远东研究·债市运行 2022年9月15日 作者:冯祖涵陈浩川简奖平邮箱:research@fecr.com.cn 相关研究报告: 1.《2022年7月利率债市场运行报告》,2022.8.15 2.《2022年6月利率债市场运行报告》,2022.7.15 3.《2022年5月利率债市场运行报告》,2022.6.15 4.《2022年4月利率债市场运行报告》,2022.5.15 5.《2022年3月利率债市场运行报告》,2022.4.15 6.《2020年2月利率债市场运行报告》,2022.3.15 降息落地,十年期国债收益率续降 ——2022年8月利率债市场运行报告 摘要 货币市场与货币政策方面,8月,央行将MLF与逆回购中标利率分别下调10BP,缩量减价续作MLF,公开市场操作和MLF共实现净回笼2060亿元。关键货币资金价格多在央行7天逆回购中标利率下方调整,并于月底显著抬升;LPR报价呈非对称式下调,1年期LPR为3.65%,较前值3.7%下调5BP;5年期以上LPR为4.3%,较前值4.45%下调15BP;Shibor利率与同业存单到期收益率均呈下行趋势。整体来看,8月资金面总体宽松;央行缩量减价续作MLF,下调政策利率与贷款基础利率;接下来央行将保持货币信贷平稳适度增长,增加对实体经济贷款投放,保障房地产合理融资需求,用好政策性开发性金融工具,加大对重点领域相关项目的支持力度,尽快形成实物工作量。 利率债市场方面,从一级市场来看,8月国债和政策性银行债净融资共实现4599.66亿元,环比下降408.62亿元;10年期国债与10年期政策性银行债 发行利率均环比下行。8月地方债共发行3909.42亿元,并实现净融资1191.76 亿元,环比大幅增加;新增专项债发行515.89亿元,累计已完成全年新增专 项债务限额3.65万亿元的96.15%。8月24日国常会提出,依法用好5000多亿元专项债地方结存限额,10月底前发行完毕,预计9月、10月新增专项债将放量发行。财政政策强调加大宏观政策调节力度,谋划增量政策工具。 从利率债二级市场来看,8月国债与国开债成交活跃度环比大幅上升;10年期国债收益率与10年期国开债收益率于月内波动下降;主要中长期地方政府债到期收益率呈下行趋势;中国货币政策与美欧货币政策显著分化,中美、中英、中德利差迅速收窄,其中中美、中英利差连续多日成倒挂走势;8月,美联储鹰派表态带动美元指数持续走强,而我国政策性降息落地,中美利差倒挂再次走阔导致人民币贬值压力增加。预计近期人民币币值将在央行所容忍的区间内波动下行。 综合来看,8月利率债收益率呈下行趋势,月末10年期国债收益率降至2.62%,预计未来一段时间政策利率将保持稳定,经济修复将带动10年期国债收益率小幅回升。8月,需求回暖带动制造业景气水平改善,PMI较前值上升0.4个百分点;金融数据回暖,企业中长期贷款需求在基建项目融资发力带动下显著回升。9月初,稳经济一揽子政策的接续政策措施推出,加力巩固经济恢复发展的基础。经济修复与政策发力将带动10年期国债收益率小幅回升。后续可密切关注疫情形势、俄乌冲突、金融数据、房地产市场、国际油价等重要变量。 Author:Fengzuhan,ChenHaochuan,JianJiangping, E-mail:research@fecr.com.cn ThePBOCcutkeyinterestratesandtheyieldof10-yeargovernmentbondscontinuedtofall ——August2022China'sgovernmentbondmarketoperationreport Summary Inthemoneymarket,thePeople'sBankofChina(PBOC)loweredtheMedium-termLendingFacility(MLF)rateand7-dayreporateby10BPrespectively.TheMLFinjected400billionyuantohedgetheexpirationofthepreviousMLF(600billionyuan).ThePBOC’sopenmarketoperations(excludingCentralBankBillsSwaporCBS)achievedanetwithdrawalof206billionyuan.Keycapitalpricesfluctuatedbelowthe7-dayreporateandroseattheendofthemonth.One-yearloanprimerate(LPR)wascutfrom3.7%to3.65%andfive-yearLPRwascutfrom4.45%to4.3%.BoththeinterestratesofShiborandtheinterestrateofinterbanknegotiablecertificatesofdepositsawadecrease.Onthewhole,thecapitallevelwasloose.ThePBOCreducedthevolumeofMLFandloweredthepolicyinterestrateandloanbaseinterestrate.Next,thePBOCwillkeepmoneyandcreditgrowthstable,increaselendingtotherealeconomy,andkeepfinancingfortherealestatesectorstable.ThePBOCwillalsomakegooduseofpolicydevelopmentfinancialtoolsandincreasesupportforrelatedprojectsinkeyareastoformthephysicalworkloadassoonaspossible. IntheprimarymarketofChinesegovernmentbonds,thenetfinancingofcentralgovernmentbonds(Treasurybonds)andpolicybankbonds(quasi-sovereignbonds)was459.966billionyuaninAugustwhichislowerthanthepreviousmonth'slevel.Theissuanceratesofnewlyissuedcentralgovernmentbondsandnewlyissuedpolicybankbondsdecreased.Theamountoflocalgovernmentbondissuanceswas390.942billionyuanandthenetfinancingwas119.176billionyuan,whichincreasedslightlycomparedtolastmonth.InAugust,newlyissuedspecialbondswere51.589billionyuan.Untilnow,96.15%ofthenewlyissuedspecialbondslimitfortheyearhasbeencompleted.OnAugust24,theStateCouncilexecutivemeetingproposedthatbalanceofspecial-purposebondquotaworthover500billionyuanshouldbeutilizedpursuanttolawandissuedbyendofOctober.WeexpectthatnewspecialbondswillbeissuedinlargequantitiesinSeptemberandOctober.Fiscalpolicyemphasizesstrengtheningmacro-policyadjustmentandplanningincrementalpolicytools. InthesecondarymarketofChinesegovernmentbonds,thetradingactivityoftreasurybondsandpolicybankbondsincreased.Boththeyieldof10-yeartreasurybondsandtheyieldof10-yearpolicybankbondssawandecrease.Theyieldsoflocalgovernmentbondsalsoshowedadownwardtrend.China'smonetarypolicyandthemonetarypolicyoftheUnitedStatesandEuropearesignificantlydifferent,andtheinterestrategapbetweenChinaandtheUnitedStates,ChinaandBritain,andChinaandGermanyhavenarrowedrapidly.Amongthem,theinterestrategapbetweenChinaandtheUnitedStatesandChinaandtheUnitedKingdomhasbeeninaninvertedtrendforseveralconsecutivedays.InAugust,theFederalReserve'shawkishstatementdrovetheUSdollarindexContinuedtostrengthen,andthePBOCcutpolicyinterestrates.Consequently,the inversionofChina-USinterestrategaphaswidenedagain,whichhasincreasedthepressureonRMBdepreciation.WeexpectthatthevalueoftheRMBwillfluctuatewithintherangetoleratedbythecentralbankinthenearfuture. Onthewhole,theinterestratebondyieldinAugustshowedadownwardtrend,andthe10-yeargovernmentbondyielddroppedto2.62%attheendofthemonth.Itisexpectedthatthepolicyinterestratewillremainstableforaperiodoftimeinthefuture,andtheeconomicrecoverywilldrivethe10-yeargovernmentbondyieldtoreboundslightly.InAugust,therecoveryindemandledtoanimprovementinthemanufacturingsector,andthePMIroseby0.4.Financialdatashowedthatthedemandformediumandlong-termloansofenterprisesreboundedsignificantly,drivenbythefinancingofinfrastructureprojects.InearlySeptember,successivepoliciesandmeasurestostabilizetheeconomicpackagewerelaunchedtostrengthenthefoundationforeconomicrecovery.Economicrecoveryandpolicye