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 ...

截至2025年6月3日 11:22，30年国债ETF博时(511130)上涨0.06%，最新价报111.55元。流动性方面，30年国债ETF博时盘中换手6.57%，成交5.05亿元。拉长 时间看，截至5月30日，30年国债ETF博时近1月日均成交23.51亿元。 从资金净流入方面来看，30年国债ETF博时近8天获得连续资金净流入，最高单日获得3.75亿元净流入，合计"吸金"9.69亿元，日均净流入达1.21亿元。 数据显示，杠杆资金持续布局中。30年国债ETF博时最新融资买入额达3159.61万元，最新融资余额达5023.35万元。 截至5月30日，30年国债ETF博时近1年净值上涨14.28%，指数债券型基金排名3/386，居于前0.78%。从收益能力看，截至2025年5月30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70.26%，历史持有1年盈利概率为100.00%。截至2025年5月30日，30年国债ETF博时近3个月超越基准年化收益为1. ...

Group 1 - The 30-year Treasury ETF (511090) has seen a price increase of 0.12%, with the latest price at 123.1 yuan as of June 3, 2025 [1] - The trading volume for the 30-year Treasury ETF reached 1.692 billion yuan, with a turnover rate of 9.21% [1] - The average daily trading volume over the past month was 7.543 billion yuan [1] - The current size of the 30-year Treasury ETF is 18.387 billion yuan [1] - In the past nine trading days, there have been net inflows on six days, totaling 601 million yuan, with an average daily net inflow of 6.678 million yuan [1] Group 2 - The 30-year Treasury ETF closely tracks the China Bond 30-Year Treasury Index, which consists of publicly issued 30-year treasury bonds [2] - The ETF is considered a good tool for portfolio management, offering low trading thresholds and high trading efficiency [2] - The minimum trading unit is 100 shares, approximately 10,000 yuan, allowing individual investors to participate easily [2] - The ETF allows for T+0 trading, providing immediate transaction capabilities [2] - Multiple market makers ensure liquidity, allowing for instant transactions without a lack of counterparties [2] Group 3 - According to Huatai Securities, the bond market is expected to experience a balanced tug-of-war in the first half of the year, with reduced profit-making effects [1] - The core contradiction in the bond market for the second half of the year is the "lack of certainty" amid multiple variables [1] - The actual growth rate for the year is expected to reach 5%, while nominal growth continues to stabilize [1] - The central bank's probability of further interest rate cuts is decreasing, and the narrow money supply is expected to remain balanced [1] - The bond market is likely to continue exhibiting characteristics of a volatile market in the second half of the year, with increased difficulty in rhythm judgment [1]

1. Report Industry Investment Rating No information provided in the content. 2. Core Viewpoints of the Report - In the fourth week of May, the impact of the rainy season continued to expand, and the traditional off - season effect became more prominent. Food prices remained stable, export freight rates increased due to port congestion, industrial product prices mostly declined, investment demand was weak, new home sales showed an end - of - month rush, and second - hand home sales momentum weakened [4][35]. - In the short term, the impact of the rainy season and the traditional off - season continued to be released. The May PMI showed a mild recovery, and the risk of repeated external tariff policies still existed, which supported the bond market. Attention should be paid to the export data in early June and the potential "expectation gap". In the future, observe the indicators of freight volume and freight rates in June's "rush to export" and the implementation of domestic policy - based financial tools and infrastructure high - frequency performance [4][35]. 3. Summary by Relevant Catalogs (1) Inflation - related - Food prices basically remained stable. The average wholesale price of pork in the country decreased by 0.3% week - on - week, with the decline narrowing. Vegetable prices increased by 1.3% week - on - week, turning from a decline to an increase. The 200 - index of agricultural product wholesale prices was flat week - on - week, and the wholesale price index of vegetable basket products increased by 0.02% week - on - week [9]. (2) Import and Export - related - The congestion at US and European ports pushed up freight rates. The CCFI index increased by 0.9% week - on - week, and the SCFI index increased by 30.7% week - on - week. In the European route, the shipping demand was stable, and the spot market booking price increased. In the North American route, the "rush to export" continued to drive high shipping demand, with some ports congested and route freight rates rising by over 40%. From May 19th to May 25th, the container throughput and cargo throughput of ports increased both week - on - week and year - on - year, with the year - on - year increase remaining the same as the previous week [12]. - The BDI index remained stable week - on - week, and the CDFI index increased for two consecutive weeks. The freight rates of different ship types in the international dry bulk shipping market showed a differentiated trend [12]. (3) Industry - related - The price of thermal coal stabilized with a narrowing decline. The price of thermal coal (Q5500) at Qinhuangdao Port decreased by 0.03% week - on - week. Although high - temperature weather in the north supported coal demand, heavy rainfall in the south squeezed thermal power. Some coal mines tightened supply at the end of the month, and the port coal price tended to be stable [16]. - The decline of rebar prices widened. The spot price of rebar (HRB400 20mm) decreased by 1.9% week - on - week. The apparent demand for rebar increased by 0.7% week - on - week. The supply of five major steel products increased, but the housing construction demand was weak, and the price declined due to high supply and slow inventory reduction [16]. - Copper prices turned from a decline to an increase. The average prices of Yangtze River Non - ferrous copper and LME copper increased by 0.3% and 0.9% week - on - week respectively. Macro - favorable factors such as the extension of the EU tariff deadline and the possible suspension of tariff policies boosted market sentiment, but the high copper price restricted downstream procurement and limited the price increase [22]. - The spot price of glass fluctuated downward. Due to the approaching Dragon Boat Festival and the rainy season in the south, downstream enterprises had limited stocking willingness, and most manufacturers reduced prices to clear inventory [22]. (4) Investment - related - The decline of cement prices continued to widen. The weekly average of the national cement price index decreased by 2.0% week - on - week. Rainy weather in South and East China led to weak market demand and low enterprise shipments [26]. - The sales of new homes in 30 cities increased week - on - week, possibly due to the end - of - month rush effect. From May 23rd to May 29th, the transaction area of new homes increased by 14.5% week - on - week and decreased by 3.0% year - on - year, with the year - on - year decline narrowing. The transaction area of second - hand homes in 17 cities decreased by 7.7% week - on - week, and the year - on - year increase further narrowed, indicating a weakening momentum [27]. (5) Consumption - related - From May 1st to May 25th, the retail sales of passenger cars increased by 16% year - on - year (17% in April), and increased by 9% month - on - month. The wholesale sales of passenger cars increased by 17% year - on - year and decreased by 1% month - on - month [28]. - Crude oil prices continued to decline. As of Friday, Brent crude oil and WTI crude oil prices decreased by 1.4% and 1.2% week - on - week respectively. The planned accelerated production increase of 8 major OPEC + oil - producing countries and the weakening of crude oil demand expectations under tariff policy uncertainty continued to suppress oil prices [3][28].

截至2025年5月29日 11:09，公司债ETF(511030)多空胶着，最新报价105.77元。拉长时间看，截至2025年5月28日，公司债ETF近半年累计上涨1.08%。 流动性方面，公司债ETF盘中换手6.89%，成交10.43亿元。拉长时间看，截至5月28日，公司债ETF近1月日均成交15.91亿元。 规模方面，公司债ETF最新规模达151.46亿元，创近1年新高。 份额方面，公司债ETF最新份额达1.43亿份，创近1月新高。 近期市场传闻，银行二季度业绩不达标，自营卖债兑现浮赢，导致债市下跌。 业内人士分析，配置盘依然坚持"小跌小买，大跌大买"原则逐步加仓。交易盘最近交易难度显著加大，管住手，多看少动是为上策，节奏感较强的也可顺势 参与，看盘口选择方向，速进速出不恋战。 国泰海通证券认为，从"敌事"回归经济和降息视角：对比存款利率，长期中债市并未过度定价融资、通胀的修复相对"滞后"。回顾2022年以来的广谱利率走 势，以贷款利率为锚来看，当前债市利率下行步伐是合理的。 平安基金债券ETF三剑客成员包括公司债ETF(511030)、国开债券ETF(159651)和国债ETF5至10年(511020) ...

Market Overview - The bond market continued to show weakness, with most government bond futures closing lower and interbank bond yields rising slightly by around 0.5 basis points [1] - The central bank conducted a net injection of 58.5 billion yuan in the open market, while short-term funding rates exhibited some divergence [1] Bond Futures and Yields - The closing prices for government bond futures showed a decline, with the 30-year main contract down by 0.04% to 119.400, while the 10-year main contract remained flat at 108.730 [2] - The yields on major interbank bonds mostly continued to rise, with the 10-year government bond yield increasing by 0.75 basis points to 1.705% [2] International Bond Markets - In North America, U.S. Treasury yields collectively fell, with the 2-year yield down by 0.74 basis points to 3.974% [3] - In Asia, Japanese bond yields mostly rose, with the 10-year yield increasing by 5.3 basis points to 1.514% [3] - In the Eurozone, yields on 10-year bonds from France, Germany, Italy, and Spain all decreased [3] Primary Market Activity - Agricultural Development Bank's financial bonds had successful bids with yields of 1.4792%, 1.7059%, and 1.7985% for 1.074-year, 3-year, and 10-year maturities, respectively [4] Funding Conditions - The central bank announced a 215.5 billion yuan reverse repurchase operation at a fixed rate of 1.40%, with a net injection of 58.5 billion yuan for the day [5] - The Shibor rates showed mixed performance, with the overnight rate declining by 4.1 basis points to 1.411% [5] Institutional Insights - Citic Securities indicated that uncertainty may persist in the economic landscape through 2025, with a projected GDP growth of 5% for the year [6] - China International Capital Corporation noted that credit bond supply may continue to recover, while short-term credit spreads are at historically low levels [7]

【行情跟踪】 国债期货收盘全线下跌，30年期主力合约跌0.26%报119.460，10年期主力合约跌0.11%报108.735，5年 期主力合约跌0.03%报106.030，2年期主力合约跌0.02%报102.408。 新华财经北京5月27日电（王菁）债市周二（5月27日）偏弱运行，国债期货小幅收跌，银行间现券收益 率上行1BP左右；公开市场单日净投放910亿元，短端资金利率表现有所分化，总量工具短期料将难有 增量，债市交易重心从此前的宽松预期脱离。 机构认为，当下市场风险偏好回升，对经济修复的预期有所改善，潜在的交易点或在于未来三个月中基 本面数据的预期差。也有机构提示，随着银行负债管理难度加大，债基配置比例受限，可能引发同业存 单利率在季末等时点冲高。 欧元区市场方面，当地时间5月26日，10年期德债收益率跌0.7BP报2.558%，10年期意债收益率跌3BPs 报3.552%，10年期西债收益率跌1.3BP报3.174%。其他市场方面，10年期法债收益率跌2.4BPs报 3.234%。 【一级市场】 国开行2年、5年、10年期金融债中标收益率分别为1.52%、1.5261%、1.6618%，全场倍数分别 ...

Group 1 - The core viewpoint of the news highlights the performance and market activity of the credit bond ETF Bosera, which has seen a continuous increase in trading and liquidity, indicating strong investor interest [2][3] - As of May 27, 2025, the credit bond ETF Bosera has achieved a price of 100.79 yuan, marking a 0.05% increase and a seven-day consecutive rise [2] - The fund has recorded a trading volume of 46.02 billion yuan with a turnover rate of 67.44%, reflecting active market participation [2] Group 2 - The credit bond ETF Bosera has experienced a net inflow of funds over the past five days, totaling 13.03 billion yuan, with a peak single-day inflow of 5.25 billion yuan [3] - The fund's leverage has been increasing, with a latest financing balance of 55.00 million yuan, indicating sustained interest from leveraged investors [3] - Since its inception, the credit bond ETF Bosera has shown a monthly profit percentage of 66.67% and a historical three-month holding profit probability of 100.00% [3] Group 3 - The fund's maximum drawdown since inception is 0.89%, with a relative benchmark drawdown of 0.10%, and it took 26 days to recover from the maximum drawdown [3] - The management fee for the credit bond ETF Bosera is 0.15%, and the custody fee is 0.05%, which are among the lowest in comparable funds [3] - The tracking error for the fund year-to-date is 0.009%, indicating the highest tracking precision among comparable funds [3]

Core Viewpoint - The bond market is experiencing a strong consolidation, with government bond futures mostly rising slightly and interbank bond yields generally declining by around 1 basis point. The central bank's net injection of 247 billion yuan indicates a clear intention to maintain a loose monetary policy, which is expected to support the funding environment despite external demand pressures [1][5]. Market Performance - Government bond futures closed mostly higher, with the 30-year main contract up 0.13% at 119.760, while the 10-year main contract remained flat at 108.855. The yields on major interbank bonds also saw slight declines, with the 10-year government bond yield down 0.25 basis points to 1.682% [2]. - The China Convertible Bond Index closed down 0.23% at 427.33 points, with a total transaction amount of 54.167 billion yuan. Notable declines were seen in several convertible bonds, while others experienced gains [2]. International Bond Market - In North America, U.S. Treasury yields fell across the board, with the 10-year yield down 2.26 basis points to 4.506%. In Asia, Japanese bond yields mostly retreated, while in the Eurozone, yields on 10-year bonds from France, Germany, Italy, and Spain also decreased [3]. Primary Market - The results of the second local bond issuance in Liaoning Province showed a bidding multiple exceeding 28 times, with the 7-year bond yield at 1.67% and the 30-year bond yield at 2.12% [4]. Funding Environment - The central bank conducted a 7-day reverse repurchase operation with a total amount of 382 billion yuan at a rate of 1.40%, resulting in a net injection of 247 billion yuan for the day. The Shibor rates showed mixed performance, with the overnight rate declining while the 7-day rate increased [5]. Institutional Insights - Institutions suggest that ordinary financial bonds exhibit sufficient curve structure and high cost-effectiveness in the 2-5 year investment horizon. The demand for fixed-income assets is expected to outstrip supply in the coming months, potentially leading to further declines in interest rates [6][7].

Core Viewpoint - The credit bond ETF from Bosera has shown a positive trend with a 0.05% increase, marking its sixth consecutive rise, and has reached a new high in both scale and share volume [2][3] Group 1: Market Performance - As of May 26, 2025, the credit bond ETF from Bosera is priced at 100.74 yuan, with a trading volume of 4.05 billion yuan and a turnover rate of 6.33% [2] - The ETF has achieved an average daily transaction volume of 34.51 billion yuan over the past week [2] - The fund's latest scale has reached 6.813 billion yuan, a record high since its inception, ranking it in the top quarter among comparable funds [2] - The number of shares for the ETF has reached 67.7051 million, also a three-month high, placing it in the top quarter among comparable funds [2] Group 2: Fund Inflows and Leverage - The credit bond ETF has seen continuous net inflows over the past four days, with a maximum single-day inflow of 425 million yuan, totaling 778 million yuan and an average daily net inflow of 195 million yuan [3] - The ETF has experienced six consecutive days of net purchases from leveraged funds, with the latest financing balance at 5.5 billion yuan [3] Group 3: Performance Metrics - Since its inception, the ETF has recorded a maximum drawdown of 0.89%, with a relative benchmark drawdown of 0.10%, and a recovery period of 26 days [3] - The fund has a management fee of 0.15% and a custody fee of 0.05%, which are the lowest among comparable funds [3] - The tracking error for the ETF year-to-date is 0.009%, indicating the highest tracking precision among comparable funds [3]