// 债市综述 // 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 1.65% 附近，较上日变化不大。 1. 公开市场操作 央行公告称， 6 月 26 日以固定利率、数量招标方式开展了 5093 亿元 7 天期逆回购操作，操作利率 1.40% ，投标量 5093 亿元，中标量 5093 亿元。 Wind 数据显示，当日 2035 亿元逆回购到期，据此计算，单日净投放 3058 亿元。 （*数据来源：Wind-央行动态PBOC） 2. 资金面 央行加力，资金面整体变化不大，存款类机构隔夜质押式回购利率微幅下行，仍位于 1.37% 附近。 海外方面，最新美国隔夜融资担保利率为 4.3% 。 （IMM） （*数据来源：Wind-国际货币资金情绪指数、资金综合屏） （*数据来源：Wind-同业存单-发行结果） 4. 银行间主要利率债收益率 | （*数据来源：Wind-成交统计BMW） | | --- | 5. 近期城投债（AAA）各期限利差走势及数据 6. 国债期货收盘 （*数据来源：Wind-利差分析） 30 年期主力合约涨 0.1% 10 年期主力合约跌 0.02% 5 年期主力合约持平 // 全 ...

Core Viewpoint - The People's Bank of China (PBOC) has announced a significant liquidity injection through a 300 billion MLF operation, indicating a supportive stance towards the market while avoiding excessive monetary easing [1][2]. Group 1: Monetary Policy Actions - The PBOC will conduct a 300 billion MLF operation with a one-year term, marking the fourth consecutive month of excess MLF renewals since March [1]. - The net injection for June has reached 318 billion, reflecting the central bank's intention to provide liquidity support during a traditionally tight period [1]. - The MLF net injection scale is decreasing, suggesting a cautious approach by the PBOC to avoid overly loose monetary conditions while allowing for potential future bond purchases [1]. Group 2: Market Impact - The recent liquidity measures are expected to support the bond market, alleviating short-term pressures from government bond issuances and maturing interbank certificates [2]. - The bond market has shown a "bull steepening" trend, with short-term rates declining more rapidly due to increased purchases of short-term government bonds by major banks [2]. - The overall positive trend in the bond market is expected to continue, driven by weak economic fundamentals, reinforced policy easing expectations, and sustained liquidity support [2].

Group 1 - The company bond ETF (511030) has increased by 0.02%, with the latest price at 106.08 yuan, and its scale has reached a new high of 20.869 billion yuan [1] - The company bond ETF has seen continuous net inflows for 13 days, with a maximum single-day net inflow of 1.538 billion yuan, totaling 5.3 billion yuan, averaging 408 million yuan per day [1] Group 2 - The national debt ETF for 5 to 10 years (511020) has risen by 0.01%, with the latest price at 117.56 yuan, and its scale is now 1.432 billion yuan [4] - The national development bond ETF (159651) is currently in a stalemate, priced at 106.18 yuan, with a scale of 1.003 billion yuan [4] - The central bank has conducted a 300 billion yuan MLF operation, with a net injection of 118 billion yuan this month [4] - In June, the government bond net issuance has reached 1.2 trillion yuan, with significant participation from major banks in the primary bidding [4] Group 3 - The recent stock market has performed well, with the A-share index reaching a year-to-date high, and banks listed in both A and H shares hitting new highs [5] - The company continues to favor long-term city investment bonds and bank capital bonds with yields above 2%, while also focusing on the central bank's liquidity behavior [5] - The bond ETF trio from Ping An Fund includes the company bond ETF (511030), national development bond ETF (159651), and national debt ETF for 5 to 10 years (511020), covering various durations to assist investors in navigating the bond market cycle [5]

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]

日期 2025 年 6 月 24 日 行业 国债日报 研究员：何卓乔(宏观贵金属) 18665641296 hezhuoqiao@ccb.ccbfutures.com 期货从业资格号：F3008762 研究员：黄雯昕(国债集运) 021-60635739 huangwenxin@ccb.ccbfutures.com 期货从业资格号：F3051589 研究员：聂嘉怡(股指) 021-60635735 niejiayi@ccb.ccbfutures.com 期货从业资格号：F03124070 宏观金融团队 请阅读正文后的声明 ＃summary＃ 每日报告 | | 表1：国债期货6月23日交易数据汇总 | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 合约 | 前结算价 | 开盘价 | 收盘价 | 结算价 | 涨跌 | 涨跌幅 （%） | 成交量 | 持仓量 | 仓差 | | TL2509 | 121.340 | 121.500 | 121.290 | 121.260 | -0.050 | -0.04 ...

Group 1 - The trading volume in the Shanghai, Shenzhen, and Beijing markets has exceeded 500 billion, with an estimated total trading amount of approximately 1.1 trillion for the day [1] - The bond futures market is mostly flat, with the 30-year main contract up by 0.13%, while the 10-year, 5-year, and 2-year main contracts remain flat [1] - The 30-year government bond ETF from Bosera (511130) opened high but fluctuated downwards during the day, increasing by 4 basis points with a turnover rate exceeding 12% and a trading volume close to 1 billion [1] Group 2 - There is an expectation of a second interest rate cut this year, with rates likely to fluctuate downwards before the cut, suggesting a strategy of increasing bond allocation during rate hikes [2] - The Bosera 30-year government bond ETF (511130) was established in March 2024 and is one of only two on-market ultra-long-term bond ETFs, tracking the "Shanghai Stock Exchange 30-Year Government Bond Index" [2] - The index reflects the overall performance of 30-year government bonds listed on the Shanghai Stock Exchange, with a duration of approximately 21 years, making it highly sensitive to interest rate changes [2]

Market Overview - The bond market is currently in a "full bow" state, with the median duration of interest rate bond funds reaching a historical high of 5.25 years as of June 20, 2025[1] - The leverage ratio for non-bank financial institutions is approximately 113.9%, up from a low of 113.5% in mid-February 2025, but still below the historical peak of 118.5%[1] Yield Spread Analysis - The yield spread between new and old bonds has been fully explored, with the yield on long-term active bonds declining by about 5 basis points, while older bonds have seen declines of 8-9 basis points[2] - The yield spread between 10-year national development bonds and national treasury bonds has narrowed from a high of 7.2 basis points to the current 3.7 basis points[2] Market Dynamics - The bond market has been characterized by a lack of clear direction, with 12 historical rounds of yield spread compression analyzed, showing that 8 rounds occurred in uncertain market conditions[3] - The compression of yield spreads is often concluded by clear market signals such as interest rate cuts or significant supply increases, which could lead to a re-expansion of spreads[3] Future Outlook - The process of compressing yield spreads may continue until the central bank initiates bond purchases or provides stronger signals, such as allowing treasury bonds to meet reserve requirements[4] - The market is expected to experience increased volatility following the implementation of new monetary policies, particularly around natural easing points like the beginning of a quarter[4] Risk Factors - Potential risks include unexpected adjustments in monetary policy, liquidity changes, and fiscal policy shifts that could impact market stability[5]

Core Viewpoint - The bond market has shown a strong performance recently, with various fixed-income products experiencing growth in returns, particularly those with embedded options [2][3][11]. Summary by Sections Fixed Income Product Performance - In the past month, the bond market experienced fluctuations, with rates generally declining. Various stable products saw an increase in net value, especially option-embedded fixed income products, followed by medium- and long-term bond funds [3][9]. - As of June 18, the monthly returns for different products were as follows: option-embedded bond funds at 0.54% (previously 0.62%), medium-term bond funds at 0.31% (previously 0.13%), short-term bond funds at 0.18% (previously 0.19%), high-grade interbank certificates of deposit index funds at 0.15% (previously 0.18%), and cash management products at 0.11% (unchanged) [3][10]. Bond Market Review - The bond market showed a pattern of weakness followed by strength, influenced by market sentiment and liquidity conditions. The tightening of liquidity in late May, combined with the U.S.-China trade meeting in early June, initially suppressed bond market performance. However, after the month transitioned, the central bank's supportive stance on liquidity led to a recovery [11][12]. - The one-year AAA interbank certificate of deposit rate fell to approximately 1.65%, a slight decrease from the previous month, indicating a shift towards a more favorable liquidity environment [12][15]. Market Outlook - In the short term, the bond market is expected to maintain a low-interest, low-volatility trend, with the 10-year government bond yield projected to fluctuate between 1.5% and 1.8%, centered around 1.7% [31][34]. - Credit bonds are anticipated to outperform interest rate bonds, with credit spreads likely to remain relatively low, minimizing the risk of significant widening [34]. Asset Management Industry Trends - The scale of wealth management products increased to 31.3 trillion yuan by the end of May, reflecting a 1.6% month-on-month growth. This growth is attributed to the decline in bank deposit rates, which has made wealth management products more attractive [36]. - On May 23, the National Financial Regulatory Administration released a draft for asset management product information disclosure, allowing for more flexible performance benchmark disclosures, which may influence investor behavior in the long term [36]. Investment Strategy Recommendations - For investors needing liquidity management, maintaining cash-like products and considering stable low-volatility wealth management or short-term bond funds is advisable [39]. - For conservative investors, holding pure bond products with a potential extension of duration is recommended, especially as the 10-year government bond yield approaches 1.7%-1.8% [40]. - For more advanced conservative investors, continuing to hold fixed-income plus products is suggested, with a focus on incorporating convertible bonds and equity assets into the strategy [41].

Core Viewpoint - The bond market is showing a strong consolidation trend, with expectations of continued loose monetary policy from the central bank to counter potential external demand pressures [1][7]. Market Performance - Government bond futures closed higher across the board, with the 30-year main contract up by 0.21%, and the 10-year main contract up by 0.02% [2]. - The yields on major interbank bonds mostly declined, with the 10-year government bond yield down by 0.15 basis points to 1.639% [2]. - The China Securities convertible bond index closed down by 0.01%, with a trading volume of 573.28 billion [2]. Overseas Bond Market - In North America, U.S. Treasury yields rose collectively, with the 10-year yield increasing by 1.58 basis points to 4.393% [3]. - In Asia, Japanese bond yields mostly declined, with the 10-year yield down by 1.4 basis points to 1.399% [4]. - In the Eurozone, bond yields generally increased, with the 10-year UK bond yield rising by 3.6 basis points to 4.529% [4]. Primary Market - Shenzhen's local bonds saw high bidding multiples, with the 2-year bond "Shenzhen 2532" having a bid-to-cover ratio of 16.59 [5]. - The 15-year bond "Shenzhen 2533" had a bid-to-cover ratio of 15.27, indicating strong demand [5]. Liquidity and Interest Rates - The LPR remained stable, with the 1-year LPR at 3% and the 5-year LPR at 3.5% [6]. - The central bank conducted a 7-day reverse repurchase operation with a total of 1612 billion, resulting in a net withdrawal of 413 billion for the day [6]. - Short-term Shibor rates mostly increased, with the overnight rate up by 0.1 basis points to 1.368% [6]. Investment Strategy Insights - The bond market is expected to challenge previous lows, with social financing growth projected to peak around 9.0% in July and August before gradually declining [8]. - The central bank's liquidity support has led to a stable funding environment, suggesting that long-term bond yields may have room to decline [8].

市场回顾与分析 一级市场回顾 上周一级市场国债、地方债和政策性金融债发行规模分别为6578亿、1078亿和1755亿，净融资额为2621 亿、-430亿和736亿。金融债（不含政金债）共计发行规模2368亿，净融资额1667亿。非金信用债共计 发行规模3076亿，净融资额1068亿。可转债新券发行3只，预计融资规模21亿元。 债市策略展望 二级市场回顾 海外市场 美国CPI/PPI表现均不及预期，显示关税对通胀冲击尚未完全显现，市场对美联储降息预期上升。10年 期美债收盘在4.41%，较前周下行10BP。 权益市场 上周A股宽基指数大多小幅下跌。具体而言，万得全A下跌0.27%，万得微盘股指数下跌0.07%，沪深 300收跌0.25%，科创50下跌1.89%。A股成交放量，日均成交额1.37万亿，周度日均成交量增加1628.23 亿。截至2025年6月12日，全A融资余额18089.79 亿，较6月5日增加94.60亿。 上周债市震荡中小幅走强。主要影响因素包括：资金面、央行买断式逆回购公告、中美伦敦磋商、以伊 冲突等。 流动性跟踪 上周，OMO净回笼，临近税期，资金前松后紧，周五央行提前公告新一轮6月期买断 ...