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东吴证券晨会纪要-20250606
Soochow Securities· 2025-06-06 01:35
证券研究报告 东吴证券晨会纪要 东吴证券晨会纪要 2025-06-06 [Table_Tag] 宏观策略 [Table_MacroStrategy] 宏观深度报告 20250603:复盘 200 年,贸易战何去何从? 通过复盘自 1800 年至今 200 余年的全球贸易历史,以及结合近期东部沿 海省份"造船厂-船东-船公司-货代及外贸公司-实体制造业"外贸产业链 调研反馈,我们的研究表明: 首先,复盘全球贸易历史看,汇率、非关 税壁垒可能取代关税成为更加关键的"贸易交锋"工具。 其次,国内多 数外贸企业认为由于在根本矛盾上的冲突,中美贸易谈判过程未来或将 "一波三折",企业可能需要持续控制对美出口风险敞口。 再次,如果加 征关税无法实现美方贸易竞争的主要目的,那么参考过去 200 年全球贸 易历史特别是 1970s-1990s 美日德贸易竞争阶段的美方举措,未来美国政 府可能在非关税壁垒、汇率等方面发起更多挑战。 最后,在控制对美出 口风险敞口的过程中,拓展非美出口、"出口转内销"、"出海"等关键手 段仍待企业端摸索落地方式,年内外贸前景仍面临高度不确定性。 宏观深度报告 20250602:人民币汇率:会否升 ...
低利率时代系列(五):负Carry困境:海外机构如何破局
Soochow Securities· 2025-06-04 14:03
证券研究报告·固定收益·固收深度报告 固收深度报告 20250604 负 Carry 困境:海外机构如何破局—低利率 时代系列(五) [Table_Tag] [Table_Summary] 观点 ◼ 负 carry 冲击进行时:负 carry 的成因通常源于资产负债久期错配与利 率波动:当负债端成本因短期利率抬升或刚性兑付压力上升,而资产端 因长期债券收益率被锁定或下行时,机构面临收益倒挂风险。海外资管 机构的历史经验显示,负 carry 风险集中爆发于特定利率周期,典型触 发场景通常在长期低利率环境后,经历利率快速上行周期。例如,2022 年美联储加息后,美国银行业因前期拉长债券久期,导致资产端收益率 被锁定于历史低位,而负债端存款利率随市场利率快速攀升,形成由于 负债端成本上行而造成的"利率上行+负 carry"压力。日本方面,自 1990 年代经济泡沫破灭后进入低增长、低通胀周期,政策利率持续下行。2016 年日本央行实施负利率政策后,10 年期日本国债收益率与存款利率出 现倒挂,形成由于资产端收益下行而造成的"利率下行+负 carry"环境。 以国内视角来看,当前我国面临与发达经济体历史情形相似的挑战 ...
光大期货金融期货日报(2025 年 05 月 27 日)-20250527
Guang Da Qi Huo· 2025-05-27 09:34
1. Report Industry Investment Rating - No investment rating information is provided in the report. 2. Core Viewpoints - For stock indices, the revenue growth rate of A-shares excluding finance in Q1 2025 was -0.33% year-on-year, rising for two consecutive quarters, indicating that the asset-side earnings of listed companies are bottoming out. The central bank cut interest rates to narrow the negative carry of enterprises and bring the index back to a slow bull trend. The net profit growth rate was 3.4% year-on-year, showing a positive change from previous quarters. However, it remains to be seen whether enterprises can maintain this level under the background of the tariff war, and the accounts receivable ratio is still rising. The ROE is at the bottoming stage of the downward cycle since Q2 2021, significantly affected by the low PPI. The net profit margin and gross profit margin have slightly increased, while the asset turnover has declined, and the equity multiplier has remained basically flat. Overall, the Q1 earnings data of the A-share market are mixed, indicating that the profitability of listed companies is still bottoming out but showing signs of recovery. The valuation of A-shares is at a historical median, and future quasi-stabilization funds are expected to maintain the overall stability of A-share valuations. The growth indicators of small-cap indices have turned positive [1]. - For treasury bonds, the tariff negotiation's negative impact on the bond market has basically ended, and the dominant factors have returned to the capital and fundamental aspects. The economic and financial data in April show that the effect of the stable growth policy is continuously emerging, but the problem of weak real financing demand still exists. In the short term, the economic fundamentals will continue to recover moderately, and the capital side will lack the impetus for significant fluctuations after the double cuts. It is expected that the short-term bond market will continue to fluctuate within a range [2]. 3. Summary by Relevant Catalogs 3.1 Daily Price Changes - **Stock Index Futures**: On May 26, 2025, IH was at 2,684.4, down 8.6 or -0.32% from May 23; IF was at 3,831.2, down 15.0 or -0.39%; IC was at 5,594.6, up 32.8 or 0.59%; IM was at 5,925.0, up 53.0 or 0.90% [3]. - **Stock Indices**: The Shanghai Composite 50 was at 2,699.4, down 12.4 or -0.46% from May 23; the CSI 300 was at 3,860.1, down 22.2 or -0.57%; the CSI 500 was at 5,669.5, up 16.4 or 0.29%; the CSI 1000 was at 6,028.8, up 39.1 or 0.65% [3]. - **Treasury Bond Futures**: On May 26, 2025, TS was at 102.43, up 0.022 or 0.02% from May 23; TF was at 106.06, up 0.01 or 0.01%; T was at 108.86, up 0.005 or 0.00%; TL was at 119.76, up 0.16 or 0.13% [3]. 3.2 Market News - The People's Bank of China conducted 382 billion yuan of 7-day reverse repurchase operations today, with the operating rate remaining flat at 1.40%. There were 135 billion yuan of reverse repurchases maturing today, resulting in a net investment of 247 billion yuan [4]. 3.3 Chart Analysis - **Stock Index Futures**: The report provides charts of the trends and basis of IH, IF, IC, and IM main contracts, as well as the trends of the Shanghai Composite 50, CSI 300, CSI 500, and CSI 1000 stock indices [6][7][10]. - **Treasury Bond Futures**: The report includes charts of the trends of treasury bond futures main contracts, treasury bond spot yields, basis, inter - period spreads, cross - variety spreads, and capital interest rates [13][16][18]. - **Exchange Rates**: The report presents charts of the central parity rates of the US dollar, euro, and other currencies against the RMB, as well as forward exchange rates and currency indices [21][22][25].
从“低波稳健”变成“易伤易动” 短债承压 基金经理“防守”变“失守”
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 ...
利率周记(5月第3周):TS合约还能正套吗?
Huaan Securities· 2025-05-19 08:14
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].
利率周记(4月第4周):政治局会议后的债市方向
Huaan Securities· 2025-04-27 13:13
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]
中泰资管天团 | 马潇:对近期债市调整进度的一些思考
中泰证券资管· 2025-03-20 09:06
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 ...