国收研究报告 可证券|CGS 震荡格局下波段为主、关注大 6 月债市回顾及 7 月展望 核心观点 债市回顾:利率震荡下行,收益率曲线牛陡 ● 6月以来,债市在中美谈判未超预期、央行阿护资金面、以伊冲突等因素的影响下,债 市震荡走强,短端下行幅度更大,10Y、1Y国债收益率分别下行 3BP、11BP。上半 月,在央行两度公告开展买断式逆回购呵护资金面、中美谈判未超预期、国际地缘冲突 加剧的影响下,债市走强,10Y 国债收益率下行 3BP;月下旬,在央行买断式逆回购 落地、重启国债买卖预期短暂落空、市场预期监管窗口指导的影响下,债市震荡略走 强. 10Y 国债收益率下行 0.4BP;月末,受止盈压力、权益市场走强带来的股债路路 板等影响, 债市震荡走弱, 10Y 国债收益率上行 1BP。截至 6 月 27 日，10 年期国债 收益率自1.67%下行 2.5BP 至 1.65%,1年期国债收益率自1.46%下行 11BP 至 1.35%, 期限利差走阔 8.5BP 至 30.1BP。 ● 本月债市展望:资金面大概率无虞,关注政治局会议政策加力信号 基本面来看,对于 6月,一方面继续关注 CPI 在 0 附近徘徊的可 ...

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 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - Near the end - of - quarter period, the overall pattern of ample liquidity remained, with minor fluctuations. The stock market reaching a new high this year and the easing of external risks put some pressure on the bond market. However, the weak fundamentals, such as soft inflation and financial data, continued decline in real - estate investment, and PMI still in the contraction range, supported the bond market. The market showed narrow - range fluctuations with a small correction amplitude. The 10 - year Treasury yield rose slightly by 1BP to 1.65%, and the 2 - year Treasury yield dropped by 4BP to 1.36%, making the yield curve steeper [1][19]. - The change in the central bank's monetary policy statement from "choosing the right time to cut the reserve requirement ratio and interest rates" to "flexibly grasping the intensity and rhythm of policies" does not completely rule out the possibility of reserve requirement ratio and interest rate cuts in the third quarter. Given the current insufficient endogenous economic momentum and unresolved external risks, the policy toolbox may still be opened at any time [2][20]. - The central bank's unexpected non - release of Treasury trading data on June 30 extended the mystery timeline. It may be an attempt to maintain the current bond market level as the market has formed a consensus that the start of Treasury trading is a catalyst for the decline in bond market interest rates [2][20]. 3. Summary by Related Catalogs 3.1 Interest - Bearing Bonds: Last Week's Data Review - **Short - term Interest Rates**: From June 23 to 27, DR001 fluctuated around 1.37%, and R001 fluctuated around 1.44% from June 23 to 26 and rose to 1.46% on June 27. Affected by the end - of - quarter period, the 7 - day interest rates increased significantly. DR007 rose from 1.51% on June 23 to 1.70% on June 27 and further to 1.92% on June 30. FR007 rose from 1.57% on June 23 to 1.85% on June 27 and to 1.95% on June 30 [6]. - **Open - Market Operations**: In the last week of the quarter, the central bank increased its capital injection. The central bank conducted reverse - repurchase operations worth 202.75 billion yuan, with a total maturity of 96.03 billion yuan, resulting in a net capital injection of 106.72 billion yuan [6]. - **Sino - US Interest Rate Comparison**: The US 6 - month SOFR rate decreased from 4.23% on June 23 to 4.14% on June 27, while the Chinese 6 - month SHIBOR rate remained stable at 1.64%. As of June 27, the 6 - month Sino - US interest rate spread was - 250BP, and the spread continued to narrow. The 2 - year and 10 - year Sino - US bond spreads were - 237BP and - 264BP respectively, with little change in the short - and long - term spread inversion amplitude during the week [13]. - **Term Spread and Yield Curve**: The term spreads of both Chinese and US bonds widened. The 10 - 2 - year spread of Chinese bonds widened from 27BP to 29BP, and that of US bonds widened by 6BP to 56BP. The yield curves of both Chinese and US bonds became steeper. The short - end of the Chinese bond yield declined slightly, and the long - end rose slightly. The middle - end of the US bond yield declined significantly [14]. 3.2 Last Week's Key Bond Market Events - **2025 Q2 Monetary Policy Committee Meeting**: The meeting proposed to increase the intensity of monetary policy regulation, improve its forward - looking, targeted, and effective nature, and flexibly grasp the intensity and rhythm of policy implementation. It aimed to maintain ample liquidity, guide financial institutions to increase credit supply, and promote a decline in the comprehensive social financing cost. It also emphasized observing and evaluating the bond market from a macro - prudential perspective, paying attention to long - term yield changes, and preventing excessive exchange - rate fluctuations [21]. - **US Senate's Procedural Motion**: On June 28 (local time), the US Senate passed a procedural motion to advance the so - called "big and beautiful" large - scale tax and spending bill. If passed, the bill is expected to increase the US debt by $3.3 trillion over the next decade [22].

Group 1: Market Trends - In June, bond market yields declined amid a shift from negative to positive sentiment, with significant downward movement in yields for government bonds with maturities of 3 years and below, indicating renewed upward potential for the bond market[1] - The bond market is expected to experience seasonal liquidity easing in July, with historical data showing that July often represents a low point for funding rates throughout the year[2] - The net issuance of government bonds in July is projected to be between 1.46 trillion and 1.60 trillion yuan, maintaining a relatively high level and potentially impacting market liquidity[2] Group 2: Institutional Behavior - Institutional investors, particularly in the insurance sector, may provide significant support to the bond market in July, with expectations of a potential reduction in the preset interest rate below 2.25%, which could lead to increased premium income[3] - Bank wealth management products are anticipated to see an increase in scale, potentially reaching a growth of over 1 trillion yuan in July, driven by favorable market conditions[3] - Despite rising funding costs at the end of June, the banking system's funding supply increased, indicating a potential for additional liquidity to flow into the bond market[3] Group 3: Economic Fundamentals - The economic growth outlook remains mixed, with GDP growth expected to exceed 5.0% in Q2, but consumer demand remains weak, as evidenced by a record low of 572.3 billion yuan in new household loans from January to May 2025[4] - Export activity showed signs of marginal recovery, with container throughput reaching 6.72 million units in June, reflecting a year-on-year increase of approximately 5.3%[4] - Retail sales growth is relatively strong, with automobile sales increasing by 24% year-on-year in June, although overall consumer demand is still lagging[4] Group 4: Risks and Challenges - Expectations for interest rate cuts have weakened, with the central bank's recent statements dampening market anticipation for further monetary easing[6] - The bond market may face volatility due to fluctuations in the stock market and uncertainties surrounding tariff policies, particularly with the upcoming deadline for tariff exemptions on July 9[6] - The potential for a significant increase in government bond supply in July could create pressure on the bond market, although central bank interventions may mitigate this risk[6]

Market Overview - As of June 30, the bond market showed slight weakness influenced by PMI data, cross-quarter funding, and stock market performance, continuing a narrow fluctuation pattern [1] - Overall, the yield on government bonds is expected to rise initially and then decline in the first half of 2025, with credit spreads mostly narrowing [1] - The funding environment is balanced and slightly loose, with a decrease in funding prices compared to June, where the average decline of DR007 is about 10 basis points [1] Bond Issuance - By June 30, the total issuance of various bonds reached 27.29 trillion yuan, a year-on-year increase of nearly 24%, with government bonds accounting for 16.93 trillion yuan and credit bonds 10.35 trillion yuan [2] - In the first half of 2025, 98 government bonds were issued, a decrease of 8 from the previous year, with the issuance scale increasing by over 2 trillion yuan [4] - Local government bonds saw an increase in issuance, with 1,086 bonds issued, up 310 from the previous year, and the average issuance rate down by approximately 55 basis points [6] Trading Volume - The total trading volume of cash bonds in the market was 166.43 trillion yuan, a year-on-year decrease of 6.94%, with credit bonds accounting for 39.63 trillion yuan [16] - The trading volume of interest rate bonds also decreased, with a total of 124.29 trillion yuan traded, down 6.49% year-on-year [17] Yield Trends - The yield curve for government bonds showed an overall decline in the first half of 2025, with significant decreases in the medium to long end, such as a 55.89 basis point drop in the 10-year yield [19] - Local government bonds exhibited similar trends, with the 10-year yield down by 55.51 basis points [21] Institutional Insights - Institutions expect that the funding rates will remain loose in July, but the issuance of local special bonds may create some disturbances in the funding environment [29] - The basic economic trends are still favorable for the bond market, with internal demand needing improvement and external demand facing challenges [30]

Report Industry Investment Rating No relevant content provided. Core View of the Report - The central bank's second - quarter monetary policy committee meeting signaled a shift towards domestic demand. The 10Y treasury bond is expected to remain volatile as the downward space for interest rates is not yet open due to limited liquidity and potential fiscal policy impacts [2][18]. Summary by Relevant Catalogs 1. Policy Anchor and Bond Market Trends - **Policy Tone Changes**: In terms of economic situation, domestic economic expectations are more positive, but deflation concerns increase, and external demand contraction pressure rises. Monetary policy enters an observation period. Exchange - rate pressure eases, and policy flexibility increases. Financing support focuses more on domestic demand [10][11][13]. - **Summary**: The meeting emphasizes domestic demand. For the bond market, short - term liquidity is limited, and fiscal policy may cause disturbances, so the 10Y treasury bond is likely to oscillate [2][18]. 2. Institutional Bond Custody No specific content analysis provided in the given text, only mentions of relevant figures about institutional bond custody amounts [19][22][24]. 3. Institutional Fund Tracking - **Fund Price**: Near the end of the quarter, liquidity tightened. R007 closed at 1.92%, up 33BP from last week; DR007 closed at 1.70%, up 20BP; the 6 - month national stock transfer discount rate closed at 1.20%, up 10BP [3][27]. - **Financing Situation**: The balance of inter - bank pledged repurchase increased by 0.4% to 126902.2 billion yuan. Fund companies and bank wealth management had net financing of - 351.4 billion yuan and 1672.6 billion yuan respectively [30]. 4. Quantitative Tracking of Institutional Behavior - **Fund Duration**: The durations of high - performing interest - rate bond funds and general interest - rate bond funds increased by 0.11 and 0.05 respectively compared to last week [40]. - **"Asset Scarcity" Index**: The index decreased, indicating looser liquidity, lower credit - bond supply, and higher credit - bond demand [48]. - **Institutional Behavior Trading Signals**: Trading signals for secondary capital bonds, ultra - long treasury bonds, and 10Y local bonds are provided, with gray areas indicating bullish signals [50][51][55]. - **Institutional Leverage**: The overall market leverage ratio remained basically unchanged at 108.0%. Insurance, fund, and brokerage leverage ratios changed by +4.8, +0.8, and - 1.2 percentage points respectively [58]. - **Bank Self - Investment Comparison Table**: Compares nominal yields, tax costs, and returns after considering tax and risk capital for different investment options [62]. 5. Asset Management Product Data Tracking - **Fund**: Information on weekly fund establishment scale and 2025 fund yield distribution is presented [64]. - **Bank Wealth Management**: The overall market product break - even rate decreased slightly to 1.7% [65]. 6. Treasury Bond Futures Trend Tracking Tracks the inter - period spread trend and the basis level of the next - quarter T contract [73]. 7. General Asset Management Pattern Shows the scale changes of general asset management, including public funds and bank wealth management [77][80].

Group 1: PMI Overview - The manufacturing PMI for June is reported at 49.7%, matching expectations and slightly up from the previous value of 49.5%[1] - The non-manufacturing PMI stands at 50.5%, an increase from the prior value of 50.3%[1] - The average composite PMI for Q2 is 50.4%, lower than Q1's average of 50.9% and last year's Q2 average of 51.1%[1] Group 2: Demand and Price Trends - New orders in manufacturing, construction, and services have rebounded by 0.4, 1.6, and 0.3 percentage points respectively, indicating improved demand[2] - Manufacturing prices have rebounded by 1.5 percentage points, while construction and service prices increased by 0.8 and 1.6 percentage points respectively, although all remain below the expansion threshold[2] Group 3: External Demand and Employment - Manufacturing new export orders increased by 0.2 percentage points to 47.7%, still below the Q1 average of 48.0%[3] - Employment indices in manufacturing and services have decreased by 0.2 percentage points to 47.9% and 46.4%, respectively, indicating ongoing contraction in workforce[5] Group 4: Economic Outlook - The composite PMI of 50.7% in June is 0.2 percentage points lower than the Q1 average, suggesting a slower economic recovery[6] - The necessity for immediate policy stimulus is reduced, with potential policy actions expected to be postponed until August or September[6]

日内消息： 1.财政部：境外投资者以中国境内居民企业分配的利润，在2025年1月1日至2028年12月31日期间用于境内直 接投资符合条件的，可按照投资额的10%抵免境外投资者当年的应纳税额，当年不足抵免的准予向以后结 转。中华人民共和国政府同外国政府订立的税收协定中关于股息、红利等权益性投资收益适用税率低于10% 的，按照协定税率执行。 行情研判： 国债期货日报 2025年6月30日 下跌的核心逻辑是什么？ 观点：等待右侧进场 南华研究院 高翔（Z0016413） 投资咨询业务资格：证监许可【2011】1290号 盘面点评： 国债期货全天震荡下行，午后A股涨幅扩大，期债跌幅进一步深化。公开市场方面，到期逆回购2205亿，央 行新做3315亿，当日净投放1110亿，但早盘隔夜资金价格上行至3%以上，资金面情绪指数超过60，资金面 压力明显。 6月制造业PMI符合预期，非制造业小幅超预期，但仍在荣枯线下方的并不能给债市如此大的压力。其他方 面，上周五货币政策例会措辞的修改一定程度会压制预期，但无法改变支持性的政策立场和基本面环境。此 外包括邀请特朗普参加阅兵等略显小众的股市"疑似利多"对债市的影响就更加虚无缥缈 ...

Quantitative Models and Construction Methods 1. Factor Name: Beta Factor - **Construction Idea**: The Beta factor measures the sensitivity of a stock's returns to the overall market returns, indicating its systematic risk[29] - **Construction Process**: - Calculate the covariance between the stock's returns and the market returns - Divide this covariance by the variance of the market returns - Formula: $ \beta = \frac{\text{Cov}(R_i, R_m)}{\text{Var}(R_m)} $ where $R_i$ is the return of the stock and $R_m$ is the return of the market[29] - **Evaluation**: The Beta factor is a widely used measure of risk, indicating how much a stock's price is expected to move relative to the market[29] 2. Factor Name: Liquidity Factor - **Construction Idea**: The Liquidity factor assesses the ease with which a stock can be traded without affecting its price, reflecting the market's depth and breadth[29] - **Construction Process**: - Measure the average daily trading volume - Calculate the bid-ask spread - Combine these metrics to form a composite liquidity score - Formula: $ \text{Liquidity} = \frac{\text{Average Daily Volume}}{\text{Bid-Ask Spread}} $[29] - **Evaluation**: The Liquidity factor is crucial for understanding the trading costs and potential price impact of large trades[29] 3. Factor Name: Profitability Quality Factor - **Construction Idea**: The Profitability Quality factor evaluates the financial health and earnings quality of a company, focusing on sustainable and high-quality earnings[29] - **Construction Process**: - Analyze various financial ratios such as return on equity (ROE), return on assets (ROA), and profit margins - Combine these ratios into a composite score - Formula: $ \text{Profitability Quality} = \frac{\text{ROE} + \text{ROA} + \text{Profit Margin}}{3} $[29] - **Evaluation**: This factor helps in identifying companies with strong and sustainable earnings, which are likely to perform well in the long term[29] Factor Backtesting Results 1. Beta Factor - **IR**: 0.45[29] - **Annualized Return**: 8.5%[29] - **Volatility**: 12.3%[29] 2. Liquidity Factor - **IR**: 0.38[29] - **Annualized Return**: 7.8%[29] - **Volatility**: 11.5%[29] 3. Profitability Quality Factor - **IR**: 0.52[29] - **Annualized Return**: 9.2%[29] - **Volatility**: 10.8%[29] Additional Factors and Their Performance 1. Factor Name: Skewness Factor - **Construction Idea**: The Skewness factor measures the asymmetry of the return distribution, indicating the potential for extreme positive or negative returns[33] - **Construction Process**: - Calculate the third moment of the return distribution - Normalize by the cube of the standard deviation - Formula: $ \text{Skewness} = \frac{E[(R - \mu)^3]}{\sigma^3} $ where $R$ is the return, $\mu$ is the mean return, and $\sigma$ is the standard deviation[33] - **Evaluation**: This factor is useful for understanding the tail risks and potential for extreme outcomes in the return distribution[33] 2. Factor Name: Position Change Factor - **Construction Idea**: The Position Change factor tracks changes in the holdings of large institutional investors, indicating their sentiment and market positioning[33] - **Construction Process**: - Monitor the quarterly filings of institutional investors - Calculate the net change in positions for each stock - Formula: $ \text{Position Change} = \frac{\text{Current Quarter Holdings} - \text{Previous Quarter Holdings}}{\text{Previous Quarter Holdings}} $[33] - **Evaluation**: This factor provides insights into the buying and selling activities of major market players, which can influence stock prices[33] Factor Backtesting Results 1. Skewness Factor - **IR**: 0.42[33] - **Annualized Return**: 8.1%[33] - **Volatility**: 11.9%[33] 2. Position Change Factor - **IR**: 0.47[33] - **Annualized Return**: 8.7%[33] - **Volatility**: 11.2%[33]

Group 1: Investment Rating - No investment rating information for the industry is provided in the report. Group 2: Core Views - Since mid - June this year, the bond market has been in a consolidation phase, approaching key levels. To break through downward, more impetus is needed, and one possible path is the restart of central bank's treasury bond trading, but it is expected to be postponed. The earliest restart may be around August [2][6][12]. - The central bank's purchase of treasury bonds can directly replenish liquidity, with simultaneous increases in claims on the government and government deposits. The short - term yield declined rapidly after the central bank started trading treasury bonds last August, opening up downward space for the long - term yield [8][20]. - When the central bank's short - term treasury bonds mature, it does not directly lead to a contraction in liquidity. Instead, it indirectly affects liquidity by reducing government deposits. The central bank is not expected to renew them urgently [24]. - Currently, the bond market is over - valued, and the long - term yield may be below the central bank's desirable range. It is recommended to allocate 10 - year treasury bonds around a yield of 1.65% when there are adjustments, and pay attention to the callback risk if the yield falls to 1.6% [2][34]. Group 3: Summary by Relevant Catalogs 3.1 When Will the Central Bank Restart Treasury Bond Trading? - Since mid - June, the bond market has been in a consolidation phase. The 10 - year treasury bond yield has been fluctuating around 1.65%, and the 30 - year around 1.85%. The 1 - year yield has decreased by 4bp from June 13 - 26. The 20 - year yield has dropped 3.5bp and remains a relative convex point on the curve. To break through downward, more impetus is needed, and the restart of treasury bond trading is one possible path [12]. 3.2 The Central Bank's Treasury Bond Trading Directly Releases Liquidity - From August to December last year, the central bank announced a cumulative net purchase of 1 trillion yuan of treasury bonds. By combining direct purchase and borrowing - and - selling methods, the estimated cumulative net purchase from August to December 2024 was close to 900 billion yuan. As of June 28 this year, the central bank has suspended treasury bond trading, and the cumulative maturity of treasury bonds from January to May was about 444 billion yuan [8][14]. - The central bank's purchase of treasury bonds can directly replenish liquidity. First, commercial banks buy treasury bonds, causing a decline in "other depository financial institution deposits" and an increase in government deposits. Then, the central bank buys from commercial banks in the secondary market, leading to an increase in claims on the government and a recovery of other depository financial institution deposits [20]. - After the central bank started trading treasury bonds in August last year, the short - term yield declined rapidly, and the 1 - year yield and DR007 inverted. In September, the short - term yield dropped by 12.2bp, followed by 10 - year yield declines of 12.7bp in November and 34.5bp in December [8][20]. 3.3 The Maturity of Central Bank - Held Treasury Bonds Does Not Directly Affect Liquidity and May Not Require Immediate Renewal - When treasury bonds held by the central bank mature, it leads to a reduction in both claims on the government and government deposits, resulting in a balance - sheet contraction. The maturity of short - term treasury bonds does not directly contract liquidity but indirectly affects it by reducing government deposits. Therefore, the central bank is not expected to renew them urgently [24]. 3.4 The Restart of Central Bank's Treasury Bond Trading May Still Need to Wait - The central bank suspended treasury bond trading in January this year, mainly considering two points: the fiscal supply situation and whether the treasury bond yield is within the central bank's desirable range. The central bank will resume operations based on market supply - demand and yield changes [28]. - From the perspective of fiscal supply rhythm, the restart of central bank's treasury bond trading may be postponed. August and November are expected to be key points for liquidity disturbances in the second half of this year, with estimated net financing exceeding 900 billion and 800 billion respectively. Therefore, the earliest restart may be around August [29]. 3.5 More Marginal Changes Are Needed for Interest Rates to Break Through Downward - Currently, the bond market has a high winning probability but low odds, with over - valuation and long - term yields potentially below the central bank's desirable range. The 10 - year treasury bond yield fit value is significantly higher than the current 1.65% level. It is recommended to allocate 10 - year treasury bonds around a yield of 1.65% when there are adjustments, and pay attention to the callback risk if the yield falls to 1.6% [34].