国债期货日报 2025/6/16 | 项目类别 | 数据指标 | 最新 | 环比 项目 | 最新 | 环比 | | --- | --- | --- | --- | --- | --- | | 期货盘面 | T主力收盘价 | 109.015 | 0.01% T主力成交量 | 49941 | 963↑ | | | TF主力收盘价 | 106.145 | 0% TF主力成交量 | 46176 | -294↓ | | | TS主力收盘价 | 102.466 | 0.02% TS主力成交量 | 24997 | -626↓ | | | TL主力收盘价 | 120.520 | 0.05% TL主力成交量 | 53995 | 235↑ | | 期货价差 | TL2512-2509价差 | -0.18 | -0.01↓ T09-TL09价差 | -11.51 | -0.02↓ | | | T2512-2509价差 | -0.03 | -0.03↓ TF09-T09价差 | -2.87 | -0.03↓ | | | TF2512-2509价差 | 0.06 | +0.00↑ TS09-T09价差 | -6.55 | 0.01↑ ...

资产配置与金融工程 证券研究报告 避险资产领涨，波动率低位反弹 ——大类资产周报（20250609-20250615） 分析师：朱定豪 SAC执业资格证书编码: S0020521120002 邮箱：zhudinghao@gyzq.com.cn 2025年6月16日 分析师：汤静文 SAC执业资格证书编码: S0020524060001 邮箱：tangjingwen@gyzq.com.cn 联系人：黄雯瑜 邮箱：huangwenyu@gyzq.com.cn 摘要 一、本周大类资产交易主线 全球市场由地缘冲突（以色列袭击伊朗）主导避险逻辑，原油（布伦特+9%至75.18美元）与黄金（突破3452美元）领涨， VIX波动率反弹压制风险偏好；国内A股呈现价跌量增，小盘成长占优，市值因子负收益（-0.01%）印证小盘股强势，盈利 预期因子（+0.39%）驱动基本面选股，但中证1000期权PCR高位（0.95）反映空头压力未消；流动性方面，央行政策宽松 推动流动性指数转正，但实体传导效率仍弱，叠加PPI预期新低与BCI扩张动能放缓（50.3），经济复苏斜率承压；债市受 避险与宽松支撑，长端利率债走强，信用利差压缩至0.3 ...

宏观研究 /[Table_Date] 2025.06.15 2025-06-16 人民币汇率："反直觉"的新范式 [Table_Authors] 韩朝辉(分析师) 登记编号 S0880523110001 本报告导读： 近期人民币汇率与美中利差出现背离，本质在于：美债利率上行并非经济强，而是 信用弱。因此，人民币受益于：1）美元资产信用折价，带动企业结汇意愿提升； 2）高利率压制信用扩张，美国衰退预期强化。未来人民币汇率定价需要充分重视 美元信用这个变量，弱美元环境也给国内流动性和政策空间带来更大的冗余度。 投资要点： [Table_Summary] 央行或许并非近期汇率升值的引导者。 国内投资者或许并非近期汇率升值的推动者。 那么，主导本轮汇率升值的核心因素是什么？——外贸企业结汇。 对人民币汇率定价框架的再思考：美中利差与汇率走势的背离 证 券 研 究 报 告 021-38676666 风险提示：美国关税扰动反复、国内经济压力升温 请务必阅读正文之后的免责条款部分 宏 观 研 究 宏 观 专 题 梁中华(分析师) 021-38676666 登记编号 S0880525040019 我们习惯于用"掉期溢价"（即 ...

文字早评 2025/06/16 星期一 宏观金融类 股指 前一交易日沪指-0.75%，创指-1.13%，科创 50-0.51%，北证 50-2.92%，上证 50-0.55%，沪深 300-0.72%， 中证 500-1.03%，中证 1000-1.39%，中证 2000-2.03%，万得微盘-1.70%。两市合计成交 14672 亿，较上 一日+1954 亿。 宏观消息面： 1、5 月社融增量 2.29 万亿元，同比多增 2247 亿元；新增人民币贷款 6200 亿元，M2-M1 剪刀差缩 小。 2、国常会：进一步优化现有政策，更大力度推动房地产市场止跌回稳。 3、央行：6 月 16 日将开展 4000 亿元买断式逆回购操作。 资金面：融资额+23.87 亿；隔夜 Shibor 利率+4.40bp 至 1.411%，流动性较为宽松；3 年期企业债 AA- 级别利率-2.58bp 至 2.9004%，十年期国债利率-0.34bp 至 1.6451%，信用利差-2.24bp 至 126bp；美国 10 年期利率+5bp 至 4.41%，中美利差-5.34bp 至-276.49bp。 期指基差比例： IF 当月/ ...

021-38676666 跨季扰动可控，久期行情渐显 [Table_Authors] 张紫睿(分析师) 本报告导读： 登记编号 S0880525040068 理财季末回表是确定性趋势，但考虑到目前信用债供需结构仍有支撑、跨季前后资 金面宽松预期，整体信用债回调压力或较小，跨季后信用债配置需求或快速修复， 中长端利差仍有压降空间。 投资要点： 题 研 究 证 券 研 究 报 告 请务必阅读正文之后的免责条款部分 债 券 研 究 专 债券研究 /[Table_Date] 2025.06.16 [Table_Summary] 银行理财规模呈现明显的季末回落、季初回升特征，这与银行季末 考核压力密切相关，同时对信用利差产生一定扰动。季末时，理财 产品需将部分资产回表以满足存款等监管指标，导致理财规模下降， 信用债配置需求阶段性减弱，可能引发短期抛售压力。我们观察历 史季末理财规模变化和信用利差走势可以发现，季末两周的信用利 差上行概率较大，跨季后伴随理财配置力量回升，信用债配置需求 明显增加，带动信用利差有所压降。 二季度理财对信用债净买入规模并不突出，或与平滑估值整改有 关。4、5 月理财对信用债净买入规模分别为 ...

Group 1 - The central bank has conducted a 1 trillion yuan three-month reverse repurchase operation to alleviate pressure on bank liabilities and improve market liquidity [1] - From March, the monthly issuance scale of 1-year, 2-year, and 3-year government bonds has rapidly increased to 170-190 billion yuan, significantly higher than the previous monthly level of about 100 billion yuan, easing the demand for banks to "grab bonds" in the secondary market [1] - The central bank's recent warming attitude, through visible medium to long-term fund injections and stabilizing market fluctuations, is expected to lead major banks to gradually increase short-term bond allocations, promoting interest rate spread recovery [1] Group 2 - The ten-year government bond ETF (511260) has seen significant growth in scale and liquidity, with a net inflow exceeding 2.2 billion yuan for five consecutive days and nearly 5 billion yuan over the past ten days [2] - The ETF tracks the Shanghai Stock Exchange 10-year government bond index (H11077), which reflects the overall performance of China's long-term government bond market, focusing on fixed-rate government bonds with a remaining maturity of 9 to 10.25 years [2] - The index components have high credit ratings and liquidity, providing investors with a benchmark for measuring long-term government bond market yield fluctuations [2]

（1）短信用，主要是短二永，在 6 月第一周跟随利率迅速下行后，当 周小幅回调。 （2）机构对低等级城投下沉品种参与情绪延续在高位，1 年内品种收 益率下行幅度在 5bp 以上；收益率持续低位的情况下，该类品种亦叠加部 分拉久期思路，对应 2-3 年左右债项的收益率下行幅度亦不低。 （3）下沉思路之外，中高等级信用债的久期进一步拉长，包括一定程 度上加大对 5 年期以上的超长信用品种的参与。 固定收益 | 固定收益定期 跨季抢跑再现？ 证券研究报告 信用策略周报 20250615 一、信用利差延续压缩行情 当周信用继续利差压缩行情，但表现依旧分化。 二、机构抢跑？ 当周包括公募基金、银行理财等在内的信用债主要买盘对信用债的净 买入力度明显增加，合计净买入规模创今年以来的新高； 其中又以公募基金、其他产品贡献绝对主力，银行理财、保险公司对 信用债的增持力量相对不强，对应其更多还是参与存单、地方债等品种。 这背后则反映了在利率或延续震荡市格局的背景下，机构对供需格局 较好的信用债预期相对乐观，尤其央行对资金和流动性较为呵护，提振市 场情绪。 三、追超长信用？ 5 月中旬以来，5 年期以上的超长信用债一级供给稍有起 ...

Core Insights - The Chinese insurance industry is transitioning towards high-quality development by 2025, focusing on modern "ecological services" rather than traditional "risk compensation" [2] - The implementation of new policies is driving changes in the industry, including the rise of floating income products, enhanced service models, and significant technological advancements [2] Market Trends - The recent reduction in deposit rates has led to increased interest in savings-type insurance products, which are seen as attractive alternatives for asset allocation [3][4] - Approximately 57% of consumers are now using insurance for wealth management, making it the second-largest investment channel after bank wealth management [3][4] Consumer Behavior - Nearly 30% of consumers have increased their investment in savings insurance, with the highest growth seen in the 41-50 age group [4] - The demand for savings-type life insurance is driven by low-risk preferences and the need for stable returns in a declining interest rate environment [4][5] Product Characteristics - Savings-type insurance combines insurance and savings functions, including products like annuities and increasing death benefit life insurance [5][6] - Key differences between savings insurance and bank deposits include product nature, return structure, liquidity, and risk coverage [5][6] Industry Impact - The ongoing decline in deposit rates is expected to boost short-term sales of savings-type insurance products, but it also increases the long-term risk of interest rate spread losses for insurance companies [7][8] - Regulatory measures have been introduced to adjust the maximum guaranteed interest rates for various insurance products, linking them to market interest rates [8][9] Consumer Guidance - Consumers are advised to carefully evaluate their needs and risk tolerance before purchasing savings-type insurance, as these products require long-term commitment and may involve penalties for early withdrawal [10] - Understanding the differences between guaranteed and actual returns, as well as the complexities of product terms, is crucial for informed decision-making [10]

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report suggests that local bonds may be approaching an allocation window. It analyzes the primary and secondary market conditions of local bonds, including net financing, issuance terms, issuance spreads, secondary spreads, and trading volume and turnover rates [1]. 3. Summary by Directory 3.1 Primary Market Conditions - **Net Financing**: This week, local bond issuance was 107.8 billion yuan, with a net repayment of 43 billion yuan. Next week, the planned issuance is 261.8 billion yuan, with a net financing of 124.3 billion yuan, a significant increase compared to this week [1][3]. - **Issuance Terms**: The issuance proportion of 10 - year local bonds was the highest this week (47%), and the proportion of 10 - year and above bonds reached 76%, an increase from last week. The 10 - year bond issuance proportion increased by about 24 percentage points [1]. - **Debt - Resolution - Related Local Bonds**: This week, special refinancing bonds worth 26.7 billion yuan were issued. In 2025, 33 regions have disclosed plans to issue special bonds for replacing hidden debts, totaling 1.7362 trillion yuan. Special special bonds worth 1.5 billion yuan were issued this week, and as of the end of this week, the disclosed and issued scales in 2025 were 273 billion yuan and 245.4 billion yuan respectively [2]. - **Issuance Spreads**: The weighted average issuance spread of local bonds this week was 12bp, wider than last week. The 30 - year local bond had the highest weighted average issuance spread at 19.3bp. Except for the 5 - year, 20 - year, and 30 - year bonds, the spreads of other terms widened [1]. - **Fund - Raising Allocations**: As of the end of this week, the main allocation directions of newly - added special bond funds in 2025 were cold - chain logistics, municipal and industrial park infrastructure construction (32%), transportation infrastructure (21%), social undertakings (12%), and affordable housing projects (12%). The proportion of land reserve allocations increased by 7.7% compared to 2024 [2]. - **Issuance Plan**: In the second quarter of 2025, 36 regions have disclosed local bond issuance plans, with an estimated total issuance of 2.48 trillion yuan. In June, the planned issuance is 1007.6 billion yuan [30]. 3.2 Secondary Market Conditions - **Secondary Spreads**: This week, the secondary spreads of 15 - year and 30 - year local bonds were advantageous, and the secondary spread of 10 - year local bonds narrowed significantly. The secondary spreads of 15 - year and 30 - year bonds were 21bp and 20bp respectively. The historical quantile of the 30 - year bond's secondary spread was 87% [4]. - **Trading Volume and Turnover Rates**: This week, both the trading volume and turnover rate of local bonds increased. Tianjin, Shenzhen, and Ningbo had relatively high turnover rates. The trading volume reached 598.3 billion yuan, and the turnover rate was 1.17%. Tianjin, Jiangsu, and Sichuan had large trading volumes [5].

证 券 研 究 报 告 【债券周报】 6 月中，债市抢筹——债券周报 20250615 ❖ 一、债市看多，为何涨不动？ 近期央行展现资金面呵护态度，但债市收益率下行幅度有限。6 月存单到期规 模接近 4 万亿，为缓解银行负债压力，央行展现出对资金面的呵护态度，且近 期大行买入 3Y 以内短期限国债规模持续增加，市场预期央行国债买卖或迎来 重启。多重利好因素叠加，6 月首周曲线小幅走陡，但本周行情表现一般，1y、 10y 国债下行幅度明显较前周明显偏窄。 市场表现看，5 月中旬以来资金价格有所放松，但存单在较大的续发压力下， 定价依旧偏高，进一步限制长端收益率的下行空间。月初资金扰动相对有限， 央行操作较积极，DR001 在 1.4%附近运行，周二最低触及 1.3631%，DR007 在 1.5%附近位置震荡。但存单较大的到期压力下，定价偏高或也构成 10 年国 债下行的约束，本周 1y 国股行存单在 1.67-1.68%附近，10y 国债收益率维持 在 1.65%附近盘整，未形成有效突破。 （1）月末资金跨季压力释放完毕后，存单收益率或自然下行。6 月央行呵护 资金态度明确，加之月末 MLF 到期或续作，资金 ...