证券研究报告 | 固定收益定期 gszqdatemark 2025 07 06 年 月 日 固定收益定期 压缩利差还是突破关键点位？ 本周债市继续走强，但短端和信用利差压缩更为明显。跨季之后，虽然央行大 幅回笼资金，但资金依然如期宽松。R001和R007分别下降至1.36%和1.49%， DR001 甚至降至 1.31%。宽松的资金推动短端利率继续下行，1 年 AAA 存单 本周累计下行 4.0bps 至 1.61%，3 年和 5 年 AAA-二级资本债分别下行 8.6bps 和 6.4bps。但长端利率关键期限变化有限，10 年国债和 30 年国债本周累计 变化只有-0.3bps 和 0.2bps，基本上保持持平状态。 在关键期限利率下降至关键位置附近之后，市场走势表现为更多压缩各种利 差。目前 1.64%的 10 年国债利率和 1.85%的 30 年国债利率离 1.6%和 1.8% 的关键整数位和前低相去不远，市场在这个位置对活跃券表现谨慎。而更多的 是压缩各种利差：首先，压缩利率债关键期限和非关键期限利差，例如 50 年 与 30 年国债利差从 6 月 16 日的 15.6bps 下降至目前的 8.4b ...

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The current loose funds have not been fully reflected in the bond market. The bond market is expected to develop from short - term to long - term, with the curve likely to first show a bullish steepening and then a bullish flattening. The overall interest rate downward trend remains unchanged [3][5][24] 3. Summary by Related Content Market Performance - This week, funds were loose, and the short - end trend was significantly stronger than the long - end. After the holiday, the R001 and R007 dropped to 1.52% and 1.58% respectively, driving the short - term interest rates to decline significantly. The 1 - year AAA certificate of deposit (CD) dropped 7.5bps to 1.66% this week. Short - term interest rates and short - term credit also decreased significantly. The 10 - year and 30 - year treasury bonds rose slightly by 1.1bps and 1.9bps to 1.64% and 1.84% respectively [1][8] Reasons for Loose Funds - Seasonally, funds are loose in the first and middle of May. The central bank announced a 0.5 - percentage - point reserve requirement ratio cut this week, releasing about 1 trillion yuan in liquidity. Even if considering the maturity of MLF (125 billion yuan) and repurchase (90 billion yuan) this month and assuming a half - volume continuation, the net capital injection from the reserve requirement ratio cut and repurchase is still over 50 billion yuan. Calculated with the March money multiplier of 8.65, it can support about 4.3 trillion yuan in financing demand. Since the social financing scale in May last year was only 2 trillion yuan, the current loose funds situation will remain until before the end - of - quarter impact [2][9] Impact on the Bond Market Quantity Perspective - As the capital price drops, the spreads between CDs, short - term credit, etc., and funds have turned positive, meaning that leveraging can effectively increase returns. Although the current leverage level has rebounded, it is not significantly higher than previous years. The daily trading volume of inter - bank pledged repurchase on May 9 was about 6.5 trillion yuan, basically the same as the same period last year [3][12] Price Perspective - Short - term interest rates still have room to decline further. The 1 - year CD is expected to drop to around 1.6%. Based on the average spread of about 9.5bps between the 1 - year AAA CD and overnight funds in the past year, if the overnight interest rate stabilizes at around 1.5% and the R007 at around 1.6%, the 1 - year AAA CD rate may be around 1.6%. Currently, the CD rate has dropped to 1.66% [3][13] Short - Term Bond Interest Rates - The 1 - year treasury bond and 1 - year AAA medium - term note are expected to drop to around 1.2% and 1.6% respectively. The spread between the 1 - year AAA CD and the 1 - year treasury bond has narrowed to 24bps, the lowest since 2023. If the spread returns to the average level of about 42bps since 2023, a 1.6% CD rate may correspond to a 1.2% 1 - year treasury bond rate. Credit bonds and CD rates are basically the same, so as the CD rate drops to around 1.6%, the same - maturity high - grade credit bonds are also expected to reach the corresponding level [4][19] Long - Term Bond Interest Rates - The decline in short - term interest rates will protect long - term interest rates and promote a significant recovery in the credit bond curve slope. If the 2 - year treasury bond drops to around 1.2%, combined with the average spread of 44bps between the 10 - year and 2 - year treasury bonds since 2023, the corresponding 10 - year treasury bond will be around 1.64%, indicating limited adjustment pressure on long - term bonds. The decline in short - term bond interest rates will bring better investment opportunities for 3 - 5 - year interest - rate bonds and 3 - 5 - year secondary perpetual bonds. The spread between the 5 - year and 1 - year AAA - secondary capital bonds has rebounded to around 20bps, more than 20bps higher than the low point in February, and the long - end allocation value of secondary perpetual bonds is emerging [4][21] Market Outlook - The bond market is expected to develop from short - term to long - term. The loose funds protect the short - end. The current CD rate is higher than the capital price, allowing leveraging to allocate CDs to increase returns. The spread between CDs and short - term treasury bonds has reached a low in recent years, making short - term treasury bonds more cost - effective than CDs for bank self - operated funds. The market leverage is also expected to gradually recover. The decline in short - term interest rates will increase the term spread, protect long - term interest rates, and enhance the allocation cost - effectiveness of 3 - 5 - year interest - rate bonds and credit bonds, gradually realizing the trend of the bond market first showing a bullish steepening and then a bullish flattening [5][24]