固定收益 | 固定收益定期固定收益定期 流动性跟踪 证券研究报告 跨季后资金面有哪些关注点？ 1、资金面聚焦：跨季后资金面有哪些关注点？ 本周资金面整体平稳，临近跨季波动有所增加，7 天资金利率大幅上行， 上半周政府债发行规模较大。但央行呵护意图较为明显，全周逆回购投放 超 2 万亿元，存单发行利率低波震荡、小幅上行，跨季资金整体无虞。 下周，政府债发行规模回落至 721 亿元。其中，无国债发行，地方债发行 721 亿元、净缴款 742 亿元，供给压力明显缓和。 4、货币市场：本周 7 天资金利率大幅上行 资金利率多数上行：截至 6/27，DR001 下行 0.59BP 至 1.37%，DR007 上行 20.27BP 至 1.7%，R001 上行 1.22BP 至 1.46%，R007 上行 32.91BP 至 1.92%。 本周，银行体系资金净融出平均 3.86 万亿元，较上周变动-1067 亿元。其 中，国有大行净融出平均 3.98 万亿元，较上周变动-3931 亿元，隔夜占比 90%，较上周变动-7.39%。 5、同业存单 本周，同业存单发行总额为 7264 亿元，净融资额为-3827 亿元，相较上周 ...

Market Overview - The bond market in China continued to show a warming trend, with major interbank interest rate bond yields mostly declining by 0.5 basis points, and government bond futures closing higher across the board [1][2] - The People's Bank of China (PBOC) is maintaining a supportive stance on liquidity, ensuring that the funding situation remains stable as the end of the quarter approaches [1][5] Bond Futures Performance - Government bond futures closed higher, with the 30-year main contract rising by 0.17% to 120.890, the 10-year main contract up by 0.09% to 109.045, and the 5-year main contract increasing by 0.10% to 106.265 [2] - The yields on various bonds showed mixed performance, with the 30-year government bond yield rising by 0.2 basis points to 1.8505%, while the 2-year government bond yield fell by 1.5 basis points to 1.3550% [2] International Bond Market Trends - In North America, U.S. Treasury yields collectively fell, with the 2-year yield down by 6.74 basis points to 3.711% and the 10-year yield down by 5.09 basis points to 4.240% [3] - In Asia, Japanese bond yields rose, with the 10-year yield increasing by 3.3 basis points to 1.451% [4] - In the Eurozone, the 10-year French bond yield fell by 1.1 basis points to 3.245%, while the German bond yield rose by 0.3 basis points to 2.566% [4] Liquidity and Funding - The PBOC conducted a 7-day reverse repurchase operation amounting to 525.9 billion yuan at a fixed rate of 1.40%, resulting in a net injection of 364.7 billion yuan for the day [5] - The total net injection by the PBOC for the week reached 1.2672 trillion yuan, indicating a significant liquidity support [5] Economic Fundamentals - From January to May, the total operating revenue of state-owned and controlled enterprises in China was 3.280625 trillion yuan, a slight decrease of 0.1% year-on-year, while total profits fell by 2.8% to 165.145 billion yuan [6] - In May, profits of large-scale industrial enterprises dropped by 9.1% year-on-year, with mining profits down by 29.0% and manufacturing profits up by 5.4% [7] Institutional Insights - Citic Securities noted a significant deviation in the allocation of active equity products, with an overweight in stocks and underweight in bonds, which may lead to performance risks [8] - Zhongyou Fixed Income highlighted a surprising increase in demand for ultra-long credit bonds, driven by public offerings and insurance funds, suggesting a more optimistic short-term outlook for these bonds [8]

Market Performance - The majority of government bond futures closed flat, with the 30-year main contract rising by 0.10% to 120.720 yuan, while the 10-year main contract fell by 0.02% to 108.950 yuan [1] - The yields on major interbank bonds declined, with the 30-year government bond yield down by 1.3 basis points to 1.8505%, and the 10-year government bond yield down by 0.85 basis points to 1.6450% [1] Funding Conditions - The central bank announced a 7-day reverse repurchase operation of 509.3 billion yuan at a fixed rate of 1.40%, with a net injection of 305.8 billion yuan for the day [2] - Overnight pledged repo rates slightly decreased, remaining around 1.37%, while the 7-day pledged repo rate fell by approximately 1 basis point [2] - The central bank's liquidity management through MLF and reverse repos indicates a clear supportive stance [2] Operational Recommendations - The short-term funding environment may experience disturbances due to the quarter-end, but the overall bond market is expected to remain stable [3] - Attention should be paid to the central bank's announcement regarding government bond transactions, as a resumption of bond purchases could lead to a decline in yields [3] - The market is also monitoring the June PMI data, with expectations of a potential decline influencing market sentiment [3]

Report Industry Investment Ratings - No specific industry investment ratings are provided in the report. Core Views of the Report - Short - term international situation is volatile, and risk preference drives market sentiment back. A - shares have a significant increase, and different futures varieties in various sectors present different trends and investment opportunities [2]. Summary by Related Catalogs Stock Index Futures - The large - finance sector continues to reach new highs, and A - shares rise with increased trading volume. It is recommended to buy the deeply discounted 09 contracts on dips in the CSI 1000 variety and sell the 09 call options near 6300 to form a covered combination [2]. Bond Futures - Near the end of the month, the bond market may anticipate the central bank's restart of bond purchases. The overall pattern of bond futures is short - term volatile but generally strong. In the unilateral strategy, bond futures can be appropriately bought on adjustments, and in the spot - futures strategy, attention can be paid to the positive arbitrage strategy of the TS2509 contract and the steepening of the yield curve [2]. Precious Metals - The impact of geopolitical conflicts fades. The expectations of fiscal and monetary easing in Europe and the United States boost precious metals. It is recommended to continue the strategy of selling out - of - the - money options on both sides of gold, and silver prices are driven by easing expectations in the short term [2]. Shipping Index Futures - It is recommended to watch cautiously. The 08 contract of the container shipping index (European line) is expected to fluctuate between 1650 - 1850 [2]. Steel Futures - Industrial material demand and inventory are deteriorating. Attention should be paid to the decline in apparent demand. For unilateral operations, it is mainly a wait - and - see approach, and for arbitrage, the strategy of going long on finished products and short on raw materials can be considered [2]. Iron Ore Futures - It is recommended to try shorting on rebounds, with the upper pressure level around 720 [2]. Coking Coal Futures - It is recommended to go long on coking coal at low prices or go long on coking coal and short on coke [2]. Coke Futures - It is recommended to go long on coking coal and short on coke [2]. Base Metals (Copper, Aluminum, Zinc, etc.) - For copper, the main contract is expected to fluctuate between 78000 - 80000; for aluminum, between 19600 - 20600; for zinc, between 21500 - 22500. Each metal has its own supply - demand and price characteristics, and corresponding investment strategies are provided [2]. Energy and Chemical Futures - Crude oil: The market is mainly oscillating, and short - term long positions can be considered at low prices. For other chemical products such as PTA, PF, etc., different investment strategies are proposed based on their supply - demand and price trends [2]. Agricultural Futures - Different agricultural products such as soybeans, corn, palm oil, etc., have different market trends. For example, soybeans may have short - term corrections, and different trading strategies are given for each product [2]. Special and New Energy Commodity Futures - For special commodities like glass and rubber, and new energy commodities like polysilicon and lithium carbonate, corresponding price trends and investment strategies are provided [2].

Economic Indicators - In May, the industrial added value for large-scale industries grew by 5.8% year-on-year and 0.61% month-on-month, indicating resilience despite external tariff impacts[9] - The total retail sales of consumer goods in May reached 41,326 billion yuan, a year-on-year increase of 6.4%, surpassing the previous value of 5.1%[11] - From January to May, fixed asset investment (excluding rural households) increased by 3.7% year-on-year, with real estate development investment declining by 10.7%[13] Market Performance - The Shanghai Composite Index closed at 3,420.566, with a weekly decline of 0.51%[2][31] - The Shenzhen Component Index fell by 1.16%, while the CSI 300 Index decreased by 0.45%[31] - Daily average trading volume decreased to 12,150.34 billion yuan, down by 1,566.44 billion yuan from the previous week[31] Investment Trends - Equipment investment is expected to continue its upward trend, supported by long-term special government bonds aimed at equipment upgrades[5] - The manufacturing sector's investment growth is slowing, with a notable decline in electric equipment and real estate sectors[13] - The financial sector showed strength with a 1.37% increase, while consumer sectors faced a decline of 3.61%[31] Monetary Policy and Liquidity - The central bank conducted a total of 9,603 billion yuan in reverse repos this week, resulting in a net withdrawal of 799 billion yuan[6][19] - The upcoming seasonal transitions and government bond financing are expected to impact liquidity, with a focus on the central bank's monetary policy actions[20] Risks and Outlook - Potential risks include tighter monetary policy, unexpected economic recovery leading to rising bond yields, and deteriorating local fiscal conditions[35] - The market may continue to experience "high-low cuts," with a focus on dividend sectors and low-position technology stocks as rotation opportunities[34]

1、央妈出手呵护资金面，如何最大程度抓机会? 今天国内市场再接再厉，创业板指竟然大涨3%。其实涨幅只是一个方面，更重要的观测指标是沪深两 市的成交量达到了1.6万亿。昨天我们就跟大家聊到过，最近这段时间成交量的数据非常重要，它反映 的市场情绪是一个决定性的因素。我们之前跟大家聊到，只要它能够达到1.4万亿或者1.5万亿，就是一 个比较好的回血状态。但今天一举向上突破了1.6万亿。我们来看看这个背后的因素以及它的持续性到 底怎么样。 本篇评级为★★★，主要围绕以下内容展开： 1、央妈出手呵护资金面，如何最大程度抓机会? 2、海外资产动向，好牌都已上桌，留意路上的阻力 3、聚焦科技，抓大放小 如有疑问请以音频内容为准，添加妙妙子微信huxiuvip302，入群有机会与董小姐进一步交流。 新闻解读评级说明：五星重磅，四星重要，三星级以下大家选择听。 一方面，市场情绪的恢复是由于外部扰动突然消失了。之前中美之间的矛盾短暂地进入了蛰伏期。另 外，中东的冲突也迅速结束了，这是一方面的原因。另一方面，临近月底的时候，本来大家预期市场上 的资金面是比较紧张的。最直接的表现就是大家观测一些一天期的国债逆回购等短期利率，这些利率 ...

1. Report Industry Investment Rating No information provided in the content. 2. Core Views of the Report - The geopolitical impact on stock index futures is controllable, and the A-share market is in a stage of oscillation to find a direction. The core contradiction lies in the need for policy support in the weak reality and the unclear impact of tariff events on the fundamentals. The marginal flow of funds determines the short - term market direction [1][7]. - For stock index options, sentiment repair continuity can be arranged. The trading volume of the options market increased, and the sentiment of each variety rebounded slightly. The defensive sentiment weakened, and the volatility reached the lowest level this year. It is advisable to use collar strategies or bull spreads and also consider light - position double - buying [2][8]. - In the case of treasury bond futures, the profit - taking sentiment may increase. The treasury bond futures mostly declined yesterday. Although the market's risk - aversion sentiment may have increased due to the conflict between Israel and Iran, the increase was limited. With the approaching of the end of the quarter and the acceleration of local bond issuance, the market is cautious about the capital side, and the 10Y treasury bond interest rate is near the key point [3][10]. 3. Summaries According to Relevant Catalogs 3.1 Market Views 3.1.1 Stock Index Futures - **Market Situation**: The A - share market oscillated and recovered yesterday, with the whole A - index rising 0.85%. The computer, military, and coal sectors led the gains, and the trading volume of the two markets was 1.15 trillion. The number of daily limit stocks increased to 83 [7]. - **Key Data**: The basis of IF, IH, IC, and IM current - month contracts was - 34.50 points, - 30.78 points, - 48.37 points, and - 76.82 points respectively, with a month - on - month change of 7.74 points, 6.14 points, 2.74 points, and - 12.03 points. The total positions of IF, IH, IC, and IM changed by 18334 lots, 12339 lots, 6879 lots, and 12238 lots [7]. - **Logic**: The geopolitical risk is the main variable in the news, but the market expects a low probability of the Strait of Hormuz being blocked. The core contradiction in the A - share market is the need for policy support in the weak reality and the unclear impact of tariff events. The recent depreciation of the Hong Kong dollar has suppressed the sentiment of the pharmaceutical and new - consumption sectors [1][7]. - **Operation Suggestion**: Stay on the sidelines [7]. 3.1.2 Stock Index Options - **Market Situation**: The underlying market opened low and closed high yesterday. The sentiment of small - cap stocks recovered. The trading volume of the options market was 4082 million yuan, a 5.08% increase from the previous trading day, with medium - to - high liquidity and active intraday trading [2][8][9]. - **Key Data**: The PCR of the 50ETF and CSI 1000 stock index futures showed different rebound strengths, with the 50ETF reaching the level at the end of May [8]. - **Logic**: The downward sentiment of each variety has eased, and the defensive sentiment has weakened. The volatility has reached the lowest level this year, and the cost - effectiveness of short - volatility is low [2][8]. - **Operation Suggestion**: Use collar strategies, bull spreads, and light - position double - buying [8]. 3.1.3 Treasury Bond Futures - **Market Situation**: Treasury bond futures mostly declined yesterday. The T main contract continued to decline in price after opening, rebounded in the afternoon, but still closed slightly lower. The TL main contract opened higher in the morning but turned down during the day [3][8][10]. - **Key Data**: The trading volume and positions of T, TF, TS, and TL current - quarter contracts changed to varying degrees. The central bank conducted 22.05 billion yuan of 7 - day reverse repurchases yesterday, with 34.2 billion yuan of reverse repurchases maturing [8]. - **Logic**: The conflict between Israel and Iran may have increased the market's risk - aversion sentiment, but the increase was limited. The stock market strengthened during the day, showing a stock - bond seesaw effect. The capital side was relatively stable, but the market was cautious due to the approaching end of the quarter and the acceleration of local bond issuance. The 10Y treasury bond interest rate is near the key point [3][10]. - **Operation Suggestion**: Adopt a trend strategy of oscillation, pay attention to short - hedging at low basis levels for hedging strategies, appropriately focus on the widening of the basis for basis strategies, and choose to steepen the curve in the medium - term for curve strategies [10]. 3.2 Economic Calendar - On June 23, 2025, the initial value of the Eurozone's June SPGI manufacturing PMI was 49.4, the same as the previous value; the initial value of the US June SPGI manufacturing PMI was 52, higher than the predicted value [11]. - On June 24, 2025, the German June IFO business climate index and the US June Conference Board consumer confidence index are yet to be announced [11]. - Other economic data such as the US initial jobless claims for the week ending June 21, 2025, and the Eurozone's June consumer confidence index final value are also scheduled for release in the following days [11]. 3.3 Important Information and News Tracking - **US Macroeconomics**: Federal Reserve Governor Bowman said that if inflation remains subdued, she may support a rate cut by the Fed in July. If inflation continues to decline or the job market weakens, the FOMC can cut interest rates [12]. - **Real Estate**: The Hangzhou Housing Provident Fund Management Center launched a service allowing employees to use their housing provident fund to directly pay the down - payment for newly built commercial housing in Hangzhou, with full online processing support. The online processing function for second - hand houses is under development and will be launched soon [12]. - **Stablecoins**: The Hong Kong "Stablecoin Ordinance" will come into effect on August 1, 2025. The Hong Kong Monetary Authority has set relatively strict standards for stablecoin issuers, with a high entry threshold. It is expected that only a few licenses will be issued initially, and the licensed stablecoins will have specific uses such as cross - border trade [12]. 3.4 Derivatives Market Monitoring - Information about stock index futures, stock index options, and treasury bond futures data is mentioned in the content, but no specific detailed summaries are provided in the text other than the data presented in the market views section [13][17][29].

Market Performance - The majority of government bond futures closed lower, with the 30-year main contract down 0.04% at 121.290, and the 10-year main contract down 0.01% at 109.155 [1] - The yields on major interbank bonds mostly increased, with the 30-year government bond yield rising by 0.1 basis points to 1.8380%, and the 10-year government bond yield increasing by 0.15 basis points to 1.7070% [1] Funding Situation - The central bank announced a 7-day reverse repurchase operation of 220.5 billion yuan at a fixed rate of 1.40%, with the same amount being the winning bid [2] - The overall funding situation is relatively loose, with overnight pledged repo rates slightly declining but remaining around 1.37%, while the 7-day pledged repo rate increased by over 1 basis point [2] News Developments - Recent reports indicate that the scope of special bonds is expanding, with new uses including investment in government investment funds [3] - The new special bond issuance is expected to accelerate in the second half of the year, focusing on land acquisition and settling local government debts [3] Operational Suggestions - Recent high-frequency data shows signs of weakening in exports, while the central bank's signals of support and declining funding rates are favorable for the bond market [4] - The overall bond rates are expected to maintain a downward trend, with a potential breakthrough at the 1.6% level for the 10-year government bond yield if the central bank resumes bond purchases [4]

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints The report analyzes the liquidity situation from June 16 - 20, 2025, indicating that the overall capital market shows a state of balanced and slightly loose funds, with some indicators showing upward or downward trends, and the market's expectation of the capital situation is relatively stable. Attention should be paid to the impact of factors such as the end - of - quarter credit impulse and government bond supply on the capital market [1][2][3]. 3. Summary by Related Content 3.1 Open Market Operations and Fund Rates - Last week, the open - market maturity was 1040.2 billion yuan, including 858.2 billion yuan of reverse repurchase maturity and 182 billion yuan of MLF maturity. The open - market investment was 960.3 billion yuan, all in reverse repurchase, with a net withdrawal of 7.99 billion yuan. The overall capital situation was balanced and slightly loose, with the average DR007 at 1.52%, up 0.5BP from the previous week, and the average R007 at 1.58%, up 1BP from the previous week. The average DR001 and R001 were 1.38% and 1.44% respectively. The exchange repurchase rate increased, with the average GC007 at 1.61%, up 4BP from the previous week. As of the last trading day of last week, the outstanding balance of reverse repurchase was 960.3 billion yuan, up from the previous week [1]. 3.2 Certificate of Deposit (CD) and IRS Yields - Last week, the total maturity of CDs was 1021.64 billion yuan, the issuance was 1102.32 billion yuan, and the net financing scale was 80.68 billion yuan. As of the last trading day of last week, the yield to maturity of 1 - year AAA CDs was 1.64%, down from the previous week. This week, the single - week maturity scale of CDs is about 1137.81 billion yuan, with a greater maturity pressure than the previous week. In terms of interest rate swaps, the average of the 1 - year FR007 interest rate swap last week was 1.53%, up from the previous week. The market's expectation of the capital situation is stable, and CDs are more affected by seasonal supply - demand pressure [2]. 3.3 Repurchase Volume and Institutional Behavior - Last week, the volume of pledged repurchase was between 7.7 - 8.8 trillion yuan, with the average R001 repurchase volume at 7462.2 billion yuan, up 361.4 billion yuan from the previous week. As of the last trading day of last week, the outstanding balance of repurchase was 12.7 trillion yuan, up from the previous week. The repurchase leverage has returned to the high point of December last year. By institution, the lending scale of large banks increased, while that of money market funds decreased. The borrowing scales of securities firms, funds, and wealth management increased. As of Friday, the repurchase balances of large banks and money market funds were 5.30 trillion yuan and 1.94 trillion yuan, up 358.3 billion yuan and down 9.4 billion yuan respectively from the previous week. The positive repurchase balances of securities firms, funds, and wealth management were 1.86 trillion yuan, 2.47 trillion yuan, and 777.6 billion yuan respectively, up 21.7 billion yuan, 83.5 billion yuan, and 55.6 billion yuan respectively from the previous week [3]. 3.4 Bill Rates and Exchange Rates - Last Friday, the 6M national stock bill transfer quotation was 1.05%, up from the last trading day of the previous week. Near the end of the quarter, attention should be paid to the situation of credit impulse. Last Friday, the US dollar - to - RMB exchange rate was reported at 7.18, up slightly from the previous week, and the Sino - US interest rate spread narrowed. Last week, the Fed held its June FOMC meeting, keeping the federal funds rate target range at 4.25 - 4.5%, maintaining the interest rate unchanged for four consecutive times, while raising the inflation forecast and lowering the economic growth forecast, suggesting an increase in stagflation risk. Due to the Fed's caution, the approaching inflation pulse, and the Treasury's supply pressure, short - term US bond yields may remain high [4]. 3.5 This Week's Key Concerns - This week, the open - market capital maturity is 1060.3 billion yuan, including 960.3 billion yuan of reverse repurchase maturity and 100 billion yuan of treasury deposit maturity. On Friday, China's industrial enterprise profits for May will be announced, and attention should be paid to the enterprise profit repair situation. The eurozone's economic sentiment index for June will also be announced on Friday, and attention should be paid to the eurozone's economic trend. In addition, the US PCE for May will be announced on Friday, and attention should be paid to the inflation trend. This week, the 7 - day repurchase starts to cross the quarter, and the government bond supply scale is large. Attention should be paid to the impact on the capital situation [5].

1. 公开市场操作 央行公告称，6月20日以固定利率、数量招标方式开展了1612亿元7天期逆回购操作，操作利率1.40%，投标量1612亿元，中标量1612亿 元。Wind数据显示，当日2025亿元逆回购到期，据此计算，单日净回笼413亿元。当周央行公开市场全口径净回笼799亿元。 // 债市综述 // Wind数据显示，6月23日-27日当周央行公开市场将有9603亿元逆回购到期。 （*数据来源：Wind-央行动态PBOC） 2.资金面 资金面由偏收敛转为均衡，存款类机构隔夜质押式回购利率继续微幅上行，但仍位于1.37%附近，七天质押式回购利率则下行5个bp。 海外方面，最新美国隔夜融资担保利率为4.31%。 （IMM） （*数据来源：Wind-国际货币资金情绪指数、资金综合屏） 3.同业存单 全国和主要股份制银行一年期同业存单最新成交在1.64%附近，较上日变化不大。 5.近期城投债（AAA）各期限利差走势及数据。 （*数据来源：Wind-利差分析） 6.国债期货收盘齐升。 30年期主力合约涨0.21% 10年期主力合约涨0.02% 5年期主力合约涨0.02% 2年期主力合约涨0.02% （*数据来源：W ...