2021年9月债券市场分析报告：债券收益率整体上行 境外机构大幅增持

　　中央结算公司统计监测部

　　——2021年9月债券市场分析报告

　　2021年9月，国际大宗商品价格涨跌互现，美国新增非农就业人数不及预期，欧元区通胀率压力持续增大。国内居民消费价格指数（CPI）同比上涨0.7%，工业生产者出厂价格指数（PPI）同比上涨10.7%，制造业采购经理指数为49.6%。本月货币政策操作实现资金净投放5900亿元，货币市场利率整体上行。债券收益率整体上行，中债-新综合指数（净价）有所下降。债券市场托管量稳步增长，境外机构大幅增持。

　　宏观经济情况

　　（一）国际情况

　　9月，国际大宗商品价格涨跌互现。纽约商品交易所黄金期货（COMEX）价格收于1757.5美元/盎司，较上月末下跌3.24%。纽约商品交易所原油期货（NYMEX）价格收于75.12美元/桶，较上月末上涨9.65%。伦敦金属交易所（LME）期铜收于8948美元/吨，较上月末下跌6.16%。LME期锌收于3012.5美元/吨，较上月末上涨0.28%，LME期镍收于17990美元/吨，较上月末下跌8.21%。

　　美国方面，9月新增非农就业人数19.4万人，预期50万人，前值为23.5万人，不及预期。失业率为4.8%，预期值为5.1%，前值为5.2%。核心PPI同比增长6.8%，预期增长7.1%，前值为增长6.7%；CPI同比增长5.4%，预期增长5.3%，前值为增长5.3%；核心CPI同比增长4%，预期增长4%，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61.1%，预期值为59.5%，前值为59.5%；ISM非制造业PMI为61.9%，预期值为59.9%，前值为61.7%。

　　欧元区方面，9月调和CPI同比增长3.4%，预期增长3.3%，前值为增长3%；核心CPI同比增长1.9%，预期增长1.9%，前值为增长1.6%。Markit数据显示，9月制造业PMI为58.6%，预期值为58.7%，前值为58.7%；服务业PMI为56.4%，预期值为56.3%，前值为56.3%；综合PMI为56.2%，预期值为56.1%，前值为56.1%。

　　（二）国内情况

　　1.CPI涨幅略有回落

　　9月，我国CPI同比上涨0.7%，涨幅比上月回落0.1个百分点，其中，消费品价格上涨0.2%，服务价格上涨1.4%。CPI环比持平，其中，消费品价格持平，服务价格上涨0.1%。

　　2.PPI涨幅继续扩大

　　9月，我国PPI同比上涨10.7%，涨幅比上月扩大1.2个百分点；环比上涨1.2%，涨幅比上月扩大0.5个百分点；工业生产者购进价格同比上涨14.3%，环比上涨1.1%。

　　3．制造业采购经理指数为49.6%

　　9月，我国PMI为49.6%，低于上月0.5个百分点，降至临界点以下，我国制造业供需均处于收缩区间。

　　4.M1增速回落，M2增速回升

　　9月末，本外币贷款余额为195.56万亿元，同比增长11.4%。其中，人民币贷款余额为189.46万亿元，同比增长11.9%，增速比上月末低0.2个百分点，比上年同期低1.1个百分点。9月末，本外币存款余额为235.62万亿元，同比增长8.7%。其中，人民币存款余额为229.18万亿元，同比增长8.6%，增速比上月末高0.3个百分点，比上年同期低2.1个百分点。

　　9月末，广义货币（M2）余额为234.28万亿元，同比增长8.3%，增速分别比上月末高0.1个百分点，比上年同期低2.6个百分点；狭义货币（M1）余额为62.46万亿元，同比增长3.7%，增速分别比上月末和上年同期低0.5个和4.4个百分点；流通中货币（M0）余额为8.69万亿元，同比增长5.5%。

　　5．货币政策工具实现净投放

　　9月，货币政策工具操作实现资金净投放5900亿元（见表1）。中国人民银行通过逆回购操作投放11800亿元，通过国库现金定存投放700亿元，通过中期借贷便利（MLF）投放6000亿元；通过逆回购到期回笼5900亿元，通过国库现金定存到期回笼700亿元，通过MLF到期回笼6000亿元。

　　货币市场运行情况

　　9月，货币市场利率与上月末基本持平。银行间回购R01D品种平均利率与上月持平，为2.0975%；日均成交量为31701亿元，环比减少4.67%。R07D品种平均利率较上月上行1BP，至2.2516%；日均成交量为3871亿元，环比增加40.46%。

　　债券市场价格走势及特点

　　（一）债券收益率整体上行

　　9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2.6385%、2.7549%、3.3315%和3.2399%，较上月末分别上行2.58BP、0.79BP、9.43BP和8.12BP。

　　（二）国债收益率小幅平行上移

　　9月，1年期国债收益率较上月末上行2BP，至2.3327%；5年期国债收益率较上月末上行3BP，至2.7134%；10年期国债收益率较上月末上行3BP，至2.8776%；15年期国债收益率较上月末上行2BP，至3.2555%；30年期国债收益率较上月末上行2BP，至3.4237%。

　　（三）中债-新综合净价指数有所下降

　　9月，中债-新综合净价指数从上月末的101.187点下降至本月末的100.9659点，下降0.2185%；中债-新综合财富指数从上月末的209.7034点上升至本月末的209.8546点，上升0.0721%。

　　债券市场交易结算情况

　　9月，中央结算公司办理交易结算91.31万亿元，同比减少0.36%。其中，现券交易结算量为12.10万亿元；回购交易结算量为79.21万亿元。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11.45万亿元、8.22万亿元、3.33万亿元。中央结算公司登记债券的换手率平均为14.39%（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36.21%、15.44%和15.04%。

　　债券市场存量和发行情况

　　截至9月末，中央结算公司托管总量为83.77万亿元，同比增长12.53%；上海清算所托管总量为14.63万亿元，同比增长6.30%；中国结算托管总量为15.70万亿元，同比增长19.71%。

　　9月，中央结算公司登记发行债券1.98万亿元，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7378.44亿元，占比37.27%；国债登记发行5575亿元，占比28.16%；政策性银行债登记发行4029.3亿元，占比20.35%。

　　境外机构动态

　　9月末，境外机构在中央结算公司的托管量为3.49万亿元，同比增长34.59%，环比增持884亿元，为境外机构连续34个月增持。境外机构通过“全球通”持债占比73.53%，通过“债券通”持债占比26.47%。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。

　　撰稿人：中央结算公司统计监测部 陈樱子/王明元

　　Bond Yields Shifted up and Foreign Investors’ holding Increased Further

　　-- Bond Market Analysis for September 2021

　　In September 2021， international commodity prices showed ups and downs and the US new nonagricultural population is less than expected， the inflation rate of euro area kept increasing． In China， CPI increased by 0.7% year-on-year， PPI increased 10.7% year-on-year， PMI was 49.6%． In this month， monetary policy operations achieved a net money release for the amount of RMB 590 billion， and the rate of currency market showed an increasing trend． Bond yields shifted up overall， and ChinaBond New Composite Index declined to some extent． The depository volume of bonds market grew steadily， foreign investors’ holding increased substantially．

　　Macro Economy

　　i． International Economy．

　　In September， the international commodity prices showed up and downs． COMEX Gold Futures Prices closed at $1，757.5/oz， down 3.24% from the end of last month． NYMEX Crude Oil Futures Prices closed at $75.12/BBL， up 9.65% from the end of last month． LME Copper Futures Prices closed at $8，948/ton， down 6.16% from the end of last month． LME Zinc Futures Prices closed at $3，012.5/ton， up 0.28% from the end of last month． LME Nickel Futures Prices closed at $17，990/ton， down 8.21% from the end of last month．

　　In the US， the non-agricultural employment added 194 thousand， lower than the expectation of 500 thousand， compared with 235 thousand last month． The unemployment rate was 4.8%， lower than the expected 5.1%， compared with 5.2% in the previous month． Core PPI rose by 6.8% year on year， lower than the expected 7.1%， compared with 6.7% in the previous month． CPI increased by 5.4% year on year， compared with the expected 5.3% and 5.3% in the previous month． Core CPI increased by 4% year on year， same with the expectation of 4% and 4% in the previous month． The ISM manufacturing PMI was 61.1%， compared with the expectation of 59.5%． The ISM non-manufacturing PMI stood at 61.9%， same with the expected 59.9%．

　　As for the euro area， in September the adjusted CPI increased by 3.4% year on year， higher than the expected 3.3%， compared with 3% in the previous month； Core CPI increased by 1.9% year on year， compared with the expected 1.9% and 1.6% in the previous month． According to Markit， in September manufacturing PMI was 58.6%， lower than the expected 58.7%，； Service PMI stood at 56.4%， compared with the expected 56.3%； Comprehensive PMI stood at 56.2%， compared with the expected 56.1%，．

　　ii． Chinese Economy．

　　1． The increase of CPI fell slightly

　　In September， CPI increased by 0.7% year-on-year， 0.1 percentage points lower than that of last month． Consumer prices rose by 0.2%， service prices rose by 1.4%． CPI remained unchanged month-on-month． Consumer prices remained unchanged， service prices increased by 0.1%．

　　2． The increase of PPI expanded

　　In September， PPI rose by 10.7% year-on-year and 1.2 percentage points larger than last month． PPI rose by 1.2% month-on-month and 0.5 percentage points higher than last month respectively； Industrial producer purchasing price rose by 14.3% year-on-year， rose by 1.1% month-on-month．

　　3． PMI was 49.6%

　　In September， manufacturing PMI was 49.6%， 0.5 percentage points lower than the last month．

　　4． The increase of M1 slowed down， the increase of M2 rebounded

　　At the end of September， outstanding RMB and foreign currency loans totaled RMB 195.56 trillion， up 11.4% year on year． Outstanding RMB loans reached RMB 189.46 trillion， a year-on-year increase of 11.9%， 0.2 percentage points lower than last month and 1.1 percentage points lower than previous year． RMB and foreign currency deposits amounted to RMB 235.62 trillion， up 8.7% year on year． RMB deposits were RMB 229.18 trillion， a year-on-year increase of 8.6%， 0.3 percentage points higher than last month and 2.1 percentage points lower than last September．

　　At the end of September， M2 stood at RMB 234.28 trillion， up 8.3% year on year， 0.1 percentage points higher than that of the previous month and 2.6 percentage points lower than that of previous year． M1 was RMB 62.46 trillion， up 3.7% year on year， 0.5 percentage points lower than the growth rate of the previous month and 4.4 percentage points lower than that of last year． M0 amounted to RMB 8.69 trillion， increasing by 5.5% year on year．

　　5． Operation of monetary policy tools

　　In September， a net amount of RMB 590 billion was release from the market by monetary policy tools （Table 1）． The People’s Bank of China provided RMB 1180 billion through reverse repos， RMB 70 billion through deposits of treasury cash， RMB 600 billion through medium-term lending facility （MLF）； while withdrawn RMB 590 billion through close leg of reverse repo， RMB 70 through deposits of treasury cash， RMB 600 billion through matured MLF．

　　Operation of the Money Market

　　In September， money market rates basically remained unchanged compared with the end of last month． The average rate on inter-bank repo R01D basically remained unchanged， at 2.0975%； the average daily trading volume reached RMB 3170.1 billion， down 4.67% month on month． R07D increased by 1 bps from the end of last month to 2.2516%； the average daily trading volume reached RMB 387.1 billion， up 40.46% month on month．

　　Price Trend and Characteristics of the Bond Market

　　i． Bond yield curves shifted up overall

　　The yields of various bonds shifted up overall in September 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 2.6385%、2.7549%、3.3315% and 3.2399%， up by 2.58bps， 0.79bps， 9.43bps and 8.12bps respectively compared to the end of last month．

　　ii． The yields of Central government bonds move up in parallel slightly

　　In September， the yield of one-year central government bonds increased 2bps to 2.3327% from the end of last month， the yield of five-year central government bonds increased 3bps to 2.7134% from the end of last month， the yield of ten-year central government bonds increased 3bps to 2.8776% from the end of last month， the yield of fifteen-year central government bonds increased 2bps to 3.2555% from the end of last month， the yield of thirty-year central government bonds increased 2bps to 3.4237% from the end of last month．

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

　　In September， ChinaBond New Composite Net Price Index decreased from 101.187 at the end of last month to 100.9659， down 0.2185%． The ChinaBond New Composite Total Return Index climbed from 209.7034 at the end of last month to 209.8546 at the end of August， up 0.0721%．

　　Transaction and Settlement in the Bond Market

　　In September， CCDC recorded transaction and settlement of RMB 91.31 trillion， decreasing 0.36% year on year． Specifically， the transaction and settlement volume of cash bond was RMB 12.10 trillion， while that of repos was RMB 79.21 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 11.45 trillion， RMB 8.22 trillion and RMB 3.33 trillion respectively． The average turnover registered at CCDC was 14.39% （Table 2）． The active bonds were policy bank bonds， commercial bank bonds and book-entry CGB， with turnovers rate of 36.21%， 15.44% and 15.04% respectively．

　　Bond Market Outstanding Volume and Issuance

　　At the end of September， the CCDC’s total bonds outstanding volume were RMB 83.77 trillion， up 12.53% year on year． Those at SHCH reached RMB 14.63 trillion， up 6.30% year on year． Those at CSDC stood at RMB 15.70 trillion， up 19.71% year on year．

　　In September， CCDC registered a total bond issuance of RMB 1.98 trillion， and top three  issuance bonds were local government bonds， China government bonds and policy bank bonds． Specifically， RMB 737.84 billion of local government bonds were issued， accounting for 37.27%； RMB 557.5 billion of China government bonds were issued， accounting for 28.16%； RMB 402.9 billion of policy bank bonds were issued， accounting for 20.35%；

　　Foreign Investors’ Activities

　　At the end of September， foreign investors’ holding under CCDC’s custody amounted to RMB 3.49 trillion， a y-o-y increase by 34.59%， a m-o-m increased by RMB 88.4 billion． Of the foreign investors’ holding under CCDC’s custody， amount via the CIBM Direct accounted for 73.53%， amount via the Bond Connected accounted for 26.47%． The top three holding bonds were China government bonds， policy bank bonds and commercial bank bonds．

　　By Yingzi Chen， Mingyuan Wang， Statistics and Monitoring Department of CCDC

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责任编辑：赵思远