固收专题 再谈超长期国债定价 2025 年 10 月 09 日 ➢ 根据两会规定，2025 年中央财政赤字规模为 4.86 万亿元（对应普通国债的 净融资规模，包括关键期限一般国债+短期国债+超长期一般国债+储蓄国债）、 超长期特别国债的规模为 1.30 万亿元，注资特别国债的规模为 0.50 万亿元，合 计理论国债净融资规模为 6.66 万亿元。截至 9 月底，2025 年国债净融资规模为 5.40 万亿元，其中普通国债 3.67 万亿元、超长期特别国债 1.23 万亿元、注资特 别国债 0.50 万亿元。 ➢ 9 月 30 日财政部公布 2025 年第四季度国债发行有关安排，至此全年国债 发行计划公布完毕，从发行安排来看，一季度至四季度国债发行的期数分别为 42 期、56 期、57 期和 49 期，四季度与三季度国债发行的差异主要体现为超长期 特别国债的规模下降，但增加了超长期一般国债的发行。假设四季度国债发行延 续当前的进度，超长期特别国债剩余 700 亿元在 10 月全部发行完毕，其余类型 国债根据发行计划规定的债券期数*对应品种最新单券规模进行预测，测算得 10- 12 月国债单月发行规模均在 1. ...

Core Viewpoint - The A-share market is experiencing a significant rally, with market capitalization surpassing 100 trillion yuan and the Shanghai Composite Index reaching a nearly ten-year high, indicating the beginning of a "slow bull" market. In contrast, the bond market is facing a downturn, with the 30-year government bond futures experiencing their largest decline in months, highlighting a "risk preference" shift in the current macroeconomic landscape [1][2]. Group 1: Stock Market Dynamics - The steady rise in the A-share market is driven by optimistic expectations regarding policy benefits, market reforms, and economic stabilization, leading to an increase in investor risk appetite and a shift of funds from stable assets to high-risk equity assets [1][2]. - The stock market's strong performance is often associated with economic recovery and potential inflation expectations, which diminishes the market's expectations for macroeconomic policy easing, thereby putting pressure on bond prices [2][3]. Group 2: Bond Market Adjustments - The recent adjustments in the bond market are primarily due to direct impacts from fund diversion, rather than changes in the credit risk of bonds themselves. The bond market's decline reflects a reset of the market risk pricing model [2][3]. - Despite short-term pressures, the long-term fundamentals supporting the bond market remain intact, suggesting that the disturbances caused by the stock market are likely to be temporary [3][4]. Group 3: Future Outlook for Bonds - The peak of government bond net issuance for the year has passed, leading to a gradual reduction in supply pressure, which is favorable for the stabilization and recovery of the bond market [4]. - Bonds, as "safe-haven assets," offer relatively stable returns and lower risk levels, making them attractive to large institutions and individual investors seeking diversified asset allocation [4].

日本央行周四维持利率不变并上调通胀预期，但行长植田和男的表态被市场视为不够鹰派，日元随即大幅走弱。投资者对日本央行 近期加息预期降温，推动美元兑日元汇率一度升至150上方。 日元在央行会议后一度走强，但植田和男表示货币政策不会仅因通胀预期上调而调整，且通胀上修主要由食品价格上涨推动。他还 表示日元走势并未偏离央行预期，这一表态令市场失望。 日元随后反转早前涨势，下跌0.4%至150.04，创下4月2日特朗普宣布"对等关税"以来新低。分析师认为，央行立场缺乏足够鹰派色 彩，削弱了市场对短期内再次加息的预期。 植田和男表态令加息预期降温 据央视新闻，日本与美国就关税问题达成一致，美方将向日本征收15%的关税。该协议为央行政策制定增加了复杂性，植田和男表 示，贸易协议将使当局更容易掌握未来几个月关税的影响，但无法确定何时能完全衡量这些效应。 他补充称，该协议减少了前景方面的不确定性，但海外贸易政策的不确定性仍然很高。这表明央行在面对外部冲击时仍保持谨慎立 场。 Marlborough Investment Management投资组合经理James Athey评论道："这正是我们在植田和男主导的央行新闻发布会上所预 ...

Summary of Conference Call Notes Industry Overview - The notes primarily discuss the bond market and macroeconomic conditions in China, focusing on interest rates, government financing, and corporate profitability [1][3][5]. Key Points and Arguments 1. **Economic Conditions**: June economic data shows significant divergence in supply and demand, with household income growth lagging behind GDP growth. External demand for exports to the U.S. has sharply declined, indicating persistent insufficient total demand [1][3]. 2. **Government Financing**: It is projected that government financing will decrease by over 2 trillion yuan in the second half of 2025, following a peak in social financing growth in July. This decline in financing is expected to contribute to lower interest rates [1][4]. 3. **Corporate Profitability**: Corporate profit margins are under pressure due to declining total demand and trade tensions, resulting in low investment returns. The central bank maintains a moderately loose monetary policy, alleviating concerns about policy tightening [1][5]. 4. **Interest Rate Projections**: The current central level for the 10-year government bond yield is 1.5%, with the current yield at 1.7%. Short-term projections suggest that rates may decline further, potentially falling below 1.5% [1][7]. 5. **Liquidity Management**: The central bank's operations indicate a stable interest rate level around 1.8% during tight liquidity periods. The reasonable range for current operations is estimated between 1.4% and 1.7% [1][8]. 6. **Asset-Liability Matching**: Banks are achieving a yield of approximately 1.5% on mortgages, while the yields on 10-year and ultra-long government bonds are 1.7% and 1.9%, respectively. Insurance companies are also adjusting their guaranteed rates below 2%, making long-term bonds attractive [1][9]. 7. **Redemption Pressure**: Current redemption pressure is primarily preventive and not indicative of a trend, similar to the situation in August 2024. The market is not expected to experience significant volatility due to this preventive redemption [2][10]. 8. **Market Outlook**: The third quarter is expected to see increased volatility in funding rates, but the overall range will remain between OMO reductions of 20 basis points and increases of 20 basis points, indicating a more accommodative environment compared to the second quarter [2][11]. Additional Important Content - The notes emphasize the lack of significant counter-cyclical demand policies to address the ongoing economic challenges, which could further impact total demand and interest rates [1][3]. - The analysis suggests that the bond market is not at risk of a trend reversal to bearish conditions, as the fundamental factors driving interest rates downward remain unchanged [3].

Core Viewpoint - The Bank of Japan's policy board member Takeda Soichi emphasizes the need to be cautious about the rising risk premium associated with ultra-long-term government bonds and the increasing volatility of the yield curve, which could inadvertently trigger a broad transmission of monetary tightening effects in the market [1] Group 1 - The risk premium for ultra-long-term government bonds is on the rise [1] - There is an increase in the volatility of the yield curve [1] - These factors may lead to unintended consequences in the form of monetary tightening effects spreading throughout the market [1]

Group 1 - U.S. financial markets are closed on Thursday, with U.S. stock futures and European stocks declining, as Nasdaq 100 futures fell over 1% [1] - The Chinese Ministry of Commerce is accelerating the review of export license applications related to rare earths in accordance with laws and regulations [1] - The Chinese National Narcotics Control Office has decided to regulate N-ethylpentylone and 12 new psychoactive substances [1] Group 2 - The White House spokesperson stated that Trump will decide within two weeks whether to strike Iran [1] - Trump has repeatedly called for the Federal Reserve to cut interest rates by 2.5 percentage points and criticized Powell as foolish [1] - The EU is pushing for a "UK-style" trade agreement with the U.S., increasingly accepting a 10% tariff level as a baseline for trade agreements [1] Group 3 - Canada is considering raising countermeasures against U.S. steel and aluminum tariffs to protect domestic industries [1] - The Bank of England maintained its current policy but signaled a dovish stance, with the number of officials supporting rate cuts exceeding expectations, raising the likelihood of two 25 basis point cuts this year [1] - Japan is adjusting its bond issuance plan, significantly reducing the issuance of super long-term bonds by over 10% and increasing the issuance of short-term bonds [1] Group 4 - A reminder that China's June LPR will be announced on Friday [1]

Group 1 - The Ministry of Finance in Japan stated that starting the repurchase of ultra-long-term government bonds from July is unrealistic and unimaginable [1] - The claim regarding the formulation of a repurchase policy for ultra-long-term government bonds is inaccurate [1]

金十数据6月9日讯，两位消息人士周一表示，日本政府正在考虑回购一些过去以低利率发行的超长期债 券。此举凸显出政府对抑制债券收益率出现任何突然上升情况的重视。在超长期债券（如期限为20年、 30年或40年的债券）收益率急剧上升后，预计政府将减少超长期债券的发行量。日本政府将采取行动解 决超长期债券供应过剩的问题，这一消息令市场感到宽慰，日本国债收益率随即下跌。 消息人士称， 负责监督政府发债计划的财务省将在6月20日和6月23日与债券市场参与者举行会议后做出最终决定。他 们说，回购超长期日本国债需要预算批准，可能需要时间。 消息人士称日本将考虑回购部分超长期国债 ...

Group 1 - The Bank of Japan is increasingly concerned about the significant fluctuations in ultra-long-term bond yields and their potential impact on short-term borrowing costs and the economy [1] - Bank of Japan Governor Ueda Kazuo emphasized that medium and short-term interest rates have a greater impact on the Japanese economy compared to ultra-long-term yields [1] - The recent surge in ultra-long-term government bond yields to historical highs reflects growing market concerns over the deteriorating fiscal conditions of developed economies [1] Group 2 - Market participants are focused on the Bank of Japan's upcoming policy meeting on June 16-17, where the current bond purchase reduction plan will be evaluated [1] - A majority of surveyed bond market participants advocate for maintaining or slightly slowing the pace of reduction starting from the fiscal year 2026 [2] - Some analysts suggest that the current market turmoil may influence the central bank's discussions regarding future reduction strategies [2]

Core Viewpoint - The Bank of America analysts indicate that the Bank of Japan is unlikely to address the supply-demand imbalance causing the surge in ultra-long-term government bond yields [1] Group 1 - Analysts predict that the Bank of Japan will continue to reduce its bond purchases by 400 billion yen per quarter until March 2026 [1] - Starting from April 2026, the bond purchase reduction is expected to further decrease to 300 billion yen per quarter, with the plan extended for another year [1] - The analysts express that the Bank of Japan does not plan to respond to the oversupply issue of ultra-long-term bonds [1]