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【笔记20250707— 债农暗地狂卷,债市暗流涌动】
债券笔记· 2025-07-07 11:45
Core Viewpoint - The market is influenced by various unpredictable stories, making it difficult to forecast future trends based on past events or factors [1]. Group 1: Market Conditions - The central bank conducted a 1,065 billion yuan 7-day reverse repurchase operation, with 3,315 billion yuan of reverse repos maturing today, resulting in a net withdrawal of 2,250 billion yuan [2]. - The funding environment remains balanced and loose, with the DR001 rate around 1.31% and the DR007 rate around 1.47% [2]. - The bond market showed mixed movements, with the 10-year government bond yield fluctuating around 1.64% [4]. Group 2: Economic Events - Trump signed 12 trade letters and announced that countries aligned with anti-American policies in BRICS would face an additional 10% tariff [4]. - The bond market experienced low trading activity, with the total number of transactions for 10-year government bonds being less than 1,200 and the price fluctuations being minimal [4]. - Despite the mixed signals from Trump regarding trade policies, the global market seems to be trading based on the expectation that he may backtrack on his threats [4].
利率周记(6月第5周):超长债有可能换券吗?
Huaan Securities· 2025-07-01 02:58
Group 1: Core Views - The report mainly discusses three questions in light of the Q3 national debt issuance plan announced on June 30: whether the ultra-long bonds will experience a bond-switching market again, what rules can be grasped if the bond-switching market arrives, and how to view the supply pressure of interest rate bonds within the year [2] - The issuance scale of ultra-long special national debts this year has increased and remained constant, with 20Y/30Y/50Y at 50 billion yuan, 71 billion yuan, and 50 billion yuan respectively. The estimated total issuance for the year is about 1.302 trillion yuan, roughly in line with the 1.3 trillion yuan announced during the Two Sessions [3] - The 20Y bonds may experience a bond switch, while the 30Y active bond is likely to remain 2500002.IB. The short-term probability of a 30Y bond switch is low [4] - For 20Y national debts, if the single-bond issuance scale exceeds 5 billion yuan, the new bond may see a rush, with interest rates declining first, and the current active bond 2500001.IB may adjust. For 30Y national debts, if there is an expectation of an active bond switch, the single-bond issuance scale on July 14 needs to be large enough, or the issuance scale of each period of the bond needs to be small enough [6] - The supply peak of interest rate bonds may occur in August, and the supply pressure in July is significantly reduced. The bond market in July is favorable from the supply perspective. The central bank may restart national debt purchases in August to hedge against the supply peak or announce it in advance in July [6] Group 2: Report Industry Investment Rating - There is no relevant content provided in the text Group 3: Summary by Related Catalogs Perspective 1: Is it possible for ultra-long bonds to be switched? - The issuance scale of ultra-long special national debts this year has increased and remained constant, different from the past where the single-bond issuance scale was usually small and the reissuance scale occasionally changed [3] - Based on the linear extrapolation of the special national debt issuance scale from the beginning of the year to date, the total issuance for the year is about 1.302 trillion yuan, consistent with the announced amount [3] - The 20Y bonds may experience a bond switch, and if the first issuance scale of 20Y bonds exceeds 5 billion yuan, the market may expect this bond type to become the active bond. The short-term probability of a 30Y bond switch is low, and the active bond 2500002.IB position can be maintained [4] Perspective 2: How to respond if there is an expectation of an active bond switch? - For 20Y national debts, if the single-bond issuance scale exceeds 5 billion yuan, the new bond may see a rush, and the current active bond 2500001.IB may adjust [6] - For 30Y national debts, if the single-bond issuance scale on July 14 exceeds 12 billion yuan, investors may expect the final scale of this 30Y national debt to exceed the current active bond, leading to a rush. If the issuance scale of the 30Y special national debts on July 14, July 24, and August 8 is small enough, the expectation of an active bond switch may increase [6][7] - The supply peak of interest rate bonds may be in August, and the supply pressure in July is reduced. The bond market in July is favorable from the supply perspective. The strategy can maintain the duration and wait for the opportunity of interest rate decline in the second half of the year [6]
债市情绪面周报(6月第4周):一致预期下7成固收卖方看多债市-20250623
Huaan Securities· 2025-06-23 11:00
Report Industry Investment Rating No relevant content provided. Core Views of the Report - The current market has a strong consensus on the bond market. Geopolitical and macro - environmental factors are favorable to the bond market, and the monetary policy is in a loosening trend. The impact of supply logic is expected to slow down in the third quarter. One can continue to explore convex points on the curve and certain bond types with spreads, and should also set up right - side profit - taking strategies at the end of the half - year [3]. - More than 70% of fixed - income sellers are bullish on the bond market this week, and the sentiment has significantly warmed up. The sentiment index of both sellers and buyers is approaching the annual high, with more than half of the institutions being bullish [4]. Summary by Directory 1. Seller and Buyer Markets 1.1 Seller Market Sentiment Index and Interest - rate Bonds - The weighted sentiment index this week is 0.55, and the unweighted index is 0.68, up 0.11 from last week. 72% of institutions are bullish, 21% neutral, and 7% bearish [11]. 1.2 Buyer Market Sentiment Index and Interest - rate Bonds - The buyer sentiment index this week is 0.35, up 0.12 from last week. 52% of institutions are bullish, and 48% are neutral [12]. 1.3 Credit Bonds - Market hot topics include seasonal entry of wealth management products and market's expectation of monetary easing. After the quarter - end, the scale of wealth management products expands, and the central bank maintains a loose capital environment [18]. 1.4 Convertible Bonds - This week, institutions hold a neutral - to - bullish view. 23% of institutions are bullish, and 77% are neutral [20]. 2. Treasury Futures Tracking 2.1 Futures Trading - As of June 20, the prices, trading volumes, and open interests of TS/TF/T/TL treasury futures contracts all increased, while the trading - to - open - interest ratios generally decreased [22][23]. 2.2 Spot Bond Trading - On June 20, the turnover rate of 30Y treasury bonds and interest - rate bonds increased, while that of 10Y CDB bonds decreased [31][34]. 2.3 Basis Trading - As of June 20, the basis of the TS contract widened, and the net basis of TS and T contracts widened. The IRR of TF slightly decreased, while others increased [39][43]. 2.4 Spread Trading - As of June 20, except for the narrowing of the inter - delivery spread of the T contract, other inter - delivery spreads and all inter - product spreads widened [51].
债市机构行为周报(6月第4周):还有哪些债券可以挖掘?-20250622
Huaan Securities· 2025-06-22 09:13
1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - The 20Y Treasury bond market may not be over yet, with potential for the 20Y - 30Y spread to compress further, and the 20Y Treasury bond may be more cost - effective than the 50Y Treasury bond [2][3][12] - Investors can look for opportunities in some old bonds with certain liquidity and spread compression potential, but the follow - up odds of 230023 may be insufficient [3][13] - In the current bond market environment of extending duration and increasing leverage, there is no need to overly worry about reversal risks before the end of the month, and attention should be paid to the right - side response after sudden event shocks [4][6] 3. Summary by Directory 3.1 This Week's Institutional Behavior Review: Which Bonds Can Be Explored? - **Yield Curve**: Both Treasury and China Development Bank bond yields generally declined. For Treasury bonds, the 1Y yield dropped 4bp, 3Y dropped 3bp, 5Y dropped 4bp, 7Y dropped about 2bp, 10Y changed less than 1bp, 15Y dropped 3bp, and 30Y dropped 1bp. For China Development Bank bonds, the 1Y yield dropped about 1bp, 3Y dropped 2bp, 5Y dropped 3bp, 7Y and 10Y dropped about 2bp, 15Y dropped 5bp, and 30Y remained flat [15] - **Term Spread**: Treasury bond spreads showed deeper inversion and short - end spreads widened, while China Development Bank bond spreads had a differentiated trend with long - end spreads widening [18][19] 3.2 Bond Market Leverage and Funding Conditions - **Leverage Ratio**: The leverage ratio rose to 107.85%. As of June 20, it was about 107.85%, up 0.38pct from last Friday and 0.35pct from this Monday [21] - **Average Daily Repo Turnover**: The average daily turnover of pledged repos was 8.3 trillion yuan, with an average overnight share of 89.71%. The average daily turnover increased compared to last week [28] - **Funding Conditions**: Bank funding supply fluctuated upward. DR007 first rose and then fell, R007 first fell and then rose. 1YFR007 and 5YFR007 both declined [33][34] 3.3 Duration of Medium - and Long - Term Bond Funds - **Median Duration**: The median duration of medium - and long - term bond funds rose to 2.82 years (de - leveraged) and 3.07 years (including leverage). On June 20, the median duration (de - leveraged) was 2.82 years, up 0.04 years from last Friday; the median duration (including leverage) was 3.07 years, up 0.11 years from last Friday [44] - **Duration of Bond Fund Types**: The median duration of interest - rate bond funds (including leverage) remained at 3.69 years, up 0.02 years from last Friday; the median duration of credit bond funds (including leverage) rose to 2.88 years, up 0.15 years from last Friday [47] 3.4 Comparison of Generic Strategies - **Sino - US Yield Spread**: The overall Sino - US yield spread widened. The 1Y spread narrowed by about 2bp, while the 2Y, 3Y, 5Y, 7Y, and 10Y spreads widened [51] - **Implied Tax Rate**: The short - end implied tax rate widened, while the medium - and long - end narrowed [52] 3.5 Changes in Bond Lending Balances On June 20, the lending concentration trends of the active 10Y and 30Y Treasury bonds rose, while those of the second - active 10Y Treasury bond, the active 10Y China Development Bank bond, and the second - active 10Y China Development Bank bond declined [57]