Core Viewpoint - The A-share market is experiencing fluctuations, while the bond market is showing signs of recovery, indicating an improvement in market sentiment [1] Group 1: Bond Market Performance - The yield on 10-year government bonds has decreased from a high of 1.73% on May 27 to 1.64% by June 18, marking a decline of 9 basis points [2] - The 30-year government bond futures have risen from a low of 118.64 yuan on May 29 to a high of 120.93 yuan by June 18, an increase of over 2 yuan [3] - The China Bond New Comprehensive Wealth Index (1-3 years) reached a historical high of 228.49 points as of June 18, the highest since its launch on January 4, 2002 [5] Group 2: Market Trends and Expectations - The overall bond market is expected to perform well in 2024, with the China Bond Net Price Comprehensive Index rising by 4.55% [7] - The bond market has experienced five rounds of upward trends since the beginning of the year, with the latest round starting from May 27 [8] - The current market conditions suggest a potential for continued upward movement, with the possibility of breaking through previous resistance levels [8] Group 3: Influencing Factors - The funding environment remains balanced and slightly loose, which is favorable for the bond market [9] - The central bank has shifted its stance from tightening to a more accommodative approach, which is expected to support liquidity in the bond market [9][10] - The basic economic conditions are not expected to pose significant risks to the bond market, with export growth and retail sales providing some support [12] - Policy measures indicate an opening for monetary easing, which could further benefit the bond market [13]

Core Viewpoint - The 30-year government bond ETF from Bosera has shown strong performance with a 10-day consecutive increase, indicating a positive trend in the bond market driven by favorable liquidity and monetary policies [1] Group 1: Market Performance - As of June 19, 2025, the 30-year government bond ETF from Bosera has increased by 0.23%, achieving a 10-day consecutive rise [1] - The ETF's average daily trading volume over the past month is 1.984 billion yuan, with a turnover rate of 7.91% on the trading day [1] - The fund has seen a net inflow of 26.9878 million yuan recently, with a total of 722.5 million yuan net inflow over the past 22 trading days [3] Group 2: Fund Characteristics - The current size of the 30-year government bond ETF from Bosera is 7.514 billion yuan [3] - The management fee for the ETF is 0.15%, and the custody fee is 0.05% [5] - The ETF closely tracks the Shanghai Stock Exchange 30-year government bond index, with a tracking error of 0.045% over the past month [6] Group 3: Investment Potential - The ETF has shown a one-year net value increase of 14.44%, ranking 4th out of 404 in the index bond fund category [3] - Historical performance indicates a maximum monthly return of 5.35% and a 100% probability of profit over a one-year holding period [3] - The ETF's maximum drawdown since inception is 6.89%, with a relative benchmark drawdown of 1.28% [4]

Report Overview - Report Title: "Fixed Income Weekly: Bond Market Investors Shift from Bullish Sentiment to Active Buying - Weekly Report on Bond Market Institutional Behavior (Week 3 of June)" [1] - Report Date: June 15, 2025 [2] - Chief Analyst: Yan Ziqi [3] - Research Assistant: Hong Ziyan [4] Industry Investment Rating - Not provided in the report. Core Views - The bond market is experiencing a bullish and active buying trend due to three marginal changes: optimistic market sentiment, increased long - term positions and leverage by institutions, and favorable fundamental data. However, there are also three points to note, including low return odds, risks associated with extending duration, and the need to monitor signals of loose monetary policy [6]. Summary by Directory 1. This Week's Institutional Behavior Review - **Three Marginal Changes in the Bond Market** - Bond market sentiment is approaching the most optimistic level of the year [14]. - Institutions are not only bullish but also actively buying. Near the end of the half - year, the duration of medium - and long - term bond funds has increased, and funds are buying long - term bonds and increasing their purchases of medium - term notes [14]. - The overall leverage ratio of the bond market is rising and has exceeded last year's level. The liquidity in June is not tight, which has spurred institutions to increase leverage [6]. - **Three Points to Note** - In the environment of extending duration and increasing leverage, the return odds are low. The current yield curve is extremely flat, and the space for long - term bonds to reach historical lows is small [6]. - Extending duration presents both opportunities and risks. Although it is a way for institutions to seek higher returns, historical data shows that the bond market in June is often volatile [7]. - Large banks' preference for short - term bonds has become a trend. Attention should be paid to subsequent signals of loose monetary policy [16]. 1.1 Yield Curve - **Treasury Bonds**: Yields generally declined. The 1Y, 3Y, 5Y, 7Y, 10Y yields declined by 1bp, and the 15Y and 30Y yields declined by 3bp. The 1Y yield dropped to the 8% quantile, while 3Y, 5Y, 7Y, 10Y, 15Y, and 30Y dropped to the 2% quantile [17]. - **China Development Bank Bonds**: Short - term yields rose slightly, while long - term yields declined. The 15Y yield declined by 3bp, and the 30Y yield declined by 4bp. The 1Y, 3Y, 5Y, 7Y, and 10Y yields were at different quantiles [18]. 1.2 Term Spreads - **Treasury Bonds**: The spreads showed a divergent trend, with short - term spreads widening and long - term spreads narrowing. The 1Y - DR001 spread increased by 1bp, and the 1Y - DR007 spread's inversion deepened by about 1bp [19]. - **China Development Bank Bonds**: The spread inversion eased, and long - term spreads narrowed. The 1Y - DR007 spread's inversion eased by 3bp [20]. 2. Bond Market Leverage and Liquidity - **Leverage Ratio**: It rose to 107.51%. From June 9 to June 13, 2025, the leverage ratio fluctuated upward. As of June 13, it increased by 0.37 percentage points compared to last Friday [23]. - **Average Daily Turnover of Pledged Repurchase**: The average daily turnover this week was 7.9 trillion yuan, with an average overnight proportion of 89.39%. The average daily turnover increased compared to last week [30]. - **Liquidity**: Bank lending showed a fluctuating upward trend. DR007 fluctuated downward, while R007 fluctuated upward [35]. 3. Duration of Medium - and Long - Term Bond Funds - **Median Duration**: It rose to 2.78 years (ex - leverage) and 2.96 years (including leverage). As of June 13, the ex - leverage median duration increased by 0.02 years compared to last Friday [45]. - **Duration by Bond Fund Type**: The median duration of interest - rate bond funds (including leverage) remained at 3.67 years, while the median duration of credit bond funds (including leverage) rose to 2.73 years [48]. 4. Comparison of Generic Strategies - **Sino - US Yield Spread**: The overall inversion has eased. The inversion of 1Y, 2Y, 3Y, 5Y, 7Y, 10Y, and 30Y has decreased by 4bp, 7bp, 11bp, 11bp, 10bp, 9bp, and 4bp respectively [52]. - **Implied Tax Rate**: It has generally widened. The spreads between China Development Bank bonds and treasury bonds for 1Y, 3Y, 5Y, 7Y, and 10Y have widened, while the 15Y spread changed slightly and the 30Y spread narrowed [53]. 5. Changes in Bond Lending Balances - On June 13, the lending concentration of active 10Y treasury bonds, the second - most active 10Y China Development Bank bonds, active 10Y China Development Bank bonds, and active 30Y treasury bonds showed an upward trend, while the concentration of the second - most active 10Y treasury bonds declined. All institutions showed an upward trend [58].

Core Viewpoint - The bond market showed slight recovery with government bond futures rising marginally, while interbank bond yields remained stable, indicating a structural liquidity gap and limited downward movement for short-term rates [1][5]. Market Performance - Government bond futures closed higher across the board, with the 30-year main contract up 0.02% to 120.500, the 10-year main contract up 0.02% to 109.020, the 5-year main contract up 0.04% to 106.175, and the 2-year main contract up 0.03% to 102.464 [2]. - The interbank major rate bonds showed slight divergence, with the 10-year policy bank bond yield down 0.35 basis points to 1.704%, while the 30-year government bond yield rose 0.2 basis points to 1.851% [2]. Overseas Market Trends - In North America, U.S. Treasury yields fell across the board, with the 2-year yield down 5 basis points to 3.897% and the 10-year yield down 6.11 basis points to 4.359% [3]. - In Asia, Japanese bond yields mostly declined, with the 10-year yield down 4.9 basis points to 1.41% [3]. - In the Eurozone, 10-year bond yields also decreased, with French yields down 4.5 basis points to 3.179% and German yields down 6.1 basis points to 2.472% [3]. Primary Market - The Ministry of Finance reported weighted average winning yields for 2-year and 10-year government bonds at 1.38% and 1.6260%, respectively, with bid-to-cover ratios of 3.27 and 4.43 [4]. Liquidity Conditions - The central bank conducted a 7-day reverse repurchase operation of 2025 billion yuan at a rate of 1.40%, resulting in a net injection of 675 billion yuan for the day [5]. - Short-term Shibor rates mostly increased, with the overnight rate rising 4.4 basis points to 1.411% [5]. Institutional Insights - Citic Securities expects limited impact from short-term fundamental recovery on the bond market, suggesting a focus on the upcoming political bureau meeting and monetary policy statements [6]. - Guosheng Securities advocates for a barbell strategy, emphasizing the importance of high-rated bonds while increasing holdings in mid-to-low priced convertible bonds and quality themes [7].

Market Performance - The performance of government bond futures showed divergence, with the 30-year main contract rising by 0.35% and the 10-year main contract increasing by 0.09%, while the 5-year and 2-year main contracts remained unchanged [1] Funding Conditions - The central bank announced a 173.8 billion yuan reverse repurchase operation on June 9, with a fixed rate of 1.40%, resulting in a net injection of 173.8 billion yuan for the day. The overnight pledged repo rate fell below 1.4%, indicating a more relaxed funding environment [2] Economic Fundamentals - In May, the CPI decreased by 0.2% month-on-month and by 0.1% year-on-year, while the core CPI rose by 0.6% year-on-year. The PPI fell by 0.4% month-on-month and by 3.3% year-on-year. Exports in May increased by 4.8% year-on-year, while imports decreased by 3.4%, resulting in a trade surplus of 103.22 billion USD [3] Operational Recommendations - The low inflation data and weaker-than-expected export figures suggest a cautious outlook. The market is expected to focus on future tariff negotiations and fundamental changes. The bond market may strengthen due to a more relaxed funding environment, with the 10-year government bond yield projected to fluctuate between 1.60% and 1.75% and the 30-year yield between 1.80% and 1.95% [4]

Market Performance - The majority of government bond futures closed lower, with the 30-year main contract up by 0.03%, while the 10-year, 5-year, and 2-year main contracts fell by 0.03%, 0.04%, and 0.04% respectively [1] - The yields on major interbank bonds decreased across the board, with the 30-year government bond yield rising by 1.25 basis points to 1.9315%, the 10-year bond yield up by 0.1 basis points to 1.676%, and the 3-year bond yield increasing by 1 basis point to 1.49% [1] Funding Conditions - The central bank announced a 7-day reverse repurchase operation of 454.5 billion yuan at a fixed rate of 1.40%, with the same amount being the bid and winning amount [2] - A total of 830 billion yuan in reverse repos matured on the same day, resulting in a net withdrawal of 375.5 billion yuan [2] - The interbank market showed a balanced and slightly loose funding condition, with overnight weighted rates around 1.40% and non-bank institutions borrowing at approximately 1.55% [2] Operational Suggestions - Concerns over certificate of deposit supply and funding conditions may lead to slight weakness in the bond market [3] - June is a critical month for exports, with high-frequency data indicating downward pressure but overall resilience, supporting industrial production [3] - Short-term bond yields are expected to face resistance near previous lows, while long-term yields may rise due to potential pressures from external demand [3] - The forecast for bond market yields suggests a range for the 10-year bond yield between 1.6% and 1.75%, and for the 30-year bond yield between 1.8% and 1.95% [3] - Investment strategies include range trading and attention to the TS2509 contract for potential opportunities [3]

Group 1 - The overall bond market is experiencing weakness due to improved market risk appetite from unexpected outcomes in US-China trade talks, leading to a negative impact on the bond market [1] - The 10-year government bond yield has adjusted to 1.7%, with a recent peak of 1.69%, indicating that the current bond market adjustment is nearing its end [1] - The central bank's recent actions, including a 0.5% reserve requirement ratio cut and continuous net reverse repos, suggest a supportive monetary policy environment, maintaining reasonable liquidity in the market [1] Group 2 - The expectation for new financial policies has cooled, with a focus on accelerating the implementation of existing policies rather than introducing new ones, as the economy shows resilience [2] - In May, the issuance of special bonds has accelerated, with a total of 440 billion yuan in new special bonds issued, marking a record high for the year [2] - The National Development and Reform Commission aims to expedite the approval of construction project lists by the end of June, indicating a proactive approach to infrastructure investment [2] Group 3 - The domestic economy continues to show signs of recovery, supported by growth-stabilizing policies and easing trade tensions, which may shift external demand pressures [4] - The bond market is expected to experience sideways movement in the short term, influenced by liquidity, policy, and economic conditions, with a focus on upcoming PMI data and central bank operations [4] - Long-term, the bond market remains in a "bull market" environment, with overall easing liquidity and concerns about external conditions affecting market expectations [4]

Group 1: Report's Investment Rating on the Industry - No information provided regarding the report's industry investment rating Group 2: Core Views of the Report - Since 2020, there have been three main scenarios for reserve requirement ratio (RRR) cuts: 1) RRR cuts change the market's expectation of the liquidity situation, catalyzing a decline in bond market interest rates; 2) RRR cuts do not significantly change market expectations and continue the bond market trend, with the yield curve steepening; 3) After RRR cuts, the market's expectation of the liquidity situation changes from loose to tight, and there is upward pressure on interest rates [6][53]. - The impact of RRR cuts on the bond market mainly includes: 1) After RRR cuts, the liquidity rate usually remains stable or drops significantly, and short - term interest rates are likely to decline, with the curve often showing a bull - steepening pattern; 2) In most cases, long - term interest rates decline with RRR cuts and liquidity easing, but there are two exceptions; 3) The scale of other tool injections after RRR cuts is positively correlated with the liquidity rate [6][54]. - The current RRR cut is similar to the second scenario, where it continues the bond market trend and increases the possibility of curve steepening. For long - term interest rates, the catalytic effect of this RRR cut is limited, and they are likely to remain volatile [6][55]. Group 3: Summary Based on the Report's Content 1. Three Scenarios of RRR Cuts Since 2020 - **Scenario 1: Catalyzing Bond Market Interest Rate Decline** - RRR cuts occur after a significant seasonal increase in the liquidity rate. After the RRR cut, the central bank's net injection may decline or increase, but the liquidity rate will eventually return to stability or decline significantly, and long - term interest rates will decline due to the shift from tight to loose monetary expectations [6][53]. - Examples include July 2021, December 2021, December 2022, and March 2023. Before these RRR cuts, the DR007 central rate increased by more than 10bp compared to the historical average. After the RRR cuts, most of the central bank's other liquidity injection tools reduced their scale, and the liquidity rate returned to stability or declined significantly, and long - term interest rates also declined [10][13][18]. - **Scenario 2: Continuing the Bond Market Trend** - RRR cuts do not occur after a sudden tightening of liquidity. After the RRR cut, the central bank's open - market operation net injection scale decreases or remains low, but the liquidity pressure can be effectively hedged. The liquidity rate remains stable or drops significantly, and short - term interest rates decline. The long - term interest rate depends on whether the fundamental expectation can be quickly improved, and there are opportunities to steepen the yield curve [6][53]. - Examples are April 2022, February 2024, and September 2024. After the RRR cuts, the central bank's open - market operation net injection scale decreased, and the liquidity rate remained stable or declined. Short - term interest rates declined, and the impact on long - term interest rates was uncertain, but there were opportunities to steepen the curve [23][28][30]. - **Scenario 3: Upward Pressure on Interest Rates After RRR Cuts** - RRR cuts do not occur after a sudden tightening of liquidity, and are accompanied by a significant increase in other liquidity injections. Usually due to factors such as the Spring Festival and high government bond supply, the liquidity rate increases in the month of the RRR cut. The interest rate trend depends on the persistence of the liquidity tightening [6][53]. - Examples are January 2020 and September 2023. After the RRR cuts, the central bank maintained a high - scale injection, but the liquidity rate still increased. The bond market trend depends on the duration of the liquidity tightening [39][42][47]. 2. Comparison of the Current RRR Cut with Historical Scenarios - The current RRR cut is similar to the second scenario. Since April, the market's expectation of loose money has been restored. In May, although the net financing of interest - bearing bonds has increased marginally, the bank's liability pressure has eased. If the liquidity rate remains stable during the current period, short - term rates such as certificate of deposit (CD) rates may decline further in June [6][55]. - For long - term interest rates, the catalytic effect of this RRR cut is limited, and they are likely to remain volatile. The RRR cut did not occur after a sudden tightening of liquidity or a significant decline in the capital market, and the impact on the market's liquidity expectation is limited. The probability of significant weakening or strengthening of the fundamental expectation after the RRR cut is low [6][55].

Group 1 - The credit bond ETF Bosera (159396) has seen a 0.04% increase, marking its fourth consecutive rise, with the latest price at 100.67 yuan [3] - The fundamental outlook for the first quarter shows a seasonal "opening red" effect, but the impact of U.S. tariffs is beginning to manifest, leading to increased pressure for domestic growth in the second quarter [3] - The political bureau meeting emphasized high-quality development without introducing new stimulus policies, indicating a more proactive stance on monetary easing compared to fiscal policy [3] Group 2 - As of May 21, 2025, the credit bond ETF Bosera has achieved a maximum monthly gain of 66.67% since its inception, with a monthly profit probability of 60.94% and a 100% probability of profit over three months [4] - The maximum drawdown since inception is 0.89%, with a relative benchmark drawdown of 0.10%, and a recovery period of 26 days [4] - The management fee for the credit bond ETF Bosera is 0.15%, and the custody fee is 0.05%, making it the lowest among comparable funds [4]

分析师：郝一凡 登记编号：S0890524080002 分析师：刘 芳 登记编号：S0890524100002 （CPI）同比上涨2.3%，较3月份的2.4%略有下降，是2021年2月份以来最低水平。4月 份CPI环比上涨0.2%，低于预期的0.3%水平。 01 重要事件回顾 (5.5-5.11) 1、2025年5月12日中国和美国日内瓦经贸会谈发布联合声明，双方承诺将于2025年5月 14日前采取以下举措： 美国将（一）修改2025年4月2日第14257号行政令中规定的对中国商品（包括香港特别 行政区和澳门特别行政区商品）加征的从价关税，其中，24%的关税在初始的90天内暂 停实施，同时保留按该行政令的规定对这些商品加征剩余10%的关税；（二）取消根据 2025年4月8日第14259号行政令和2025年4月9日第14266号行政令对这些商品的加征 关税。 中国将（一）相应修改税委会公告2025年第4号规定的对美国商品加征的从价关税，其 中，24%的关税在初始的90天内暂停实施，同时保留对这些商品加征剩余10%的关税， 并取消根据税委会公告2025年第5号和第6号对这些商品的加征关税；（二）采取必要措 施，暂 ...