证券研究报告 东吴证券晨会纪要 东吴证券晨会纪要 2025-07-23 宏观策略 [Table_MacroStrategy] 宏观深度报告 20250722：25Q2 固收+基金转债持仓十大亮点 透过 2025Q2 基金持仓数据，观察到如下 10 点特征： 特征 1：2025Q2， 固收+基金规模整体为净申购，其中一级债基和二级债基的基金规模增幅 相对更明显，转债基金规模环比下降明显。 特征 2：观察大类资产配置 情况，固收+基金整体降低了含权仓位的比例，提高了债券和现金类资产 仓位，其中仅灵活配置型基金提高了股票和转债仓位，转债基金提高了转 债仓位。含权仓位的下降也使得各类型固收+基金跑输了万得可转债等权 指数，可转债基金和灵活配置型基金相对领先，跑赢中证转债加权指数。 特征 3：就转债资产仓位而言，公募基金整体略微下降 0.08pct，固收+基 金整体下降 0.54pct，只有可转债基金环比增加 0.77pct。转债指数在二季 度连创新高但整体仓位下降，原因或有：一是转债规模退出较多，但固收 +整体仍持续净申购，转债仓位被动下降；二是 6 月转债估值、小微盘指 数达到相对高位，参考 3 月前高后，泡沫破裂 ...

日本五年期国债收益率上升8个基点至1.1%。 日本两年期国债收益率上升5个基点至0.8%。 ...

智通财经7月23日电，2年期日本国债收益率上涨5个基点至0.8%。 ...

2年期日本国债收益率上涨5个基点至0.8%。 ...

日本10年期国债收益率下跌3个基点，至1.495%。 ...

Group 1 - The bond market has been operating in a bearish trend since July, with the 10-year government bond yield rising from a low of 1.64% to 1.67% due to strong macroeconomic data and robust stock market performance [1] - Economic resilience is evident, with GDP growth rates of 5.4% in Q1 and 5.2% in Q2, leading to a cumulative growth rate of 5.3% for the first half of the year, indicating that a 4.7% growth rate in the second half is sufficient to meet the annual target of 5% [2] - Consumption policies have shown significant effects, with retail sales in key categories such as home appliances and communication equipment growing over 10% year-on-year, while investment in high-tech manufacturing continues to outpace overall growth [2][3] Group 2 - The overall economic structure is shifting towards high-quality development, with manufacturing increasingly focusing on technology-intensive sectors, while real estate investment remains weak, with a cumulative decline of 11.2% in real estate development investment [2] - The macroeconomic policy will maintain a steady growth tone, with a focus on promoting consumption and addressing "involution" in the market, which is expected to lead to a moderate rise in consumer prices [3] - The liquidity in the market is reasonably ample, which is favorable for the bond market, but the strong economic resilience and low probability of interest rate cuts in the short term suggest a continued oscillation in the bond market, with the 10-year government bond yield expected to remain in the range of 1.6% to 1.7% [3]

Group 1 - The report highlights the top five actively increased sectors in public funds for Q2 2025, which are communication, pharmaceutical biology, non-bank financials, banking, and military industry, indicating a shift in investment logic towards these sectors [2] - The absolute allocation of active equity funds shows a significant drop in midstream manufacturing and an increase in downstream consumption, with midstream manufacturing at 41.86% and downstream consumption at 34% [2] - The report notes that electronic, pharmaceutical biology, and power equipment sectors have the highest overweight ratios in the industry, while the overweight ratios for power equipment, automotive, and food and beverage sectors have decreased [2] Group 2 - The banking sector has experienced a notable price correction since July 11, with the banking index down 3.41% as of July 18, primarily due to profit-taking and shareholder sell-offs [6] - Despite the recent correction, the long-term positive trend for bank valuations remains intact, supported by stable net interest margins and improving non-interest income [9] - The report recommends focusing on quality regional small and medium banks such as Chengdu Bank and Changshu Bank, as well as major state-owned banks like ICBC, Agricultural Bank of China, Bank of China, and Postal Savings Bank of China [9] Group 3 - The report discusses the expected policy measures from the upcoming Political Bureau meeting, which may further promote domestic circulation and economic stability [4] - It notes that the A-share market has shown slight increases due to better-than-expected economic growth and policies encouraging long-term capital inflow [4] - The report emphasizes the importance of monitoring the performance of various asset classes, including equities and fixed income, in light of ongoing economic adjustments [4][27]

Group A: Historical Review - The change in the bond yield curve's steepness is different from unilateral changes in bond yields, as it measures the relative changes in yields of bonds with different maturities [2] - Historical periods of flattening in the U.S. Treasury yield curve include April 1988 to 1989, October 1992 to December 1994, August 2003 to June 2006, December 2013 to December 2018, and March 2021 to March 2023, often corresponding with the Federal Reserve's rate hike cycles [2][3] - The flattening of the yield curve typically occurs before the Federal Reserve begins raising rates, while the end of the flattening often coincides with or slightly precedes the end of rate hikes [3] Group B: Yield Curve Dynamics - During rate hike cycles, short-term Treasury yields rise, and when long-term yields also increase, the short-term yields tend to rise more significantly, contributing to the flattening of the yield curve [3][17] - The behavior of long-term yields can vary, sometimes showing volatility or decline, which can lead to a flattening of the curve due to differing influences on short and long-term rates [3][4] - The 2-year Treasury yield closely follows the Federal Reserve's monetary policy, while the 10-year yield reflects broader macroeconomic conditions and inflation expectations [4][17] Group C: Steepening of the Yield Curve - Historical periods of steepening in the U.S. Treasury yield curve include March 1989 to September 1992, May 2000 to August 2003, February 2007 to December 2009, and January 2019 to April 2021, typically aligning with Federal Reserve rate cut cycles [13][15] - The onset of steepening often occurs before the actual rate cuts begin, indicating market anticipation of monetary policy changes [13][15] - In rate cut cycles, both short and long-term yields generally decline, but short-term yields tend to decrease more significantly, contributing to the steepening of the yield curve [13][17] Group D: Economic and Monetary Policy Interactions - The changes in the yield curve are closely linked to monetary policy and economic cycles, with flattening periods usually corresponding to rate hike cycles and steepening periods to rate cut cycles [17] - Short-term yields play a dominant role in shaping the yield curve during these cycles, with their movements significantly influencing the overall curve dynamics [17] - Discrepancies between economic cycles and monetary policy cycles can lead to divergent movements in long-term yields, especially during transitional periods between rate changes [17]

与此同时，近期国内"反内卷"政策释放利好，在蝴蝶效应的扩散下，乐观情绪传导至其他商品期货领 域。可以看到，在新一轮供给侧改革预期驱动下，近期国内黑色系与建材系板块联袂大幅上涨，这无疑 鼓舞了其他板块的多头热情。随着国内外宏观面的改善，部分供需面表现平平的商品也有望得到带动， 维持偏强格局。 当前全球原油市场呈现供需双强态势。 一方面，OPEC+决定8月加大增产力度，供应端有增无减。数据显示，OPEC+8个主要成员国同意在8月 将日产量提高54.8万桶，增产步伐明显快于预期。此前，这些国家已宣布5月、6月和7月分别增加日产 量41.1万桶，这一增幅已达到最初计划的3倍。此外，该组织将在8月3日的会议上考虑9月再增加约54.8 万桶日产量。若该政策实施，2023年OPEC+宣布减少的日均220万桶产能将全部恢复。不过，随着后续 增产预期边际减弱，其利空影响或阶段性缓解。 在偏多氛围支撑下，近期国内能化品种上行驱动力增强，沥青期货2509合约维持震荡上涨走势，期价重 心稳步抬升至3650元/吨。尽管国内供应压力小幅趋增，但下游需求正处于旺季，预计后市沥青期货将 延续偏强走势。 宏观氛围改善 上周五，备受关注的美国稳 ...

近日惠誉也以不确定性增加、经济增长放缓以及预期利率将长期维持在高位等为由，将美国2025年25% 行业的前景展望下调至"恶化"，而25%的行业前景恶化是经济衰退的表征之一。按道理说减税法案有助 于提振经济，但美国对全球加征所谓"对等关税"、25%的汽车及零部件关税以及50%的铜、钢铝及衍生 品关税，令美国经济前景堪忧，如果二季度经济数据继续显示负增长，就说明美国经济陷入技术性衰 退。而不久前特朗普刚签署的《稳定币国家创新法案》(简称"天才法案")，显示美国希望通过原本为延 伸数字美元霸权而推动的稳定币来给美债续命，并对冲"大而美"法案所带来的赤字压力。 "大而美"法案与"天才法案"无缝连接，在联邦层面以法律形式规定"支付型稳定币"(payment stablecoin) 必须锚定美元，并在对传统跨境汇款加税1%的同时豁免对"数字资产转账"征税，从而大幅提升跨境支 付中美元稳定币的占比，同时通过强制稳定币发行方将储备资产买入短期国债，让"美元—稳定币—美 债"形成所谓的闭环。此举不仅可增加美债流动性而且可以增加其持有量。伴随更多电商、银行、卡公 司等巨头机构步入稳定币市场，到2030年全球稳定币市值会迅速超过2 ...