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2025年7月6日利率债观察:7月资金面将如何变化?
EBSCN· 2025-07-06 12:16
Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core Viewpoints - The central bank's tolerance of the current 10Y Treasury yield means it's unlikely to significantly raise DR rates if the (ultra) long - end of the yield curve stays at current levels or declines slightly and slowly [3][14]. - Before the next OMO rate cut, the room for further decline in the DR007 and DR001 central rates is limited [1][2][11]. - The 1Y CD rate is currently slightly overvalued, and the central bank will consider its impact on bank net interest margins, loan issuance, yield curve long - end, and future Treasury trading when supplying medium - term base money [15]. 3. Summary by Section 7 - month Funding Situation - Since July, the money market interest rates have been falling. As of July 4, DR001 and DR007 have dropped to 1.31% and 1.42% respectively, but the room for further decline is limited before the next OMO rate cut [1][9]. - OMO reverse repurchase operations have "tool mode" and "non - tool mode". In the "non - tool mode", the DR007 central rate is slightly higher than the 7D OMO rate, and DR001 is slightly lower. Currently, the spreads between DR007, DR001 and 7D OMO are lower than the 2024 average, approaching the 1/4 quantile [2][11]. - In the "non - tool mode", DR007 is not an indication of monetary policy attitude and is unlikely to decline ahead of the 7D OMO rate. In 2024, the 7D OMO rate changed first, and then DR007 adjusted accordingly [2][11]. Treasury Yield Analysis - The 10Y Treasury yield has been stable around 1.65% recently, and the central bank tolerates its current trend [3][14]. - Since June, the decline of the 50Y Treasury yield has been greater than that of the 10Y variety. As of July 4, the spread between the 50Y and 10Y Treasuries has compressed by 11.1bp compared to the end of May. If the (ultra) long - term interest rate yields decline significantly or rapidly, OMO may switch from "non - tool mode" to "tool mode", and the DR007 central rate may rise significantly [4][14]. CD Rate Analysis - The 1Y CD rate is currently slightly overvalued. On July 4, the spread between the 1Y AAA - rated CD and 7D OMO was 19.3bp, lower than 83% of trading days in 2024 [15]. - The central bank will consider the impact of CD rates on bank net interest margins, loan issuance, yield curve long - end, and future Treasury trading when supplying medium - term base money [15].
【笔记20250702— 债市也需“反内卷”】
债券笔记· 2025-07-02 11:37
Core Viewpoint - The article discusses the current state of the bond market, emphasizing the need for a "de-involution" approach, particularly in the A-bond sector, amidst a backdrop of weak stock market performance and a balanced, loose funding environment [1][5]. Group 1: Market Conditions - The central bank conducted a 7-day reverse repurchase operation of 985 billion yuan, with 3,653 billion yuan maturing today, resulting in a net withdrawal of 2,668 billion yuan [2]. - The funding environment remains balanced and loose, with the price of funds continuing to decline; DR001 is around 1.36% and DR007 is around 1.51% [3]. - The stock market is experiencing weak fluctuations, with further loosening of the funding environment leading to a decline in interest rates; the 10-year government bond yield opened at 1.6425% and fell to a low of 1.6345% before slightly rebounding to 1.64% [4]. Group 2: Investment Themes - The article highlights the "de-involution" theme, particularly in the supply-side concept, suggesting that the A-bond market needs to focus on longer durations, bypassing the 10-year and 30-year bonds to directly target the 50-year bonds [5]. - The recent decline in the 10-year government bond yield to 1.6% is interpreted as a standard reaction to balance sheet recession, where the primary goal shifts from profit pursuit to survival and debt repayment, leading to a drastic drop in borrowing willingness [5].
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]
利率周记(6月第2周):50年国债知多少?
Huaan Securities· 2025-06-11 02:13
Report Industry Investment Rating - The report maintains a neutral view on 50Y treasury bonds [7] Core View of the Report - In the current volatile market with increasing bullish bond market catalysts, the duration advantage of 50Y treasury bonds can be considered, but due to liquidity factors and changes in demand - side institutional behavior, and limited downward space for interest rates, a neutral view is maintained [7] Summary by Related Content Market Conditions and Opportunities for 50Y Treasury Bonds - Since June, trading opportunities in the bond market have gradually increased. Market reaction to Sino - US negotiations has dulled, May's fundamental data is likely to be favorable for the bond market, large banks have increased short - bond purchases, and the upcoming Lujiazui Forum may bring trading opportunities in the capital market [2] - Compared with other bonds, 50Y treasury bonds have a duration advantage in a bull market. Their supply and liquidity are weaker than 30Y bonds. The balance of treasury bonds with a remaining maturity of 45Y - 50Y is about 50.2 billion yuan, while that of 25Y - 30Y is over 2.2 trillion yuan. The current yield - to - maturity of 50Y treasury bonds is lower than that of 30Y local government bonds [2] - Another trading opportunity for 50Y treasury bonds is the interest rate elasticity after primary issuance. Since 2017, in nearly half of the 50Y treasury bond issuances, the primary issuance rate was higher than the secondary rate, often occurring in volatile or bear markets and related to the behavior of long - term bond - allocating institutions such as insurance companies [3][6] Demand - Side Analysis - Insurance institutions are the main buyers of ultra - long - term bonds. They have steadily increased their allocation of ultra - long - term bonds over the years, while funds may extend their duration at certain times for trading purposes [6] - June is a key time for insurance institutions to potentially increase their allocation of 50Y treasury bonds, but the allocation intensity this year may be lower than in previous years. The reasons include lower premium growth from January to April this year, high government bond issuance since the first quarter leading to more primary - market bond purchases by allocation funds, and insurance institutions' preference for 30Y local government bonds due to their higher coupon rates [6]