2025 年 8 月 4 日 行业研究 如何看待股债跷跷板和 8 月流动性？ ——流动性观察第 114 期 银行业 买入（维持） 作者 分析师：王一峰 执业证书编号：S0930519050002 010-57378038 wangyf@ebscn.com 分析师：赵晨阳 执业证书编号：S0930524070005 010-57378030 zhaochenyang@ebscn.com 行业与沪深 300 指数对比图 资料来源：Wind 相关研报 6 月金融数据前瞻——流动性观察第 113 期 7 月流动性：自发宽松——流动性观察第 112 期 5 月金融数据前瞻——流动性观察第 111 期 6 月流动性展望——流动性观察第 110 期 4 月金融数据前瞻及 5 月流动性展望——流动性观 察第 109 期 3 月金融数据前瞻及 4 月流动性展望——流动性观 察第 108 期 2 月金融数据前瞻及 3 月流动性展望——流动性观 察第 107 期 1 月金融数据前瞻及 2 月流动性展望——流动性观 察第 106 期 12 月金融数据前瞻及 1 月流动性展望——流动性 观察第 105 期 11 月金融数据前瞻及 12 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The economic and corporate profit factors are rated as neutral. In July, the prosperity of the three major industry indices generally declined. Supply - side manufacturing saw a double - drop in production and demand. Externally, demand showed resilience, with a smaller decline in new export orders than new orders. Extreme weather and falling demand dragged down the production start - up rate. The "anti - involution" initiative was effective, alleviating low - price competition and boosting raw material and ex - factory prices, thus improving corporate business expectations. [3] - Macro - policy factors are rated as neutral - to - bullish. The Central Political Bureau Meeting on July 30 emphasized improving the implementation efficiency of existing policies, with relatively limited signals for new incremental aggregate policies. Market expectations for real - estate incremental policies were adjusted. Policy statements in the consumption and investment fields remained consistent. The "anti - involution" related wording was adjusted, which may reflect a change in policy focus. [3] - Overseas factors are rated as neutral. From July 28th to 29th, Sino - US representatives held the third round of economic and trade talks in Stockholm. Both sides had in - depth, candid, and constructive exchanges and would promote the extension of the suspended 24% reciprocal tariffs by the US and China's counter - measures. [3] - Liquidity factors are rated as bullish. As of July 31st, the A - share margin trading balance was 1978.5 billion yuan, an increase of 3.727 billion yuan from the previous week. The A - share margin trading purchase amount accounted for 11.5% of the total market turnover, at the 97.2% quantile level in the past decade. [3][32] - The investment view is to buy on dips. In the short term, as macro - level positives are gradually realized, the upward speed of stock indices may slow down, and market fluctuations and adjustments should be watched out for. In the long run, this year's futures index market has been more driven by valuation expansion, with relatively weak profit drivers. Currently, there is still support at the valuation level. For example, although the current price - to - earnings ratio of the CSI 300 has returned to the median, the ERP is still at a historically high level (74.25% quantile), and with Huijin's support for liquidity, valuation factors are expected to continue to play a role. [3] 3. Summary by Relevant Catalogs 3.1 Stock Index Market Review - Last week, the CSI 300 fell 1.75% to 4054.9; the SSE 50 fell 1.48% to 2754.1; the CSI 500 fell 1.37% to 6213.2; the CSI 1000 fell 0.54% to 6670.5. [5] - In terms of futures, the IF main contract of the CSI 300 fell 1.96%, the IH main contract of the SSE 50 fell 1.47%, the IC main contract of the CSI 500 fell 1.56%, and the IM main contract of the CSI 1000 fell 0.76%. [6] - Among the Shenwan primary industry indices, last week, Medicine and Biology (2.9%), Communication (2.5%), Media (1.1%), Electronics (0.3%), and Social Services (0.1%) led the gains, while Non - Ferrous Metals (- 4.6%), Real Estate (- 3.4%), Transportation (- 3.2%), Agriculture, Forestry, Animal Husbandry and Fishery (- 3%), and Power Equipment (- 2.6%) led the losses. [8] - In terms of trading volume and open interest of stock index futures, the trading volume of CSI 300 futures was 584321 lots, with a 7.33% change; SSE 50 futures was 290211 lots, with a 6.13% change; CSI 500 futures was 490539 lots, with a 7.75% change; CSI 1000 futures was 1086841 lots, with a 14.10% change. The open interest of CSI 300 futures was 261869 lots, with a 0.65% change; SSE 50 futures was 96900 lots, with a - 0.55% change; CSI 500 futures was 220244 lots, with a - 2.36% change; CSI 1000 futures was 338220 lots, with a 3.42% change. [12] - As of August 1st, the annualized discount of the current - month contract IF2508 was 7.8%; IH2508 was 0.12%; IC2508 was 19.97%; IM2508 was 20.98%. The annualized discount of the next - month contract IF2509 was 4.65%; IH2509 had an annualized premium of 0.07%; IC2509 was 13.09%; IM2509 was 14.26%. The annualized discount of the current - quarter contract IF2512 was 3.71%; IH2512 had an annualized premium of 0.21%; IC2512 was 10.75%; IM2512 was 12.17%. The annualized discount of the next - quarter contract IF2603 was 3.38%; IH2603 had an annualized premium of 0.18%; IC2603 was 9.77%; IM2603 was 11.47%. [16] - The spread between the CSI 300 and the SSE 50 closed at 1300.8, at the 84.1% historical quantile level; the spread between the CSI 1000 and the CSI 500 closed at 457.3, at the 65.8% historical quantile level. The ratio of the CSI 300 to the CSI 1000 was 0.6, at the 33.3% historical quantile level; the ratio of the SSE 50 to the CSI 1000 was 0.6, at the 36% historical quantile level. [20] 3.2 Factors Affecting Stock Indices - Liquidity - In terms of the money market and macro - liquidity, the central bank conducted 1663.2 billion yuan of reverse - repurchase operations in the open market this week, with 1656.3 billion yuan of reverse - repurchases maturing, resulting in a net injection of 6.9 billion yuan. Next week, 1663.2 billion yuan of reverse - repurchases will mature. [26] - As of July 31st, the A - share margin trading balance was 1978.5 billion yuan, an increase of 3.727 billion yuan from the previous week. The A - share margin trading purchase amount accounted for 11.5% of the total market turnover, at the 97.2% quantile level in the past decade. Last week, the daily trading volumes of A - shares were 1619.1 billion yuan, 1662.8 billion yuan, 1709.2 billion yuan, 1782.1 billion yuan, and 1466.6 billion yuan respectively, with an average daily trading volume 64.06 billion yuan less than the previous week. As of August 1st, the risk premium rate of the CSI 300 was 5.92, at the 75.7% quantile level in the past decade. [32] 3.3 Factors Affecting Stock Indices - Economic Fundamentals and Corporate Profit - In terms of China's macro - economic indicators, in June 2025, GDP at constant prices was 5.2%, industrial added - value year - on - year was 6.8%, fixed - asset investment cumulative year - on - year was 2.8%, real - estate investment was - 11.2%, infrastructure investment was 4.6%, manufacturing investment was 7.5%, social consumer goods retail was 4.8%, the urban surveyed unemployment rate was 5.0%, CPI was 0.1%, PPI was - 3.6%, the increment of social financing was not provided, the growth rate of social financing stock was 8.9%, new RMB loans were 2360 billion yuan, M1 was 4.6%, M2 was 8.3%, exports in US dollars were 5.9%, imports in US dollars were 1.1%, manufacturing PMI was 49.7%, and non - manufacturing PMI was 50.5%. [35] - In July, the manufacturing PMI was 49.3, a decrease of 0.4 from June; the non - manufacturing PMI was 50.1, a decrease of 0.4 from June. Among them, new orders, new export orders, production, and other sub - indices all declined to varying degrees, while the production and operation activity expectation index increased by 0.6. [42] - In terms of the profitability of major broad - based indices, as of March 31, 2025, the year - on - year growth rate of the net profit attributable to the parent company of the CSI 300 was 3.32%, and the return on equity (ROE) was 9.75%; for the SSE 50, the net profit growth rate was - 0.19%, and ROE was 10.21%; for the CSI 500, the net profit growth rate was 7.39%, and ROE was 5.99%; for the CSI 1000, the net profit growth rate was 3.34%, and ROE was 5.12%. [47] 3.4 Factors Affecting Stock Indices - Policy Drivers - A series of macro - policies have been introduced, including the Central Urban Work Conference held from July 14th to 15th, which pointed out that China's urbanization is shifting from a rapid growth stage to a stable development stage, and urban development is shifting from large - scale incremental expansion to stock quality improvement. The meeting deployed seven key tasks. [52] - The Central Financial and Economic Affairs Commission's Sixth Meeting on July 1st emphasized governing low - price disorderly competition in enterprises and introduced a series of monetary policy measures. [53] - The State Council's press conference on May 7th announced a series of measures from quantitative, price - based, and structural monetary policies, such as reducing the deposit - reserve ratio by 0.5 percentage points and lowering policy interest rates. [53] 3.5 Factors Affecting Stock Indices - Overseas Factors - In the United States, in July, the manufacturing PMI was 48%, a decrease of 1 percentage point from the previous value; the non - manufacturing PMI data was not fully provided, with a decrease of 50.8 percentage points from the previous value. The seasonally - adjusted unemployment rate was 4.2%, and the number of new non - farm payrolls was 73,000. The University of Michigan Consumer Sentiment Index in July was 61.7, an increase of 1 from the previous value. [60][62] - In June, the year - on - year growth rate of PCE was 2.58%, and the core PCE was 2.79%; the year - on - year growth rate of CPI was 2.7%, and the core CPI was 2.9%. [63] - Trump's team has made a series of tariff - related statements and actions, including threatening to impose tariffs on imports from China, Canada, Mexico, and other countries, and implementing "reciprocal tariffs" policies, which have led to China's counter - measures. [69][71] 3.6 Factors Affecting Stock Indices - Valuation - As of August 1, 2025, the rolling price - to - earnings ratios of the CSI 300, SSE 50, CSI 500, and CSI 1000 were 13.1 times, 11.3 times, 30.2 times, and 41 times respectively, at the 65.4%, 79.5%, 71%, and 63.3% quantile levels in the past decade. [76]

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints of the Report - The TL2509 variety is expected to be in a state of oscillation in the short - term, medium - term, and overall, with an intraday tendency to be slightly stronger. The core logic is that the manufacturing PMI weakened in July, but the possibility of an interest rate cut in the short term is low [1]. - For the TL, T, TF, and TS varieties, the intraday view is slightly stronger, the medium - term view is oscillatory, and the overall reference view is oscillatory. After continuous adjustments since July, the 1 - year treasury bond yield has returned to near the policy rate, triggering the anchoring effect of the policy rate. Coupled with the emphasis on implementing a moderately loose monetary policy in the second half of the year, treasury bond futures have bottomed out and rebounded. However, the central bank has shifted to net liquidity withdrawal in recent open - market operations, and the high trading volume in the stock market indicates a strong risk preference among investors, resulting in insufficient upward momentum for treasury bonds. Overall, treasury bond futures are expected to trade in a range in the short term [5]. 3. Summary by Relevant Catalog Variety Viewpoint Reference - Financial Futures Stock Index Sector | Variety | Short - term | Medium - term | Intraday | Viewpoint Reference | Core Logic Summary | | --- | --- | --- | --- | --- | --- | | TL2509 | Oscillation | Oscillation | Slightly stronger oscillation | Oscillation | The manufacturing PMI weakened in July, but the possibility of an interest rate cut in the short term is low [1] | Main Variety Price and Market Driving Logic - Financial Futures Stock Index Sector - **Varieties**: TL, T, TF, TS - **Intraday View**: Slightly stronger oscillation - **Medium - term View**: Oscillation - **Reference View**: Oscillation - **Core Logic**: Treasury bond futures oscillated and consolidated last Friday. After continuous adjustments since July, the 1 - year treasury bond yield has returned to near the policy rate, triggering the anchoring effect of the policy rate. The policy emphasizes implementing a moderately loose monetary policy in the second half of the year, leading to a rebound in treasury bond futures. But the central bank's net liquidity withdrawal and high stock market trading volume limit the upward momentum of treasury bonds. Short - term trading in a range is expected [5]

Group 1: Report Core View - This week, the pressure on the capital market eased, with the central bank increasing support and the government bond issuance scale declining. The capital supply - demand pattern improved, and interest rates dropped. In August, liquidity will be "precisely regulated", with potential disturbances from large - scale certificate of deposit maturities, accelerated government bond issuance, and significant long - and medium - term liquidity maturities [1][22] - Looking at specific time points, disturbances may intensify around the tax payment period in the first and middle of August. Next week, the large - scale expiration of open - market operations is a concern, but the seasonal loosening at the beginning of the month may mitigate the pressure [2] Group 2: Market Data Summary Open Market - From July 28 to August 1, the net open - market injection was 69 billion yuan, a decrease from the previous week. From August 4 to August 8, the open - market operations due to expire amount to 166.32 billion yuan [3] Government Bonds - This week, the net government bond payment was 287.6 billion yuan. Next week, the planned government bond issuance is 578.5 billion yuan, with net payments of 339 billion yuan [37] Money Market - As of August 1, compared with July 25, various capital interest rates declined. The average daily trading volume of inter - bank pledged repurchase was 6716.6 billion yuan, a decrease of 982 billion yuan from July 21 - 25. The net capital outflow of the banking system averaged 3.02 trillion yuan, a decrease of 156.5 billion yuan from last week [5] Inter - bank Certificates of Deposit - From July 28 to August 1, the total issuance of inter - bank certificates of deposit was 386.7 billion yuan, with a net financing of - 16.2 billion yuan. Next week, the maturity scale is 583.8 billion yuan, an increase of 180.9 billion yuan from this week [5][81]

Core Viewpoint - The recent market trend is positive, with the Shanghai Composite Index reaching new highs for the year, driven by liquidity and market expectations [1] Group 1: Market Performance - The financing balance has been steadily increasing since the end of June, surpassing 1.9 trillion yuan [1] - The rising stock market has led to an expansion of the market's profit-making effect, creating a positive feedback loop [1] Group 2: Future Outlook - Attention is required on the market's support strength near key levels, with an expectation for the market to maintain a high-level oscillation in August [1] - Structural allocation opportunities should be monitored [1]

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - The central bank protected the cross - month liquidity. Capital prices declined, and bill rates hit a new low for the year. The central bank conducted net open - market operations to inject funds during the cross - month period and then shifted to net withdrawal after the cross - month period [1]. - Certificate of deposit (CD) yields decreased, and the government bond yield curve shifted downward. CD net financing rebounded, with large - bank CD issuance rates rising and the average issuance term shortening [2]. - Next week, the net issuance of government bonds will decrease, while the net payment amount will increase. Inter - bank repurchase trading volume and leverage ratio declined before the cross - month period and rebounded after it [3]. 3. Summary by Directory 3.1 Capital Market - **Capital Prices**: R001 closed at 1.35% (previous 1.55%), DR001 at 1.31% (previous 1.52%), R007 at 1.49% (previous 1.69%), and DR007 at 1.42% (previous 1.65%). The 6M national - share bank bill transfer and discount rate closed at 0.79% (previous 0.72%), hitting a new low of 0.40% for the year during the week [1]. - **Central Bank Operations**: The central bank's reverse repurchase injection was 1663.2 billion yuan, with 1656.3 billion yuan maturing, resulting in a net injection of 6.9 billion yuan. There was also 1.2 trillion yuan of buy - out reverse repurchase maturing this week [1]. 3.2 Inter - bank Certificates of Deposit - **Yield and Net Financing**: CD yields decreased. The 3M, 6M, and 1Y yields decreased by 4.44bp, 5.13bp, and 4.00bp respectively. CD net financing was 10 billion yuan (previous - 559.8 billion yuan) [2]. - **Issuance Rate and Term**: The 1Y CD issuance rates of state - owned banks, joint - stock banks, city commercial banks, and rural commercial banks were 1.63%, 1.63%, 1.70%, and 1.75% respectively, with changes of + 0.35bp, - 4.30bp, + 0.84bp, and + 6.67bp compared to the previous period. The weighted average issuance term was 5.9M (previous 7.3M) [2]. 3.3 Government Bonds - **This Week**: National debt net issuance was 160.2 billion yuan, and local government bond net issuance was 243.1 billion yuan, with a total net issuance of 403.3 billion yuan and a total net payment of 294.7 billion yuan [3]. - **Next Week**: It is expected that national debt net issuance will be 283 billion yuan, and local government bond net issuance will be 82.8 billion yuan, with a total net issuance of 365.8 billion yuan and a total net payment of 302.2 billion yuan [3]. 3.4 Market Transactions and Leverage - **Trading Volume**: The average daily volume of pledged repurchase transactions was 6.74 trillion yuan (previous 7.70 trillion yuan) [3]. - **Leverage Ratio**: The average daily inter - bank market leverage ratio was 108.72% (previous 108.85%) [3].

Liquidity Overview - The overnight interest rate has returned to 1.3% as of August 2, 2025, with a stable liquidity environment across the month-end period from July 28 to August 1[1] - The central bank's net short-term reverse repos amounted to 1.32 trillion yuan during the month-end, supporting liquidity needs[1] - The 7-day funding rate decreased to 1.40% in early August, indicating a loosening of liquidity conditions[2] Monetary Policy Insights - The Politburo meeting in July emphasized maintaining ample liquidity, with the central bank reaffirming a moderately loose monetary policy in its August 1 meeting[2] - The market is not expected to face similar tightening of funding rates as seen in January to March 2025[2] Market Trends - The bill market saw a significant drop in rates, with the 1-month bill rate falling to 0.20%, down 82 basis points from the previous week, indicating weak credit demand[4] - Major banks recorded a net purchase of 592.8 billion yuan in bills for July 2025, a historical monthly high compared to 124.1 billion yuan in July 2024[4] Government Debt Activity - Government debt net payments increased to 339 billion yuan from 287.6 billion yuan the previous week, driven by a substantial rise in national bond payments[5] - The planned issuance of government bonds for August 4-8 is set at 578.5 billion yuan, with national bonds accounting for 413 billion yuan[5] Interbank Certificate of Deposit (CD) Trends - The weighted issuance rate for CDs was 1.63%, up 2 basis points week-on-week, but showed a decline to 1.69% post-month-end[6] - The upcoming week (August 4-8) will see 583.8 billion yuan in CDs maturing, indicating increased maturity pressure compared to the previous week[6] Risk Considerations - Potential risks include unexpected changes in liquidity and adjustments in monetary policy due to economic data exceeding expectations or shifts in overseas monetary policies[7]

Group 1 - The report emphasizes that growth has become a resonant factor in the current economic environment, with a focus on selecting factors that are insensitive to economic conditions but sensitive to credit [2][7][9] - The report suggests that the current economic indicators are weak, leading to a preference for growth-oriented stocks in the investment strategy, particularly in the CSI 300 and CSI 1000 indices [2][9][10] - The macroeconomic outlook indicates a potential short-term recovery in economic indicators, with a forecasted slight increase in the economic leading indicators in August 2025 [12][13][14] Group 2 - The liquidity environment is described as relatively stable, with interest rates showing slight increases but remaining below historical averages, indicating a slightly loose liquidity condition [19][20][22] - Credit indicators are noted to be weak, with a decline in credit volume and structure, although the overall credit indicators remain positive [23][24] - The report advocates for an increase in stock allocation, reflecting a positive trend in equity markets, while reducing allocations in other asset classes [2][24][25] Group 3 - The report identifies liquidity as the primary focus of market attention, especially following recent market movements driven by liquidity conditions [26][27] - In terms of industry selection, the report recommends focusing on sectors that are less sensitive to economic fluctuations but more responsive to credit conditions, highlighting industries with growth attributes [4][31][28] - The report lists specific industries with high scores for economic insensitivity and credit sensitivity, including electronics, media, and beauty care, indicating a strategic focus on growth-oriented sectors [28][31]

Group 1: ETF Performance - In July, the top-performing ETFs included the Hang Seng Innovation Drug ETF and the Hong Kong Innovation Drug ETF, both rising over 26% [1] - The top 10 ETFs in July all recorded gains exceeding 23.9%, with year-to-date increases surpassing 86% [1] - Conversely, gold-related ETFs experienced declines, with several falling over 2% in July [1] Group 2: A-share Market Trends - The A-share market in August is expected to be influenced by policies, external events, and economic fundamentals [5][6] - Historical data shows that the Shanghai Composite Index has had a mixed performance in August, with 7 out of 15 years seeing gains [4] - Positive policies and limited external risks are likely to boost market sentiment in August [6] Group 3: Economic and Profit Recovery - Economic recovery trends are anticipated to continue in August, with improvements in industrial and overall A-share earnings growth [6] - The impact of mid-year earnings reports on A-share performance is diminishing, as seen in previous years [5] Group 4: Market Liquidity - Liquidity conditions are expected to remain accommodative in August, with potential increases in foreign capital inflows due to economic recovery expectations [6] - High market sentiment may lead to increased financing activities and new fund launches [6] Group 5: Investment Strategies - The market style in August is expected to be balanced, with growth and cyclical sectors likely to outperform [7] - The "barbell strategy" (combining technology and dividend stocks) may yield limited excess returns this August due to improving economic and profit expectations [8]

Market Overview - The perpetual contract sector is highly competitive [1] - Liquidity and user experience are key factors for success in the perpetual contract sector [1] Key Players - Lighter has the best trading volume and liquidity, backed by A16z [1] - Amber offers the best user experience, especially on mobile devices [1] - Aster is associated with Binance [1] - Ethereal is associated with ENA [1]