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债券收益率整体上行 境外机构持续增持

——2021年10月债券市场分析报告

作者:陈樱子 王明元 来源:《债券》 发布时间:2021-11-23

   

   

  202110月,国际大宗商品价格整体大幅上涨,全球通胀压力增大,美国居民消费价格指数(CPI)同比增长6.2%,欧元区CPI同比增长4.1%。国内CPI同比上涨1.5%,工业生产者出厂价格指数(PPI)同比上涨13.5%,制造业PMI49.2%。本月货币政策操作实现资金净投放1600亿元,货币市场利率涨跌不一。债券收益率整体上行,中债-新综合指数(净价)有所下降。交易结算量大幅增长,境外机构持续增持。

  

  宏观经济情况

   

  (一)国际情况

   

  10月,国际大宗商品价格整体大幅上涨。纽约商品交易所(COMEX)黄金期货价格收于1785.0美元/盎司,较上月末上涨1.56%。纽约商品交易所(NYMEX)原油期货价格收于83.22美元/桶,较上月末上涨10.78%。伦敦金属交易所(LME)期铜收于9544.0美元/吨,较上月末上涨6.66%LME期锌收于3397.5美元/吨,较上月末上涨12.78%LME期镍收于19635美元/吨,较上月末上涨9.14%

   

  美国方面,10月新增非农就业人数53.1万人,预期45万人,前值为19.4万人。失业率为4.6%,预期值为4.7%,前值为4.8%。核心PPI同比增长6.8%,预期增长6.8%,前值为增长6.8%CPI同比增长6.2%,预期增长5.9%,前值为增长5.4%;核心CPI同比增长4.6%,预期增长4.3%,前值为增长4%。美国供应管理协会(ISM)制造业采购经理指数(PMI)为60.8%,预期值为60.5%,前值为61.1%ISM非制造业PMI66.7%,预期值为62.0%,前值为61.9%

   

  欧元区方面,10月调和CPI同比增长4.1%,预期增长3.7%,前值为增长3.4%;核心CPI同比增长2.1%,预期增长1.9%,前值为增长1.9%Markit数据显示,10月制造业PMI58.3%,预期值为58.5%,前值为58.5%;服务业PMI54.6%,预期值为54.7%,前值为54.7%;综合PMI54.2%,预期值为54.3%,前值为54.3%

   

  (二)国内情况

   

  1.CPI涨幅有所上涨

   

  10月,我国CPI同比上涨1.5%,涨幅比上月扩大0.8个百分点,其中,消费品价格上涨1.6%,服务价格上涨1.4%CPI环比上涨0.7%,其中,消费品价格上涨1.1%,服务价格上涨0.1%

   

  2.PPI涨幅扩大

   

  10月,我国PPI同比上涨13.5%,涨幅比上月扩大2.8个百分点;环比上涨2.5%,涨幅比上月扩大1.3个百分点;工业生产者购进价格同比上涨17.1%,环比上涨2.6%

   

  3.制造业PMI49.2%

   

  10月,中国制造业PMI49.2%,低于上月0.4个百分点,继续低于临界点。非制造业商务活动指数和综合PMI产出指数分别为52.4%50.8%,继续保持扩张。

   

  4.社会融资规模存量同比增长10%

   

  10月末,社会融资规模存量为309.45万亿元,同比增长10%。社会融资规模增量为1.59万亿元,同比多增1970亿元。

   

  5.M1同比增长2.8%,M2同比增长8.7%

   

  10月末,本外币贷款余额为196.38万亿元,同比增长11.4%。其中,人民币贷款余额为190.29万亿元,同比增长11.9%,增速与上月末持平,比上年同期低1个百分点。10月末,本外币存款余额为236.42万亿元,同比增长9.2%。其中,人民币存款余额为229.95万亿元,同比增长9.1%,增速比上月末高0.5个百分点,比上年同期低1.2个百分点。

   

  10月末,广义货币(M2)余额为233.62万亿元,同比增长8.7%,增速分别比上月末高0.4个百分点,比上年同期低1.8个百分点;狭义货币(M1)余额为62.61万亿元,同比增长2.8%,增速分别比上月末和上年同期低0.9个和6.3个百分点;流通中货币(M0)余额为8.61万亿元,同比增长6.2%

   

  6.货币政策工具实现净投放

   

  10月,货币政策工具操作实现资金净投放1600亿元(见表1)。中国人民银行通过逆回购操作投放13900亿元,通过国库现金定存投放700亿元,通过中期借贷便利(MLF)投放5000亿元;通过逆回购到期回笼12300亿元,通过国库现金定存到期回笼700亿元,通过MLF到期回笼5000亿元。

   

   

   

  货币市场运行情况

   

  10月,货币市场平均利率与上月平均利率相比涨跌不一。银行间回购R01D品种平均利率下行8BP,为2.0218%;日均成交量为33859亿元,环比增加6.81%R07D品种平均利率较上月上行3BP,至2.2844%;日均成交量为2958亿元,环比减少23.59%

  

  债券市场价格走势及特点

   

  (一)债券收益率整体上行

   

  10月,债券收益率整体上行。分券种来看,国债、政策性金融债、企业债(AAA)和中短期票据(AAA)各关键期限点平均收益率(不含隔夜收益率)分别为2.7560%2.8544%3.3334%3.2699%,较上月末分别上行11.75BP9.94BP0.19BP3.00BP

   

  (二)国债收益率整体上行,中期国债收益率涨幅较大

   

  10月,1年期国债收益率较上月末下行2BP,至2.31%5年期国债收益率较上月末上行13BP,至2.8438%10年期国债收益率较上月末上行10BP,至2.9732%15年期国债收益率较上月末上行6BP,至3.32%30年期国债收益率较上月末上行7BP,至3.498%

   

  (三)中债-新综合净价指数有所下降

   

  10月,中债-新综合净价指数从上月末的100.9659点下降至本月末的100.6342点,下降0.3285%;中债-新综合财富指数从上月末的209.8546点下降至本月末的209.7583点,下降0.0459%

  

  债券市场交易结算情况

   

  10月,中央结算公司办理交易结算72.79万亿元,同比增长31.44%。其中,现券交易结算量为9.31万亿元;回购交易结算量为62.71万亿元。现券结算量最大的三类机构为商业银行、证券公司和非法人产品,结算量分别为8.39万亿元、6.74万亿元、2.57万亿元。中央结算公司登记债券的换手率平均为10.98%(见表2)。其中,交易较活跃的债券为政策性银行债、商业银行债券和记账式国债,换手率分别为27.10%12.97%11.40%

   

   

   

  债券市场存量和发行情况

   

  截至10月末,中央结算公司托管总量为84.56万亿元,同比增长12.63%;上海清算所托管总量为14.74万亿元,同比增长7.33%;中国结算托管总量为15.68万亿元,同比增长17.79%

   

   

   

  10月,中央结算公司登记发行债券2.01万亿元,发行量前三大券种分别是地方政府债、国债和政策性银行债。其中,地方政府债登记发行8688.60亿元,占比43.20%;国债登记发行6267.00亿元,占比31.16%;政策性银行债登记发行3285.20亿元,占比16.34%

  

  境外机构动态

   

  10月末,境外机构在中央结算公司的托管量为3.52万亿元,同比增长31.09%,环比增持226亿元,为境外机构连续35个月增持。境外机构通过全球通持债占比73.83%,通过债券通持债占比26.17%。境外机构持有前三大券种分别是国债、政策性银行债和商业银行债券。

    

   

   

  Bond Yields Shifted up and Foreign Investors’ holding Increased Further

  -- Bond Market Analysis for October 2021

   

  In October 2021, international commodity prices increased rapidly overall and the global inflation pressure has been increased. The US Consumer Price Index (CPI) increased by 6.2% year-on-year while the CPI of euro area increased by 4.1% year-on-year. In China, CPI increased by 1.5% year-on-year, Producer Price Index (PPI) increased by 13.5% year-on-year, Manufacturing Purchasing Manager’s Index (PMI) was 49.2%. In this month, monetary policy operations achieved a net money release for the amount of RMB 160 billion, and the rate of currency market showed ups and downs. Bond yields shifted up overall, and ChinaBond New Composite Index declined to some extent. The transaction and settlement of bonds market grew significantly, foreign investors’ holding increased further. 

  

  I. Macro Economy

   

  i. International Economy. 

   

  In October, the international commodity prices increased rapidly overall. COMEX Gold Futures Prices closed at $1,785.0/oz, up 1.56% from the end of last month. NYMEX Crude Oil Futures Prices closed at $83.22/BBL, up 10.78% from the end of last month. LME Copper Futures Prices closed at $9,544.0/ton, up 6.66% from the end of last month. LME Zinc Futures Prices closed at $3,397.5/ton, up 12.78% from the end of last month. LME Nickel Futures Prices closed at $19,635/ton, up 9.14% from the end of last month.

  

  In the US, the non-agricultural employment added 531 thousand, compared with the expectation of 450 thousand and 194 thousand last month. The unemployment rate was 4.6%, lower than the expected 4.7%, compared with 4.8% in the previous month. Core PPI rose by 6.8% year on year, same with the expected 6.8% and 6.8% in the previous month. CPI increased by 6.2% year on year, compared with the expected 5.9% and 5.4% in the previous month. Core CPI increased by 4.6% year on year, compared with the expectation of 4.3% and 4% in the previous month. The ISM manufacturing PMI was 60.8%, compared with the expectation of 60.5% and 61.1% in the previous month. The ISM non-manufacturing PMI stood at 66.7%, compared with the expected 62.0% and 61.9% in the previous month.

  

  As for the euro area, in October the adjusted CPI increased by 4.1% year on year, higher than the expected 3.7%, compared with 3.4% in the previous month; Core CPI increased by 2.1% year on year, compared with the expected 1.9% and 1.9% in the previous month. According to Markit, in October manufacturing PMI was 58.3%, lower than the expected 58.5% and 58.5% in the previous month; Service PMI stood at 54.6%, compared with the expected 54.7% and 54.7% in the previous month; Comprehensive PMI stood at 54.2%, compared with the expected 54.3% and 54.3% in the previous month.

  

  ii. Chinese Economy.

   

  1.The increase of CPI rose 

   

  In October, CPI increased by 1.5% year-on-year, 0.8 percentage higher than that of last month. Consumer prices rose by 1.6%, service prices rose by 1.4%. CPI rose by 0.7% month-on-month. Consumer prices rose by 1.1%, service prices rose by 0.1%.

   

  2.The increase of PPI expanded

   

  In October, PPI rose by 13.5% year-on-year and 2.5% month-on-month, 2.8 percentage higher than the last year and 1.3 percentage higher than the last month respectively; Industrial producer purchasing price rose 17.1% year-on-year, rose by 2.6% month-on-month.

   

  3.Manufacturing PMI was 49.2%

   

  In October, Chinese manufacturing PMI was 49.2%, 0.4 percentage points lower than the last month. Non-manufacturing business activity index was 52.4% while the Comprehensive PMI output index was 50.8%, remaining the expanding trend.

   

  4.The stock of Aggregate Financing to Real Economy rose by 10% year on year

   

  At the end of October, the stock of Aggregate Financing to Real Economy was RMB 309.45 trillion, increasing by 10% year on year. The increase of Aggregate Financing to Real Economy was RMB1.59 trillion, increasing by RMB 197 billion year on year.

   

  5.M1 increased by 2.8% and M2 increased by 8.7% year on year

   

  At the end of October, outstanding RMB and foreign currency loans totaled RMB 196.38 trillion, up 11.4% year on year. Outstanding RMB loans reached RMB 190.29 trillion, a year-on-year increase of 11.9%, remaining unchanged compared with the end of last month and 1 percentage points lower than previous year. RMB and foreign currency deposits amounted to RMB 236.42 trillion, up 9.2% year on year. RMB deposits were RMB 229.95 trillion, a year-on-year increase of 9.1%, 0.5 percentage points higher than last month and 1.2 percentage points lower than last October.

  

  At the end of October, M2 stood at RMB 233.62 trillion, up 8.7% year on year, 0.4 percentage points higher than that of the previous month and 1.8 percentage points lower than that of previous year. M1 was RMB 62.61 trillion, up 2.8% year on year, 0.9 percentage points lower than the growth rate of the previous month and 6.3 percentage points lower than that of last year. M0 amounted to RMB 8.61 trillion, increasing by 6.2% year on year.

  

  5.Operation of monetary policy tools achieved a net release

   

  In October, a net amount of RMB 160 billion was release from the market by monetary policy tools (Table 1). The People’s Bank of China provided RMB 1390 billion through reverse repos, RMB 70 billion through deposits of treasury cash, RMB 500 billion through medium-term lending facility (MLF); while withdrawn RMB 1230 billion through close leg of reverse repo, RMB 70 through deposits of treasury cash, RMB 500 billion through matured MLF.

  

   

   

  II. Operation of the Money Market

   

  In October, money market rates basically showed ups and downs compared with the end of last month. The average rate on inter-bank repo R01D basically decreased 8bps, at 2.0218%; the average daily trading volume reached RMB 3385.9 billion, up 6.81% month on month. R07D increased by 3 bps from the end of last month to 2.2844%; the average daily trading volume reached RMB 295.8 trillion, down 23.59% month on month.

  

  III. Price Trend and Characteristics of the Bond Market

   

  i. Bond yield curves shifted up overall

   

  The yields of various bonds shifted up overall in October 2021. Specifically, the average yields of central government bonds, policy bank bonds, enterprise bonds (AAA) and short and medium-term notes (AAA) of key maturities (excluding the overnight yield) was 2.7560%2.8544%3.3334% and 3.2699%, up by 11.75bps, 9.94bps, 0.19bps and 3.00bps respectively compared to the end of last month.

   

  ii. The yields of Central government bonds move up in parallel slightly, the yields of medium-term Central government bonds showed an obvious increasing trend

   

  In October, the yield of one-year central government bonds decreased 2bps to 2.31% from the end of last month, the yield of five-year central government bonds increased 13bps to 2.8438% from the end of last month, the yield of ten-year central government bonds increased 10bps to 2.9732% from the end of last month, the yield of fifteen-year central government bonds increased 6bps to 3.32% from the end of last month, the yield of thirty-year central government bonds increased 7bps to 3.498% from the end of last month.

   

  iii. ChinaBond New Composite Net Price Index decreased to some extend

   

  In October, ChinaBond New Composite Net Price Index decreased from 100.9659 at the end of last month to 100.6342, down 0.3285%. The ChinaBond New Composite Total Return Index decreased from 209. 8546 at the end of last month to 209.7583 at the end of October, down 0.0459%.

  

  IV. Transaction and Settlement in the Bond Market

   

  In October, CCDC recorded transaction and settlement of RMB 72.79 trillion, increasing 31.44% year on year. Specifically, the transaction and settlement volume of cash bond was RMB 9.31 trillion, while that of repos was RMB 62.71 trillion. The most active trading parties for cash bonds registered at CCDC were commercial banks, securities firms and unincorporated products, with settlement value of RMB 8.39 trillion, RMB 6.74 trillion and RMB 2.57 trillion respectively. The average turnover registered at CCDC was 10.98% (Table 2). The active bonds were policy bank bonds, commercial bank bonds and book-entry CGB, with turnovers rate of 27.10%, 12.97% and 11.40% respectively.

  

   

   

  V. Bond Market Outstanding Volume and Issuance

   

  At the end of October, the CCDC’s total bonds outstanding volume were RMB 84.56 trillion, up 12.63% year on year. Those at SHCH reached RMB 14.74 trillion, up 7.33% year on year. Those at CSDC stood at RMB 15.70 trillion, up 19.71% year on year.

  

   

   

  In October, CCDC registered a total bond issuance of RMB 2.01 trillion, and most three largest issuance bonds were local government bonds, government bonds and policy bank bonds. Specifically, RMB 868.86 billion of local government bonds were issued, accounting for 43.20%; RMB 626.7 billion of government bonds were issued, accounting for 31.16%; RMB 328.52 billion of policy bank bonds were issued, accounting for 16.34%;

  

  

  VII. Foreign Investors’ Activities

   

  At the end of October, foreign investors’ holding under CCDC’s custody amounted to RMB 3.52 trillion, increasing by 31.09% year on year and more RMB 22.6 billion than last month, which is the increase of foreign investors’ holding for consecutive 35 months. Of the foreign investors’ holding under CCDC’s custody, amount via the Global Connect accounted for 73.83% and amount via the Bond Connect accounted for 26.17%. The top three bonds held by foreign investors were CGB, Policy bank bonds and Commercial bank bonds.

   

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