每调买机系列之三：债市牛熊转换历史复盘与本轮再校验

1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report - The definition of a bond bear market is a 40BP adjustment in the 10-year Treasury bond and an adjustment time of more than 3 months. Historically, bond bear markets were caused by fundamental improvement, monetary policy tightening, liquidity tightening leading to a bear-flattening curve, and persistent pessimism in sentiment leading to further adjustments. This round's verification differs significantly from history; it is more like an emotional adjustment under continuous risk preference shocks, anti-involution, and fund fee reduction [1]. - The bond market has experienced a 7-year bull market, with yields dropping from a high of 4.0% in early 2018 to a low of 1.6% in early 2025, a cumulative compression of 240bp. The current situation makes people wonder whether to buy on every dip or enter the bull-bear conversion thinking [2]. - The consensus resistance level for the 10Y Treasury bond this year is 1.80% (OMO + 40BP). If it cannot hold, the new market resistance level is approximately last year's central level, corresponding to 1.85% - 1.90% [3]. - Through historical review, the three core signal inflection points for a bull-to-bear transition are the policy bottom, the fundamental bottom, and the sentiment bottom [6]. - After cross-verifying the policy, fundamental, and sentiment aspects, it is believed that the inflection point for the bond market's bull-bear switch has not appeared, and the market still follows the buy-on-dip logic [48]. 3. Summary by Related Catalogs 3.1 Worries about Bull-Bear Conversion in the Market Background - The bond market has had a 7-year bull market, with yields dropping from 4.0% in early 2018 to 1.6% in early 2025, a 240bp compression. Although there was an 80bp adjustment in 2020, the long-term bull market foundation remained intact. The extreme market in 2024 shaped a strong consensus. The long bull market, strong one-sided expectations, low current levels, and large recent fluctuations have led to concerns about bull-bear conversion [2][15]. - A bond bear market is defined as a single adjustment of more than 40bp and a decline lasting over 3 months. The current market adjustment started on July 7th, lasting 2 months with a maximum amplitude of 19bp, not yet a bond bear market, but there are concerns about the continuation of this trend [15]. - In the past decade, the bond market has experienced eight significant adjustments. The adjustments in October 2016 and May 2020 had an upward amplitude of over 80bp and lasted more than 6 months, which are used as research samples for bond bear markets [16]. - The 10-year Treasury bond and OMO spread reached a new high this year. The consensus resistance level for the 10Y Treasury bond this year is 1.80% (OMO + 40BP). If it cannot hold, the new resistance level is around last year's central level, 1.85% - 1.90% (OMO + 45 - 50BP). The current 30-year and 10-year Treasury bond spread is 30bp, significantly wider than last year's average of 20.75bp [3][19]. 3.2 Historical Review: Where Were the Inflection Points of the Past Two Bull-Bear Cycles? - 2016 - 2017: The Long Bear Market under Financial Deleveraging - The bear market was catalyzed by factors such as economic fundamental recovery, monetary policy tightening, financial deleveraging, and strengthened policy supervision. The supply-side structural reform led to a commodity bull market, PPI turning positive and rising sharply, inflation expectations, and then monetary policy tightening and "financial deleveraging" [23]. - Three signals indicated the start of a new economic cycle: PMI returning to the boom-bust line, soaring commodity prices, and PPI turning positive for the first time. Policy-wise, "financial deleveraging" dominated the regulatory tone, triggering the end of the bond bull market. The central bank raised policy rates multiple times, MPA assessment became stricter, and the interbank liquidity was under pressure, leading to a bear-flattening and then a bear-steepening curve [23][24]. - 2020: The "V-shaped" Reversal after the Pandemic Recovery - The bear market was catalyzed by post-pandemic economic recovery, marginal tightening of monetary policy, and a shift in risk preference. The "V-shaped" economic recovery brought a "V-shaped" interest rate adjustment, with PMI achieving a V-shaped reversal and PPI rebounding from the bottom [30]. - The core of this adjustment was the policy expectation gap. The market was immersed in the central bank's loose narrative, but the policy had already shifted based on economic recovery, leading to a significant correction in expectations. The central bank began to recover excess liquidity in May, and the stock market recovered, causing funds to flow from the bond market to the stock market, accelerating the rise in interest rates [31]. - Three Core Signal Inflection Points for Bull-to-Bear Transition - Policy bottom: Signs or statements of marginal tightening in macro policies, including tightening of monetary policy (central bank's open market operations reducing liquidity, tightening of the money market) and stricter regulatory policies (such as MPA assessment and financial deleveraging). This is a left-side signal that requires keen insight [6]. - Fundamental bottom: High-frequency and economic data continuously and consistently exceed expectations (especially PPI, PMI, M1, and social financing credit). Economic indicators lead, with PMI usually bottoming out and rebounding 2 - 3 months before the inflection point and PPI turning positive or rebounding from the bottom about 1 month before the inflection point. These are confirmation signals for a trend reversal to a bear market [6]. - Sentiment bottom: A fragile and crowded trading structure is triggered by the above two signals, leading to self-reinforcing selling and deleveraging in the market, sensitive market sentiment, and the fastest rise in yields [6]. 3.3 Current Verification: Does the Market Currently Have the Conditions to Turn Bearish? - Policy Aspect: Monetary policy remains within the framework of "precise and effective" and "moderately loose." There has been no significant shift to tightening. The possibility of policy tightening this year is low due to the weak economic recovery momentum [42]. - Fundamental Aspect: Given the pressure on income and employment expectations, the deep bottoming of the real estate market, the tightening of generalized urban investment finance, and the weak bank credit supply, the probability of a significant and unexpected economic boost in the short term is still low. PPI, PMI, and credit indicators show that the economic endogenous动力 needs further strengthening [43]. - Sentiment Aspect: The duration risk remains at a historically high level, but the leverage level is generally controllable and at a historical low. The trading congestion has significantly cooled down from the recent overheated state, but market sentiment remains sensitive due to continuous risk preference disturbances [44]. - Overall, the bond market still lacks the macroeconomic and policy basis for a significant reversal to a bear market. The current situation is more of an interval shock caused by asset linkage, high bond market congestion, and the digestion of previous over - rises, rather than a trend decline. The inflection point for the bond market's bull - bear switch has not appeared, and the market still follows the buy - on - dip logic [48].