Core Viewpoint - The central bank conducted a net withdrawal of 47.8 billion yuan today through its open market operations, indicating a tightening of liquidity in the financial system [1] Group 1: Market Operations - The central bank executed a 7-day reverse repurchase operation amounting to 283.2 billion yuan, maintaining the operation interest rate at 1.40%, consistent with previous rates [1] - A total of 331.0 billion yuan in 7-day reverse repos matured today, leading to a net withdrawal of 47.8 billion yuan [1]

更多精彩内容请关注格林大华期货官方微信 更多精彩内容请关注格林大华期货官方微信 格林大华期货研究院 证监许可【2011】1288 号 2025 年 7 月 31 日星期四 研究员： 刘洋 从业资格： F3063825 交易咨询资格：Z0016580 Morning session notice Morning session notice 早盘提示 早盘提示 | 板块 | 品种 | 多（空） | 推荐理由 【行情复盘】 | | --- | --- | --- | --- | | | | | 周三国债期货主力合约开盘全线高开，早盘探底后上涨，午后延续上涨之后横向波 动，截至收盘 30 年期国债期货主力合约 TL2509 上涨 0.40%，10 年期 T2509 上涨 | | | | | 0.15%，5 年期 TF2509 上涨 0.08%，2 年期 TS2509 上涨 0.03%。 | | | | | 【重要资讯】 | | | | | 1、公开市场：周三央行开展了 3090 亿元 7 天期逆回购操作，当日 1505 亿元逆回 | | | | | 购到期，因此当日净投放 1585 亿元。 | | | | | 2、 ...

Group 1 - The People's Bank of China conducted a 30 billion yuan 7-day reverse repurchase operation at an interest rate of 1.40%, maintaining the previous rate, resulting in a net injection of 158.5 billion yuan into the market [1] - The overnight Shanghai Interbank Offered Rate (Shibor) fell to 1.3170%, down 4.90 basis points, while the 7-day and 14-day Shibor also saw slight declines [1][2] - In the interbank pledged repo market, short-term funding rates continued to decline, with the R007 transaction volume increasing to 18.2% [5] Group 2 - The macro policy meeting held by the Political Bureau of the Central Committee emphasized the need for sustained and timely macro policy efforts, including more proactive fiscal policies and moderately loose monetary policies [14] - The average interest rate for newly issued commercial personal housing loans in China for the second quarter of 2025 was reported at 3.09% [15] - Jiangsu province reported a significant increase in new loans and social financing scale, leading the country in both metrics [16]

Core Viewpoint - The domestic funding market interest rates have risen across the board due to increased demand for funds and expectations of future funding needs driven by government infrastructure projects [1] Group 1: Interest Rate Movements - As of July 29, the Shanghai Interbank Offered Rate (Shibor) for various terms has increased, with overnight, 1-week, 2-week, 1-month, 3-month, 6-month, 9-month, and 1-year rates reported at 1.366%, 1.545%, 1.631%, 1.55%, 1.56%, 1.613%, 1.632%, and 1.644% respectively, showing increases of 4.9, 8.3, 8, 2.1, 1.1, 2.2, 2, and 2.3 basis points compared to July 22 [1] Group 2: Central Bank Operations - The central bank has 16,563 billion yuan in reverse repos maturing this week and has conducted 9,450 billion yuan in reverse repo operations in the first two working days to inject liquidity into the market [1] - On July 25, the central bank had 2,000 billion yuan in Medium-term Lending Facility (MLF) maturing and rolled over 4,000 billion yuan, injecting 2,000 billion yuan into the market [1] Group 3: Future Outlook - The funding market interest rates are expected to exhibit a "short-term decline and long-term rise" trend, with short-term rates under pressure due to a decrease in demand at the beginning of the month [1] - The frequent introduction of proactive fiscal policies may lead to a continued slight increase in long-term rates [1]

Market Overview - The bond futures market experienced a decline across the board, with the 30-year main contract falling by 0.78% to 117.870 yuan, and the 10-year main contract down by 0.25% to 108.130 yuan [1] - The yields on medium to long-term government bonds rose significantly, with the 10-year government bond yield increasing by 3 basis points to 1.745%, and the 30-year government bond yield rising by 3.7 basis points to 1.96% [1][2] Economic Sentiment - Market concerns are heightened regarding the potential introduction of anti-involution policies and measures to stabilize the real estate sector, coinciding with a rebound in the equity market [2] - Despite a decrease in interbank funding prices, non-bank funding remains high, with the average R001 rate at 1.65% [2] Central Bank Operations - The central bank conducted a 7-day reverse repurchase operation amounting to 4,492 billion yuan at a fixed rate of 1.40%, with a net injection of 2,344 billion yuan for the day [2] - Short-term Shibor rates mostly declined, with the overnight rate down by 10.1 basis points to 1.366% [2][3] Bond Auction Results - Recent bond auctions showed varying results, with the 2-year bonds yielding 1.598% and 1.7045% for different issuances, indicating strong demand with bid-to-cover ratios of 5.2 and 3.16 respectively [5] - The non-financial corporate bond market saw significant declines in certain bonds, with H0 Zhongjun 02 dropping by 78.16% [6] Credit Market Trends - The credit market displayed mixed performance, with some non-financial corporate bonds experiencing notable gains, while others faced substantial losses [6][7] - AAA-rated certificates of deposit showed demand at rates between 1.55% and 1.68%, reflecting a slight increase from the previous day [7]

Group 1 - Domestic refined oil price adjustment is expected to be suspended, with the new adjustment window opening on July 29. This year, there have been fourteen rounds of price adjustments, resulting in six increases, six decreases, and two suspensions. After adjustments, the domestic gasoline and diesel prices have decreased by 225 yuan and 215 yuan per ton compared to the end of last year. If this round is suspended, the adjustment pattern will change to six increases, six decreases, and three suspensions by 2025 [1] Group 2 - A total of 347.52 billion yuan in market value of restricted stocks will be unlocked today, with 13 companies having a total of 5.65 billion shares released. Four companies have more than 10 million shares unlocked, with Huada Jiutian, Xinghuo Technology, and Changrun Co., Ltd. leading in terms of unlocked shares at 281 million, 146 million, and 110 million shares respectively. In terms of market value, Huada Jiutian, Changrun Co., Ltd., and Xinghuo Technology have the highest unlocked values at 30.899 billion yuan, 1.856 billion yuan, and 1.184 billion yuan respectively [4]

新华财经北京7月28日电（刘润榕）人民银行28日开展4958亿元7天期逆回购操作，操作利率为1.40%， 与此前持平；鉴于当日有1707亿元7天期逆回购到期，公开市场实现净投放3251亿元。 上周（7月21日-25日）央行公开市场全口径合计实现净投放1295亿元。此外，上周有1200亿国库现金定 存到期，周三财政部开展1000亿元1M国库现金定存操作，中标利率1.78%，较前值下行30BP。 资金面可谓经历"过山车"行情。周初税期已过、跨月未至，资金面如期转松，隔夜利率重回1.40%附 近，然而伴随央行税期逆回购投放悉数回笼，资金面逐步收敛，不过绝对水平并不算太高，21-23日隔 夜利率依然分布在OMO利率附近，7天资金价格也基本稳定在1.50%以下。24日资金面"超预期"收敛， 隔夜利率迅速攀升至1.65%以上，7天资金也迅速提价上行近10BP；与此同时，央行公告7月MLF续做 4000亿元，全月净投放1000亿元，7月中长期资金累计净投放3000亿元。25日，资金面压力略有缓和， 隔夜利率回落，R001、DR001分别下行14、13BP，分别收至1.55%、1.52%。不过，7天资金可支持跨 月，7天资金 ...

Report Title - Fund Selling, Rural Commercial Banks Buying - Tracking of Liquidity and Institutional Behavior [1] Report Date - July 28, 2025 [1] Report Industry Investment Rating - Not provided Core Viewpoints - This week (July 21 - July 25), the money market rates generally increased, the average daily net lending of large banks increased, and funds reduced leverage. The maturity of certificates of deposit increased, and the yields of certificates of deposit at all tenors decreased. In the cash bond market, rural commercial banks were the main buyers, mainly increasing their holdings of 7 - 10Y interest - rate bonds; funds were the main sellers, mainly reducing their holdings of 7 - 10Y interest - rate bonds; insurance companies increased their holdings of ultra - long - term interest - rate bonds, and large banks bought 1 - 3Y interest - rate bonds [3] Summary by Directory 1. Money and Funding Situation - **Open Market Operations**: A total of 1726.8 billion yuan of reverse repurchases matured this week. The central bank conducted reverse repurchase operations of 170.7 billion, 214.8 billion, 150.5 billion, 331 billion, and 789.3 billion yuan from Monday to Friday, respectively, with a total investment of 1656.3 billion yuan. On Friday, 200 billion yuan of MLF matured and 400 billion yuan was invested, resulting in a net liquidity injection of 129.5 billion yuan for the whole week [7][10] - **Funding Rates**: As of July 25, R001, R007, DR001, and DR007 were 1.55%, 1.69%, 1.52%, and 1.65% respectively, with changes of 6.41BP, 18.65BP, 6.08BP, and 14.56BP compared to July 18, and were at the 24%, 13%, 22%, and 9% historical percentiles respectively [7][13] - **Net Funding Flows of Main Institutions**: The net borrowing of the main funding providers (large commercial/policy banks and joint - stock banks) was 448.6 billion yuan for the whole week, an increase of 61.8 billion yuan compared to the previous week. The net borrowing of fund companies and securities companies was - 270.5 billion and - 162.7 billion yuan respectively, with the net borrowing of fund companies decreasing by 309.6 billion yuan and that of securities companies decreasing by 155.1 billion yuan compared to the previous week [7][17] - **Repo Market**: The trading volume of pledged repurchase increased, with an average daily trading volume of 7.7 trillion yuan and a maximum single - day trading volume of 8.04 trillion yuan, a 6.27% increase compared to the previous week's average. The proportion of overnight repurchase transactions decreased, with an average daily proportion of 88.5% and a maximum single - day proportion of 90.3%, a decrease of 0.04 percentage points compared to the previous week's average [7] - **Leverage Ratio**: As of July 25, the leverage ratios of banks, securities firms, insurance companies, and broad - based funds were 103.3%, 186.5%, 127.4%, and 104.9% respectively, with changes of - 0.12BP, - 15.49BP, 1.12BP, and - 0.53BP compared to July 18, and were at the 16%, 0%, 62%, and 23% historical percentiles respectively [7][26] 2. Certificates of Deposit and Bills - **Issuance and Financing of Certificates of Deposit**: The issuance scale of certificates of deposit decreased this week, with a total issuance of 515.69 billion yuan, a decrease of 429.19 billion yuan compared to the previous week. The net financing was - 560.79 billion yuan, a decrease of 702.86 billion yuan compared to the previous week [7][30] - **Maturity of Certificates of Deposit**: The maturity volume of certificates of deposit increased this week, with a total maturity of 1076.48 billion yuan, an increase of 273.67 billion yuan compared to the previous week. Next week (July 28 - August 1), 376.74 billion yuan of certificates of deposit will mature [7][30][36] - **Interest Rates of Certificates of Deposit**: The issuance interest rates of certificates of deposit of all banks and at all tenors increased. As of July 25, the one - year issuance interest rates of joint - stock banks, state - owned banks, city commercial banks, and rural commercial banks increased by 4.17BP, 1BP, 0.17BP, and 1BP respectively compared to July 18. The issuance interest rates of 1M, 3M, and 6M certificates of deposit increased by 0.59BP, 2.15BP, and 4.86BP respectively compared to July 18 [39] - **Shibor Rates**: The Shibor rates increased this week. As of July 25, the overnight, 1 - week, 2 - week, 1M, and 3M Shibor rates increased by 5.8BP, 12.6BP, 16.8BP, 0.9BP, and 0.4BP respectively compared to July 18 [42] - **Yields of Certificates of Deposit at Maturity**: The yields of certificates of deposit at maturity generally increased. As of July 25, the 1M, 3M, 6M, 9M, and 1Y yields of AAA - rated ChinaBond commercial bank certificates of deposit increased by 4.01BP, 4.69BP, 6.16BP, 5.06BP, and 5.75BP respectively compared to July 18 [44] - **Bill Interest Rates**: The bill interest rates decreased. As of July 25, the 3M direct discount rate, 3M transfer discount rate, 6M direct discount rate, and 6M transfer discount rate of national - owned shares decreased by 5BP, 13BP, 8BP, and 9BP respectively compared to July 18 [7][47] 3. Tracking of Institutional Behavior - **Cash Bond Trading**: Rural commercial banks were the main buyers in the cash bond market this week, with a net purchase of 261.7 billion yuan, an increase compared to the previous week. Funds were the main sellers, with a net sale of 358.7 billion yuan, also an increase compared to the previous week. Wealth management products had a net purchase of 107.6 billion yuan [7][49] - **Portfolio Adjustments of Funds**: Funds reduced their holdings of cash bonds by 358.7 billion yuan, including a reduction of 236.1 billion yuan in interest - rate bonds, 22.6 billion yuan in credit bonds, 61.2 billion yuan in other (including Tier - 2 and perpetual bonds), and 39.1 billion yuan in certificates of deposit. In terms of tenor, they mainly reduced their holdings of 7 - 10 - year interest - rate bonds and 1 - 5 - year credit bonds [7][49] - **Portfolio Adjustments of Wealth Management Products**: Wealth management products increased their holdings of cash bonds by 107.6 billion yuan, including an increase of 26.6 billion yuan in interest - rate bonds, 15.3 billion yuan in credit bonds, 15.3 billion yuan in other (including Tier - 2 and perpetual bonds), and 50.5 billion yuan in certificates of deposit. In terms of tenor, they mainly increased their holdings of interest - rate bonds and credit bonds with a tenor of less than 1 year [49] - **Portfolio Adjustments of Rural Financial Institutions**: Rural financial institutions increased their holdings of cash bonds by 261.7 billion yuan, including an increase of 271.1 billion yuan in interest - rate bonds, 4.5 billion yuan in credit bonds, 36.6 billion yuan in other (including Tier - 2 and perpetual bonds), and a reduction of 50.8 billion yuan in certificates of deposit. In terms of tenor, they mainly increased their holdings of 7 - 10 - year interest - rate bonds and 3 - 5 - year credit bonds [49] - **Portfolio Adjustments of Insurance Companies**: Insurance companies increased their holdings of cash bonds by 115.9 billion yuan, including an increase of 66.3 billion yuan in interest - rate bonds, 12.6 billion yuan in credit bonds, 8 billion yuan in other (including Tier - 2 and perpetual bonds), and 29.1 billion yuan in certificates of deposit. In terms of tenor, they mainly increased their holdings of 20 - 30 - year interest - rate bonds and 7 - 10 - year credit bonds [50]

Group 1 - The People's Bank of China has a total of 16,563 billion yuan in reverse repos maturing this week, with specific maturities of 1,707 billion, 2,148 billion, 1,505 billion, 3,310 billion, and 7,893 billion yuan from Monday to Friday [1] - The central bank conducted a net injection of 3,251 billion yuan today through a 4,958 billion yuan 7-day reverse repo operation at an interest rate of 1.40%, unchanged from previous rates [1] - The yield on the 30-year government bond "25 Super Long Special Government Bond 02" decreased by 2 basis points to 1.9275%, while the 10-year policy bank bond "25 Policy Bank 10" yield fell by 1.75 basis points to 1.81% [1] Group 2 - As of July 25, 2025, the 5-10 year government bond ETF has seen a net value increase of 19.81% over the past five years, with a maximum monthly return of 2.58% since inception and a longest consecutive monthly gain of 10 months [2] - The historical performance shows a profit percentage of 100.00% annually, with a monthly profit probability of 72.37% and a 100.00% probability of profit over a three-year holding period [2] Group 3 - The maximum drawdown for the 5-10 year government bond ETF this year is 2.15%, with a relative benchmark drawdown of 0.59% [3] - The management fee for the ETF is 0.15%, and the custody fee is 0.05% [3] Group 4 - The tracking error for the 5-10 year government bond ETF over the past two months is 0.032%, closely tracking the CSI 5-10 Year Government Bond Active Index [4] - The index includes bonds with maturities of 5, 7, and 10 years, selected from the market to reflect the overall performance of these government bonds [4]

Group 1 - The National Taxation Administration will introduce tax reform and development during the "14th Five-Year Plan" period in a press conference [1] - The Ministry of Transport will hold a press conference to discuss the protection of legal rights for truck drivers [2] - The National Health Commission will promote the Sanming medical reform experience and deepen public hospital reform in a press conference [3] Group 2 - A total of 350.8 billion yuan worth of restricted shares will be unlocked today, with 21 companies involved and a total of 1.417 billion shares released [4] - Nine companies have over 10 million shares unlocked, with Copper Crown Copper Foil, Shanghai Electric, and Luguan Technology leading in unlock volume [4] - The unlocking value for Copper Crown Copper Foil, Luguan Technology, and Yidong Electronics is 125.4 billion yuan, 85.29 billion yuan, and 33.96 billion yuan respectively [4] - Eight companies have an unlocking ratio exceeding 10%, with Copper Crown Copper Foil, Jun Cheng Technology, and Yidong Electronics having the highest ratios of 72.38%, 71.28%, and 60.55% respectively [4] Group 3 - 170.7 billion yuan of 7-day reverse repos will mature today, with an operation rate of 1.40% [5]