曾经备受债市追捧的30年期国债期货，随着近期权益市场持续强势走高，热度呈现出持续下降趋势。 8月18日，30年期国债期货主力合约大跌超1%，创今年4月初以来新低。10年期国债期货、5年期国债期货、2年期 国债期货等均出现不同程度下跌。 对于当前的债市，业内认为，"反内卷"主线下的股市强势表现压制债市情绪，叠加机构赎回等行为，构成债市短 期风险点。不过，债市仍存在支撑因素，趋势性逆转的概率还不高。 30年期国债期货跌超1% 近期，股债"跷跷板"效应愈发明显。在基本面和资金面并无明显变化的情况下，债市近期出现接连调整走势，市 场关注焦点转向权益市场与商品市场。 8月18日，30年期、10年期、5年期、2年期国债期货均出现下跌。其中30年期国债期货的跌幅超过1%。截至收 盘，30年期国债期货主力合约跌1.33%，10年期国债期货主力合约跌0.29%，5年期国债期货主力合约跌0.21%，2年 期国债期货主力合约跌0.04%。 银行间主要利率债收益率快速上行。截至发稿，30年期国债活跃券的到期收益率上行4.35个基点，报2.0375%，重 返2%关口；10年期国债活跃券的到期收益率上行3个基点，报1.775%；5年期国 ...

Core Viewpoint - The 30-year government bond futures, once favored in the bond market, are experiencing a decline in popularity as the equity market continues to perform strongly, leading to a bearish sentiment in the bond market [1][2]. Group 1: Market Performance - On August 18, the 30-year government bond futures fell over 1%, marking a new low since early April this year. Other maturities, including 10-year, 5-year, and 2-year government bond futures, also saw varying degrees of decline [2][4]. - The 30-year government bond futures closed down 1.33%, while the 10-year, 5-year, and 2-year futures fell by 0.29%, 0.21%, and 0.04%, respectively [4]. - The yields on major interbank government bonds have risen sharply, with the 30-year bond yield increasing by 4.35 basis points to 2.0375%, and the 10-year bond yield rising by 3 basis points to 1.775% [4]. Group 2: Market Sentiment and Dynamics - The bond market is currently under pressure due to the strong performance of the equity market, which is suppressing bond market sentiment. Additionally, institutional redemptions are contributing to short-term risks in the bond market [2][4]. - The prevailing sentiment in the bond market is one of weakness, as it has shown a muted response to positive economic data while being more sensitive to negative influences from the equity and commodity markets [5][6]. Group 3: Future Outlook - According to research from Everbright Securities, the banking system currently has ample liquidity, and despite upcoming tax periods and month-end factors, the average DR007 is expected to be the lowest of the year in late August, alleviating concerns over significant increases in bond yields [6]. - The bond market may either decouple from the equity market or continue to react to its movements. The likelihood of bond yields declining in the short term is greater than the chance of them rising [6]. Group 4: Redemption Risks - The ongoing adjustments in the bond market could trigger a wave of redemptions from bond funds, further increasing volatility. The research team at Huachuang Fixed Income suggests that while there may be minor redemption pressures, the overall risk remains manageable as long as yields stay below 1.9% [8]. - The Ministry of Finance has announced measures to support the liquidity of government bonds in the secondary market, which could help stabilize the market amid these adjustments [8][9].

Summary of Key Points from Conference Call Records Industry Overview - The records primarily discuss the economic performance and outlook for the Chinese economy, focusing on consumption, investment, and market sentiment in 2025 [1][3][4]. Core Insights and Arguments - **July Economic Performance**: In July, consumption growth slowed to 3.7% year-on-year, below expectations, indicating a significant deceleration in recovery momentum from the first half of the year. The "old-for-new" policy's effects are becoming apparent, with low restaurant consumption growth attributed to high temperatures [1][3]. - **Investment Trends**: Fixed asset investment fell by 5.2% year-on-year in July, with real estate investment down 17%, infrastructure down 5%, and manufacturing down 0.2%. The slowdown is linked to price fluctuations, weather conditions, and external factors, with expectations for infrastructure investment to rebound in the second half of the year [1][3][4]. - **Economic Uncertainty**: The third quarter faces uncertainties, and if downward pressure persists, monetary and real estate policies may be intensified to stabilize the economy and market expectations [4]. - **Market Optimism**: Despite challenges, the market remains optimistic due to improved economic data, enhanced profit expectations from anti-involution policies, and increased risk appetite leading to significant inflows of margin trading funds [5][6]. - **Trading Activity**: Current trading activity in margin financing, retail, and quantitative trading is at historical highs, suggesting potential for further upward movement in the market [5][6]. - **Long-term Investment Appeal**: The stock market is expected to attract continued inflows due to the profit-making effect and the relative yield advantage of equity markets over other assets [7]. - **Corporate Profit Expectations**: Corporate profits are likely to improve in 2025, supported by stable economic growth and policy backing, with a gradual upward trend anticipated over the next quarter [8]. - **Industry Focus**: Short-term attention should be on industries like building materials and media, while mid-term focus should include consumer sectors and technology sectors such as AI, semiconductors, and military industries [2][9]. Additional Important Insights - **Market Dynamics**: The strong inverse relationship between stock and bond markets has been noted, with a correlation coefficient of 0.92 between the CSI 300 index and 10-year government bond yields since July 1, indicating a shift in investor preference towards risk assets [10]. - **Market Style Characteristics**: Recent market characteristics show positive returns from beta and size factors, with notable performance in total asset gross margin and quarterly ROE among large-cap stocks [11]. - **Market Performance**: The overall market has shown a strong upward trend, with indices reaching new highs since September 2024, particularly in the ChiNext index [12][13]. - **Sector Performance**: The brokerage sector has led the market as a bullish indicator, with new energy sectors also contributing to index gains [14]. - **Market Sentiment and Fund Flows**: Market sentiment has improved with increased trading volumes, although there is a divergence in fund flows, with stock ETFs experiencing net outflows despite rising risk appetite [15]. - **Future Market Expectations**: The market is expected to continue its upward trend, with a focus on previously hot sectors like brokerages and potential opportunities in undervalued sectors during periods of increased risk appetite [16].

一度爆款频出的中证同业存单AAA指数7天持有期证券投资基金（下称"同业存单基金"），出现规模大幅下滑。截至8 月15日，全市场101只同业存单基金规模不足1300亿元，和逾3500亿元的募集规模相比缩水超60%。其中，有26只基金 是规模不足5000万元的迷你基金，占比超过1/4，徘徊在清盘边缘。 业内人士向券商中国记者表示，同业存单基金规模下降有两方面原因：一是缺乏投资业绩优势，二是近几年来市场环境 发生变化，债券行情兴起和权益资产走出低谷，市场资金对同业存单基金的关注度有所下降。 超1/4基金沦为迷你基金 8月15日，沪上一家中小型公募发布公告，其旗下同业存单基金连续30个工作日基金资产净值低于5000万元，如果连续50 个工作日出现该情形或基金份额持有人数量不满200人的，将根据约定进入基金清算程序并终止，无需召开基金份额持有 人大会审议。 此外，一只成立于2023年底的同业存单基金，截至2024年9月25日出现连续60个工作日基金资产净值低于5000万元情形， 基金公司随后召开基金份额持有人大会，提议持续运作该基金，但由于参与表决的基金份额小于在权益登记日基金总份 额的二分之一，该持有人大会未能召开。 ...

Group 1 - The core viewpoint of the articles indicates a significant decline in the trading activity of 30-year Treasury futures, which were once highly favored in the bond market, due to a shift in investor sentiment towards equities and commodities [2][5][8] - The "stock-bond seesaw" effect is evident, with the stock and commodity markets gaining strength while the bond market remains under pressure, leading to a reallocation of funds away from long-term bonds [3][4][5] - The overall bond market is experiencing a weak performance, particularly in long-term bonds, with the yield curve steepening and short-term yields outperforming long-term yields [4][7] Group 2 - The trading volume and open interest in long-term Treasury futures have been rising since the beginning of 2023, but the recent market dynamics have led to a decrease in their attractiveness as investors shift focus to commodities [5][6] - Institutional investors, including banks and insurance companies, are facing challenges in the current market environment, leading to a cautious approach towards increasing their positions in the bond market [7][8] - Future recovery in bond market sentiment is expected to take time, with potential signals being a decrease in risk appetite and an increase in interest rate cut expectations [8]

2025 年 08 月 17 日 固定收益研究团队 Q2 货币政策报告学习，政策边际变化下的债市波动 ——固收专题 陈曦（分析师） 刘瑞（分析师） chenxi2@kysec.cn 证书编号：S0790521100002 liurui2@kysec.cn 证书编号：S0790525010001 政策动态 8 月 15 日，央行发布《2025 年第二季度中国货币政策执行报告》，政策基调方 面，延续强调"落实落细适度宽松的货币政策；把促进物价合理回升作为把握货 币政策的重要考量；把握好政策实施力度和节奏"等。新提法集中在两方面：一 是强调"提高资金使用效率，防范资金空转"，从操作上看，今年一季度在利率 快速下行的背景下，央行主动收紧过流动性，若后续利率出现快速下行，则收紧 流动性是央行干预债市的重要潜在工具；二是对信贷投放从"加大投放力度"改 为"稳固支持力度"，说明央行对信用扩张的总量诉求下降、淡化信贷总量考核， 未来支持特定领域的结构性货币政策工具的重要性将继续提升。 资金面均衡宽松，发行量略收紧，债市收益率上行，曲线熊陡 二级市场：本周债市收益率上行，债市有所下跌。截至 8 月 15 日，1Y、10Y 和 ...

Group 1 - The core viewpoint of the articles indicates a significant shift of funds from low-risk assets like deposits and bonds to high-risk equity assets, driven by the "momentum effect" and "profit-making effect" in the stock market [2][5][6] - There is a notable increase in the number of equity funds being launched, with over 110 equity funds currently in the process of being issued, reflecting strong market interest [2][5] - Bond funds are experiencing substantial redemptions, with over 40 bond funds facing large-scale withdrawals since July, primarily affecting pure bond funds [3][4] Group 2 - The performance of bond funds has been poor, with less than 60% of pure bond funds showing positive returns since July, leading to a decline in investor interest [4] - Several bond funds have reduced their management fees to attract investors, with examples including a reduction from 0.5% to 0.3% for certain funds [4] - The stock market's rebound has resulted in significant net redemptions of money market ETFs, totaling 59.19 billion yuan from August 11 to 13 [4][5] Group 3 - The issuance of equity funds has been robust, with several funds exceeding 20 billion yuan in subscriptions, indicating strong demand [5] - The market sentiment is optimistic, with increased willingness for funds to enter the market, suggesting a potential for further market growth [6] - The focus is shifting towards sectors with upward economic momentum, particularly in technology and dividend-paying stocks [6]

Report Information - Report title: Treasury Bond Derivatives Weekly Report - Report date: August 15, 2025 - Author: Xu Liang Z0002220 - Reviewer: Tang Yun Z0002422 Core Viewpoints - Bullish factors include monetary easing expectations providing support, a stable and loose funding environment with the DR007 central rate stable between 1.4% - 1.5%, and a weakened stock - bond seesaw effect reducing the pressure of capital outflows from the bond market [3] - Bearish factors are the increase in government bond supply, which is a short - term supply negative, and the continuous rise in market risk appetite leading to capital withdrawal from the bond market [3] - The trading advisory view is that institutional bond - selection thinking emphasizes the static curve and holding cost - effectiveness [3] Data Analysis Yield and Interest Rate - The report presents the historical data of 2Y, 5Y, 10Y, 30Y, and 7Y treasury bond yields from April 2024 to April 2025 [4] - It also shows the historical data of deposit - type institutional pledged repurchase weighted interest rates for 1 - day and 7 - day, as well as the 7 - day reverse repurchase rate from December 2023 to June 2025 [4] Term Spread - The historical data of the 7Y - 2Y and 30Y - 7Y treasury bond term spreads from April 2024 to April 2025 are presented [5] Futures Position and Trading Volume - The historical data of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures positions from December 2015 to December 2023 are shown [7] - The historical data of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures trading volumes from April 2024 to April 2025 are presented [7] Basis and Spread - The historical data of the basis of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures' current - quarter contracts are provided [8][9][10][15] - The historical data of the inter - quarterly spreads (current - quarter minus next - quarter) of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are presented [12][13][16][17] - The historical data of the cross - variety spreads of TS*4 - T from April 2024 to April 2025 and T*3 - TL from June 2023 to June 2025 are shown [18][19]

【笔记20250815— 没有人再笑话"3000点保卫战"（+7月经济数据低于预期-午后股市冲高+资金面均衡转松=小上)】 2015 年上半年，股票牛市如火如荼，股债"跷跷板"效应让债市横盘震荡， 6 月股灾后，债券牛市再度开启。到了 2016 年前三个季度，债市依然如火如 荼地疯狂着。 ——笔记哥《应对》 资金面均衡转松，长债收益率小幅上行。 央行公开市场开展2380亿元7天期逆回购操作，今日有1220亿元逆回购到期，净投放1160亿元。 税期资金面均衡转松，资金利率小幅上升，DR001在1.40%附近，DR007在1.48%附近。 | | | | 银行间资金 | (2025.08.15) | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 回购代码 | 加权利率 | 变化 | 利率走势 | 最高利率 | 变化 | 成交量 | 变化量 (亿 | 成交量占 | | | (%) | (bp) | (近30天) | (%) | (bp) | (亿元) | 元) | 比 (%) | | R001 | 1.44 | | | 1.75 ...

Group 1 - The Chinese bond market has transitioned from adjustment to recovery this year, driven by changes in market logic and funding environment [1] - The funding environment has shifted from tight balance to balanced easing, with monetary policy expectations strengthening, leading to a revaluation of asset prices [1] - Institutions are optimistic about the continuation of the bond "bull tail" in 2025, with a gradual shift in trading focus towards fundamentals in the second half of the year [1] Group 2 - Bond funds are increasingly favored by investors as a key asset allocation choice due to their relatively fixed income from bond coupons, which is less affected by short-term market fluctuations [1] - Over the past decade, the total index of bond funds has increased by 40.11%, while the Shanghai and Shenzhen 300 index has only risen by 5.62%, indicating superior long-term performance [1] - The annualized volatility of the total index of bond funds is only 1.51%, compared to 19.15% for the Shanghai and Shenzhen 300 index, highlighting the stability of bond funds [1] Group 3 - After the market correction last year, equity market valuations have largely recovered, with policy support potentially fostering a "slow bull" market [2] - High-dividend assets are becoming increasingly popular amid uncertainty, with a focus on opportunities in technology growth sectors [2] - The Minsheng Jianyin Xinxiang Bond Fund, managed by Xie Zhihua, has shown strong performance and strict risk control, making it a focal point for investors [2]