请务必阅读正文后的免责声明 远东研究·债市运行 2021年8月13日 流动性总量保持稳定，10年期国债收益率跌破3% ——2021年7月利率债市场运行报告 摘 要 作 者：陈浩川 简奖平 李云霞 邮 箱：research@fecr.com.cn 货币市场方面，7月份，央行公开市场操作（不包含CBS）和MLF实现净回笼3600亿元。同时，央行于7月15日下调金融机构存款准备金率0.5个百分点，本次下调后，金融机构加权平均存款准备金率为8.9%，释放长期资金约1万亿元。考虑到8、9两月将共有1.3万亿元MLF到期，短期来看，市场流动性基本保持稳定。货币市场资金价格整体下行。7月，1年期LPR保持在3.85%。 展望未来，7月“降准”是为了保持流动性的合理充裕，其不代表货币政策的转向宽松，未来一段时期货币政策将保持稳健，预计未来货币价格或将维持震荡运行。 利率债一级市场方面，7月份国债和政策性银行债的合计发行量小幅增加，但净融资大幅回落至1264.46亿元。国债和政策性银行债发行利率下行，10年期国债加权平均发行利率为2.9027%，下行幅度近20BP；7月地方债新增发行节奏仍未提速，月内实现净融资4052.35亿元，与上月基本持平，新增发行地方债规模占比为61.41%。 截至7月底，各地已组织发行新增地方政府债券18833亿元，包括一般债券5287亿元，专项债券13546亿元。新增专项债券发行进度仅完成限额的37%，目前发行进度仍显著滞后。预计未来几个月专项债新增发行节奏或将有所加快。 利率债二级市场方面，7月份国债和国开债成交活跃度较上月增加；受“降准”、疫情和气象灾害等因素综合影响，国债和国开债到期收益率下行，10年期国债收益率跌破3.0%；地方政府债到期收益率下行。中外国债利差整体小幅收窄，中美国债利差在7月份经历了震荡，在7月底与6月末相比收窄了1.15BP，变化不大。境外机构投资者增持我国债券233.87亿元，但增持力度较上月大幅减弱。 近期债市利多因素不少，但已反应在目前的利率债收益率之中。展望未来，可密切关注国内及全球新冠疫情防控局势、国内经济复苏节奏、生产性物价走势、新增地方债发行进度等重要变量。 相关研究报告： 1.《2021年6月利率债市场运行报告》，2021.7.15 2.《2021年6月信用债市场运行报告》，2021.7.15 3.《2021年5月利率债市场运行报告》，2021.6.15 4.《2021年5月信用债市场运行报告》，2021.6.15 5.《2021年4月信用债市场运行报告》，2021.5.14 6.《2021年4月利率债市场运行报告》，2021.5.13 7.《2021年3月信用债市场运行报告》，2021.4.15 8.《2021年3月利率债市场运行报告》，2021.4.14 请务必阅读正文后的免责声明 FECR Research·China's Bond Markets August 13th, 2021 Summary In China’s money market, the central bank's open market operations (excluding Central Bank Bills Swap or CBS) and Medium-term Lending Facility (MLF) achieved a net withdrawal of 360 billion yuan in July 2021. In the meantime, the central bank decided to lower the deposit reserve ratio of financial institutions by 0.5 percentage points on July 15, which will release about 1 trillion yuan. Afterwards, the weighted average deposit reserve ratio of financial institutions will be 8.9%. Considering that a total of 1.3 trillion yuan MLF will expire in August and September, market liquidity will remain stable in the short term. The policy rates fell in June. 1-year Loan Prime Rate (LPR) remained stable at 3.85%. In the future, the goal of reduction of deposit reserve ratio is to maintain a reasonable abundance of liquidity rather than turning monetary policy loose. Monetary policy may remain stable, and the policy rates may fluctuate. In the primary market of China's government bonds, the total issuance of central government bonds (Treasury bonds) and policy bank bonds (quasi-sovereign bonds) rose slightly in July, while the net financing of which fall significantly to 126.446 billion yuan. The coupon rates of newly issued central government bonds and policy bank bonds both fell in July. The coupon rates of newly issued 10-year central government bonds fell 20BP to 2.9027%. The amount of local government bond issuance didn’t increase in July, and net financing of 405.235 billion yuan was realized, which is basically equal to that of previous month. The proportion of new bonds (not for refinancing purpose) issued by local government is 61.41%. As of the end of July, 1.8833 trillion yuan of local government bonds have been issued in 2021, which include 528.7 billion yuan of General Bonds and 1.3546 trillion yuan of Revenue Bonds. Only 37% of the quota of the issuance of new Revenue Bonds was completed. The issuance progress of Revenue Bonds was still obviously lagging. It is expected that the pace of new issuance of Revenue Bonds may accelerate in the next few months. In the secondary market of China's government bonds, in July, trading activity of central government bonds and policy bank bonds increased. Affected by factors such as “reduction of RRR”, epidemic situation and meteorological disasters, the yields of central government bonds and policy bank bonds fell in July. The yield of 10-year Treasury bond fell below 3.0%. The yields of local government bonds fell as well. The spread between China’s central government bonds and foreign countries’ central government bonds narrowed slightly. The China-U.S. government bond spreads fluctuated in July and slightly narrowed by 1.15BP. Foreign institutional investors increased their holdings of China’s bonds totaling 23.387 billion yuan in July, which was less than that of the previous month. Market liquidity remains stable, the yield of 10-year Treasury bonds fell below 3.0% ——July 2021 China's government bond market operation report Author: Chen Haochuan, Jian Jiangping, Li Yunxia E-mail：research@fecr.com.cn 请务必阅读正文后的免责声明 FECR Research·China's Bond Markets August 13th, 2021 Recently, there are many favorable factors in the bond market, most of which have already been priced in by current government bond yields. Several crucial variables