请务必阅读正文后的免责声明 远东研究·债市运行 2022年8月17日 经济金融数据转弱，十年期国债收益率下行 ——2022年7月利率债市场运行报告 摘 要 作 者：冯祖涵 陈浩川 简奖平 邮 箱：research@fecr.com.cn 货币市场与货币政策方面，7月，央行维持MLF与逆回购中标利率与上月持平，等量平价续作MLF，公开市场操作和MLF共实现净回笼3940亿元。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，并于月底小幅抬升；1年期与5年期以上LPR均维持前值不变；Shibor利率与同业存单到期收益率均呈下行趋势。整体来看，7月资金面总体宽松；央行继续等量平价续作MLF，政策利率与贷款基础利率保持稳定；央行在保持稳健货币政策的同时，支持稳经济大盘重点领域。接下来央行将继续实施好稳健的货币政策，加快落实已确定的政策措施；并引导金融机构按照市场化、法治化原则，增强金融服务实体经济的能力；引导政策性开发性银行落实好新增8000亿元信贷规模和设立3000亿元金融工具，支持基础设施建设。 利率债市场方面，从一级市场来看，7月国债和政策性银行债净融资共实现5008.28亿元，环比下降713.12亿元；10年期国债与10年期政策性银行债发行利率均环比上行。7月地方债共发行4063.09亿元，并实现净融资-857.05亿元，环比大幅减少；新增专项债发行612.97亿元，累计已完成全年新增专项债务限额3.65万亿元的94.7%。整体来看，财政政策强调稳市场主体稳就业稳物价，推动经济运行尽快回归正常轨道；稳岗拓岗政策与促消费政策加力；为支持基建投资，政策性、开发性金融工具加速落地；加快专项债资金使用，各地按质量要求加快项目进度，在三季度形成更多实物工作量。 从利率债二级市场来看，7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；海外主要经济体国债收益率走势不一，月末中美10年期国债收益率利差回正；7月，美国经济衰退预期强化带动美元指数于月末回落，同时我国经济逐步修复，综合作用下月内人民币窄幅震荡。预计8月中美利差将呈倒挂趋势，人民币币值继续承压。 综合来看，7月利率债收益率呈下行趋势，月末10年期国债收益率回落至2.76%，预计未来一段时间政策利率下调将进一步带动10年期国债收益率下行。7月PMI数值与生产、消费、投资等宏观经济数据反映出经济恢复的基础尚不牢固，同时7月的金融数据显示实体融资需求偏弱。在经济基本面与信贷表现不及预期的背景下，8月15日中国人民银行将中期借贷便利（MLF）利率和逆回购利率下调10BP至2.75%和2.00%，预计后续一年期LPR也将小幅下行。政策利率与贷款市场利率的下调将有助于降低融资成本，刺激融资需求。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。 相关研究报告： 1. 《2022年6月利率债市场运行报告》，2022.7.15 2. 《2022年5月利率债市场运行报告》，2022.6.15 3. 《2022年4月利率债市场运行报告》，2022.5.15 4. 《2022年3月利率债市场运行报告》，2022.4.15 5. 《2020年2月利率债市场运行报告》，2022.3.15 请务必 阅读正文后的免责声明 FECR Research·China's Bond Markets August 17th, 2022 Summary In the money market, the People's Bank of China (PBOC) kept the Medium-term Lending Facility (MLF) rate and 7- day repo rate stable. The MLF injected 100 billion yuan to hedge the expiration of the previous MLF (100 billion yuan). The PBOC’s open market operations (excluding Central Bank Bills Swap or CBS) achieved a net withdrawal of 394 billion yuan. Key capital prices fluctuated below the 7-day repo rate and rose at the end of the month. One-year loan prime rate (LPR) and five-year LPR kept stable. Both the interest rates of Shibor and the interest rate of interbank negotiable certificates of deposit saw a slight increase. On the whole, the capital level was loose. The PBOC continued to make MLF at an equal amount and parity, and kept policy rate and loan rate stable. The POBC maintained a prudent monetary policy and supported key industries to stabilize the economy. Next, the PBOC may accelerate the implementation of the determined policy measures, guide financial institutions to enhance the ability to serve the real economy and guide policy development banks to implement 800 billion yuan in credit scale and 300 billion yuan in financial instruments to support infrastructure construction. In the primary market of Chinese government bonds, the net financing of central government bonds (Treasury bonds) and policy bank bonds (quasi-sovereign bonds) was 500.828 billion yuan in July which is lower than the previous month's level. The issuance rates of newly issued central government bonds and newly issued policy bank bonds increased. The amount of local government bond issuances was 406.309 billion yuan and the net financing was -85.705 billion yuan, which decreased significantly compared to last month. In July, newly issued special bonds w ere 61.297 billion yuan. Until now, 94.7% of the newly issued special bonds limit for the year has been completed. On the whole, fiscal policy emphasizes stabilizing market participants, employment and prices, and promoting economic recovery. In the secondary market of Chinese government bonds, the trading activity of treasury bonds and policy bank bonds increased. Both the yield of 10-year treasury bonds and the yield of 10-year policy bank bonds saw an decrease. The yields of local government bonds also showed a slight downward trend. The yields of treasury bonds of major economies showed different trends, and the 10-year Treasury bond yields of China and the US returned to positive at the end of the month. In July, the likelihood of US economic recession rose and the US dollar index fell at the end of the month. At the same time, China’s economy is gradually recovering, and consequently the RMB fluctuated within a narrow range during the month. We expected that the 10-year Treasury bond yields of China and the US will be inverted in August, and the RMB will continue to be under pressure. Economic and financial data performed badly and the yield of 10-year government bonds fell ——July 2022 China's government bond market operation report Author: Feng zuhan,Chen Haochuan, Jian Jiangping, E-mail：research@fecr.com.cn