跨市场联动下的债市“逆风期”何时结束？

Report Industry Investment Rating No relevant information provided. Core Viewpoints of the Report - The curve shape may continue to be steep, but the 10-year Treasury bond currently has certain investment value. The sentiment factors that led to the bond market's decline last week may gradually weaken, and the bond market may experience an emotional recovery in the short term. The 10-year Treasury bond yield in the range of 1.70%-1.75% may present more opportunities than risks [43][120]. - In terms of strategies, from a configuration perspective, an investment portfolio of "short-term credit + long-term local bonds" can be considered. For short-term credit, attention can be paid to similar interbank varieties, and for long-term local bonds, those with convex points in the 15 - 20-year maturity can be selected. From a trading perspective, the current active bonds of the 10-year and 30-year Treasury bonds can be used as the main trading targets [43][120]. Summary by Relevant Catalogs 1. Cross-Market Linkage and the Bond Market's "Headwind Period" - Reasons for the "Headwind": Since mid-July, the strengthening of risk assets has weakened the bond market sentiment. The investment plan of Yajiang Group in late July and the rise of the commodity market driven by anti-involution expectations have further pressured the bond market. In addition, factors such as wealth management redemptions and the central bank's MLF injection scale lower than expected have increased the upward pressure on interest rates [1][12]. - Institutional Behavior: In July, funds and securities firms were the main sellers of old interest rate bonds, with funds selling more significantly, with a net selling scale of over 300 billion yuan. The reasons may be portfolio optimization by fund managers and rebalancing of risk and risk-free assets by investors. Wealth management redemptions may be mainly preventive. State-owned banks, insurance institutions, and rural commercial banks showed strong buying demand, playing a stabilizing role in the bond market [2][21]. - Key Indicators to Watch: In the short term, whether the anti-involution market can continue depends on whether the PPI can improve. The Politburo meeting may trigger profit-taking in some risk assets, reducing the adjustment pressure on the bond market. The supply rhythm of local bonds may affect the bond market, and the reduction of insurance companies' liability costs may increase bond allocation demand [4][22]. 2. Important Matters - In July, the net MLF injection was 100 billion yuan [44]. - The research value of the scheduled interest rate of ordinary personal insurance products in the third quarter is 1.99% [45]. 3. Money Market - Open Market Operations and Fund Rate Trends: From July 21 to July 25, the central bank's net open market operation was -70.5 billion yuan. The fund rate tightened last Thursday, but the central bank increased the 7-day OMO injection on Friday. The yields of interbank certificates of deposit (NCDs) increased overall last week [46][47]. - NCD Rate Trends and Repurchase Transactions: Last week, NCDs had a large net outflow of 559.79 billion yuan. The issuance scale decreased, and the maturity scale increased. The issuance rates of NCDs of various institutions increased compared to the previous week, and the yields of NCDs in the secondary market also increased [55][60]. 4. Bond Market - Primary Market: The net financing rhythm of local government bonds was slower than that of national bonds. As of July 25, the cumulative net financing of national bonds and local bonds in 2025 was 3.84 trillion yuan and 4.96 trillion yuan respectively. The issuance of long-term government bonds increased significantly compared to the same period in 2023 - 2024. Last week, the net financing of national bonds decreased, while that of local bonds increased, and the net financing of policy financial bonds was negative. The issuance scale of special refinancing bonds reached 1.84 trillion yuan as of July 25 [67][72]. - Secondary Market: Last week, the bond market showed a bear-steep trend. The yields of Treasury bonds and policy bank bonds of various maturities increased, and the term spread of the 10 - 1-year Treasury bond widened to around 35BP. The liquidity premium between the active and sub-active bonds of the 10-year Treasury bond and policy bank bond narrowed. The spread between long-term and ultra-long-term local and national bonds narrowed [67][87]. 5. Institutional Behavior Tracking - Leverage trading volume remained at a relatively high level last week. The trading volume of the interbank pledged repurchase averaged about 7.74 trillion yuan per day. State-owned banks and rural commercial banks were the largest buyers in the interest rate bond market last week. State-owned banks mainly increased their holdings of Treasury bonds with maturities of less than 5 years, while rural commercial banks increased their holdings of policy financial bonds with maturities of 5 - 10 years and Treasury bonds with maturities of more than 5 years. The current average cost of major trading players for adding positions in the 10-year Treasury bond is between 1.64% and 1.68% [92][107]. 6. High-Frequency Data Tracking - Last week, the settlement prices of rebar and cathode copper futures increased, while the cement price index decreased. The CCFI index decreased, and the BDI index increased. The wholesale prices of pork and vegetables increased, and the Brent crude oil futures settlement price increased, while the WTI crude oil futures settlement price decreased. The central parity rate of the US dollar against the RMB was 7.14 [116].