证券研究报告 债券研究 [Table_ReportType] 专题报告 | ] [Table_A 李一爽 uthor固定收益首席分析师 | | --- | | 执业编号：S1500520050002 | | 联系电话：+86 18817583889 | | 邮 箱： liyishuang@cindasc.com | 朱金保 固定收益分析师 执业编号：S1500524080002 联系电话：+86 15850662789 联系电话：+86 15850662789 邮 箱： zhujinbao@cindasc.com 流动性收紧叠加情绪冲击 信用利差全面走高 —— 信用利差周度跟踪 20250823 [[Table_R Table_Report eportTTime ime]] 2025 年 8 月 23 日 请阅读最后一页免责声明及信息披露 http://www.cindasc.com 1 歌声ue 信达证券股份有限公司 CINDA SECURITIES CO.,LTD 北京市西城区宣武门西大街甲 127 号金隅 大厦B 座 邮编：100031 3流动性收紧叠加情绪冲击 信用利差全面走高 [Table_Repo ...

Report Summary 1. Report Industry Investment Rating No investment rating information is provided in the report. 2. Report's Core View The report updates the fundamental data of aluminum, alumina, and cast aluminum alloy, showing the price, trading volume, inventory, and other indicators of these products in the futures and spot markets, and also mentions some related news and the trend strength of these metals [1][3]. 3. Summary by Related Catalogs Futures Market - **Aluminum**: The closing price of the Shanghai Aluminum main contract was 20,770, up 85 compared to T - 5 and 835 compared to T - 66. The trading volume and open interest showed different degrees of change. LME aluminum 3M closing price was 2,603, down 21 compared to T - 1. The LME注销仓单占比 was 2.94%, down 0.03% compared to T - 1 [1]. - **Alumina**: The closing price of the Shanghai Alumina main contract was 3,205, down 35 compared to T - 1 and up 75 compared to T - 5. The trading volume and open interest also changed [1]. - **Aluminum Alloy**: The closing price of the aluminum alloy main contract was 20,165, up 25 compared to T - 1. The trading volume and open interest decreased [1]. Spot Market - **Electrolytic Aluminum**: The electrolytic aluminum enterprise profit and loss was 3,971.96, with no change compared to T - 1. The aluminum spot import profit and loss and 3M import profit and loss showed different changes. The domestic aluminum ingot social inventory was 57.10 million tons, with no change compared to T - 1 [1]. - **Alumina**: The domestic average price of alumina was 3,270, with no change compared to T - 1. The alumina prices at different ports also showed different trends [1]. - **Aluminum Bauxite**: The prices of aluminum bauxite from different sources remained stable [1]. - **Aluminum Alloy**: The ADC12 theoretical profit was - 118, with no change compared to T - 1. The prices of related products and the three - place inventory also changed [1]. - **Caustic Soda**: The price of Shaanxi ion - membrane liquid caustic soda (32% folded) was 2,710, with no change compared to T - 1 [1]. Comprehensive News - **US Treasury Bonds**: Overseas demand for US Treasury bonds was resilient in June, with the three major "creditors" (Japan, the UK, and China) all increasing their holdings. However, India and Ireland, which are in a trade dispute with the Trump administration, reduced their holdings [3]. - **US Market Liquidity**: Barclays Bank predicted that bank reserves in the US would drop sharply below $3 trillion in September, but the risk of a serious "funding crunch" was low [3]. Trend Strength The trend strength of aluminum, alumina, and aluminum alloy was all 0, indicating a neutral trend [3].

巴克莱银行预测，受美国财政部账户重建、季度缴税及债券结算影响，9月份银行准备金将急剧下降至 3万亿美元以下，流动性随之收紧。然而，发生严重"资金紧缩"的风险较低。主要得益于市场已平稳吸 收前期的国债增发，并且美联储的常备回购便利工具提供了强大的安全网，准备金总量预计将保持在充 足水平11%之上。 随着夏末的临近，一场由美国财政部、税收和债券结算共同引发的巨额流动性抽离正在逼近美国货币 市场。 巴克莱于8月14日发布的研究报告，市场将在9月份面临一场急剧的准备金消耗，尤其是在月中将出现 一个巨大的流动性冲击点。然而，该报告的核心观点是，尽管"抽水"规模庞大且迅速，但由于市场已 表现出韧性，且美联储已部署了关键的后备工具，一场系统性的融资危机得以避免的可能性很高。 "大抽水"的来源：三大因素叠加 报告详细分析了导致9月份准备金急剧下降的三个主要驱动因素。这些因素的叠加，尤其是在月中， 将构成一次严峻考验。 财政部一般账户（TGA）重建： 财政部计划将其在美联储的现金余额（TGA）恢复至8500亿美元的目标水平。这一过程本身就会从银行系 统抽走流动性。 季度税收支付： 9月15日是季度纳税截止日。巴克莱预计，仅在这 ...

Monetary Market Overview - The central bank conducted a net liquidity withdrawal of 70.5 billion CNY through OMO this week, while on Friday, it injected 200 billion CNY via MLF[3] - The average daily transaction volume of pledged repos rose by 0.45 trillion CNY to 7.70 trillion CNY, although it fell below the previous week by Friday[3] - The funding gap index dropped to -5012 on Tuesday but rebounded to -764 on Thursday, before falling again to -918 on Friday, remaining above last week's -3145[3] Bond Market Insights - The actual net payment of government bonds this week was 271 billion CNY, with cumulative new general bonds issued in 2025 reaching 517.4 billion CNY and new special bonds at 2.5944 trillion CNY[4] - The bond market experienced increased volatility, with concerns about a potential shift in monetary policy due to the central bank's actions[21] - The issuance scale of government bonds in July was 2.44 trillion CNY, with a net financing scale of 1.25 trillion CNY, which is approximately 150 billion CNY lower than expected[4] Institutional Behavior - Large banks' net financing fell below 4 trillion CNY, while the overall rigid net financing from banks reached a new low since late May[3] - Non-bank rigid financing saw a decrease followed by an increase, remaining above last week, with money market funds and other products showing an upward trend[3] - The cross-month progress in the interbank market was 19.9%, slightly below the 20-24 year average by 0.3 percentage points, but higher than the same period in 2022 and 2023[19]

Core Viewpoint - The Hong Kong dollar (HKD) has recently experienced significant fluctuations against the US dollar, triggering both the "strong-side convertibility guarantee" and the "weak-side convertibility guarantee" due to changes in liquidity and interest rates [1][2]. Group 1: Currency Exchange and Monetary Policy - On April 30, the HKD/USD exchange rate hit 7.75, activating the "strong-side convertibility guarantee" [2]. - From May 3 to 6, the Hong Kong Monetary Authority (HKMA) injected a total of 129.4 billion HKD into the market, leading to an expansion of HKD liquidity [2]. - The injection of HKD significantly lowered the HIBOR rates, with the 1-month HIBOR dropping from 3.65% in April to 0.67%, and overnight rates approaching 0% [2]. Group 2: Market Reactions and Expectations - The widening of the HKD-USD interest rate differential (HIBOR-SOFR) has prompted carry trades, resulting in a depreciation of the HKD, which is now approaching the "weak-side convertibility guarantee" at 7.85 [2]. - The HKMA is expected to tighten liquidity in the short term, which may alleviate the depreciation pressure on the HKD as HIBOR rates rise again [2]. - Historically, the HKD has touched the "weak-side convertibility guarantee" four times since 2017, leading to pressure on the Hang Seng Index and Hang Seng Tech Index during those periods [2].

Group 1: Report Summary - Report Date: May 25, 2025 [1] - Report Title: "Microstructure Crowding High, Convertible Bonds Guard Against Phased Adjustment" [1] - Analysts: Chen Xi, Liu Wei [2] Group 2: Market Review Asset Performance - Shanghai Composite Index and Wind All-A Index declined by 0.57% and 0.63% respectively, with the daily average trading volume of the whole market reaching 1.17 trillion yuan. The April industrial added value increased by 6.1% year-on-year, and the total retail sales of consumer goods increased by 5.1% year-on-year, in line with expectations. However, high micro-cap stock crowding and the rapid rise of US Treasury bonds led to a market correction [2]. - S&P 500 and Nasdaq fell by 2.61% and 2.47% respectively, related to the rapid rise of US Treasury bonds [2]. - London gold price rose by 4.86%, related to Moody's downgrade of the US sovereign rating and the rise of US Treasury bonds [2]. Convertible Bond Market - CSI Convertible Bond Index dropped 0.11%. As of May 23, the median convertible bond price, conversion premium rate, and pure bond premium rate were 120 yuan, 30.21%, and 14.18% respectively [2]. - In terms of industries, Medicine & Biology, Nonferrous Metals, and Automobiles performed well. The good performance of medicine may be related to SSGJ - 707, and nonferrous metals were mainly related to the sharp rise of gold. The market continued to rotate rapidly, lacking a leading sector [2]. Convertible Bond Terms - Bojun, Borui, Rundong, and Hao 24 decided not to redeem, while Hongchang, Hangyin, Falang, and Outong are expected to meet the redemption conditions. Jingke, Xiangjia, Fangyuan, Wentai, Leizhi, Meijin, Wenke, and Jianyou will not adjust the conversion price downward [3]. Group 3: Market Dynamics Economic Data - On May 19, the National Bureau of Statistics released April economic data. The industrial added value of large - scale industries increased by 6.1% year - on - year, and the total retail sales of consumer goods increased by 5.1% year - on - year. From January to April, the national fixed - asset investment (excluding rural households) increased by 4.0% year - on - year, with infrastructure investment increasing by 5.8%, manufacturing investment by 8.8%, and real estate development investment decreasing by 10.3%. The April economic data was generally in line with expectations but slightly weakened month - on - month, mainly related to the weak production of export enterprises in April. Infrastructure remained the main driving force of the economy [4]. Corporate Events - On May 22, at the 15th - anniversary strategic new product launch of Xiaomi, the Xiaomi 15S Pro and Xiaomi Pad 7 Ultra will be the first to be equipped with the SoC chip Xuanjie O1, and the Xiaomi YU7 made its debut. The 3nm Xuanjie O1 is manufactured by TSMC, and the YU7 is the first SUV, but the price is expected to be announced in July [4]. International Events - On May 16, Moody's downgraded the US sovereign credit rating from Aaa to Aa1 due to the increase in the US government's debt and interest payment ratio. On May 19, the yield of 30 - year US Treasury bonds exceeded 5% during intraday trading. The rapid rise of US Treasury bonds may tighten global liquidity and increase market risk aversion [4]. Market Index Events - On May 21, the Beixin 50 and micro - cap stock index hit record highs, possibly related to market speculation on small - cap companies. However, the current micro - cap stock crowding is obvious. The trading volume ratio of CSI 2000 to SSE 50 has reached a historical high, second only to November 2023 and December 2024. Attention should be paid to the possible adjustment caused by the retreat of micro - cap stocks [5]. Upcoming Events - Next week, pay attention to the May PMI data and the Huawei Zunjie S800 press conference [5]. Group 4: Convertible Bond Views Market Situation Analysis - This week's key market events include the record highs of the Beixin 50 and micro - cap stock index and the sharp rise of US Treasury bonds. The recent rapid rotation of market styles and the significant increase in the micro - cap stock index have led to overly obvious small - cap crowding and poor microstructure. After hitting record highs on May 21, there was a significant correction on May 22. Coupled with the tightening of global liquidity caused by the rapid rise of overseas US Treasury bonds, it is further negative for micro - cap stocks sensitive to liquidity [6]. - The market has fully priced in the "reciprocal tariffs" and "tariff easing" since April and the expectations for domestic policies under the tariff background. Before the Sino - US joint statement, the market had basically returned to the level before the "reciprocal tariffs" in terms of total volume, and the sectors that were significantly affected by tariffs had also rebounded significantly [6]. Outlook - Looking ahead, the phased new logic may be "deterioration of microstructure and tightening of liquidity", which may lead to phased market self - adjustment and correction. On one hand, the microstructure has deteriorated significantly due to the continuous rapid rotation of styles and the speculation on small - cap stocks. On the other hand, historical experience shows that the rapid rise of US Treasury bonds may trigger an adjustment in micro - cap stocks. The current rise of US Treasury bonds caused by Moody's downgrade of the US sovereign rating may also lead to liquidity tightening and trigger an adjustment in micro - cap stocks [7]. Recommended Targets - Stable targets include Shangyin, Changyin, Hua'an, Lantian, Wenshi and other convertible bonds; elastic targets include Zhongchong Zhuan 2, Daotong, Yinlun, Jizhi, Limin, Qianglian, Anji, Dinglong and other convertible bonds [7]

Economic Challenges - Japan's economy faced two major challenges: weak consumer market performance and export impacts due to tariffs [2][8] - In Q1 2025, Japan's GDP contracted by 0.2% quarter-on-quarter, marking the first decline since Q2 2024, with annualized GDP shrinking by 0.7% [2] - Private consumption remained flat in Q1, contributing only 0.1 percentage points to GDP growth, while net exports negatively impacted GDP growth by 3.3 percentage points due to a 0.6% decline in exports [2][3] Inflation and Consumer Spending - High inflation has led to stagnation in consumer spending, with the GDP deflator index rising by 3.3% year-on-year in Q1, surpassing the previous year's 3.1% [2] - Despite a 4.3% increase in employee compensation in Q1, real disposable income for households fell by 2.5% year-on-year, marking the third consecutive month of negative growth [3] Export and Tariff Impacts - The appreciation of the yen and U.S. tariffs have significantly impacted Japan's exports, with a reported 8.2% appreciation against the dollar as of May 20 [3][4] - In March, Japan's export growth slowed to 5.6% year-on-year, down from 9% the previous year, indicating a decline in export performance [3] Automotive Industry and Tariffs - The U.S. imposed a 25% tariff on key automotive parts, which could severely affect Japan's automotive industry, a critical sector contributing 50% of manufacturing output and 30% of total exports [4] - Estimates suggest that U.S. tariffs could reduce Japan's GDP by 0.59% and lead to a potential profit loss of nearly $30 billion in the automotive sector [4] Monetary Policy and Market Conditions - The Bank of Japan is in a difficult position, needing to balance interest rate normalization with the risk of further economic suppression and currency depreciation [5] - As of May 10, the Bank of Japan's total assets decreased by 3.6% year-on-year, indicating tightening liquidity conditions [5][7] Bond Market and Liquidity Issues - Japan's bond market is experiencing significant sell-offs due to tariff impacts and quantitative tightening, leading to liquidity pressures [7] - The auction for 20-year government bonds on May 20 was the worst since 2012, with a bid-to-cover ratio dropping to 2.5 times, reflecting market concerns [7] Overall Market Outlook - Japan's economy is under pressure from weak consumption and tariff impacts, with the potential for significant risks in the stock market [8] - Investors may consider using micro Nikkei 225 index futures to hedge against these risks in the current economic climate [8]