Regulators are making efforts to expand credit supply, but on the one hand, near the end of the year, credit has entered the off-season; On the other hand, high-frequency data such as bills show that credit supply has not increased significantly. At the same time, due to the sharp adjustment of the bond market, a large number of credit bonds have been cancelled, and credit bond financing has shrunk dramatically. /kloc-the net financing amount of credit bonds in October was-1135.9 billion yuan, the lowest monthly financing amount since May 20 17. Therefore, we estimate that the social integration in June 5438+065438+ 10 was 2. 1 trillion, a year-on-year decrease of about 500 billion.
Although the economic pressure is great and the credit has not expanded, in the process of rapid policy changes, the market is more concerned about the situation after policy normalization, so the bond market has also dropped significantly. Asset price is the discount of future cash flow, and future expected pricing is also the essence of capital market. Therefore, although the current economic fundamentals are very weak, the bond market in June 1 1 has been greatly adjusted, which can be divided into two parts: June 1 1 and June 1. However, the decline of1end-of-October 165438+ has no obvious market self-acceleration, which is different from the decline of1mid-October 165438+. During the period of1mid-October decline 165438+, the market showed a remarkable self-acceleration mechanism. At the peak, Public Offering of Fund sold about10 billion cash bonds in a single day. However, the decline of1end of October 165438+ was not accompanied by obvious market self-acceleration mechanism. Judging from the transactions in recent days, Public Offering of Fund basically bought cash coupons net. Although wealth management has been sold, its scope is gradually narrowing.
At present, the expected change dominates the bond market, but it also brings the problem that it is difficult to confirm or falsify the expectation divorced from the fundamentals in the short term, which makes it very difficult to grasp and bring great difficulties to investment. Although it is difficult to accurately grasp the policy rhythm and expected changes, we can try to observe the economic and capital price expectations set by the current interest rate in reverse, and then observe whether the current market expectations are optimistic or pessimistic. We try to observe the fundamental level of current interest rate by looking for the empirical relationship between fundamentals, capital and long-term interest rate. We choose the real GDP growth rate, the average of core CPI and PPI, R007 volatility and add a time trend term to explain the interest rate of 10-year treasury bonds. From the results, it can effectively explain the previous interest rate fluctuations since 2006. 10 The current interest rate of about 2.9% of the national debt basically corresponds to a relatively high level next year, that is, the economy is about 5.5%, inflation is at a high level in the year, and the capital price R007 has risen to about 2.2%. Relatively speaking, this should be a relatively optimistic expectation. More extreme, assuming that the economy is expected to rise to 6.5%, the capital price R007 is expected to rise to 2.7%, and inflation is expected to reach the high point of the year, the corresponding national debt interest rate center will reach the level of 3. 1%, which is actually the situation in the fourth quarter of 2020. The average national debt interest rate of 10 is 3.2%.
During the period of 65438+February, various policies are still facing great uncertainties, and the bond market may still face certain impacts. However, the current interest rate level has fully reflected the optimistic expectations of the market, so the room for further adjustment of interest rates is relatively limited. Considering the pace of policies and funds, we think it is more likely that interest rates will fall from 1. The current interest rate level has reflected optimistic market expectations, so in the medium term, the current bond market has allocation value.
However, considering that the market may face more shocks in June 5438+February, on the one hand, heavy meetings such as the Central Economic Work Conference are expected to continue to focus on steady growth and may continue to put pressure on the bond market; On the other hand, there is still pressure on funds at the end of the year, especially this year's fiscal gap is large, and the sudden decline in expenditures at the end of the year will lead to a decrease in fiscal deposits compared with previous years, which will have a more obvious impact on funds. Therefore, the bond market in June 5438+February does not rule out the possibility of continuous fluctuations or even small adjustments. Relatively speaking, from the beginning of next year, the opportunity of bond market allocation will be better. On the one hand, the fiscal expenditure will be updated and the financial pressure will be eased; On the other hand, the weak economic data in the fourth quarter may lead to monetary policy easing again, and the possibility of interest rate cuts will not be ruled out at that time. Therefore, more windows may be made early next year.
Risk warning: the steady growth policy is stronger than expected, and the forecast value may be biased.