Waiting for the turning point steadily —— Annual investment strategy of 2021interest rate bonds

Hold your word steady and wait for the turn.

-202 1 annual investment strategy for interest-bearing bonds

(Haitong accepts Jiang Peishan and guma)

summary

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1. The bond market goes to Xiong Ping, and the interest rate bears the credit cow.

1. 1 20-year bond market: epidemic situation+policy is the main line.

65438 10 to April, influenced by the COVID-19 epidemic, the bond bull market started due to the continuous easing at home and abroad.

The bond market continued to fall from the end of April to the beginning of July. At the end of April, the expectation of returning to work at home and abroad increased risk appetite, and the central bank continued to suspend the supply of funds. The supply shock came in May, and the funds continued to tighten in early July. The skyrocketing stock market has brought about the seesaw effect of stock bonds. In late July, the stock market rally came to an end, the funds were tight and balanced, and the bond market entered a shock.

In August, the over-reserve rate was low, the tax payment factor led to tight funds, the interest rate center of funds continued to rise, the superimposed monetary policy remained neutral, the economic recovery continued, the social finance rose slightly, and the bond market remained flat.

In September, the central bank increased capital investment, the pressure on structural deposits was suspended, the supply of interest rate bonds declined, and fiscal expenditure accelerated at the end of the quarter. China's national debt will be included in the WGBI index, which is favorable for the bond market sentiment. However, the economy recovered steadily, social financing greatly exceeded expectations, consumption growth turned positive for the first time, and the bond market and bear market continued to fluctuate.

Since 10, the fundamentals have increased, the economic recovery has slowed down, and the supply of superimposed interest rate bonds has continued to fall. However, due to the impact of tax payment, the bond market fell and ushered in a slight rebound, continuing the bear market shock.

1 1 In the first ten days, the supply of the bond market declined, the pattern of supply and demand continued to improve, and the monetary policy remained stable, making it difficult to tighten in the short term. Most of the tax payment in the overlapping year has passed, and the fiscal expenditure at the end of the year is expected to accelerate, and the favorable factors of funds will increase. Since the middle of 1 1 (rising to 165438+ 10/0), sudden credit risk fermentation (Yongmei defaults 165438+ 10.

1.2 20-year bond market: from Niudu to Xiong Ping.

This year, the central bank lowered the MLF interest rate (1 year) and the reverse repo rate (7 days) twice, and the short-term interest rate dropped sharply, which made the term spread of 10- 1y national debt expand to 147BP in mid-May, the largest since August 20 15.

From April 30th, cowpea moved to Xiong Ping, and as of October 24th, the term spread narrowed by 65438+ 107BP to 32BP, a record low of nearly one year.

1.3 Bond market differentiation: Since May, interest rates have been bearish and credit has been bullish.

Since the beginning of this year, the yields of credit bonds and government bond index have been 2.8% and 1.4% respectively (as of June 24, 165438, annualized, the same below); Since the opening of the bear market in May, the differentiation of the bond market has intensified. As of June 9 165438, the yield of credit bond index was 0.4%, and that of government bond index was -6.8%. Since June165438+1October 10, the credit bonds and interest rate bonds have fallen sharply, with index yields of -9.4% and -4.6% respectively.

2. Government debt may slow down, and the turning point of social integration is approaching.

2. 1 Looking at the growth rate of social financing next year from the central bank's goal.

Starting from 19, the intermediate target of monetary policy was changed to M2, and the growth rate of social financing scale basically matched the nominal growth rate of GDP. We think that 20021year is still in the stage of stable leverage, so the growth difference between social integration and nominal GDP should be higher than1.3% (the average value of the growth difference between social integration and nominal GDP in17 and 18). Combined with the data of 19, the difference between social integration and nominal GDP growth is about 2.6% or 0.3%.

It is estimated that it is difficult to significantly increase the deficit ratio target of 202 1. According to the changing law of GDP and target deficit ratio, and considering that there is still room for China government to increase leverage, it is difficult to significantly reduce the scale of deficit ratio and special bonds next year. In addition, we expect that the proactive fiscal policy will be restored from "more active and promising" in 2020 to "paying attention to actual results" or "improving quality and increasing efficiency" next year. Considering the special situation this year, it is very difficult for deficit ratio to raise the price by 2 1, and it is expected that the special national debt will withdraw.

2.2 National debt may drop slightly, and social financing may be high at the beginning of the year.

We discuss the deficit scale of government bonds in three scenarios. It is estimated that the probability of optimistic and neutral assumptions is higher, and the corresponding net financing amount of national debt is reduced by 700-800 billion yuan and 1.3 trillion yuan respectively compared with 20 years:

A) Optimistic assumption: deficit ratio is flat at 3.6%, special bonds are flat at 3.75 trillion, and net financing of national debt is 7.6 trillion, which is 700-800 billion yuan less than that in 20 years;

B) Neutral hypothesis: deficit ratio will be lowered to 3.3%, special bonds will be lowered to 3.5 trillion yuan, and the net financing of national debt will be 7. 1 trillion yuan, a decrease of10.3 trillion yuan compared with 20 years;

C) Pessimistic assumption: deficit ratio will be lowered to 3.0%, special bonds will be lowered to 3.3 trillion yuan, and the net financing of national debt will be 6.5 trillion yuan, a decrease of 1.9 trillion yuan compared with 20 years.

It is expected that the credit growth rate will decline next year. The growth rate of real estate and infrastructure loans will weaken next year. It is estimated that the main support of credit next year will come from medium and long-term loans from residents and manufacturing industries. The former will benefit from the downward trend of residential mortgage interest rate, while the latter will benefit from the recovery of inventory cycle. We estimate that the new credit will be 19.6 trillion yuan in 20021year, and the annual credit growth rate will be reduced to about 1 1.5%.

The growth rate of social financing scale next year may be around 12%, with a high point or at the beginning of the year. As of June 26th, 2020, 165438+ The Ministry of Finance has not issued the pre-approval limit for new local bonds in 20021year, which may be related to the recent documents issued by the Ministry of Finance. We believe that the issuing rhythm of national debt of 202 1 is stable. Therefore, we discuss the situation according to the rhythm of national debt issuance (steady or 19 rhythm)+the scale of national debt financing next year (optimistic or neutral hypothesis). The results show that the growth rate of social financing scale at the end of next year is between 1 1.8%- 12%, and the monthly growth peak of social financing scale at the beginning of next year is 650.

2.3 The peak of social integration does not mean that interest rates will peak and fall immediately.

The growth rate of social financing is ahead of the changes in the bond market. Usually, the rebound of social financing growth rate is transmitted to the bond market faster than the impact on the bond market when the growth rate of social financing slows down.

On the one hand, the recovery of social finance usually falls back 0~3 months earlier than that of the bond market, with the exception of 15 (about 1.5Y earlier than that of the bond market). 65438 in 2005+65438 in February 2008+the growth rate of social financing scale rebounded in May 2002 and May 2000, corresponding to the increase in the yield of national debt in March 2006, February 2008, July 2002 and May 2000. However, in May of 15, the growth rate of social financing scale was about 1.5Y ahead of the bond market, mainly due to the rapid development of channel business in 15- 16 and the continuation of the asset management market.

On the other hand, the rising time of the leading bond market is quite different, ranging from six months to two years. In the first half of 2008 and the second half of 13, the growth rate of social financing scale was about half a year ahead of the bond market; In the rest of the time, social integration will fall back for a long time, about 1~2 years. For example, in 2003, 65438+February, 65438+1October, 65438+April, 2006, the growth rate of social financing scale decreased, corresponding to the yield of 10Y national debt in 2004,1October/kloc-0.

3. The economy has recovered steadily, and the inflation risk still exists.

In 2020, the economy showed a V-shaped trend. Judging from the troika, the export growth rate continued to exceed expectations, real estate investment continued to maintain resilience, consumption and manufacturing investment recovered slowly, and infrastructure investment was far below market expectations at the beginning of the year. How to judge the economic trend next year, we also analyze it from infrastructure, investment and consumption.

3. 1 manufacturing investment may become a bright spot next year

In June 5438+ 10, the cumulative year-on-year decline in manufacturing investment continued to narrow to -5.3%, and the growth rate of that month has rebounded to 3.7%, and the manufacturing PMI is still in the expansion range.

Industrial enterprises are changing from passive replenishment to active replenishment. From June 1 to June 10, the total profit of industrial enterprises above designated size turned from negative to positive to 0.7% year-on-year, achieving the first positive growth in the year, in which the growth rate of total profit in June 10 was greatly increased to 28.2%. At the end of 10, the growth rate of finished goods inventory of industrial enterprises dropped to 6.9%, and the growth rate of inventory turned from rising to falling. The inventory-to-sales ratio of industrial enterprises rebounded to 48%, still lower than the level of the same period in the past two years. 10 inventory turnover days increased by10.5 days to 18.8 days, and the continuous decline in the year-on-year growth rate meant that the pressure of unloading gradually eased. Looking ahead, with the continuation of economic recovery and the gradual reduction of destocking pressure, the inventory of industrial enterprises still tends to be replenished.

In addition, leading indicators such as M 1 and PPI have bottomed out one after another, and industrial enterprises are shifting from passive destocking to active replenishment, and the contribution of inventory cycle to economic promotion will further increase. On the whole, with the recovery of demand and the improvement of profitability, the growth rate of manufacturing investment will continue to improve, and the endogenous growth momentum of the economy remains strong.

3.2 Infrastructure investment recovery is limited.

From May to September, with the decline in the proportion of special infrastructure debt (from 78% in May 438+0-April to 44% in June 5438+00), the growth rate of infrastructure investment in that month continued to fall (the old caliber dropped to 4.8%, and the new caliber dropped to 3.2%). At the end of the year, the progress of the project was accelerated, and the growth rate of infrastructure investment rebounded in the month of 10 (the old caliber rebounded to 7.3%, and the new caliber rebounded to 4.4%). We predict that the issuance of national debt next year will hardly exceed this year, but after the epidemic, public expenditure may be more biased towards infrastructure projects. If the proportion of government financing for infrastructure in the future is higher than the second half of this year, the growth of infrastructure investment is expected to continue into the first half of next year, but the rebound may be limited.

3.3 The growth rate of real estate investment slowed down

Since July, the national real estate prosperity index has been above 100 for four consecutive months, indicating that the real estate industry is still hot. In June 5438+ 10, the growth rate of real estate development investment rebounded slightly to 12.2%, which is the highest growth rate since August 18, and it is still the mainstay supporting the current investment growth rate. In June 5438+ 10, the year-on-year growth rate of commercial housing sales, new construction, construction and completed area all rebounded (by 8, 5, 3 and 24 percentage points to 24%, 4%, -2% and 6% respectively). Under the constraint of financing, the capital demand of real estate enterprises to accelerate the withdrawal of funds has increased, and the growth rate of real estate sales and new construction has supported the high growth rate of real estate investment.

Looking forward to the future, if the growth rate of real estate financing is limited by three red lines, with the steady progress of the new financing regulations for housing enterprises, half of the housing enterprises will be affected to some extent, and the growth rate of real estate financing will also slow down. Under the constraint of financing, housing enterprises tend to speed up turnover, and the real estate cycle will continue to lengthen.

However, considering that residents' loans are still supported, China's urbanization dividend still exists, the real estate market will develop steadily due to the city's policy, and the emphasis on urbanization and metropolitan area construction in the Tenth Five-Year Plan, we believe that the real estate growth rate will remain flexible next year, and the monthly growth rate will slow down.

3.4 Consumption is expected to continue to pick up.

From June 5438- 10, the year-on-year growth rate of total social consumption and retail sales rebounded to 4.3%, which was still far from the growth rate of about 8% before the epidemic. It is expected that consumption will continue to rise in the future. The main reasons are:

) 1 the rebound in inflation has prompted the nominal growth rate of consumption to rebound. The continuation of the upward trend of PPI next year will rebound the nominal growth rate of consumption.

There is still a lot of room for tourism recovery, which will help speed up consumption. Since February, although the volume of trips has rebounded linearly, by September, the level of passenger flow only rose to 6 1% of the average level of the same period in the past five years, so there is still much room for recovery, and its subsequent recovery will help accelerate consumption.

3) Employment continues to improve, the gap between residents' income and consumption is large, and the consumption potential still exists. As of September, the urban unemployment rate was 5.4%, 0.8 percentage points lower than that in February, but it still did not return to the employment level of 18 and 19 (the unemployment rate was 4.8%~5.2%). With the continuous improvement of employment data, residents' willingness to consume will become stronger. In terms of income, as of September 20, the cumulative year-on-year growth rate of per capita disposable income was 2.8%, which was at a historically low level, and there was a big gap between the growth rate of residents' income and consumption. Generally speaking, the consumption potential still exists.

) 4 The urbanization dividend is still there, supporting the recovery of consumption. . In 20 18, the urbanization rate of China was 59%, which was still about 23 percentage points behind the level of developed countries. Since 20 15, the urbanization rate has also been slowing down. Therefore, the urbanization rate of China still has a lot of room for improvement.

3.5 Export power switching, external demand toughness continued.

In the second half of this year, the resumption of work and epidemic prevention will support our external demand in parallel. Thanks to the effective control of the epidemic, the recovery of foreign trade is also leading the world. The proportion of China's exports in the world has greatly increased. Since June, China's export growth rate has maintained positive growth for four consecutive months. Specifically, from April to May, it was mainly supported by epidemic prevention materials. In May, the total export growth rate of textile products, medical instruments and appliances and plastic products was as high as 72.2%. From June to July, the propaganda of epidemic prevention declined, and many overseas countries gradually lifted the embargo. The recovery of production and life continues to support China's external demand. In August, the year-on-year growth rate of exports rebounded to 9.5%, and the promotion of epidemic prevention materials still has support. Coupled with the recovery of overseas economy, the overall export data of several categories improved, and overseas countries turned from the anti-epidemic stage to the resumption of production. The resumption of work and epidemic prevention supported China's external demand in parallel.

As of 10, the global manufacturing PMI was in the expansion range for four consecutive months; Japan's manufacturing industry continues to shrink, but the expansion of manufacturing industry in the United States and the euro zone is increasing. According to the forecast data of IMF, the economic growth of major economies will turn from negative to positive in 20021year. Although the rebound of overseas epidemic will slow down the pace of economic recovery, fortunately, with the continuous decline of epidemic mortality and the orderly advancement of vaccine research and development, the impact of a small rebound of epidemic on the economy will gradually weaken.

As of165438+1October 3rd, there are 20 kinds of vaccines in the world. If the vaccine is popularized and the overseas economy recovers strongly, the growth rate or decline of China's exports tends to be normal, but the overall center may still be higher than normal. 1On October 25th, Sinopharm Group 165438+ announced that it had submitted an application for the listing of COVID-19 vaccine to the State Administration of Pharmaceutical Products. According to reports, China Bio is ready for large-scale production, and its production capacity is expected to reach more than 654.38 billion doses next year, which can ensure a safe and sufficient vaccine supply.

3.6 Inflation is restarting.

The core CPI will rise next year, and the CPI pressure is limited. In June, 5438+ 10, the CPI dropped to 0.5% year-on-year. Since August, the price of pork has continued to drop significantly, and the number of live pigs on hand and the number of live pigs slaughtered have risen sharply. As the contradiction between supply and demand of pork continues to ease, the price of pigs may continue to fall. From June to September, the core CPI continued to rise to 0.2% year-on-year, and fell back to 0. 1% in June 6+ 10/0.

The upward risk of PPI has not been eliminated. Although the PPI declined briefly from September to June in 2008+00, looking forward to the first half of next year, the domestic economy will recover steadily and the foreign economy will gradually recover. In addition, financial supervision in the United States and Europe will be relaxed, and global central banks will be more relaxed than before (for example, the United States will directly monetize the fiscal deficit), which will aggravate the low base utility of crude oil prices next year and the global inflation risk will heat up.

Judging from the PPI operation cycle, this round of PPI recovery will continue until the second quarter of next year. Since 1996, PPI has experienced several rounds of ups and downs, and the average duration of ups and downs is 13 months and 19 months respectively. In May this year, PPI bottomed out in stages, and the year-on-year growth rate dropped to -3.7%. According to the average number of months in the rising stage, the trend of PPI fluctuation and recovery may continue until June next year.

It is expected that PPI will rise first and then fall next year. The changes of international oil price and domestic rebar price explain the year-on-year growth rate of PPI in China about 94%, and the forecasting effect of PPI inflection point is relatively good. The forecast results show that PPI tends to pick up next year, with a high probability in May next year.

4. The central bank reopened the floodgates and began to implement new asset management rules.

4. 1 Desalinate the quantitative target and construct a double loop.

20201The Fifth Plenary Session of the 19th Central Committee held from October 26th to 29th, and the "Proposal" of the 14th Five-Year Plan qualitatively gave the economic development goal of China in 2035. The relevant expressions are: the economic aggregate and the per capita income of urban and rural residents will reach a new level; Per capita GDP has reached the level of moderately developed countries, and middle-income groups have expanded significantly; The gap between urban and rural regional development and the gap between residents' living standards has narrowed significantly.

The Fifth Plenary Session played down the quantitative target and focused on improving quality and efficiency. The focus of the "14 th Five-Year Plan" is internal circulation, which focuses on expanding consumption and independent innovation. By making the capital market bigger and stronger, we will promote urbanization, accelerate the construction of metropolitan areas, and accelerate the flow of population.

4.2 The central bank revisited the currency gate to confirm the currency normalization.

Short-term austerity still lacks fundamental support. On the one hand, the current economic growth rate has not returned to the potential growth level, and inflation has been declining since September. On the other hand, the central bank said that the macro leverage ratio should be allowed to rise in stages during the special period of the epidemic, which indicates that the leverage ratio will be more stable next year, which means that the central bank will return to stable leverage from staged tolerance leverage next year. Generally speaking, the stability of monetary policy at this stage is expected to continue, and whether it will be tightened in the future depends on fundamental factors such as the sustainability of economic recovery and the upward trend of PPI next year.

4.4 At the end of the year, the deposit interest rate fluctuated at a high level.

1 year certificate of deposit interest rate is anchored by 1 year MLF, and the spread relationship between them is: monetary easing stage:-9bp; In the period of monetary tightening and deleveraging, the deposit certificate interest rate is much higher than the MLF interest rate; Currency neutral stage -30~ 15BP.

The marginal tightening of money, excessive credit, shrinking cargo base and falling structural deposit pressure are the main reasons for the rise in the volume and price of certificates of deposit since May. In the fourth quarter, monetary policy remained neutral, and credit growth slowed down, but the structural deposit pressure was still relatively high (according to the pressure drop of 2/3 at the beginning of the year, the monthly pressure drop scale of large banks and small and medium-sized banks increased by 165% and decreased by 23% respectively), and the deposit interest rate fluctuated at a high level.

4.5 Liquidity reappears layer by layer, but it is better than during the contractor's incident.

In June165438+1October 10, Yongmei defaulted more than expected. Historical experience shows that unexpected credit risk will lead to rising liquidity risk and liquidity stratification. First, the standard of pledge bonds has improved, and it is more difficult to pledge financing. Second, the storm will lead to an increase in risk aversion and increase the pressure of product redemption. Under the pressure of redemption, interest rate bonds and convertible bonds with good liquidity will be sold first. From the experience of 16 and 19, with the introduction of policies to alleviate credit risk and protect liquidity, the bond market will have the opportunity to rise after overshoot.

4.6 Foreign investment in bonds slowed down and the pressure on banks to allocate bonds eased.

Foreign investment bonds have slowed down, but there is still support in the follow-up. In June, 5438+ 10, the foreign debt allocation ended the trend of increasing its holdings of 1000 billion yuan for three consecutive months, and the monthly increment dropped back to 54.5 billion yuan, which obviously slowed down the debt allocation power. Looking forward to the follow-up, we believe that the follow-up foreign debt allocation still has support, mainly:

1) The bond market is interconnected, and the trading time of spot bonds is extended, which is beneficial for overseas institutions to participate in domestic bond market transactions; 2) The bond market is open to the outside world. In September this year, FTSE Russell announced the inclusion of China bonds in WGBI Index 202 1 to 10 (further confirmation will be made in March next year). According to past experience, before and after the international bond indexes (BBGA index and GBI-EMGD index) are included, the speed of foreign capital flowing into the domestic bond market is obviously accelerated; 3) RMB exchange rate has long-term support; 4) The Fifth Plenary Session emphasized that "a new pattern of opening-up should be formed ... a high level of opening-up should be implemented", and opening-up should be deepened to make it easier for foreign capital to enter the market.

On June 5438- 10, the growth rate of bank positions reached 18%, the highest growth rate in the past year, indicating that the motivation for debt allocation is strong; The proportion of bank assets and liabilities increased by 0.6 percentage point, and the proportion of loans increased by 1. 1 percentage point, so credit occupied the allocation space of bank liabilities.

Looking forward to the future, the pressure of bank debt allocation will ease, and the debt allocation space will pick up. The main reasons are: 1) It is expected that the supply of the bond market will decline next year; 2) After the social integration peaked, the growth rate slowed down and the credit pressure eased; 3) The general loan interest rate of banks continues to fall, and the asset price ratio in the balance sheet has improved; 4) Under the new rules of real estate financing, the funds used for real estate lending are expected to flow to the bond market; 5) The new asset management regulations have entered a critical period, which is conducive to the flow of funds to the bond market.

The allocation of annuity bonds is on the rise. From 20 16 to 20 18, the growth rate of managed enterprise annuity assets is 24%, 2 1% and 20% respectively. From June 5438+0 to June 5438+0 in 2020, the total amount of annuity bonds held by the exchange was 602.2 billion yuan, an increase of 48.5 billion yuan, accounting for 4% and 2% of the total amount and increment of the exchange (Shenzhen Stock Exchange+Shanghai Stock Exchange) respectively, with credit bonds as the main position structure.

The new regulations on asset management have entered a critical stage. By the end of June 2020, the surviving scale of wealth management products of net-worth banks was about 13.24 trillion yuan, up 67% year-on-year, accounting for 53.82% of the remaining balance of all wealth management products, and the transformation progress of bank net-worth wealth management products was over half. However, it is still difficult to rectify the bank's financial management. The main difficulty is that the existing assets are difficult to resolve. Specifically, the solution of unlisted equity assets or industrial funds in existing assets, non-performing assets in off-balance sheet financing and capital replenishment tools of commercial banks are still the key. In addition, the pressure of rolling renewal of trust non-standard rectification is still relatively high, the supervision of cash management wealth management products is becoming stricter, and the scale rate of return is facing a double decline.

The non-standard pressure drop will be even greater next year. At the end of 20 19, wealth management held 3.7 trillion non-standard assets. In 20 19, the nonstandard pressure drop was slow, only 1 4 billion yuan, while in 18, the nonstandard pressure drop was nearly1trillion yuan, accounting for about 43% of the nonstandard reduction in that year. The new regulations on asset management will be postponed next year, and the financial rectification needs to be accelerated. The pressure of non-standard pressure drop of superimposed trust is still large, and the real estate financing is tightened, and the pressure of non-standard pressure drop is even greater.

Looking for relative value, waiting for the inflection point of interest rate

5. 1 Fundamental inflection point is not reached.

Judging from the adjustment range and duration, the debt bear is still short of heat at the end of this round. Since 2002, the average duration of China's bond bear market has been 15 months, and the yield of ten-year bonds has increased by 154BP on average.

5.2 The inflection point of interest rate has not arrived.

Judging from the leading indicators of the bond market, the growth difference of social financing -M2 peaked twice in June 5438+10 in 20 years. If the bear turns to cattle in July and August, the debt bear will not end until the second quarter of next year. Judging from the high-frequency indicators of the bond market, the implied tax rate is currently stable at 13~ 15%, which is far from the bear tail signal (2 1%). In addition, the bear tail interest rate in the last three rounds has been overshooted above the historical average. The end of the bear market is a gesture of Xiong Ping, but the current interest rate has not been overshooted above the average.

5.3 The upward trend of interest rate has peaked: the interest rate center corresponding to the long-term target is around 3.2%.

In the next fifteen years, the interest rate center of 10 national debt may be around 3.2%. On the one hand, deleveraging pushes interest rates to open the downward channel. In the short term, the probability of next year is stable leverage; In the long run, during the epidemic, the government, residents, enterprises, etc. There is a phased lever increase. However, with the recovery of economic growth coming to an end, the prevention and resolution of systemic risks will be paid more attention. Under the influence of policy tightening, widespread withdrawal of credit, real estate financing and other factors, the leverage ratio of various departments will drop to a reasonable level, which will further push interest rates to open a downward channel.

On the other hand, the potential growth rate of China's economy is declining, and the interest rate trend is declining. The potential economic growth rate is declining, mainly because: China's demographic dividend has a downward inflection point since 20 10; Since 20 15, the speed of urbanization has been slowing down continuously; Since 20 17, China has started financial deleveraging. 18, the new asset management rules broke the rigid exchange+de-channel+non-standard, and reduced the growth rate of monetary liabilities; In addition, the loose monetary policy in the early stage overdrawn the potential of future economic growth; In the future, with the decline of labor and capital supply, the potential growth rate of China's economy will further decline.

Because the yield of China's ten-year national debt is basically the same as the nominal GDP growth rate, China's economy has shifted from high-speed growth to high-quality development. With the slowdown of economic growth, the interest rate center of the bond market will also decline.

5.4 bond market external price comparison

Compared with stocks, interest rate bonds have improved their cost performance, but it is hard to say that they are "cheap". Compared with A-shares, the bond market price has risen to the historical center: the dividend yield of Shanghai and Shenzhen 300 and the spread of 10-year government bonds are at 51%since 2005; Since 20 10, the spread between E/P and 10-year treasury bonds on the Growth Enterprise Market is 37% (the data is up to 20 165438+24 10, the same below).

Compared with loans, the price-performance ratio of the bond market has improved, but it is still slightly lower: the spread between ten-year treasury bonds and loan interest rates has rebounded to the level of the first half of 19, with a distance of 30% from 20 10 and a distance of 14BP from the historical median level.

Relative US debt: The spread between China and the United States is relatively high, which may narrow slightly in the later period. As of June 24th, the spread of Sino-US treasury bonds in 1 10 was 24 1bp, which was at an all-time high. At the Fed's meeting on interest rates in June, 165438+ 10, he said: The Fed will keep interest rates unchanged and announced that it will keep its easing policy until it achieves the maximum employment and the long-term inflation target of 2%. In addition, Powell said that the monetary policy of the United States has not been "exhausted" and the economic recovery is still far from reaching the goal. We think this means that the subsequent easing efforts may increase. Monetary easing+great pressure on US debt supply+resumption of work and production = sharp drop in US debt. The narrowing of the spread between China and the United States may be achieved by accelerating the upward trend of US bond yields (US inflation is higher than expected) or relatively slowing down the upward trend of Chinese bonds (domestic inflation is lower than expected+a large amount of overseas funds flow into the bond market).

5.5 Comparison of internal prices in bond market

The short-term allocation value of interest rate bonds is higher. As of June 24th, 165438 (the same below), short-term treasury bonds (3m, 1Y, 3Y) have the highest allocation value (the yields are all above the historical median), the allocation value of treasury bonds is higher than CDB, and the allocation value of short-term treasury bonds (3m) is higher (the yields are all above the historical median).

In the past 30 years, the scarcity of varieties has increased. Although the historical quantile of 30-year interest rate bonds is low, the Opinions on Further Improving the Issuance of Local Government Bonds issued by the Ministry of Finance on June 5438+0 10 put forward a limit on the term of newly added general bonds (10 accounts for no more than 30%, while this year's1-0/0 accounts for as much. And the refinancing of general bonds should be controlled below 10 (0%). It is expected that the issuance period of subsequent local bonds will be shortened, 30-year local bonds will become scarce bonds, and their allocation value (especially for insurance institutions) will be highlighted.

Compared with debt-to-debt swaps, the allocation value of interest rate bonds is slightly lower: the spread of YTM- 10 convertible bonds below 80 yuan is 96% quantile, while the spread of other parity pure bonds in 10 Guo Kai is relatively small (below 60% quantile).

The improvement of the allocation value of short-term interest rate bonds relative to credit bonds can be seen from the following aspects:

In terms of absolute interest rate, due to the sudden credit default, the bond market has been greatly adjusted. The yield of credit bonds (AAAAA- 1Y short-term financing 3Y5Y winning the ticket, the same below) is basically above 30%, and the yield of interest rate bonds is basically around 30%~70%.

In terms of spreads: the spreads between CDB and credit bonds have widened (both above 30% quantile), and the spreads of AAA 3Y5Y tickets are higher than 50% quantile;

Leverage arbitrage: At present, the leverage arbitrage space of 1 year short-term financing (AAAAA), 5Y China Banking Corporation (AAA) and 5Y China Banking Corporation is acceptable (located at 48%46%, 46% and 4 1% quantiles), while the leverage arbitrage space of AA-level 5Y China Banking Corporation is relatively small, located at 37% quantiles.

5.6 Keep the word steady and wait for the turning point.

This thesis comes from "Macro Bond Research in Chao Jiang".