20240929-光大期货-2024年四季度国债策略报告_39页_1mb

光大证券2024年四季度国债策略报告总结

一、行情回顾

• 国债收益率下行：三季度国债收益率整体延续下行趋势，各期限收益率创历史新低，十年期国债收益率最低降至2%。9月下旬稳增长措施出台后，宽信用预期强化，债市出现大幅回调，主要期限利差显著扩大。
• 收益率曲线变化：三季度收益率曲线呈现“先平后陡”趋势。8月因政府债发行加速导致资金面收紧，曲线短期走平；8月下旬后经济弱修复叠加资产荒格局，曲线重新陡峭化，10Y-2Y期限利差扩大至73BP。

二、政策动态

• 货币政策积极发力：
  • 9月27日下调存款准备金率0.5个百分点，释放约1万亿元长期流动性。
  • 7天期逆回购利率累计下调30BP至1.5%，央行转向以7天逆回购利率为主要政策利率。
• 央行二级市场操作：央行通过“买短卖长”引导收益率曲线正常化，同时加强预期管理，四季度仍有0.25%-0.5%降准空间，降息概率仍存。
• 专项债发行提速：截至9月底，新增专项债累计发行超3.49万亿元，8月起政策推动下发行速度明显加快。

三、债券供需

• 政府债供给压力集中：三季度政府债净发行超384万亿元，专项债发行进度达89.6%，剩余未发额度约4000亿元。
• 资产荒格局下的需求：在禁止“手工补息”背景下，理财、基金规模增长对债券需求形成支撑，超长期特别国债（如20年、30年期）发行节奏平稳。

四、策略展望

• 短端稳定，长端承压：稳增长政策发力下，四季度经济回暖预期明确，长端债券面临调整压力；降准降息推动资金面合理充裕，短端债券表现相对稳定。
• 收益率曲线陡峭化：预计收益率曲线继续走陡，10Y-2Y期限利差维持高位，关注多TS空TL跨品种套利机会。
• 重点关注：央行流动性管理工具、设备更新政策对经济的拉动效应，预计2024年新增社融约30万亿元，支撑投资增速（21.9%-32.8%）。

总结

报告指出，在稳增长政策持续落地的背景下，四季度债市需关注收益率曲线陡峭化趋势及资金面变化，多TS空TL套利策略值得重点关注。同时，政府债供给与需求变化、超长期特别国债的发行节奏将是影响债市走向的重要变量。

Summary of Guangda Securities' 2024 Fourth Quarter Bond Strategy Report

一、Market Review

1. Bond Yield Trends:

   • During the third quarter, China's bond yields generally decreased, breaking historical records across all tenors. The 10-year Treasury yield dipped to 2% at its lowest point.
   • Stepped-down policy measures in late September triggered a sharp market downturn due to enhanced credit easing expectations.

2. Yield Curve Dynamics:

   • The yield curve flattened first then steepened in Q3, reflecting temporary liquidity tension in August from accelerated government bond issuance.
   • Since mid-August, the 10Y-2Y spread widened to 73bp amid economic recovery expectations under the asset-shortage scenario.

二、Policy Updates

1. Monetary Policy Intensifies:

   • Cut RRR by 0.5% (releasing ~1tn yuan liquidity) and lowered 7-day OMO rate by 30bps to 1.5%.
   • PBOC introduced new liquidity tools to stabilize bond markets, including securities exchange facilities and stock repurchase loans.

2. Securities Issuance Acceleration:

   • Special bonds issuance reached 3.49tn yuan by end-September, exceeding 89.6% of the annual target with ~40bn left.
   • Super-long-term treasury issuance (20/30/50-year batches) remains steady, supporting infrastructure investments.

三、Market Outlook

1. Hedging Opportunities:

   • Focus on long-short spread strategies (e.g., Long TS, Short TL) amid yield curve steepening.
   • MLF rate cuts (30bps total this Q) will likely suppress 10-year yields despite strong growth expectations.

2. Forward Guidance:

   • Potential further RRR cuts (0.25-0.5%) and interest rate adjustments in Q4 will maintain liquidity accommodation.
   • Equipment upgrade policies may boost industrial investments and sustain bond demand.

Key Takeaways

• The 10Y yield faces downward pressure due to credit policy normalization and economic stimulus effects, while short-term yields remain relatively stable.
• Themed strategies tied to equipment renewal and fiscal spending will likely drive yield curve dynamics in Q4.

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