20240101-德邦证券-固定收益周报_1月债市的投资思路_19页_1mb

Fixed Income Weekly Report Summary

Market Current Situation

Current market data shows the 1-year treasury stock certificate rate around 2.41%, with an implied R007 central level of approximately 2.00%. The 3-year national key-projects bonds rate is at 2.34%, suggesting an implied R007 central level near 1.85%. Medium-short term segments appear relatively overpriced compared to short-term pricing.

Interest Rate Direction

Given strong interest rate cut expectations and a recent PMI data decline, bond yields may experience short-term further downward adjustment, but past rapid adjustments advise maintaining duration at average levels. Scenarios: If funds remain loose and DR007 stays below 1.8%, short end yields could decline with yield curve steepening; if DR007 stabilizes near 1.8%, long-end yields might compress term spreads.

Exit Strategy

Potential exit points referenced: (1) Market turbulence with fund level disturbances not sustaining loose conditions; (2) 1-year deposit rate falling to 22-23%; (3) During MLF operation around January 15th, assess market signals for trend continuation, bubbles, or exhaustion.

Market Outlook

The bond market is expected to remain relatively strong in January with increased volatility. The 10-year treasury yield may challenge 2.50%. Key end-July considerate factors include credit D/M intensity, economic stimulus policy, and capital management assessments.

Bond Selection

Static bond selection: Treasury favored at 1Y and 7-10Y tenors; National key-projects bonds at 1Y, 4Y, 6-10Y; agricultural development bonds and import-export bank bonds follow similar patterns. Specific individual bonds recommended include: 220208IB, 190210IB for national key-projects; 230022IB, 230017IB, 220021IB for treasury; and others based on yield curve steepening and duration forecasts. Risk factors include capital management changes affecting yields.

Risk Summary

Economic data variability, macro policy shifts, and supply-demand dynamics may impact bond performance. Prioritize duration management and monitor key dates.