange rate pressure has significantly eased [5][39] - The PMI indicates that the current fundamentals are weaker than those in the first quarter. Since 2024, the capital rate has been more sensitive to fundamental changes. The recent decline in high - frequency fundamental signals suggests that there is no upward risk for the capital rate [5][43] - The net financing pressure of government bonds in August will increase slightly compared to July, but the overall liquidity gap will narrow. Assuming the central bank conducts equal - amount roll - overs of maturing monetary tools, the estimated excess reserve ratio in August will decline [44][47]