美债中国持仓暴跌42%，香港秘密助力？中国的黄金底牌内幕揭开 当穆迪下调美债的评级之后，全球的金融机构都会意识到，美债不再是避风港，而是风险源。虽然美联 储和美国白宫一再向市场保证，美债依旧是全球海外投资者最佳的投资标的，但是这种谎言能够维持多 久？ 现在美债评级被下调的负反馈终于开始爆发了，香港强积金因美国信用评级跌破AAA而被迫抛售美债 时，就意味着近期需要抛售美债的国家和地区不止一个，美国是否能够打赢这一场美元资产的保卫战？ 美债防线崩盘 根据彭博社5月20日报道：由于美债失去了最后一个AAA级信用评级，香港强积金可能会减持美国国 债！ 根据香港的金融法规法规，只有AAA评级的美债才能被香港养老金重仓持有，并且持有比例不能超过 10%，根据数据现在，截止到2025年5月份香港强制公积金总资产规模达到了1.3万亿港元，那么持有的 美国国债最多会有1300亿港元。 而穆迪的降级令，会直接迫使香港强盛基金卖出。 彭博社新闻发布之后，芝加哥商品交易所的投机者立刻押注10年期美债收益率飙至5%，赌资高达1300 亿美元——这相当于给美债市场埋了一颗定时炸弹。 更重要的是香港对于美债的持仓仅仅是冰山一角，自2013 ...

Group 1 - The "Big and Beautiful" Act passed in the U.S. Congress will increase the debt ceiling by $5 trillion, leading to a significant surge in U.S. Treasury bond issuance, creating historical supply challenges for the market [3] - The act proposes a $4 trillion tax cut and a reduction of at least $1.5 trillion in spending over the next decade, which the Congressional Budget Office estimates will result in an additional $2.8 trillion deficit over the same period [3][4] - Historical data shows that the U.S. has raised the debt ceiling over seventy times since its establishment in 1917, indicating that the so-called "debt crisis" is primarily a political tool rather than a genuine sovereign credit risk [4][6] Group 2 - The recent increase in the debt ceiling alleviates short-term default risks but introduces significant supply-side shocks to the Treasury market, with upward pressure on short-term Treasury yields [5] - The upcoming peak in Treasury maturities in 2025, combined with a growing fiscal deficit, will necessitate increased Treasury issuance, which is expected to drive up yields, particularly in the context of the Federal Reserve's balance sheet reduction [5][6] - The long-term risks associated with deferred debt issues include rising interest rates, concerns over fiscal sustainability, and increased market risk premiums, which could spill over into the global financial market [6] Group 3 - The electricity market is experiencing upward pressure on prices, with expectations that electricity price increases may outpace coal price rises due to extreme weather conditions and increased demand for thermal power generation [11][12] - The national electricity load reached a historical high of 1.465 billion kilowatts, with significant contributions from air conditioning loads, indicating a robust demand environment [12] - The introduction of new high-voltage direct current projects aims to enhance electricity supply and optimize pricing structures, reflecting a strategic shift in energy management [13]

Core Viewpoint - The bond market showed slight recovery with government bond futures mostly flat, while interbank bond yields fell by approximately 1 basis point, indicating a cautious trading environment as the end of the quarter approaches [1][5]. Market Performance - Government bond futures closed mostly flat, with the 30-year main contract up by 0.10% at 120.720, while the 10-year main contract fell by 0.02% to 108.950 [2]. - Major interbank bond yields declined, with the 30-year government bond yield down by 1.5 basis points to 1.849%, and the 10-year government bond yield down by 1 basis point to 1.7175% [2]. Overseas Market Trends - In North America, U.S. Treasury yields fell across the board, with the 2-year yield down by 4.02 basis points to 3.7786% [3]. - In the Eurozone, 10-year French, German, Italian, and Spanish bond yields increased slightly, indicating mixed trends in the European bond market [3]. Primary Market Activity - Heilongjiang Province's local bonds saw high bid-to-cover ratios, with the 3-year bond receiving a bid multiple of 19.51 and the 5-year bond at 22.85, reflecting strong demand [4]. Liquidity and Monetary Policy - The central bank conducted a reverse repurchase operation of 5,093 billion yuan with a fixed rate of 1.40%, resulting in a net injection of 3,058 billion yuan for the day [5]. - The overall liquidity in the market remains stable, with slight declines in overnight and seven-day repo rates, indicating a controlled liquidity environment [5]. Institutional Insights - Zhongyou Fixed Income noted a surprising increase in demand for ultra-long credit bonds, driven by public offerings and insurance funds, suggesting a positive short-term outlook for this segment [6]. - CITIC Securities highlighted that the current bond market may continue to experience a range-bound pattern due to the absence of key variables, with potential for both upward and downward breaks depending on fundamental and policy adjustments [6].

Group 1 - Financial markets experienced increased volatility, with short-term government bonds becoming the preferred choice for risk-averse investors as traders continued to ramp up expectations for interest rate cuts by the Federal Reserve this year [1][4] - The yield curve is steepening, indicating a consensus that short-term bond yields will decline faster than long-term yields, reflecting expectations of a shift in Federal Reserve policy and concerns over future government bond supply [4] - Despite a disappointing auction of $70 billion in five-year government bonds, the prevailing expectation of interest rate cuts continues to dominate market direction [4] Group 2 - Federal Reserve officials, including Waller and Bowman, have signaled a dovish stance, suggesting that if inflation continues to improve, rate cuts could begin as early as July, leading to significant adjustments in the interest rate swap market [4] - However, Federal Reserve Chairman Powell maintained a cautious tone, emphasizing the need for more observation regarding the impact of trade policies on consumer prices, reiterating that the Fed will not act hastily [5]

Core Viewpoint - Huatai Securities recently released a research report on U.S. Treasury bonds, analyzing the characteristics and behavioral logic of U.S. Treasury investors from the demand side, and forecasting the market supply-demand pattern for the second half of 2025 [1][4]. Investor Structure and Behavior - Global investors currently hold over $26 trillion in U.S. Treasury bonds, with international and overseas investors holding $8.6 trillion, accounting for 33% of total holdings, making them the largest buyers [3]. - Broad-based mutual funds hold $5 trillion, representing nearly 20% of the total, while the Federal Reserve is projected to hold $3.8 trillion by the end of 2024, accounting for about 15% [3]. - The combined holdings of these three categories consistently exceed 60% [3]. - Other investors include individual investors, commercial banks, state and local governments, pension funds, and insurance companies, ranked by their holding sizes [3]. Motivations and Strategies - The Federal Reserve, as a policy-driven institution, primarily uses medium to long-term bonds, with its buying and selling actions directly linked to balance sheet adjustment goals [3]. - Overseas official institutions' bond purchasing decisions are influenced by factors such as exchange rates, trade balance, and financial stability, often showing a negative correlation with the U.S. dollar index [3]. - Private sector investors tend to engage in carry trades for returns, while U.S. residents exhibit a "buy high, sell low" behavior, dynamically reallocating between stocks and bonds [3]. - Hedge funds prefer basis trading strategies, while commercial banks' bond purchases are significantly affected by loan-to-deposit ratios and maturity structures [3]. Future Outlook - The report anticipates that the Federal Reserve may conclude its balance sheet reduction process by the end of the year and potentially halt its reduction of U.S. Treasury holdings [4]. - Overseas official institutions are expected to have limited motivation to reduce holdings in a weak dollar environment, although the declining attractiveness of U.S. Treasuries as a safe asset poses a significant risk [4]. - Private institutions face pressure from dollar depreciation, which could diminish the yield advantage of U.S. Treasuries if they engage in currency hedging [4]. - U.S. residents are less likely to significantly increase their allocation to U.S. Treasuries due to the relative attractiveness of U.S. equities [4]. - Demand from commercial banks is expected to improve, benefiting from steady deposit growth, a steepening yield curve, and potential loosening of supplementary leverage ratio (SLR) rules [4]. - Pension funds and mutual funds are projected to maintain stable growth in holdings, driven by asset allocation needs and market preference trends [4]. - Huatai's team believes that the U.S. Treasury market will exhibit structurally differentiated demand characteristics in the second half of 2025, with policy adjustments, exchange rate fluctuations, and asset allocation shifts being key variables [4].

Core Insights - The report from CITIC Securities analyzes the impact of U.S. Treasury yields on U.S. stocks, non-U.S. sovereign bonds, and the dollar, highlighting the interconnectedness of global assets driven by economic and policy factors [1] Group 1: U.S. Treasury and Stock Correlation - The correlation between U.S. Treasuries and U.S. stocks is influenced by both the economic cycle and monetary policy [3] - Post-financial crisis, a "great moderation" period led to a negative correlation between U.S. Treasuries and stocks, with Treasuries serving as a risk hedge [3] - Since 2020, the correlation has shifted to positive, driven by rising inflation pressures, fiscal sustainability concerns, and global asset rebalancing [3] Group 2: Cross-Country Interest Rate Linkages - The analysis breaks down bond yields into short-term rate expectations and term premiums, showing a significant positive correlation between U.S. and Eurozone term premiums [4] - The U.S. and Eurozone account for over 60% of global cross-border debt investment, leading to stronger yield linkages compared to emerging markets [4] - Rising U.S. Treasury yields may pose contagion risks for Eurozone bond rates, while emerging markets are relatively insulated [4] Group 3: Dynamic Relationship with the Dollar - The report employs the "dollar smile" and "fiscal frown" frameworks to explain the dynamic between U.S. Treasury yields and the dollar index [5] - Under the "dollar smile" theory, the dollar tends to appreciate during deep recessions or strong expansions, while it weakens during periods of slowing growth [5] - Concerns over fiscal sustainability may lead foreign investors to reduce their U.S. asset allocations, resulting in high Treasury yields coexisting with a relatively weak dollar [5] Group 4: Future Considerations - U.S. Treasury yield fluctuations are becoming a core variable in global asset pricing, with their transmission mechanisms evolving with economic cycles and policy environments [5] - Investors are advised to closely monitor term premiums, cross-border capital flows, and fiscal policy dynamics to navigate the challenges and opportunities presented by global asset interconnectedness [5]

Group 1 - The upcoming release of the US May CPI and PPI data, along with a $61 billion long-term Treasury auction, will test the bond market's resilience amid inflationary pressures and expanding fiscal deficits [1] - Economists are particularly focused on the potential impact of tariffs on core commodity prices, which could create structural inflationary pressures and prompt the Federal Reserve to reassess its policy path [1][3] - The auction results of $39 billion in 10-year and $22 billion in 30-year Treasuries will reveal investors' true judgment on the long-term attractiveness of US debt [3] Group 2 - The current environment of expanding fiscal deficits and rising debt levels is altering the risk premium associated with US Treasuries [3] - There is a growing divergence among market participants regarding the attractiveness of US Treasury yields compared to other major economies, with some believing that demand for 10-year Treasuries will remain strong despite fiscal risks [3][4] - The market's response this week will provide important signals; a stable absorption of inflation data and Treasury supply may indicate acceptance of a "high rate + high deficit" new normal [4]

Investment Rating - The report does not explicitly provide an investment rating for the industry Core Insights - The G7 net DV01 is projected to be $109.3 million per basis point, significantly higher than the average of $72 million per basis point, indicating a robust supply environment [2][12][20] - In the US, a total of $468 billion in supply is expected over the next five weeks, with net issuance projected at $266.9 billion after accounting for coupons and redemptions [5][46] - The euro area anticipates approximately €117.7 billion in supply over the next five weeks, resulting in a net issuance of €39.4 billion [3][42] Summary by Sections Government Bond Auctions - The US will issue a new 3-year UST for an estimated $58 billion, a 10-year UST for $39 billion, and a 30-year UST for $22 billion [5] - In the UK, issuance includes UKT 4.5% Gilt 2035 for £4.25 billion and a syndicated launch of UKTi 1.75% Gilt 2038 for £4 billion [4] - Japan plans two auctions for enhanced liquidity totaling ¥1.1 trillion [6] Supply Overview - The report outlines a detailed schedule of bond supply across various countries, including specific amounts and types of bonds to be issued [11] - The total expected issuance in the euro area is €117.7 billion, with €15.8 billion in coupons and €62.4 billion in redemptions [3][42] G7 Gross Notional and DV01 Estimates - The G7 gross issuance shows significant fluctuations, with the US leading in issuance amounts, particularly in the weeks of May and June [12][13] - The DV01 for the G7 indicates a total of $120.4 million per basis point for the week of June 9, reflecting a strong issuance environment [13][20] Net Issuance and Cash Flow - The report highlights net issuance trends, with the US showing a positive net DV01 of $82 million per basis point for the week of June 9 [20][27] - The UK and Japan exhibit varying net issuance figures, with the UK showing a negative net DV01 in some weeks, indicating potential challenges in the market [18][31]

Investment Rating - The report recommends positive optimal allocations to both gold and enhanced oil futures in long-run portfolios as strategic hedges [4][55]. Core Insights - The report concludes that positive long-run allocations to gold and enhanced oil futures are optimal for minimizing risk or tail losses in equity-bond portfolios [2][10]. - Gold serves as a hedge against losses in central bank and fiscal credibility, while oil protects against negative supply shocks [2][10]. - Historical data shows that during any 12-month period when real returns for both stocks and bonds were negative, either gold or oil provided positive real returns [9][13]. Summary by Sections Strategic Case for Gold and Oil - Investors are seeking protection for equity-bond portfolios due to recent failures of US bonds to hedge against equity downside and rising borrowing costs [2][7]. - The report emphasizes the importance of gold and oil as hedges against inflation shocks affecting portfolio returns [2][10]. Recommendations for Long-Term Portfolios - A higher-than-usual allocation to gold is recommended due to risks to US institutional credibility and increased central bank demand [2][41]. - A lower-than-usual allocation to oil is advised because of high spare capacity and reduced risk of shortages in 2025-2026 [2][50]. Tactical vs. Strategic Positioning - For tactical positioning (0-2 years), the report suggests using oil puts to hedge against recession risks and benefit from increasing oil supply [2][54]. - For strategic hedging (5+ years), it recommends going long on gold and maintaining a positive but underweight position in oil [2][54][55]. Historical Performance Analysis - Historical analysis indicates that adding gold and enhanced oil futures to a 60/40 equity-bond portfolio can reduce volatility significantly [20][23]. - The report highlights that gold and oil futures have historically provided diversification benefits due to their low correlation with equities and bonds [26][29]. Expected Returns and Risks - The report forecasts a potential gold price increase to $3,700 per ounce by year-end and $4,000 per ounce by mid-2026 due to institutional credibility concerns [43][49]. - It also notes that while oil shortages are less likely in the near term, long-term risks remain due to potential supply growth slowdowns from 2028 [50].

Investment Rating - The report recommends positive optimal allocations to both gold and enhanced oil futures in long-run portfolios as strategic hedges, as they have historically helped to reduce portfolio risk [4][60]. Core Insights - The report concludes that positive long-run allocations to gold and enhanced oil futures are optimal for investors seeking to minimize risk or tail losses for a given return [2][10]. - Gold serves as a hedge against losses in central bank and fiscal credibility, while oil protects against negative supply shocks [2][10]. - The report suggests a higher-than-usual allocation to gold and a lower-than-usual allocation to oil in long-term portfolios [2][10]. Summary by Sections Strategic Case for Gold and Oil - Investors are seeking protection for equity-bond portfolios due to recent failures of US bonds to protect against equity downside and rising US borrowing costs [2][7]. - Historical data indicates that during any 12-month period when real returns for both stocks and bonds were negative, either oil or gold has provided positive real returns [9][14]. Recommendations for Long-Term Portfolios - The report recommends overweighting gold due to high risks to US institutional credibility and sustained central bank demand [44][54]. - It advises underweighting oil because of high spare capacity and reduced risk of shortages in 2025-2026, while still maintaining a positive allocation to oil for potential tail risks [54][59]. Tactical vs. Strategic Positioning - For tactical positioning over shorter horizons (0-2 years), the report recommends going long on gold and using oil puts or put spreads to hedge against recession risks [59][60]. - For strategic hedging over long horizons (5+ years), it emphasizes the importance of gold to protect against shocks to US institutional credibility and suggests a balanced approach to oil [59][60].