3年期国债收益率走势图 郭晨凯 制图 ◎记者 张欣然 可现实却给他上了一课。年初以来，面对利好消息，短债的价格几乎"纹丝不动"；反而每次遇到利空， 短债的反应却比长期债还要剧烈。短债从"低波稳健"的防御角色，变成了"易伤易动"的高波动品种。 曾被视为"稳健配置"的短久期债券，如今在资金面持续紧平衡与交易情绪波动的夹击下，正让债基经理 们频频"失守"。 短债市场的这一轮调整，不仅打破了过往对其"低风险"资产的固有印象，也给市场参与者敲响了警钟。 在流动性预期尚不明朗的背景下，防御型投资策略也需动态调整，谨慎应对。 短债交易竟成"伤" 春节过后，股市热情高涨，投资者风险偏好明显回升。面对"风往股市吹"的行情，不少债券基金经理开 始感受到来自市场的压力。 在这样的背景下，某公募债券基金经理本想选择一条稳健的道路，即压缩组合久期、增配短期债券和同 业存单——这些通常被视为在收益率上行时较为抗跌的"防御型资产"。"按理说，短债抗跌，风险低， 我只是想在市场不确定的时候守住阵地。"该基金经理说。 按照债券的基本投资逻辑，收益率上行时，债券价格会下跌。而短久期债券由于"存活"时间短，收益率 变动带来的影响相对较小，跌幅也应 ...

Core Insights - The recent upward trend in Japanese government bond yields is attributed to a steepening yield curve and widening term spreads, with the 30Y yield reaching 3.06% as of May 22, marking a historical high [1][12] - The Japanese economy is emerging from a prolonged deflationary period, with CPI and core CPI recorded at 3.6% and 3.5% respectively in April 2025, exceeding the Bank of Japan's inflation target for over two years [2][16] - The proportion of Japanese government bonds held by the Bank of Japan has slightly decreased, with the central bank holding 557 trillion yen as of March 2025, down 4.6% from November 2023 [3][28] Group 1: Japanese Bond Market Dynamics - The yield curve for Japanese government bonds has steepened, with the 10s30s spread increasing to 167 basis points, driven by comments from Prime Minister Kishida and disappointing bond auction results [1][12][13] - The Bank of Japan's monetary policy is transitioning from negative to positive rates, with expectations of gradual interest rate hikes beginning in 2024 [2][21] - The Japanese government debt-to-GDP ratio has risen significantly, reaching 260% by 2025, raising concerns about long-term economic implications [4][25][26] Group 2: Impact on Asset Classes - The rising yields on Japanese bonds are expected to increase the financial burden on the Japanese government, potentially leading to higher interest payments [5][36] - The narrowing of the Japan-U.S. interest rate differential may lead to a depreciation of the dollar and an appreciation of non-U.S. currencies, impacting global capital flows [5][36] - The outlook for equities suggests that both Japanese and U.S. stocks may face short-term pressure, while the impact on Hong Kong and A-shares is expected to be more indirect [5][36]

丨证券研究报告丨 research.95579.com 1 丨证券研究报告丨 固定收益丨点评报告 [Table_Title] 难有趋势行情，关注曲线交易机会 报告要点 [Table_Summary] 2021 年以来债市延续的"资产荒"的逻辑在今年并不适用，债市整体呈现"负债荒"，负债缺 口和负债结构是今年债市交易的主线，当前市场缺少负债稳定的配置盘力量。债市难以趋势性 上行，在基本面稳定但仍有潜在不确定性的情况下，持续的负 carry 才能推动长端利率趋势性 回调，而二季度资金价格收紧概率不高。但债市近期缺乏赔率，模型显示 10bp 的正 carry 可拉 动银行间债市杠杆率抬升 0.1-0.2 个百分点左右。建议 10 年期国债收益率在 1.65%以上、30 年国债收益率在 1.9%以上逢调配置，负债稳定的机构可适当关注 3 年以上信用债票息机会。 分析师及联系人 [Table_Author] 赵增辉 SAC：S0490524080003 SFC：BVN394 请阅读最后评级说明和重要声明 %% %% %% %% cjzqdt11111 2025-05-22 固定收益丨点评报告 [Table_Title2 ...

20 May 2025 | 3:52PM EDT Global Market Views: Smaller Tails Widen Some Paths, Narrow Others 1. Some paths widen, some narrow. Equity markets have relaxed over the past month following a succession of positive trade-related developments between the 90-day pause on reciprocal tariffs and the recent tariff reduction with respect to China. Tariff rates are now lower, but not low, and the same can be said about recession risks in the US. The lowering of trade tensions means that even if hard data 'catch down' to ...

V i e w p o i n t | 15 May 2025 18:25:24 ET │ 22 pages Global Macro Strategy - Views and Trade Ideas Answering Questions Now CITI'S TAKE On Monday, our attitude to the tariff news was "trade first, ask questions later" when it came to our portfolio. The left tail of US growth risks has been trimmed, so we paid US rates and reduced USD shorts. Now it's time to answer those questions. Markets feel stuck in an information gap, waiting for flows, fiscal, and trade updates. Trade War Subplots — Recent developmen ...

Group 1: Report Information - Report Title: "TS Contract: Can It Still Be Used for Cash-and-Carry Arbitrage? - Interest Rate Weekly (Week 3 of May)" [1] - Report Date: May 19, 2025 [2] - Chief Analyst: Yan Ziqi, with a practice certificate number of S0010522030002 [2] - Research Assistant: Hong Ziyan, with a practice certificate number of S0010123060036 [2] Group 2: Industry Investment Rating - No industry investment rating is provided in the report. Group 3: Core Views - Since the implementation of reciprocal tariffs on April 3, the bond market's maturity yields have first decreased and then increased. Among treasury bond futures, the TL contract has been strong, while the TS/TF/T main contracts have declined [2]. - The weak performance of the TS contract is due to the previous large premium and the change in the expectation of loose monetary policy. The market's expectation of loose monetary policy changed significantly in Q1, and there are differences in the short - term expectation of loose monetary policy after the double - cut in May. The yield curve has flattened instead of steepening as expected [3]. - As of May 16, the basis of the TS main contract is - 0.07 yuan, and the IRR is 1.79%. The basis has significantly converged, and the IRR is close to the capital interest rate, so the cost - effectiveness of cash - and - carry arbitrage is insufficient [4]. - In the short term, the TS contract may still be in a premium state because of the continuous negative carry. The inversion between R001 and the 2 - year treasury bond maturity yield has decreased from about 60bp at the beginning of the year to 15bp on May 16, and the negative carry phenomenon of some varieties will continue [4]. - Considering that the tight capital situation in Q1 will not repeat, the short - term interest rate has a ceiling and the probability of a sharp decline is low. With the significant convergence of the basis, one can consider participating in the possible rise of the TS contract [4]. Group 4: Analyst and Research Assistant Introduction - Analyst Yan Ziqi is the assistant director of the Research Institute of Hua'an Securities and the chief analyst of fixed income. He has 8 years of experience in sell - side fixed income and equity research, and has won the second place in the 2024 Wind Gold Analyst and the best analyst in the 2023 Choice fixed income industry [12]. - Research Assistant Hong Ziyan is a master of financial engineering from the University of Southern California, covering macro - interest rates, institutional behavior, and treasury bond futures research [12].

Core Viewpoint - GAMCO Natural Resources, Gold & Income Trust is exploring a tax benefit preservation plan to protect its capital loss carryforwards, which currently exceed $74 million, from potential impairment due to ownership changes [1][2][3]. Group 1: Tax Benefit Preservation Plan - The proposed plan aims to mitigate the risk of substantial impairment to the Fund's capital loss carryforwards (CLCFs) that could arise from an "ownership change" as defined by Section 382 of the Internal Revenue Code [3]. - An "ownership change" occurs if the Fund's "5% stockholders" increase their ownership by more than 50 percentage points over a rolling three-year period, which would limit the Fund's ability to utilize its CLCFs [3]. - The plan would discourage shareholders from accumulating beneficial ownership of 4.9% or more without Board approval, thereby protecting the Fund's tax benefits [4]. Group 2: Implementation Details - If adopted, the Fund would implement the tax benefit preservation plan by issuing rights to common shareholders, which would become exercisable if certain ownership thresholds are exceeded [5]. - The final terms of the plan will be determined by the Board and announced publicly upon adoption, although there is no guarantee that the plan will be adopted or effective in preventing an ownership change [6]. Group 3: Fund Overview - GAMCO Natural Resources, Gold & Income Trust is a diversified, closed-end management investment company with total net assets of $146 million, primarily investing in equity securities of gold and natural resources companies [9]. - The Fund's primary investment objective is to provide a high level of current income, primarily through writing covered call options on its portfolio securities [9].

Group 1: Report Industry Investment Rating - No relevant content found Group 2: Core Viewpoints of the Report - The bond market has been in a sideways trend for two weeks, and there are three reasons why interest rates cannot decline: the central bank's restrained use of monetary policy, the short - end's inability to decline restricting the long - end's decline, and the lingering concern of negative Carry [2][3][10] - After the Politburo meeting, the trading directions include grasping the central bank's operations and double - cut expectations, considering the impact of external shocks on fundamental pricing, and making appropriate strategy and position selections [14] - The bond market is about to confirm the economic fundamentals in April. Holding bonds during holidays may be a better strategy. In May, the peak of fiscal supply and loose monetary policy may lower the capital interest rate center. One can also take advantage of the widening spread between 30Y - 10Y bonds and extend the duration [15] Group 3: Summary by Related Catalogs Reasons for the bond market's sideways trend and non - decline of interest rates - The central bank's restrained use of monetary policy suppresses the downward imagination space of short - term bonds. In the TS2506 futures contract, there are two stages: in the first stage, the expectation of loose money led to the steepening of the contract and a high IRR; in the second stage, the positive arbitrage strategy value emerged, and the short - end interest rate was difficult to decline under the influence of capital interest rates and central bank operations [3][5] - The short - end's inability to decline restricts the long - end's decline. The current yield curve is extremely flat, with the 10Y - 1Y term spread approaching the lowest level in nearly 3 years at 21bp [7][9] - Negative Carry is still a concern but has been significantly alleviated. Although it is not the main contradiction currently, it may intensify if the bond market continues to move sideways [10] Trading directions after the Politburo meeting - Grasp the central bank's operations and double - cut expectations. Considering factors such as the fiscal supply peak in May - June, the impact of tariffs on the economy in the second quarter, and the low leverage ratio in the bond market, one can take advantage of the central bank's care for liquidity to bet on the downward opportunity of the yield curve [14] - Consider the impact of external shocks on fundamental pricing. Given the uncertainty of trade frictions, holding bonds during holidays may be a better strategy, and the impact of fundamentals on interest rate increases is relatively limited [14] - Make appropriate strategy and position selections. After the tax - payment peak in April, the capital market is expected to be balanced and loose in May - June. One can extend the duration by taking advantage of the widening spread between 30Y - 10Y bonds and wait for the interest rate to decline [14]

二是10年国债收益率对于此前过度透支的涨幅已经有了较大程度的修正。 去年12月中央政治局会议前首次 提出"加强超常规逆周期调节"前，十年国债收益率在1.95%；政治局会议后、中央经济工作会议提出"实施 适度宽松的货币政策"前，十年国债收益率在1.85%。本次调整中，10年国债收益率最高至1.9%，已经回到 了中央经济工作会议之前的位置，此前过度透支的涨幅得到了较大程度的修正。 一是市场前期对降准降息的预期过于强烈导致前期涨幅透支太多。 2024年12月9日中央政治局会议首次提 出"加强超常规逆周期调节"，2024年12月11-12日召开的中央经济工作会议明确提出"实施适度宽松的货币 政策，适时降准降息"，这是自2010年以后我国就货币政策取向的表述首次从"稳健的货币政策"转向"适度 宽松的货币政策"。市场将此理解为强烈的宽松信号，同时基于年底对次一年行情的抢跑配置，降准降息还 没落地，10年国债收益率就从1.95%快速下行，短短2个月时间，最低至1.5958%，下行35BP，有较大幅度 的透支。 二是春节后资金并未如期转松。 央行在"稳汇率、防资金空转、关注长端利率风险"等多重诉求下，市场对 货币大幅宽松的预 ...