国债期货日报 | 2025-07-03 政策预期博弈下，国债期货全线收涨 市场分析 宏观面：（1）宏观政策：5月7日国新办发布会上，央行宣布落实适度宽松政策，推出涵盖数量型、价格型和结构 型在内的一揽子十项措施，包括降准0.5个百分点、政策利率与结构性工具利率分别下调0.1和0.25个百分点、公积 金贷款利率同步下调，同时增设及扩容科技、养老、消费、涉农等领域专项再贷款，强化资本市场支持和创新债 券风险缓释机制，旨在提升信贷投放、稳定市场预期，推动经济高质量发展；5月10日，中美双方在日内瓦举行经 贸高层会谈，为时两天；5月12日，中美联合发布《中美日内瓦经贸会谈联合声明》，声明指出中美双方 "24%的关 税在初始的90天内暂停实施，对这些商品加征剩余10%的关税。" ；5月20日，中国人民银行公布LPR下调：1年期 LPR由3.1%降至3.0%，5年期以上品种由3.6%降至3.5%，为近半年首次下调。同日，多家国有大行与部分股份制银 行同步下调存款挂牌利率，涵盖活期、整存整取及通知存款等多类型产品。此次降息与降存款利率同步实施，延 续了央行5月初提出的 "政策利率—LPR—存款利率" 联动调控路径。 2）通 ...

Report Overview - Report Type: Fixed Income Report - Release Date: July 2, 2025 - Analysts: Liang Weichao, Li Shukai 1. Industry Investment Rating No industry investment rating is provided in the report. 2. Core View - The ultra-long-term credit bond market cooled down in the last week of June after two consecutive weeks of heating up, but it is only a temporary adjustment without signs of a market reversal. - In the short term, one can be more optimistic about the opportunities to participate in ultra-long-term credit bonds, especially considering the potential incremental space from the expansion of bond ETF products, which may improve the liquidity of ultra-long-term bonds. - However, the thin coupon protection makes them less resistant to fluctuations, and the vulnerability of the liability side of public fund products should not be ignored. A strategy of quick entry and exit and staying ahead of the news may be a good choice [5][26]. 3. Summary by Directory 3.1 Ultra-long Term Temporarily Cools Down - **Market Performance in the Last Week of June**: The bond market entered a consolidation phase, with interest rates first weakening and then strengthening. Credit bonds performed worse than interest rate bonds, with larger declines. Affected by the "stock-bond seesaw" effect, the short - and medium - term yields of interest rate bonds fluctuated downward, while the long - and ultra - long - term yields adjusted. Credit bonds had different trends from interest rate bonds, with relatively larger adjustment amplitudes [3][10]. - **Performance of Ultra-long-term Credit Bonds**: After two consecutive weeks of rising, ultra-long-term credit bonds adjusted, with the adjustment amplitude even exceeding that of the same - term interest rate bonds. The yields of AAA/AA+ 10Y medium - term notes increased by 2.5BP and decreased by 1.5BP respectively, and the yields of AAA/AA+ 10Y urban investment bonds increased by 3.7BP and 1.7BP respectively, while the 10Y treasury bond yield only increased by 0.7BP [3][10]. - **Curve Morphology**: The steepness of the 1 - 2 year for medium - and high - grade bonds and the 2 - 5 year for low - grade bonds was the highest, but overall it was slightly lower than at the end of May, and the short - end remained flat [12]. - **Absolute Yield and Credit Spread**: The coupon value remains low. In terms of credit spreads, there may be opportunities around the 3 - year mark. After a week of adjustment, the short - term 1 - year still lacks cost - effectiveness, while the protection of the 3 - year has strengthened [14]. - **Performance of Perpetual and Tier 2 Bonds**: The market of perpetual and tier 2 bonds weakened. The decline of those within 5 years was similar to that of the same - term general credit bonds, and the performance of those over 7 years was comparable to that of ultra-long - term credit bonds. The yield of 4 - 10 year AAA - bank tier 2 capital bonds increased by 1.98BP, 0.36BP, 1.38BP, 4.01BP, 3.69BP, 3.85BP, and 2.62BP respectively [4][16]. - **Active Trading of Perpetual and Tier 2 Bonds**: The trading sentiment fluctuated throughout the week, being poor on Tuesday and Wednesday and better on the other days. The proportion of low - valuation transactions and the average trading duration also fluctuated. The trading amplitude of low - valuation and discount transactions was small [18][19][21]. - **Selling and Buying Intentions of Ultra-long-term Credit Bonds**: Institutions' selling intention increased compared with the previous week, but the discount amplitude was mostly within 3BP, not an urgent selling situation. The market's buying intention was not weak, with about 43% of the low - valuation transactions having an amplitude of 4BP or more, indicating the existence of allocation demand [5][22][24].

Investment Rating - The report does not explicitly provide an investment rating for the banking wealth management industry Core Insights - The report highlights the pressure on bank wealth management product yields due to the stock-bond seesaw effect and seasonal liquidity constraints, indicating a potential long-term decline in yields [4][17] - Regulatory changes are pushing for innovation in financial products to meet household wealth management needs, which is crucial for the banking wealth management sector [10][11] - The report notes that the valuation rectification of bank wealth management products is ongoing, with many institutions completing their mid-year plans by the end of June [11][12] Summary by Sections Regulatory and Industry Dynamics - On June 24, the People's Bank of China and five other departments issued guidelines to support consumption and promote financial products that meet household wealth management needs [3][10] - The valuation rectification of bank wealth management products is a significant focus, with many banks reporting progress in their mid-year plans [11] - As of the end of May, the total net asset value of public funds in China reached 33.74 trillion yuan, reflecting a growth of 6.26 billion yuan from April [12] Yield Performance - For the week of June 23-29, cash management products recorded a 7-day annualized yield of 1.42%, up by 1 basis point, while money market funds reported a yield of 1.32%, up by 2 basis points [4][14] - Most pure fixed income and fixed income+ products saw a decline in annualized yields, influenced by various factors including the stock-bond seesaw effect and geopolitical risks [16][17] Net Asset Value Tracking - The report indicates that the net asset value of bank wealth management products was 0.83%, up by 0.1 percentage points, remaining at a low level [25][26] - Credit spreads have narrowed, indicating limited value, and future trends in credit spreads will be closely monitored as they may impact the net asset value [25][27]

Regulatory and Industry Dynamics - On June 24, the People's Bank of China and six other departments issued guidelines to support consumption, emphasizing the need for innovative financial products that meet household wealth management needs and enhance residents' property income [2][5] - As of May 2025, there are 164 public fund management institutions in China, managing a total net asset value of 33.74 trillion yuan, an increase of 6.26 billion yuan from April [6] Yield Performance - For the week of June 23-29, 2025, cash management products recorded an annualized yield of 1.42%, up 1 basis point, while money market funds reported a yield of 1.32%, up 2 basis points [3][8] - The yield of pure fixed income and fixed income + products generally declined, influenced by factors such as the stock-bond seesaw effect and seasonal liquidity [9][10] Product Innovation and Market Trends - ICBC Wealth Management and China Post Wealth Management participated as cornerstone investors in the IPO of Sanhua Intelligent Control, each acquiring a stake of 20 million USD [7] - The ongoing valuation rectification in bank wealth management is expected to limit product yield potential, as companies shift focus towards low-volatility, high-liquidity assets [10][14]

Core Viewpoint - The bond market has shifted from a bull market to a volatile market due to various factors including changes in monetary policy, liquidity conditions, and geopolitical events [2][6]. Group 1: Market Trends - The recent rebound in the A-share market has improved market risk sentiment, leading to a decline in government bond futures [1]. - As of June 30, the 30-year government bond futures experienced a significant drop of 0.5%, marking the largest pullback since June 23, with a total decline exceeding 1% [1][4]. - On July 1, the 30-year government bond futures rebounded, rising over 0.3% [1]. Group 2: Influencing Factors - The decline in the bond market is attributed to a tightening of the funding environment, a recovery in risk appetite, and an increase in bond supply [1]. - The net financing amount for interest rate bonds in June was 17,070 million, a slight decrease of 878 million from May, but an increase of 8,612 million compared to the same period in 2024 [5]. Group 3: Future Outlook - Analysts expect the bond market to gradually strengthen in July, despite a weak fundamental backdrop and a loose liquidity environment [1]. - The bond market is anticipated to exhibit a volatile upward trend, with the 10-year and 30-year government bond yields facing resistance levels of 1.6% and 1.8%, respectively [7]. - The liquidity situation is expected to remain stable, supported by the central bank's actions, although fluctuations in funding rates may occur due to tax payments and government bond settlements [8].

对于今年6月以来的债市，西部证券认为，大行持续买短债，央行买断式逆回购有力呵护，叠加基本面数 据表现偏弱、地缘政治冲突加剧，债市利好因素累积增多，收益率基本处于下行通道，但止盈情绪升温制 约债市进一步上涨空间，市场博弈利差挖掘行情。 在近期A股市场震荡走高之际，市场风险情绪好转，国债期货各品种均有所回落。 6月30日，30年期国债期货盘中大跌0.5%，自6月23日以来最大回撤幅度超过1%。不过，7月1日，30年 期国债期货价格有所反弹，一度涨超0.3%。 分析人士指出，近期期债市场回落主要是受资金面收敛、风险偏好回升以及债券供应放量等因素影响。进 入7月份，在基本面偏弱和流动性偏宽松的情况下，债市或逐步走强。 债市进入震荡市 今年以来，在货币政策节奏变化、市场流动性松紧转换以及海外事件驱动等多因素作用下，债市告别单边 牛市，进入震荡市。 今年6月下旬，随着中东局势降温，市场避险情绪走弱，风险偏好再度回归，股债跷跷板打压债市，国债 期货各品种均有所回落。 30年期国债期货自6月23日以来，最大回撤幅度超过1%，10年期国债期货回撤幅度接近0.3%，5年期国 债期货和2年期国债期货也出现了不同程度回撤。 7月1日 ...

Core Viewpoint - The bond futures market has experienced a decline since late June, influenced by factors such as tightening liquidity, rising risk appetite, and increased bond supply. However, as the fundamentals remain weak and liquidity is expected to be loose, the bond market may gradually strengthen in July [1][2]. Group 1: Market Dynamics - The bond futures market has seen a pullback due to a tightening of the funding environment, with interbank market rates rising significantly, particularly DR007 which increased from around 1.5% to over 2%, marking a new high in over a month [1]. - The A-share market's continuous rise has created a "see-saw effect" with the bond market, as major indices reached yearly highs, leading to a shift of funds from the bond market to the stock market, particularly affecting long-term government bond futures [1]. - The issuance of bonds surged in June, with local government special bonds and ultra-long-term treasury bonds contributing to supply shocks in the bond market. The net financing of local government special bonds reached 529.2 billion yuan in the last week of June, a record high for the year [1]. Group 2: Future Expectations - Analysts expect that as the basic economic pressures increase and liquidity remains loose, the bond market is likely to strengthen in July. The anticipated decline in domestic demand and the weakening momentum of enterprises in the third quarter will further transmit pressure to the economy [2]. - The central bank's recent monetary policy meeting indicated a shift towards a more flexible approach to policy implementation, suggesting that the expectation of loose liquidity will gradually rise, which is favorable for the bond market [2]. - Key areas to monitor in July include changes in monetary policy and market liquidity, the impact of fiscal policy and bond supply, and economic data and expectations [3].

投资咨询业务资格：证监许可【2011】1778 号 宝城期货国债期货早报（2025 年 7 月 1 日） ◼ 品种观点参考—金融期货股指板块 2.跌幅大于 1%为下跌，跌幅 0~1%为震荡偏弱，涨幅 0~1%为震荡偏强，涨幅大于 1%为上涨。 3.震荡偏强/偏弱只针对日内观点，短期和中期不做区分。 ◼ 主要品种价格行情驱动逻辑—金融期货股指板块 品种：TL、T、TF、TS 日内观点：震荡偏弱 中期观点：震荡 参考观点：震荡 核心逻辑：昨日国债期货均震荡回调。消息面，统计局公布了 6 月 PMI 数据，其中制造业 PMI 为 49.7， 上月为 49.5，表现出向好趋势，并且新订单指数回升至扩张区间。制造业 PMI 边际向好意味着未来 降息的紧迫性有所下降，国债期货价格承压。另外，近期股市风险偏好回升较快，股债跷跷板效应增 强，国债的投资者偏好有所下降。不过目前内需复苏仍需要政策面托底需求端，未来仍需要偏宽松的 货币环境，国债期货的下方支撑力量较强。总的来说，短期内国债期货震荡整理为主。 时间周期说明：短期为一周以内、中期为两周至一月 | 品种 | 短期 | 中期 | 日内 | 观点参考 | 核心逻辑概要 | ...

2025 年 06 月 30 日 择券空间继续收窄 分析师：罗云峰 S1050524060001 luoyf2@cfsc.com.cn 分析师：杨斐然 S1050524070001 yangfr@cfsc.com.cn 相关研究 1、《6 月财政发债力度超预期—— 资产配置周报》2025-06-29 2、《本轮资金面高点的预估——资 产配置周报》2025-06-22 3、《6 月边际缩表概率进一步上升 ——资产配置周报》2025-06-15 投资要点 ▌ 股债、转债市场回顾 上周 A 股情绪和资金为推动震荡上行但分化显著，金融科 技、小盘成长及微盘股表现强势，金融权重股承压。板块轮 动加速，算力产业链受英伟达创新高提振，数字货币概念在 香港数字资产政策刺激下涨停，小米 SU7 预售刺激消费电子 链，军工股周中开始走强，霍尔木兹海峡航运风险以及美元 走弱和出口枪炮等因素刺激有色金属板块。港股分化，创新 药承压，虚拟资产牌照概念股暴涨。避险资产承压，中东局 势缓和致黄金止盈下跌，WTI 原油暴跌创 27 个月新低。国内 债市受股债跷跷板效应震荡，长债卖出压力较大，30 年国债 期货出现短线跳水行情。 上周正股走强 ...

Report Investment Rating No industry investment rating is provided in the report. Core Viewpoint In the short term, the market may continue to fluctuate as it awaits further confirmation of monetary policy. Subsequently, it is expected to break through the downward space and approach the low point. Although the liquidity in July may remain relatively loose, from the perspective of coordinating fiscal policies and managing market expectations, treasury bond trading may not necessarily occur during this window period. The amplitude and rhythm of the curve opening up space require reasonable assessment [35]. Summary by Directory 1. Stock Market Suppression, Bond Market First Weak then Strong, Curve Slightly Steepened - This week (June 23 - June 27), the cross - quarter and the stock - bond "seesaw" were the main factors influencing the bond market. The stock market's strength in the first half of the week suppressed the bond market, but the central bank's increased liquidity injection and insurance replenishment provided some support. In the second half of the week, the bond market recovered as the stock - bond linkage effect weakened and the stock market declined, along with uncertain industrial enterprise profit data [1][8]. - On a daily basis, the bond market showed different trends each day. By June 27, the yields of 1Y, 5Y, 10Y, and 30Y treasury bonds changed by - 1, + 0.4, + 0.7, and + 1.2 BP respectively compared to June 20, and the curve steepened slightly. Most yields of major - term certificates of deposit (CDs) increased [8]. 2. Cross - quarter Overall Secure, Bank Liability - side Pressure Controllable - This week, the overall funding situation was stable, with increased fluctuations approaching the quarter - end. The 7 - day funding rate rose significantly, and the government bond issuance scale was large in the first half of the week. However, the central bank's intention to support was obvious, with reverse repurchase injections exceeding 2 trillion yuan. CD issuance rates fluctuated slightly, and large - bank lending remained stable around 4 trillion yuan, indicating that cross - quarter funds were generally secure and bank liability - side pressure was relatively controllable [2][13]. - The 7 - day funding rate center increased, and the DR001 still ran below the policy rate. As of June 27, the weekly averages of DR001 and R001 changed by - 0.53 and + 0.58 respectively compared to the previous week, while those of DR007 and R007 changed by + 12.75 and + 24.03 BP respectively. The phenomenon of funding stratification became more prominent, and the funding pressure on non - bank institutions increased during the cross - quarter period [13]. 3. The "Actions" and "Inactions" of Central Bank Monetary Policy - In June, market discussions about whether the central bank would restart treasury bond trading intensified. Since June, large banks' purchases of short - term treasury bonds (especially 1 - 3Y) increased year - on - year and month - on - month, which made the market more likely to associate this with the restart of treasury bond trading operations [19]. - The central bank suspended treasury bond purchases in 2025 mainly due to the improvement of the government bond supply - demand relationship and to avoid creating strong market expectations. After the market adjustment in the first quarter, an expert view in the Financial Times on April 13 suggested that the central bank might buy new treasury bonds in the secondary market if the interest - rate increase pressure from expansionary fiscal policies weakened policy effectiveness [3][25]. - In the first half of 2025, the bond market's funding situation was volatile. Monetary policy showed more characteristics of dynamic equilibrium and contingency decision - making among multiple goals. The central bank's shift from "restraint" to "support" in liquidity injection corresponded to the change in policy goal priority from "risk prevention" to "stable growth" [4][29]. - Currently, the central bank's "inactions" may include: improved flexibility and precision in liquidity regulation in 2025, with June smoothly passing multiple liquidity tests; large banks' purchases of short - term treasury bonds may not directly equal the central bank's purchases; the central bank is still concerned about bond market interest - rate risks; and the government bond supply pressure decreased in June, with the next peak likely in August - September. Therefore, treasury bond trading may not necessarily occur in July, and the market may fluctuate in the short term [30][35]. 4. Next Week's Focus - June 30: China's official manufacturing PMI for June, Eurozone's M1/M2/M3 for May, Germany's CPI for June. - July 1: Eurozone's CPI for June, US ISM manufacturing PMI for June. - July 2: US ADP employment for June. - July 3: US non - farm payrolls for June, US ISM non - manufacturing PMI for June. - July 4: EU PPI for May [38][39].