1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - Interest rates are expected to reach new lows, with a new downward trend possibly starting from mid - to late June. The report believes that the 10 - year treasury bond could reach 1.4% - 1.5% within the year [5][18]. 3. Summary by Related Content Bond Market Performance This Week - The bond market fluctuated strongly this week, with most interest rates across different tenors declining. At the beginning of the month, funds became looser, with the R001 rate dropping to around 1.45% and the R007 rate to around 1.55%. The 10 - year and 30 - year treasury bond rates decreased by 1.7bps and 2.0bps to 1.65% and 1.88% respectively. The 1 - year AAA certificate of deposit rate fell 2.3bps to 1.68%, and the 3 - year and 5 - year AAA - secondary capital bond rates dropped 3.2bps and 1.9bps [1][8]. Alleviation of Market Concerns - Market concerns about the bond market have eased. Big banks have limited pressure to sell bonds, and there is no obvious need to realize floating profits at the end of the quarter. Although a large number of certificates of deposit will mature in the coming weeks, due to the limited liability pressure of banks, they are still lending a large amount of funds, and the certificate of deposit rates remain low. The central bank's repurchase operation at the beginning of the month also helps stabilize market expectations [1][8]. Factors Driving Interest Rate Decline - The main driver of interest rate decline is the decrease in the real - economy return rate. The weakening trend of prices in the next few months is expected to lead to a reduction in the financing cost that the real economy can accept. Empirical data shows a high correlation between industrial enterprises' EBIT/ total assets and the weighted average loan interest rate. The recent weakening of industrial product prices indicates a possible decline in corporate profitability in the next few months, which means the corporate - acceptable financing cost may continue to fall [2][9]. Manifestation of Interest Rate Decline - The decline in broad - spectrum interest rates is reflected in both the decrease in liability costs and the narrowing of net interest margins. The liability cost decline is evident in various financial institutions, with the yields of deposits, money market funds, wealth management products, and insurance products showing a downward trend. For example, the 1 - year and 5 - year deposit rates of Industrial and Commercial Bank of China have decreased by 50bps and 70bps respectively since the end of 2023, and were further reduced by 15bps and 25bps in May this year. The 7 - day average interest rate of Yu'E Bao has dropped below 1.2%, hitting a record low [3][12][13]. - Financial institutions' earnings are also on a downward trend. The net interest margin of banks has been decreasing over the past few years, dropping from 1.91% at the end of 2022 to 1.43% in the first quarter of this year, a decrease of 9bps compared to the end of last year, and it may continue to decline. Insurance's fee - difference loss may also be shrinking, and the management fees of various fixed - income asset management institutions may be under continuous pressure [4][15]. Short - term Driving Variables - In addition to the fundamental - driven decline in broad - spectrum interest rates, changes in asset supply and demand and the central bank's liquidity support will be the main short - term variables driving interest rates to break previous lows. The supply of government bonds will slow down in the next few months, while the supply of funds will remain abundant. The central bank has increased its support for liquidity, conducting repurchase operations in early June to maintain capital stability. The bond market may once again experience a situation where demand exceeds supply, and the asset shortage may reappear [4][17][18].

Group 1 - The report emphasizes a cautious approach in the current market environment, suggesting a focus on defensive sectors such as banking due to ongoing tariff negotiations and economic pressures [3][10][12] - It highlights the potential for bond yields to reach new lows, recommending patience in positioning for left-side opportunities, particularly when the 10-year government bond yield approaches 1.7% after a 10 basis point rate cut [3][12] - The report notes a significant recovery in the domestic stock market, driven by short-term high-elasticity targets, with small-cap stocks becoming the core focus for capital [10][12] Group 2 - The report outlines key events impacting the market, including the U.S. tariff increase on steel and aluminum, and the People's Bank of China's liquidity support measures [9][10] - It tracks market performance indicators, noting a rise in average daily trading volume to 12,088.54 billion yuan, indicating increased trading activity and investor interest [22] - The report anticipates continued recovery in U.S. markets, driven by stable earnings from tech giants and a favorable environment during the tariff policy window [13]

债券市场专题研究 报告日期：2025 年 06 月 06 日 近期焦煤上涨对债市是否有影响？ ——债券市场专题研究 核心观点 本轮黑色系商品期货价格走强在技术面及基本面上均以消息面驱动的反弹为主，不构 成趋势性反转，因此对债市影响有限。 证券研究报告 | 债券市场专题研究 | 债券研究 ❑ 从基本面及技术面如何理解焦煤主力合约价格异动上涨？ 本轮黑色系商品期货价格走强更多或为下行趋势中的反弹而非反转，基本面来看 黑色系商品多数仍然供需格局偏弱，现货价格处于中期下行趋势中。从技术面来 看，领涨的焦煤品种主力合约在本轮反弹中出现的信号强于钢铁、铁矿石等品种， 但总体来看趋势仍旧偏弱，做多仍需谨慎入场。 ❑ 本轮焦煤主力合约价格异动上涨对债市影响如何？ 对应债券市场，由于黑色系商品期货总体周期性价格走势较为一致，而黑色系商 品期货价格走强多数情形下同样会对债市形成压制。但综合前述分析，本轮黑色 系商品期货价格走强在技术面及基本面上均以消息面驱动的反弹为主，不构成趋 势性反转，因此对债市影响有限，对债市的关注点仍然应该落脚在资金面、央行 操作、中美谈判进展等方面。 ❑ 风险提示 技术分析具有一定局限性；宏观经济政策出 ...

Report Overview - The report aims to objectively reflect the research views of futures and securities companies on various commodity varieties, track hot varieties, analyze market investment sentiment, and summarize investment driving logic. It is for internal company use only and does not constitute personal investment advice [1]. Market Data Commodities - **Palm oil**: Closed at 8060.00 with a weekly increase of 0.67% [2]. - **Live pigs**: Closed at 13605.00 with a weekly increase of 0.67% [2]. - **Soybean meal**: Closed at 2968.00 with a weekly increase of 0.54% [2]. - **Corn**: Closed at 2336.00 with a weekly increase of 0.39% [2]. - **Copper**: Closed at 77600.00 with a weekly decrease of 0.24% [2]. - **PTA**: Closed at 4700.00 with a weekly decrease of 0.34% [2]. - **Aluminum**: Closed at 20070.00 with a weekly decrease of 0.42% [2]. - **Silver**: Closed at 8218.00 with a weekly decrease of 0.54% [2]. - **Methanol**: Closed at 2208.00 with a weekly decrease of 0.63% [2]. - **Gold**: Closed at 771.80 with a weekly decrease of 1.06% [2]. - **Crude oil**: Closed at 447.90 with a weekly decrease of 1.08% [2]. - **Ethylene glycol**: Closed at 4349.00 with a weekly decrease of 1.23% [2]. - **Glass**: Closed at 982.00 with a weekly decrease of 1.80% [2]. - **PVC**: Closed at 4764.00 with a weekly decrease of 1.85% [2]. - **Iron ore**: Closed at 702.00 with a weekly decrease of 2.23% [2]. - **Rebar**: Closed at 2961.00 with a weekly decrease of 2.79% [2]. - **Coke**: Closed at 1308.00 with a weekly decrease of 5.42% [2]. A-shares - **CSI 500**: Closed at 5671.07 with a weekly increase of 0.32% [2]. - **CSI 300**: Closed at 3840.23 with a weekly decrease of 1.08% [2]. - **SSE 50**: Closed at 2678.70 with a weekly decrease of 1.22% [2]. Overseas Stocks - **Nikkei 225**: Closed at 37965.10 with a weekly increase of 2.17% [2]. - **Nasdaq Composite**: Closed at 19113.77 with a weekly increase of 2.01% [2]. - **S&P 500**: Closed at 5911.69 with a weekly increase of 1.88% [2]. - **FTSE 100**: Closed at 8772.38 with a weekly increase of 0.62% [2]. - **CAC 40**: Closed at 7751.89 with a weekly increase of 0.23% [2]. - **Hang Seng Index**: Closed at 23289.77 with a weekly decrease of 1.32% [2]. Bonds - **5-year Chinese Treasury bond**: Closed at 1.58 with a weekly increase of 2.36% [2]. - **2-year Chinese Treasury bond**: Closed at 1.50 with a weekly increase of 1.35% [2]. - **10-year Chinese Treasury bond**: Closed at 1.70 with a weekly decrease of 1.33% [2]. Foreign Exchange - **US Dollar Index**: Closed at 99.44 with a weekly increase of 0.32% [2]. - **US Dollar central parity rate**: Closed at 7.18 with a weekly decrease of 0.10% [2]. - **EUR/USD**: Closed at 1.13 with a weekly decrease of 0.14% [2]. Commodity Views Macro-financial Sector Stock Index Futures - **Strategy view**: Among 9 institutions, 1 is bullish, 0 is bearish, and 8 expect a sideways trend [3]. - **Bullish logic**: May PMI data shows significant improvement in corporate export orders; ETF shares tracking the CSI 300 index increased by 600 million this week; The Premier emphasized increasing policy support to expand consumption; Market sentiment for real estate and fiscal policies is expected to further recover [3]. - **Bearish logic**: May construction and service sector PMI is not high; A-share average daily trading volume decreased by 79.4 billion yuan week-on-week; Weak domestic demand affects profit expectations; Trump's false social media posts on China trade increase tariff uncertainty [3]. Treasury Bond Futures - **Strategy view**: Among 7 institutions, 3 are bullish, 0 is bearish, and 4 expect a sideways trend [3]. - **Bullish logic**: Setbacks in China-US economic and trade negotiations support the bond market; Manufacturing PMI remains below the boom-bust line; Weak stock market momentum benefits the bond market; Supply-demand disturbances in the bond market weaken after partial issuance [3]. - **Bearish logic**: Industrial enterprise profit growth rebounds; High-speed profit growth in new kinetic energy industries; Banks and insurance companies have limited capacity to absorb bond supply; Market concerns about rising certificate of deposit rates persist [3]. Energy Sector Crude Oil - **Strategy view**: Among 9 institutions, 1 is bullish, 2 are bearish, and 6 expect a sideways trend [4]. - **Bullish logic**: Saudi Arabia's production increase falls short of expectations; Low oil prices hinder US shale oil supply growth; The Northern Hemisphere enters the peak season for refined oil; Chinese refineries plan to end maintenance in June [4]. - **Bearish logic**: OPEC+ is expected to continue increasing production in July; A large amount of US Treasury bonds will mature in June; Trump reignites China-US trade disputes; Global economic weakness and trade frictions drag down oil demand [4]. Agricultural Products Sector Cotton - **Strategy view**: Among 8 institutions, 0 is bullish, 2 are bearish, and 6 expect a sideways trend [4]. - **Bullish logic**: Xinjiang cotton commercial inventory is depleting faster; Import window is mostly closed; India's cotton production decreases year-on-year; US cotton sowing progress lags behind [4]. - **Bearish logic**: The domestic textile industry enters the off-season; Textile enterprises' operating rates decline; Finished product inventories increase; Post-Dragon Boat Festival temperature rise benefits new cotton growth; US cotton-growing areas have good weather [4]. Non-ferrous Metals Sector Copper - **Strategy view**: Among 7 institutions, 2 are bullish, 2 are bearish, and 3 expect a sideways trend [5]. - **Bullish logic**: Global copper mine supply is disrupted; LME copper inventory is falling; Domestic social inventory is low; Strong demand from power grid and new energy industries [5]. - **Bearish logic**: US steel tariff hikes raise stagflation expectations; Weak domestic commodity market sentiment; Widening scrap-copper price difference; Poor cable orders [5]. Chemical Sector Soda Ash - **Strategy view**: Among 7 institutions, 0 is bullish, 4 are bearish, and 3 expect a sideways trend [5]. - **Bullish logic**: Maintenance peaks in July and August may ease supply pressure; Strong export performance; Stable light soda ash demand [5]. - **Bearish logic**: Weak glass demand affects the soda ash market; End of the PV installation rush; Low downstream purchasing enthusiasm; High production and inventory levels limit price increases [5]. Precious Metals Sector Gold - **Strategy view**: Among 7 institutions, 4 are bullish, 0 is bearish, and 3 expect a sideways trend [6]. - **Bullish logic**: US steel and aluminum tariff hikes increase uncertainty; Central bank gold purchases and safe-haven demand support prices; SPDR Gold ETF holdings increase; Long-term logic of gold as a hedge against credit currency risk [6]. - **Bearish logic**: US economic data shows resilience; The Fed's May meeting was hawkish; US stocks showed no significant reaction to tariff hikes; Market sensitivity to Trump's policies may decline [6]. Black Metals Sector Iron Ore - **Strategy view**: Among 9 institutions, 0 is bullish, 3 are bearish, and 6 expect a sideways trend [6]. - **Bullish logic**: Steel mills maintain profits; Port iron ore inventory decreases; Steel mills' imported ore inventory is low; Global iron ore shipments decline [6]. - **Bearish logic**: Trump plans to double steel and aluminum import tariffs; Mainstream ore shipments recover; Daily pig iron production decreases; Daily port throughput decreases; Weak domestic real estate market [6].

Report Industry Investment Rating - No clear industry investment rating is provided in the report. Core View of the Report - The view is to hold positions firmly. Although the reasons for the bond market's rise today seem unconvincing and further observation is needed, the current interest rate level and capital center are still favorable for allocation funds, and long - position holders should hold their chips [1][3] Summary by Related Catalogs 1. Disk Review - Treasury bond futures opened higher and then declined in the morning, fluctuated narrowly in the afternoon, and rallied across the board at the close. The capital interest rate remained low, with the overnight DR closing below 1.4%. The open market had a net withdrawal of 600 million yuan, and liquidity remained abundant [1] 2. Intraday News - The Ministry of Finance and the Ministry of Housing and Urban - Rural Development organized the 2025 evaluation of central - fiscal support for urban renewal actions. 20 cities are proposed to be supported, including Beijing, Tianjin, Tangshan, etc. [2] 3. Market Judgment - The bond market trading has been relatively dull recently. After the adjustment of deposit interest rates, the bulls lack sufficient upward momentum. Neither data releases nor capital levels can truly constitute negative factors. In this uncertain environment, short - term factors such as CD price increases and the seesaw effect of risk assets have an amplified impact on the market. The reasons for the bond market's rise today seem unconvincing, and further observation is needed [3] 4. Data Overview - **Contract Prices and Changes**: TS2509 rose 0.04 to 102.392, TF2509 rose 0.05 to 106.01, T2509 rose 0.06 to 108.73, and TL2509 rose 0.05 to 119.5 [4] - **Contract Positions and Changes**: TS contract positions decreased by 1185 to 119,964 hands, TF contract positions increased by 1800 to 164,943 hands, T contract positions increased by 4148 to 194,988 hands, and TL contract positions increased by 1114 to 114,724 hands [4] - **Basis and Changes**: TS basis (CTD) rose 0.0086 to - 0.0741, TF basis (CTD) rose 0.0091 to - 0.0175, T basis (CTD) rose 0.0683 to 0.023, and TL basis (CTD) fell 0.0567 to 0.4113 [4] - **Transaction Volume and Changes**: TS main contract trading volume decreased by 6072 to 31,202 hands, TF main contract trading volume decreased by 1213 to 46,001 hands, T main contract trading volume increased by 12841 to 55,709 hands, and TL main contract trading volume increased by 9425 to 70,260 hands [4] - **DR Interest Rates and Changes**: DR001 fell 0.0686 to 1.4136%, DR007 fell 0.1149 to 1.5496%, and DR014 fell 0.1392 to 1.5844% [4] - **DR Transaction Amounts and Changes**: DR001 transaction amount increased by 7904.9392 billion yuan to 24,426.9455 billion yuan, DR007 transaction amount increased by 254.423 billion yuan to 1075.1885 billion yuan, and DR014 transaction amount increased by 36.574 billion yuan to 122.9315 billion yuan [4]

30年国债ETF博时(511130)多空胶着，最新报价110.95元。流动性方面，30年国债ETF博时盘中换手9.89%，成交7.56亿元。拉长时间看，截至6月3日，30年 国债ETF博时近1月日均成交23.01亿元。 2025年6月4日，国债期货午盘多数下跌。30年期主力合约跌0.09%报119.340元，10年期主力合约跌0.03%报108.635元，5年期主力合约跌0.02%报105.940元， 2年期主力合约涨0.01%报102.366元。 截至6月3日，30年国债ETF博时近1年净值上涨14.44%，指数债券型基金排名3/389，居于前0.77%。从收益能力看，截至2025年6月3日，30年国债ETF博时自 成立以来，最高单月回报为5.35%，最长连涨月数为4个月，最长连涨涨幅为10.58%，涨跌月数比为9/5，上涨月份平均收益率为2.20%，月盈利百分比为 64.29%，月盈利概率为70.00%，历史持有1年盈利概率为100.00%。截至2025年6月3日，30年国债ETF博时近6个月超越基准年化收益为0.29%。 回撤方面，截至2025年6月3日，30年国债ETF博时成立以来最大回撤6.89%， ...

证券研究报告 | 固定收益研究*周报 2025 年 06 月 03 日 固定收益研究 相关研究 1.《九月债券投资展望》2024-08-30 2.《债市周观察（08.12-08.18）——短期内较难有资 本利得空间》2024-08-19 3.《债市周观察（08.05-08.11）——回调仍在持续， 但卖出是阶段性的》2024-08-12 债市周观察（5.26-6.1）——蛰伏 5 月制造业 PMI 低位修复，但仍处于收缩区间。5 月 PMI 录得 49.5%，较 上月小幅回升 0.5 个百分点。其中，生产指数环比上涨 0.9 个百分点，新 订单指数环比回升 0.6 个百分点。当月，中美关税摩擦显现阶段性缓和迹 象并达成临时性经贸协定，抢出口效应得以延续，但 PMI 整体读数仍低于 荣枯线且增幅不及预期，显示修复动能仍然不足。 上周关税局势再生变数，不确定性陡然加剧。5 月 28 日，美国国际贸易法 院裁定禁止执行特朗普依据《国际紧急经济权力法》对多国加征关税的行 政令；29 日，联邦巡回上诉法院批准政府请求，暂缓执行该禁令；同日， 位于首都华盛顿的哥伦比亚特区联邦地区法院就特朗普政府依据《国际紧 急经济权力法 ...

执业证书号：S0010522030002 电话：13127532070 邮箱：yanzq@hazq.com [Table_Author] 研究助理：洪子彦 [Table_IndNameRptType]2 固定收益 固收周报 债市"每调买机"情绪回归 ——债市情绪面周报（6 月第 1 周） 报告日期： 2025-06-03 [Table_Author] 首席分析师：颜子琦 执业证书号：S0010123060036 电话：15851599909 邮箱：hongziyan@hazq.com 主要观点： ⚫[Table_Summary] 华安观点：6 月债市高胜率+低赔率的组合延续 当前 10Y 国债收益率在 1.65%至 1.70%附近持续震荡超一月，5 月利率 弱、信用强，存单在 1.70%附近震荡，短期债市多空交织。第一，在关税反复 扰动背景下，央行的主要目标由防空转、稳汇率切换至稳增长，双降以及一揽 子货币政策带动广谱利率下行，债牛环境不变；第二，但从短期来看，6 月资 金面易受扰动，存单大额到期+季末流动性冲击+供给高峰，在此背景下央行 对于资金面的话语权已经提升，我们预计一季度的情形大概率不会重演，资金 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Last week, the situation of the trade war was uncertain, causing the bond market to fluctuate. With a loose funding environment and the overnight interest rate dropping back to 1.4%, ultra-long bonds were slightly pressured, showing a V-shaped trend throughout the week. The trading activity of ultra-long bonds increased slightly, and both the term spread and the variety spread widened [1][11]. - For the 30-year treasury bond, as of May 30, the spread between the 30-year and 10-year treasury bonds was 23BP, at a historically low level. Considering domestic economic data, the economy in April still showed resilience. The estimated year-on-year GDP growth rate in April was about 4.1%, a 0.8% decline from March but still higher than the annual economic growth target. In terms of inflation, the CPI in April was -0.1% and the PPI was -2.7%, indicating obvious deflation risks. With the recent easing of Sino-US trade frictions and the dissipation of investors' pessimistic expectations, the short-term focus will shift to the domestic economic data of the second quarter. It is expected that as the policy support effect weakens, the bond yield is more likely to decline. However, the current term spread of the 30-year treasury bond is still low, providing limited protection [2][12]. - For the 20-year CDB bond, as of May 30, the spread between the 20-year CDB bond and the 20-year treasury bond was 2BP, at a historically extremely low level. The domestic economic situation in April was similar to that of the 30-year treasury bond. It is also expected that the bond yield will decline as the policy support effect weakens. However, the current variety spread of the 20-year CDB bond is still low, providing limited protection [3][13]. 3. Summary by Relevant Catalogs 3.1 Weekly Review - **Ultra-long Bond Review**: Last week, due to the uncertain trade war situation and a loose funding environment with the overnight interest rate at 1.4%, ultra-long bonds were slightly pressured, showing a V-shaped trend. The trading activity increased slightly, and both the term spread and the variety spread widened [1][11]. - **Ultra-long Bond Investment Outlook**: As analyzed above for the 30-year treasury bond and 20-year CDB bond [2][3]. - **Ultra-long Bond Basic Overview**: As of May 31, the balance of outstanding ultra-long bonds exceeded 21.6 trillion yuan, accounting for 14.4% of the total bond balance. Local government bonds and treasury bonds were the main varieties. By remaining term, the 30-year variety had the highest proportion [14]. 3.2 Primary Market - **Weekly Issuance**: Last week (May 26 - May 30, 2025), the issuance of ultra-long bonds was low, totaling 117.7 billion yuan, a significant decrease compared to the week before last. By variety, local government bonds accounted for 104.9 billion yuan, and by term, 20-year bonds accounted for 56.5 billion yuan [19]. - **Upcoming Issuance This Week**: The announced issuance plan for ultra-long bonds this week totals 108.1 billion yuan, including 71 billion yuan of ultra-long treasury bonds and 37.1 billion yuan of ultra-long local government bonds [26]. 3.3 Secondary Market - **Trading Volume**: Last week, the trading of ultra-long bonds was quite active, with a turnover of 903.9 billion yuan, accounting for 10.4% of the total bond turnover. Compared to the week before last, the trading activity increased slightly, with the turnover increasing by 42.2 billion yuan and the proportion increasing by 0.2% [28][29]. - **Yield**: Affected by the trade war and the funding environment, ultra-long bonds were slightly pressured, showing a V-shaped trend. The yields of different types of ultra-long bonds had different changes, such as the 15-year treasury bond yield decreasing by 2BP to 1.85% [36]. - **Spread Analysis** - **Term Spread**: Last week, the term spread of ultra-long bonds widened but remained at a low absolute level. The spread between the 30-year and 10-year treasury bonds was 23BP, a 6BP increase from the week before last, at the 6% quantile since 2010 [43]. - **Variety Spread**: The variety spread of ultra-long bonds also widened but was at a low absolute level. The spread between the 20-year CDB bond and the treasury bond was 2BP, and the spread between the 20-year railway bond and the treasury bond was 7BP, with changes of 0BP and 2BP respectively from the week before last, at the 2% and 3% quantiles since 2010 [48]. 3.4 30-year Treasury Bond Futures - Last week, the main contract of the 30-year treasury bond futures, TL2509, closed at 119.41 yuan, a decrease of 0.16%. The total trading volume was 408,900 lots (-60,932 lots), and the open interest was 113,500 lots (-15,740 lots), showing a slight decline in both [50].

固定收益 | 动态跟踪 报告发布日期 2025 年 06 月 03 日 | 齐晟 | qisheng@orientsec.com.cn | | --- | --- | | | 执业证书编号：S0860521120001 | | 杜林 | dulin@orientsec.com.cn | | | 执业证书编号：S0860522080004 | | 王静颖 | wangjingying@orientsec.com.cn | | | 执业证书编号：S0860523080003 | | | | 利空或已提前反应，6 月债市或存机会 固定收益市场周观察 研究结论 风险提示 政策变化超预期；货币政策变化超预期；经济基本面变化超预期；信用风险暴露超预 期；数据统计可能存在遗误 | 建议在 3Y 左右做下沉挖掘：固定收益市场 | 2025-05-27 | | --- | --- | | 周观察 | | | 存单利率重回下行时间点或早于预期：固 | 2025-05-26 | | 定收益市场周观察 | | | 降准是对债市行情的确认还是催化？ | 2025-05-22 | 有关分析师的申明，见本报告最后部分。其他重要信息披露见分 ...