请务必阅读正文后的免责声明 远东研究·债市运行 2022年10月18日 经济企稳，十年期国债收益率回升 ——2022年9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，9月，央行MLF与逆回购中标利率维持稳定，缩量平价续作MLF，公开市场操作和MLF共实现净投放7180亿元。关键货币资金价格持续在央行7天逆回购中标利率下方调整，并于月底大幅上行；LPR报价与前值持平，1年期LPR为3.65%，5年期以上LPR为4.3%；Shibor利率与同业存单到期收益率均呈小幅上行趋势。整体来看，9月资金面总体宽松；央行缩量平价续作MLF，维持政策利率与贷款基准利率稳定；央行充分利用外汇市场逆周期调节工具应对人民币贬值风险，放松住房信贷政策支持刚性和改善性住房需求；接下来央行将发挥货币政策总量和结构双重功能，强化信贷政策引导作用，为实体经济提供更有力支持。 利率债市场方面，从一级市场来看，9月国债和政策性银行债净融资共实现9615.0亿元，较上月增加5015.34亿元；10年期国债发行利率微升，10年期政策性银行债发行利率环比下行。9月地方债共发行3010.84亿元，实现净融资-714.16亿元，较上月减少1905.92亿元；新增专项债发行240.63亿元，较上月新增专项债发行规模缩减275.26亿元。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，9月28日稳经济大盘四季度工作推进会议提出，依法依规提前下达明年专项债部分限额；预计第四季度新增专项债将放量发行。财政政策强调扩大有效投资和促进消费，调动市场主体和社会资本积极性，继续实施好稳经济一揽子政策和接续政策。 从利率债二级市场来看，9月国债与国开债成交活跃度环比大幅下降；10年期国债收益率与10年期国开债收益率于月内波动上升；主要中长期地方政府债到期收益率走势相对平稳；中国货币政策与美欧货币政策持续分化，中美、中英、中德利差迅速收窄，其中中美、中英利差连续多日倒挂；9月，联储鹰派表态带动美元指数持续走强，人民币贬值压力加剧。预计人民币汇率将在一段时间内偏弱运行。 综合来看，9月利率债收益率呈小幅上行趋势，月末10年期国债收益率回升至2.7601%，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年期国债收益率持续回升。9月，生产扩张带动制造业景气水平改善，PMI较前值上升0.7个百分点，回升至扩张区间；政策工具的效果逐步显现，实体经济融资需求回暖，企业中长期贷款需求显著回升。9月初，稳经济一揽子政策的接续政策措施推出，房地产信贷政策放松，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。 相关研究报告： 1. 《2022年8月利率债市场运行报告》，2022.9.15 2. 《2022年7月利率债市场运行报告》，2022.8.15 3. 《2022年6月利率债市场运行报告》，2022.7.15 4. 《2022年5月利率债市场运行报告》，2022.6.15 5. 《2022年4月利率债市场运行报告》，2022.5.15 6. 《2022年3月利率债市场运行报告》，2022.4.15 7. 《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 October 18th, 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 400 billion yuan to hedge the expiration of the previous MLF (600 billion yuan). The PBOC’s open market operations (excluding Central Bank Bills Swap or CBS) achieved a net injection of 718 billion yuan. Key capital prices fluctuated below the 7-day repo rate and rose at the end of the month. O ne-year loan prime rate (LPR) was 3.65% and five-year LPR was 4.3%. Both the interest rates of Shibor and the interest rate of interbank negotiable certificates of deposit saw an increase. On the whole, the capital level was loose. The PBOC reduced the volume of MLF and kept the policy interest rate and loan base interest rate stable. The PBOC made full use of the counter-cyclical adjustment tools of the foreign exchange market to deal with the risk of RMB depreciation, and relaxed the housing credit policy to support demand. Next, the PBOC will play the dual functions of aggregate and structural monetary policy, strengthen the guiding role of credit policy and support the real economy. 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 961.50 billion yuan in September, an increase of 501.534 billion yuan from the previous month. The issuance rates of newly issued central government bonds slightly increased and the issuance rates of newly issued policy bank bonds decreased. The local government bonds issued a total of 301.084 billion yuan, achieving net financing of -71.416 billion yuan, a decrease of 190.592 billion yuan from the previous month. The newly issued special bonds were 24.063 billion yuan, which decreased slightly compared to last month. On August 24, the State Council executive meeting proposed that balance of special bond quota worth over 500 billion yuan should be utilized pursuant to law and issued by end of October. On September 28, it is proposed that the special bonds for next year should be released in advance. We expect that newly issued special bonds will be issued in large quantities in the fourth quarter. The fiscal policy emphasizes expanding effective investment and promoting consumption, mobilizing the enthusiasm of market players and social capital, and continuing to implement a package of policies to stabilize the economy. In the secondary market of Chinese government bonds, the trading activity of treasury bonds and policy bank bonds decreased. Both the yield of 10-year treasury bonds and the yield of 10-year policy bank bonds saw an increase. The yields of local government bonds remain stable. China's monetary policy and the monetary policy of the United States and Europe are significantly different, and the interest rate gap between China and the United States, China and Britain, and China and Germany have narrowed rapidly. Among them, the interest rate gap between China and the United States and China and the Unit