Core Viewpoint - The 20-year U.S. Treasury yield closed below the 30-year yield for the first time in nearly four years, indicating a normalization of the long end of the yield curve [1] Group 1: Yield Curve Dynamics - The long-term Treasury yields have been rising due to market expectations that the Federal Reserve will begin to cut interest rates [1] - The increase in yields is also attributed to bets that expanding fiscal deficits will lead to an increase in Treasury supply [1] Group 2: Historical Context - On Monday, the 30-year Treasury yield was slightly higher than the 20-year yield, marking the first occurrence since October 2021 [1] - In 2022, the Federal Reserve's rate hike cycle caused yields across all maturities to rise, with the 20-year yield at one point exceeding the 30-year yield by as much as 30 basis points [1]

Core Viewpoint - The recent decline in U.S. Treasury yields across various maturities is closely linked to disappointing housing market data, which has intensified expectations for a potential interest rate cut by the Federal Reserve [1][4]. Group 1: Treasury Yield Movements - All maturities of U.S. Treasury yields experienced a slight decline, with the 2-year yield dropping by 4.02 basis points to 3.7786%, the 5-year yield down by 1.59 basis points to 3.845%, the 10-year yield down by 0.59 basis points to 4.2906%, and the 30-year yield down by 0.31 basis points to 4.8311% [3]. - The difference between the 30-year and 5-year Treasury yields is approaching 100 basis points, the highest level since 2021, while the 10-year and 2-year yield spread has reached 51.2 basis points, indicating significant economic expectations [3]. Group 2: Market Expectations for Rate Cuts - The discussion around potential interest rate cuts has gained momentum following comments from Federal Reserve officials, with predictions suggesting a 25% chance of a rate cut in July and a 90% chance in September [4]. - The recent housing market data, showing a 13.7% month-over-month decline in new home sales to an annualized rate of 623,000 units, has heightened concerns about economic downturn risks, further reinforcing rate cut expectations [4]. Group 3: Future Market Dynamics - Upcoming speeches from several Federal Reserve officials are anticipated to provide new policy insights, while key economic data releases, including the first quarter GDP final value and weekly jobless claims, are expected to influence market direction [5]. - The market remains uncertain, with expectations that short-term yields may continue to decline, while long-term yields may not follow suit, suggesting a potential steepening of the yield curve [5].

Core Insights - Bloomberg is the first global index provider to include Chinese bonds in mainstream global indices, offering a unique perspective on the Chinese bond market [1] - The Bloomberg China Aggregate Index recorded a return of -0.01% in May, with a year-to-date return of 0.41% [3][5] - The Chinese government bonds and policy bank bonds index saw a return of -0.14% in May, with a year-to-date return of 0.28% in local currency [3][5] Index Performance - The China Aggregate Index (I08271CN) had a 1-day return of 0.06%, a month-to-date return of -0.01%, and a year-to-date return of 0.41% [5] - The China Treasury and Policy Banks Index (I32561CN) recorded a 1-day return of 0.10%, a month-to-date return of -0.14%, and a year-to-date return of 0.28% [5] - The China Corporate Index (I08275CN) achieved a year-to-date return of 0.76% [5] Market Trends - The Asian emerging market high-yield dollar bond index spread narrowed by nearly 130 basis points from the April peak of 5.63%, leading to a 1.42% increase in the index for May [9] - The yield curve of U.S. Treasuries is experiencing a "bull steepening," which may increase the hedging costs for RMB southbound investors in the dollar bond market [9] - Despite rising hedging costs in 2025, dollar bonds still offer a yield advantage of 44.5 basis points compared to the domestic market priced in RMB [9]

Group 1 - The CPI data is significantly better than market expectations, with both overall and core inflation unexpectedly declining [1] - Core commodity prices are weaker than anticipated, particularly in clothing, while core services also show weakness, with notable declines in rent and owner's equivalent rent [1] - This situation is likely to lead to a cautious steepening of the U.S. Treasury yield curve as investors begin to factor in more rate cut expectations [1] Group 2 - Trade policies are expected to continue pushing inflation higher, creating significant uncertainty for investors in the coming months [1] - The fixed income market is currently experiencing a brief respite due to the favorable CPI data [1]

Group 1 - US Treasury yields are rising, with the 30-year yield up 4 basis points to 4.96% and the 2-year yield steady at 4.02%, leading to a steeper yield curve [1] - The market is anticipating the US May CPI data, expected to show a year-on-year increase of 2.5%, up from a previous 4.3%, and a month-on-month increase of 0.2%, unchanged from the previous value [3] - Concerns about the impact of tariffs on consumer prices are prevalent, with inflation data potentially influencing the Federal Reserve's next steps [3] Group 2 - A $39 billion auction of 10-year Treasury bonds is scheduled, which will test investor demand amid growing concerns about the US government's fiscal situation [3] - Traders are maintaining bets on a 42 basis point rate cut by the end of the year, with policymakers adopting a "wait-and-see" approach regarding the impact of trade policies [3] - Investment managers are cautious, with some allocating around 10% of their portfolios to US Treasury Inflation-Protected Securities (TIPS) to hedge against unexpected inflation [4]

Core Viewpoint - Morgan Stanley analysts predict a steepening of the U.S. Treasury yield curve in 2025-2026, driven by a significant decline in short-term yields rather than a substantial rise in long-term yields [1][4][6] Group 1: Yield Curve Expectations - The yield curve is expected to steepen due to a downward trend in overall yields, particularly in short-term U.S. Treasury bonds [1] - Long-term yields may experience slight declines by the end of the year due to persistent high U.S. government budget deficits, while short-term yields are anticipated to decline significantly [1][4] - By the end of the year, the 10-year Treasury yield is projected to approach around 4% [4] Group 2: Inflation and Federal Reserve Policy - Morgan Stanley anticipates that inflation pressures related to tariffs will prevent the Federal Reserve from lowering interest rates in 2025, maintaining a hawkish stance [3] - The CME FedWatch Tool indicates that traders are betting on a rate cut in September and December, contrasting with Morgan Stanley's outlook [3] Group 3: Long-term Treasury Yields and Market Reactions - Long-term Treasury yields are expected to remain elevated due to expanding budget deficits, potentially leading to increased "term premiums" [6][7] - The term premium, which compensates investors for holding long-term bonds, is currently at its highest level since 2014, reflecting concerns over U.S. debt sustainability and inflation risks [7][8] - The anticipated increase in borrowing needs and government spending may exacerbate financing pressures in the market [8]

Group 1 - The 20-year U.S. Treasury yield briefly fell below the 30-year yield, nearing a four-year high, indicating a significant shift in the yield curve [1][3] - The recent trend shows an overall steepening of the U.S. Treasury yield curve, as traders demand higher returns for holding long-term bonds, making the 20-year bond more attractive [3] - Concerns over potential tax cuts and increasing deficits under Trump's policies are putting pressure on long-term Treasury bonds [3] Group 2 - Historically, the 20-year Treasury bond has been less favored by investors, trailing behind other Treasury securities since its reintroduction five years ago [3] - The U.S. Treasury has reduced the quarterly issuance of 20-year bonds from a peak of $75 billion in 2021 to $42 billion currently, aiming to rebalance supply and demand [3] - There is ongoing debate about the continuation of 20-year bond issuance, with former Treasury Secretary Mnuchin suggesting it should be halted to save taxpayer money due to its relatively high issuance costs [3][4]

Group 1: Report Industry Investment Rating - No industry investment rating information is provided in the report Group 2: Report's Core Views - The US Treasury yield curve shows a "bear steepening" trend, with the long - end in a range of 4 - 4.5% and the short - end (2 - year) likely to decline. The Fed is expected to cut interest rates 1 - 2 times in 2025 and slow down the balance - sheet reduction [1] - In the domestic equity market, the large - cap dividend stocks have seen a pull - back, and the bank - related targets are still recommended for configuration. There are high - quality non - issued pan - technology targets, and investors are advised to buy at low points [1] - The top ten convertible bonds with the greatest potential for premium - to - parity ratio repair next week are Hailiang Convertible Bond, Hexing Convertible Bond, etc. [1] Group 3: Summary by Relevant Catalogs 1. Weekly Market Review 1.1. Equity Market Overall Declined, Most Industries Rose - From May 19th to May 23rd, the equity market declined overall, with the average daily trading volume in the two markets decreasing by about 74.483 billion yuan to 1138.753 billion yuan, a week - on - week decline of 6.14% [6][9] - Among the 31 Shenwan primary industries, 19 industries rose, with beauty care, non - bank finance, etc. leading the gains, and computer, national defense and military industry, etc. leading the losses [14] 1.2. Convertible Bond Market Overall Declined, Industry Overall Declined - From May 19th to May 23rd, the CSI Convertible Bond Index fell 0.11%. Among the 29 Shenwan primary industries, 9 industries rose, with media, bank, etc. leading the gains, and communication, social services, etc. leading the losses [16] - The average daily trading volume of the convertible bond market was 63.517 billion yuan, a significant increase of 13.435 billion yuan, a week - on - week change of 26.83% [16] - About 34.17% of the convertible bond individual bonds rose, and about 24.11% of them had a gain in the range of 0 - 1% [16] 1.3. Stock - Bond Market Sentiment Comparison - From May 19th to May 23rd, the weekly weighted average and median of the convertible bond and underlying stock markets were negative, and the convertible bond market had a better trading sentiment overall [33] - On different trading days, the trading sentiment of the stock and bond markets varied. For example, on Monday and Tuesday, the stock market had better trading sentiment, while on Wednesday, Thursday, and Friday, the convertible bond market had better trading sentiment [35] 2. Future Outlook and Investment Strategy - The long - end of the US Treasury yield is expected to be in a range - bound oscillation, and the short - end is likely to decline. The duration strategy is recommended to be short [1][37][38] - In the domestic market, continue to recommend the configuration of bank - related targets and the purchase of non - issued pan - technology targets at low points [1][38] - The top ten convertible bonds with the greatest potential for premium - to - parity ratio repair next week are recommended [1][39]

Group 1 - The global bond market is experiencing volatility following Moody's downgrade of the US sovereign credit rating, with investors anxious about the upcoming $16 billion 20-year Treasury auction [1][3] - The 20-year and 30-year Treasury yields are nearing 5%, making the auction results a significant indicator of long-term Treasury demand [3] - Concerns over US government debt and rising deficits are leading traders to bet on soaring long-term Treasury yields, exacerbated by the Trump tax cuts [4] Group 2 - The 10-year Treasury yield briefly surpassed 4.5%, with a subsequent increase to 4.489%, while the 30-year yield approached 5%, marking a new high since November 2023 [3][4] - If the 10-year yield exceeds 4.5%, it may exert pressure on the stock market, as historical data shows that yields above this level often correlate with declines in the S&P 500 [5] - The forward P/E ratio of the S&P 500 is currently at 21.7, significantly higher than the long-term average of 15.8, indicating potential valuation pressures if yields continue to rise [5]

发布时间：2025-05-13 研究所 分析师:李起 SAC 登记编号:S1340524110001 Email:liqi2@cnpsec.com 研究助理:高晓洁 SAC 登记编号:S1340124020001 Email:gaoxiaojie@cnpsec.com 近期研究报告 《海外宏观周报：市场静待贸易靴子 落地》 - 2025.05.12 宏观观点 大方向依然是走弱 l 核心观点 在 5 月 12 日的中美经贸联合声明中，美国将取消和暂停对我国 部分关税，总体将对我国关税税率降至 30%左右。但我们认为此举对 于美国经济的提振有限，回到"解放日"之前的水平和状态可能性较 低。 首先是声明公布后进一步走高的政策不确定性指数。在"解放日" 后，关税大幅抬高，但真正直接作用于美国经济和实体预期的是政策 的不确定性。各项调查等软数据均显示了不确定性对居民和企业部门 消费、投资决策的负面影响。5 月 12 日，尽管中美关系出现了阶段性 缓和，但政策不确定性指数再创新高，这一影响渠道依然在起作用。 其次是特朗普可能出现的"朝令夕改"。这在上一次贸易战中已 经体现的较为充分，且 24%的对等关税是暂停 90 天， ...