债市专题研究：如何看待债市波动加剧？

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - In this round of adjustment, the willingness of rural commercial banks to undertake interest - rate bonds was fully demonstrated at the beginning of the market adjustment. The demand for the allocation of general credit bonds and secondary bonds was weak but also showed. The underlying logic of the asset shortage driving the allocation of bonds by the allocation - type institutions has not changed significantly [1][3][22] - In the short - term, the "anti - involution" policy has three main disturbance logics for the bond market: risk - preference suppression, inflation/stagflation expectation, and sentiment and vulnerability disturbance. In the long - term, the bond market may reverse to a bullish situation [1][2] - Based on the judgment of the medium - term decline in interest rates, fluctuations still correspond to long - making opportunities. Institutions with relatively stable liability ends may reasonably grasp the adjustment space [3][18] 3. Summary According to the Table of Contents 3.1 How to View the Intensified Fluctuations in the Bond Market - Short - term impact of "anti - involution" policy on the bond market - Risk - preference suppression logic: The commodity market repeatedly prices the "anti - involution" logic, with the prices of upstream commodities such as coking coal, coke, and polysilicon leading the rise. The risk preference of funds increases, and the equity market also follows the pricing, diverting funds from the bond market [11] - Inflation/stagflation expectation logic: Similar to the supply - side reform in 2016, the policy starts from the supply side. In the third quarter with frequent policies, the market is worried about the supporting demand - side policies, and some bond - market institutional investors' confidence in price deflation has been substantially shaken [11] - Sentiment and vulnerability disturbance logic: Since the 10 - year Treasury bond interest rate has been in a narrow range of 1.6% - 1.7% for a long time this year, especially from April to June, and the inflow of incremental funds in the bond market is stable. The entry points of this new - added position are relatively low. In the narrow interest - rate oscillation range, institutions have used income - enhancing strategies such as extending duration, liquidity sinking, and credit sinking to the extreme. Therefore, this part of the funds has certain strategic vulnerability and is easily disturbed by sentiment. When there are market drivers such as anti - involution and equity price increases, the demands for profit - taking or stop - loss are strong, and there is serious concern and rush at the beginning of the adjustment [11] - Long - term bullish logic for the bond market - Self - correction of market expectations: The current market generally compares the current anti - involution with the supply - side structural reform in 2016. However, the core difference lies in the definition of production capacity. The 730 Political Bureau Meeting set the tone for anti - involution, with the focus different from that of the 2016 supply - side reform. The current anti - involution aims to optimize the market competition order, and the pressure of reducing production capacity is expected to be significantly less than that in 2016, and the inflation pressure also needs continuous observation [13][15] - Weakening of demand - policy matching expectations: The 730 Political Bureau Meeting mentioned maintaining policy continuity and stability and enhancing flexibility and predictability. The probability of the introduction of super - expected heavy - demand - side stimulus policies is reduced. There may be a switch from pricing inflation to pricing weak demand, and there is a logic of a reverse decline in medium - term interest rates [16] - Uncertainty in Sino - US negotiations: With the progress of multiple rounds of Sino - US negotiations, the demands that are easy to reach an agreement have been implemented, and the negotiation difficulty of the remaining parts is relatively large. The short - term bond - market fluctuations may increase, and the interest - rate operating center may move up slightly. The core of bond - market trading in the second half of the year lies in grasping the rhythm of band trading, but the report still maintains the judgment that the third quarter is the window for long - making in the bond market in the second half of the year [17] - Performance of different institutions in the market adjustment - Interest - rate bonds: Rural commercial banks are the main undertakers, and their willingness to undertake at the current point is strong. From July 21 - 25, rural commercial banks net - bought 257.3 billion yuan of interest - rate bonds (funds net - sold 207.6 billion yuan), and the undertaking scale of rural commercial banks is slightly higher than the net - selling scale of funds [21] - Credit bonds: Institutions such as wealth management, insurance, and other products have significantly increased their net - buying efforts, but the undertaking power is weaker than the net - selling power of funds. From July 21 - 25, the net - buying scale of major non - bank buyers of credit bonds decreased to 31.8 billion yuan (74.1 billion yuan in the previous week) [21] - Secondary bonds: Large - state - owned banks, joint - stock banks, wealth management, and insurance are the main undertakers of secondary bonds with a term of less than 5 years, and insurance is the main undertaker of secondary bonds with a term of more than 5 years. However, the overall net - buying scale of non - bank buyers of 2 - 5 - year secondary bonds declined to - 15.2 billion yuan ( + 13.7 billion yuan in the previous week); the undertaking power of insurance for secondary bonds with a term of more than 5 years is strong, and the overall net - buying scale of major non - bank buyers has not significantly declined [21]