Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - The central bank protected the cross - month liquidity. Capital prices declined, and bill rates hit a new low for the year. The central bank conducted net open - market operations to inject funds during the cross - month period and then shifted to net withdrawal after the cross - month period [1]. - Certificate of deposit (CD) yields decreased, and the government bond yield curve shifted downward. CD net financing rebounded, with large - bank CD issuance rates rising and the average issuance term shortening [2]. - Next week, the net issuance of government bonds will decrease, while the net payment amount will increase. Inter - bank repurchase trading volume and leverage ratio declined before the cross - month period and rebounded after it [3]. 3. Summary by Directory 3.1 Capital Market - **Capital Prices**: R001 closed at 1.35% (previous 1.55%), DR001 at 1.31% (previous 1.52%), R007 at 1.49% (previous 1.69%), and DR007 at 1.42% (previous 1.65%). The 6M national - share bank bill transfer and discount rate closed at 0.79% (previous 0.72%), hitting a new low of 0.40% for the year during the week [1]. - **Central Bank Operations**: The central bank's reverse repurchase injection was 1663.2 billion yuan, with 1656.3 billion yuan maturing, resulting in a net injection of 6.9 billion yuan. There was also 1.2 trillion yuan of buy - out reverse repurchase maturing this week [1]. 3.2 Inter - bank Certificates of Deposit - **Yield and Net Financing**: CD yields decreased. The 3M, 6M, and 1Y yields decreased by 4.44bp, 5.13bp, and 4.00bp respectively. CD net financing was 10 billion yuan (previous - 559.8 billion yuan) [2]. - **Issuance Rate and Term**: The 1Y CD issuance rates of state - owned banks, joint - stock banks, city commercial banks, and rural commercial banks were 1.63%, 1.63%, 1.70%, and 1.75% respectively, with changes of + 0.35bp, - 4.30bp, + 0.84bp, and + 6.67bp compared to the previous period. The weighted average issuance term was 5.9M (previous 7.3M) [2]. 3.3 Government Bonds - **This Week**: National debt net issuance was 160.2 billion yuan, and local government bond net issuance was 243.1 billion yuan, with a total net issuance of 403.3 billion yuan and a total net payment of 294.7 billion yuan [3]. - **Next Week**: It is expected that national debt net issuance will be 283 billion yuan, and local government bond net issuance will be 82.8 billion yuan, with a total net issuance of 365.8 billion yuan and a total net payment of 302.2 billion yuan [3]. 3.4 Market Transactions and Leverage - **Trading Volume**: The average daily volume of pledged repurchase transactions was 6.74 trillion yuan (previous 7.70 trillion yuan) [3]. - **Leverage Ratio**: The average daily inter - bank market leverage ratio was 108.72% (previous 108.85%) [3].

Group 1: Report Industry Investment Rating - Not mentioned in the provided content Group 2: Core Views of the Report - The capital rate in July continued to decline, and the capital market was relatively friendly. It is expected that the capital rate in August will likely maintain a stable and slightly loose pattern [2][6] Group 3: Summary of July Review - Most term capital rates declined in July. The operating centers of DR007 and DR014 decreased by 6bp and 8bp respectively, and those of R001, R007, and R014 decreased by 4bp, 10bp, and 12bp respectively. The deviation of DR007 from the policy rate also narrowed [2][12] - The number of days when DR007 dropped below "policy rate + 10bp" increased significantly in July, rising from 5% in previous months to 45% [2][13] - The central bank continued to support the capital market in July. The total capital injection through reverse repurchase, MLF, and outright reverse repurchase was 48.8 billion, with the net injection scale being the second - highest in the same period since 2018. The capital injection during the tax period was the highest in the same period since 2018, and a large - scale reverse repurchase was carried out after the unexpected tightening of capital rates on July 24 [2][14] - The rapid decline in the bill rediscount rate may indicate poor credit demand in July. Banks may use bill financing to increase credit scale, which reduces the consumption of excess reserves and benefits the capital market [3][19] - The yield of inter - bank certificates of deposit fluctuated. The R007 - DR007 spread reached a new low in the same period since 2019 [21] Group 4: Summary of August Outlook - The market's expectation for further loosening of the capital market in the future is not strong, but the capital rate in August may still maintain a stable and slightly loose pattern [4][6] - Whether the capital market will experience "secondary tightening" is crucial for the bond market. The current bond market adjustment is mainly driven by price increase expectations. If the capital follows and tightens, it will form an additional negative factor [4][32] - Historically, commodity price increases do not necessarily lead to synchronous increases in capital prices. There were cases in 2017, 2018, and 2021 where the building materials composite index rose while the capital rate remained flat or declined [4][33] - The current social financing and exchange rate situations are different from those in the first quarter. Social financing is likely to decline in the second half of the year, and the exchange rate pressure has significantly eased [5][39] - The PMI indicates that the current fundamentals are weaker than those in the first quarter. Since 2024, the capital rate has been more sensitive to fundamental changes. The recent decline in high - frequency fundamental signals suggests that there is no upward risk for the capital rate [5][43] - The net financing pressure of government bonds in August will increase slightly compared to July, but the overall liquidity gap will narrow. Assuming the central bank conducts equal - amount roll - overs of maturing monetary tools, the estimated excess reserve ratio in August will decline [44][47]

Group 1 - The central bank maintains a relatively loose liquidity stance, with market institutions expecting no tightening of funds in August [1][2] - The liquidity gap in August is estimated to be around 200 billion yuan, indicating manageable pressure [1] - Government bond issuance is expected to peak in August, with net financing around 1.2 trillion yuan, contributing to the liquidity landscape [2] Group 2 - The banking sector is anticipated to face increased pressure due to high government bond supply, with monthly net financing potentially reaching 1.5 to 1.6 trillion yuan [2] - The central bank may utilize various liquidity management tools, including OMO, MLF, and reverse repos, to stabilize the market [2] - Recent economic data does not support a shift in monetary policy, reinforcing the expectation of stable liquidity conditions [2][3] Group 3 - Risks to liquidity are more influenced by institutional market behavior rather than fiscal and monetary policies, highlighting the need to monitor bank liabilities and lending capabilities [3] - The decline in deposit rates and the siphoning effect from the equity market may exacerbate deposit outflows, particularly affecting joint-stock banks [3] - The recent reduction in leverage in the bond market is expected to help control the sensitivity of institutions to fluctuations in funding rates [3]

Report Summary 1. Industry Investment Rating - There is no information about the industry investment rating in the provided content. 2. Core View - After consecutive strong rallies, with the phased realization of macro - level positives, the upward speed of stock indices may slow down, and market volatility and adjustments should be watched out for [4]. 3. Summary by Related Catalogs Market and Operation - **Interest Rates**: DR001 closed at 1.40% with an 8.17bp increase, DR007 at 1.55% with a 3.67bp increase, GC001 at 1.03% with a 75.00bp decrease, GC007 at 1.43% with a 19.50bp decrease, SHBOR 3M at 1.57% with a 0.20bp increase, LPR 5 - year at 3.50% with no change, 1 - year treasury at 1.37% with a 1.25bp decrease, 5 - year treasury at 1.56% with a 1.25bp decrease, 10 - year treasury at 1.71% with a 1.50bp decrease, and 10 - year US treasury at 4.38% with a 4.00bp increase [3]. - **Central Bank Operations**: The central bank conducted 2832 billion yuan of 7 - day reverse repurchase operations yesterday, with 3310 billion yuan of reverse repurchases maturing, resulting in a net withdrawal of 478 billion yuan. This week, there are 16563 billion yuan of reverse repurchases maturing, but government bond issuances and certificate of deposit maturities are lower than last week, and month - end fiscal expenditures may speed up, which could bring incremental funds to the inter - bank market [3]. Stock Index Market - **Index Performance**: The CSI 300 closed at 4076 with a 1.82% decrease, the SSE 50 at 2776 with a 1.54% decrease, the CSI 500 at 6226 with a 1.40% decrease, and the CSI 1000 at 6661 with a 0.85% decrease. The trading volume of the two markets was 19360 billion yuan, an increase of 918 billion yuan from the previous day. Industry sectors generally declined, with energy metals, steel, coal, mining, photovoltaic equipment, real estate development, shipbuilding, precious metals, and chemical fiber industries leading the decline [3]. - **Futures Contracts**: IF's current - month contract closed at 4070 with a 1.8% decrease, IH's at 2777 with a 1.6% decrease, IC's at 6187 with a 1.3% decrease, and IM's at 6612 with a 0.9% decrease. IF's trading volume was 156196 with a 13.2% increase, IH's was 75925 with a 7.0% increase, IC's was 119559 with a 13.6% increase, and IM's was 267774 with a 15.8% increase. IF's open interest was 270987 with a 1.4% decrease, IH's decreased, IC's was 227163 with a 1.2% decrease, and IM's was 348264 with a 0.5% increase [3]. - **Premium and Discount**: IF's current - month contract had a premium of 3.10%, IH's had a discount of - 1.23%, IC's had a premium of 15.22%, and IM's had a premium of 17.89% [5].

Report Summary 1. Report Industry Investment Ratings No specific industry investment ratings are provided in the report. 2. Core Viewpoints - The market faces adjustment pressure due to short - term expectation differences after the second round of Sino - US trade talks and the central political bureau meeting. It is recommended to wait and see for most products. For some products, short - term trading opportunities are presented based on their market conditions [2]. 3. Summary by Product Categories Financial Futures - **Stock Index Futures**: Indexes are fluctuating downwards, with TMT remaining strong. It is recommended to wait and see due to adjustment pressure [2]. - **Treasury Bond Futures**: The bond market is expected to strengthen. It is recommended to allocate more in the short - term and pay attention to high - frequency economic data [2]. - **Precious Metals**: Gold is under pressure, and it is advisable to buy at low levels for post - decline recovery. Silver prices are fluctuating in the range of 36 - 37 dollars (8700 - 9000 yuan) [2]. Commodity Futures - **Shipping**: The container shipping index is expected to be weakly volatile. It is recommended to short at high levels for contracts 08 and 10 [2]. - **Steel and Iron Ore**: Steel prices are affected by market expectations, and iron ore follows steel price fluctuations. It is recommended to be cautious when going long on iron ore [2]. - **Coal and Coking**: For coking coal, it is recommended to wait and see; for coke, there is an expectation of price increase, but still recommended to wait and see [2]. - **Non - ferrous Metals**: Copper prices are under pressure; for alumina, beware of squeeze - out risks; aluminum prices are narrowly fluctuating [2]. - **Energy and Chemicals**: Most energy and chemical products are facing downward pressure or weak volatility. For example, oil prices are in a range - bound pattern, and PX is under pressure. Different trading strategies are recommended for each product [2]. - **Agricultural Products**: Most agricultural products are in a state of weakening or fluctuating. Different trading strategies are recommended according to their supply - demand and market conditions [2]. - **Special Commodities**: Glass, rubber, etc. are recommended to short at high levels; for industrial silicon, buy slightly out - of - the - money call options [2]. - **New Energy**: For polysilicon, buy straddles/put options; for lithium carbonate, it is recommended to wait and see carefully [2].

证券研究报告 | 债券市场专题研究 | 债券研究 债券市场专题研究 报告日期：2025 年 07 月 31 日 做多情绪有所下降 ——8 月债市调研问卷点评 核心观点 站在 7 月底时点展望 8 月，投资者对下阶段债市做多情绪有所下降，一致预期从做多 长债及超长债转向中短利率债。资金面及权益市场成为投资者关注的核心要点，投资 者对中低级城投债、地方债偏好程度边际减弱。 ❑ 根据 7 月底发布的债市调查问卷结果，我们总结出投资者对于 8 月债市的四点主 流预期： （1）投资者对于长期国债收益率上下限的预期区间较为集中，长期国债收益率依 旧呈现"上有顶下有底"状态； （2）债市做多情绪有所下降，投资者看多比例有所减少，对应目前债市震荡、中 枢上行的行情； （3）外部因素对宏观经济扰动程度或有限，投资者对三季度经济的整体预期变化 不大，短期内再度进行货币政策宽松的可能性有限，货币政策及资金面和权益市 场成为投资者关注的核心问题； （4）投资者一致预期从做多长债及超长债转向中短利率债，看多超长利率债和长 利率债较 7 月调查大幅下降。 ❑ 风险提示 投资者样本覆盖度可能不全；投资者看法和行为可能有偏差；投资者观点可能 ...

金融研究 2025年7月31日 星期四 金融期货早班车 招商期货有限公司 市场表现：7 月 30 日，A 股四大股指冲高回落，其中上证指数上涨 0.17%，报收 3615.72 点；深成 指下跌 0.77%，报收 11203.03 点；创业板指下跌 1.62%，报收 2367.68 点；科创 50 指数下跌 1.11%， 报收 1058.57 点。市场成交 18,710 亿元，较前日增加 417 亿元。行业板块方面，钢铁(+2.05%)，石 油石化(+1.84%)，传媒(+1%)涨幅居前；电力设备(-2.22%)，计算机(-1.59%)，汽车(-1.27%)跌幅居 前。从市场强弱看，IH>IF>IC>IM，个股涨/平/跌数分别为 1,712/146/3,557。沪深两市，机构、主力、 大户、散户全天资金分别净流入-253、-276、85、444 亿元，分别变动-116、-140、+53、+204 亿 元。 股指期货 基差：IM、IC、IF、IH 次月合约基差分别为 114.28、99.29、14.84 与-0.65 点，基差年化收益率分 别为-11.19%、-10.34%、-2.35%与 0.15%，三年期历 ...

Group 1: Market Liquidity - In July, the overnight funding rate rose significantly to 1.53% and then to 1.65% on July 24, raising concerns about liquidity[1] - The People's Bank of China (PBOC) injected a net amount of 601.8 billion yuan through 7-day reverse repos on July 25, indicating a supportive stance on liquidity[1] - By the end of July, the overnight funding rate decreased to 1.36%, with the balance of 7-day reverse repos significantly higher than seasonal levels[1] Group 2: Government Debt Supply - It is estimated that in August 2025, government debt issuance will be between 2.17 trillion and 2.39 trillion yuan, with net financing close to 1.17 trillion to 1.39 trillion yuan[5] - From January to July 2025, net financing from ordinary government bonds reached 2.56 trillion yuan, with various types of bonds contributing to a total of 9.02 trillion yuan utilized, accounting for 65% of the annual quota of 13.86 trillion yuan[5][27] - The issuance of local government bonds is progressing slightly faster than that of national bonds[5] Group 3: Interbank Certificates of Deposit - The 1-year interbank certificate of deposit (CD) rate rose slightly after reaching around 1.6% in early July, with the market beginning to see price increases[6] - The maturity scale of CDs in August increased to 3.07 trillion yuan, indicating heightened renewal pressure[6] - The 1-year CD rate is expected to fluctuate between 1.6% and 1.7%, with rates above 1.65% considered to have certain allocation value[6]

Group 1: Open Market Operations - The central bank conducted a reverse repurchase operation on July 29, with a fixed rate and quantity tendering of 449.2 billion yuan for a 7-day term, at an interest rate of 1.40%, with the same amount being the bid and awarded [1] - On the same day, 214.8 billion yuan of reverse repos matured, resulting in a net injection of 234.4 billion yuan [1] Group 2: Liquidity Conditions - Continuous net injections by the central bank have eased liquidity in the interbank market, with the overnight repo weighted average rate (DR001) dropping approximately 10 basis points to around 1.36% [3] - The decline in the 7-day term repo rate was slightly smaller, less than 2 basis points [3] - The latest overnight financing rate in the U.S. stands at 4.36% [3] Group 3: Interbank Certificates of Deposit - The latest transaction for one-year interbank certificates of deposit in the secondary market is around 1.675% [6] Group 4: Treasury Futures - Treasury futures closed lower across the board, with the 30-year main contract down 0.78%, the 10-year down 0.25%, the 5-year down 0.17%, and the 2-year down 0.06% [12] Group 5: Economic Data - From January to June, state-owned enterprises reported total operating revenue of 4,074.959 billion yuan, a year-on-year decrease of 0.2%, and total profit of 218.253 billion yuan, down 3.1% year-on-year [13] - By the end of June, the asset-liability ratio of state-owned enterprises was 65.2%, an increase of 0.3 percentage points year-on-year [13] Group 6: U.S. Treasury Borrowing - The U.S. Treasury is expected to increase net borrowing to 1.007 trillion dollars from July to September, a significant increase of over 450 billion dollars compared to the previous estimate of 554 billion dollars, representing an adjustment of nearly 82% [14]

行业 国债日报 日期 2025 年 7 月 29 日 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7月28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 | 118.120 | 118.550 | 118.780 | 118.800 | 0.660 | 0.56 | 120609 | 120283 | -2054 | | TL2512 | 117.900 | 118.300 | 118.490 | 118.490 ...