亚洲宏观策略债券供求监测-115375001

Asia Macro StrategyNotes7T2se3r0Ot6kwoPa Figure 1: 30Y CGBs are likely toaccount for ~60% of the ultra-longCGB supply012345Apr-25May-25# of auctionsUltra-long special CGB20YSource : Deutsche Bank, MoFJoey ChungStrategist+65-6423 8298Hazel LaiMacro Strategist+852-2203-6150Vaninder Singh, CFAMacro Strategist+65-6423 8947Perry KojodjojoStrategist+852-2203 6153Sameer GoelMacro Strategist+65-642-36973Bryant XuStrategist+65-6423 5558 Jun-25 Jul-25Aug-25Sep-25Oct-2530Y50Y Page 2Furthermore, life insurance premium growth has slowed, weighing on bonddemand (Figure 3). Consequently, net bond purchases by life insurers were 3.4%of net CGB supply in Q1 2025, compared to 4.5% in Q1 2024. While we are cautiousabout potentially lower demand for life insurance products, we also acknowledgethe small possibility of rising purchases (and, therefore, higher premiums) ahead –if end-customers become worried about potential adjustment to the predeterminedinterest rate for insurance products in September. Currently, the cap on this rate isset at 2.5%. According to regulations, if the predetermined interest rate is morethan 25 basis points above the estimated benchmark for two consecutive quarters,the predetermined interest rate of newly issued products must be reduced.Notably, it has already been below the benchmark for one quarter.Figure 2: Duration pressure is likely to be heavy in Maygiven four ultra-long CGB auctions0246810121416# of auctionsCGB auctions1-3Y5-7Y10Y>10Y (regular)>10Y (special)Source : Deutsche Bank, MoFFigure 3: China Lifer premiums have been weak, whichcould further weigh on back-end demand-10010203040Jan-22Jul-22RMBbnNet CGB purchaseSource : Deutsche Bank, WindFigure 4: India EPF payrolls and LIC premiums havebottomed, which should help back-end demand-100-50050100150200250300Jan-20May-20Sep-20Jan-21May-21Sep-21Jan-22May-22Sep-22Jan-23May-23Sep-23Jan-24May-24Sep-24Jan-25EPF Payroll sa 6m/6m annLife Insurance First Year Premium -Public (LIC) sa 6m/6m annSource : Deutsche Bank, CEICFigure 5: India bank loan growth is down, which shouldboost bond-buying2%4%6%8%10%12%14%16%18%20%Jan-16Aug-16Mar-17Oct-17May-18IN - Banks yoyIN Bank loans yoy, rhs, inverseSource :Deutsche Bank, CEIC Deutsche Bank AG/SingaporeIndiannnIndonesiaPension fund demand for back-end bonds continues to be weakas pensioncontributions fall (Figure 7). On the other hand,bank demand for front-end bondscould reemergeas they reallocate liquidity released from maturing SRBIs intoIndoGBs(Figure 8).These two developments point towards a steepercurveMoreover, DMO’s issuance strategy could further reinforce this steepeningbehavior.The latest two conventional auctions on 22 April and 6 May issued moreat the 10Y despite the 5Y receiving significantly stronger demand (Figure 6). ~60%of bids for bonds were in the 5Y vs ~22% in the 10Y, however only 27% of theaccepted bids were in the 5Y vs 44% for the 10Y.Overall, front end IndoGBs (5Y andbelow) look the most attractive from a demand-supply perspective.We are waiting on more clarity on (1) the 2026 budget; and (2) how the sovereignwealth fund will be operationalized, including the amount and source of leveragelikely to be deployed, before going back into IndoGBs.Figure 7: Pension fund bond holdings inched lower again0%5%10%15%20%25%30%Source : Deutsche Bank, CEICKoreaKorea has increased its 2025 KTB gross issuance size by KRW9.5tn to a total ofKRW 207tn(Figure 9) to fund the supplementary budget (KRW 13.8tn). Of this total,the government aims to issue55-60% in the first half of 2025(equivalent to KRW114-124tn). While 40% of the gross KTB supply had been issued as of 8th May, webelieve the risk is tilted towardsfront-loading more issuance in the 1Hto allow foranother supplementary budget in the 2H, if needed. Lifer premiums appear to have bottomed (Figure 4), likely benefittingdemand for back-end IGBs ahead.Moreover, bank loan growth is also falling (Figure 5), which could help easetight liquidity conditions, with durable liquidity already reaching a INR 2tnsurplus in mid-April from 0.04tn deficit in early-January.We remain long 10Y IGB, FX unhedged.-80%-60%-40%-20%0%20%40%60%80%Jan-18Jun-18Nov-18Apr-19Sep-19Feb-20Jul-20Dec-20May-21Oct-21Mar-22Aug-22Jan-23Jun-23Nov-23Apr-24Sep-24Feb-25ID Pension fund bond holdings yoyID Pension contribution yoy, rhsFigure 8: Large SRBI maturities coming up-60-40-200204060Jul 24Jul 24Aug 24Sep 24Source : Deutsche Bank, CEIC Page 4Furthermore, the government has decided tolengthen the duration profile.Consequently, the proportion of20-year or longer KTBs will increase from 30-40%to 35-45%, with a corresponding 5% reduction in the 5-10 year bucket. Given thatKRW32tn of long-dated KTBs(20Y or longer)have already been issued,approximately KRW 50tn of long-dated supply remains for the remaining eightmonths of the year.While the increase in bond supply is modest, therisk remains that more fiscalstimulus could be introduced after the presidential electionon June 3rd. Since202