三季度债券市场利率向下突破的动力是什么？ 利率向下突破的动力——三季度债市展望 20250703 摘要 当前资金面宽松，机构投资者对资金面的分歧可能减轻，并趋向一致乐 观，即使没有央行干预，资金也会保持宽松状态，从而驱动利率继续下 行。 尽管没有宏观基本面或央行政策的大幅宽松，低利率环境下投资者竞争 激烈，机构行为对市场影响力放大，三季度可能形成一致看多局面，推 动利率自然向下突破。 下半年固收资管产品购买意愿预计会提升，企业和居民更倾向于配置固 收资管产品，受缺乏高收益低风险资产、股市分流资金有限及理财产品 吸引力影响。 银行和保险机构预计将加大对债券市场的配置力度，反映出他们对于稳 定收益资产需求增加，同时也符合当前宏观经济环境下稳健投资策略的 发展方向。 2025 年上半年银行在基金投资方面表现出较为谨慎的态度，但从二季 度末开始，债券基金的表现明显边际好转，银行的流动性管理已经有所 缓解。 Q&A 我们认为三季度债券市场利率存在向下突破的动力，这一判断主要基于机构行 为的视角。首先，资金面的担忧虽然在 6 月份有所缓解，但市场普遍预期 7 月 份之后资金面会边际收紧。然而，我们认为这种预期可能会落空， ...

Group 1: Bond Market Performance - The bond market shows a relatively strong trend post-quarter, with long-end contracts outperforming short-end contracts. As of July 2, the main contracts TL, T, TF, and TS increased by 0.40%, 0.14%, 0.07%, and 0.03% respectively [1] Group 2: Manufacturing PMI - The official manufacturing PMI for June rose by 0.2 percentage points to 49.7%, indicating a continued recovery in domestic manufacturing sentiment. Key sub-indices showed improvement, with the production index at 51.0% and the new orders index at 50.2%, both reflecting stable performance [2] - The increase in the new orders index was primarily driven by domestic demand, while new export orders saw a limited rebound to 47.7%. The raw material inventory index rose by 0.6 percentage points to 48.0%, suggesting an increased willingness among manufacturers to replenish stocks [2] - Manufacturing prices also showed signs of recovery, with the factory price index and major raw material purchase price index rising to 46.2% and 48.4%, respectively, both up by 1.5 percentage points from the previous month [2] Group 3: Funding Conditions - Post-quarter, the funding environment is trending towards looseness, with DR001 and DR007 rates falling to approximately 1.37% and 1.54%. The overnight funding spread is around 8 basis points, indicating a relatively low level [3] - The recent monetary policy committee meeting expressed a more optimistic view on the domestic economic situation, removing references to potential rate cuts, and emphasizing a flexible approach to policy implementation based on economic conditions [3] - The market is sensitive to changes in funding conditions, with expectations for a balanced and slightly loose funding environment in the near future. However, further easing may depend on adjustments to policy rates [3] Group 4: Investment Strategy - The recommendation is to maintain a neutral to slightly bullish stance in trading strategies. Given the current flat yield curve, a loosening of funding conditions is necessary for short-term rates to decline, suggesting a strategy of accumulating TS positions on dips [4] - Attention should be paid to potential profit-taking as bond prices rise significantly, and the existence of a yield spread between new and old 30-year government bonds provides some protection for the bond market [4]

Market Performance - Government bond futures closed higher across the board, with the 30-year main contract rising by 0.40%, the 10-year main contract increasing by 0.14%, the 5-year main contract up by 0.07%, and the 2-year main contract gaining 0.03% [1] - Major interbank bond yields declined, with the 30-year government bond yield down by 0.75 basis points to 1.8435%, the 10-year policy bank bond yield down by 0.7 basis points to 1.7110%, the 10-year government bond yield down by 0.6 basis points to 1.6365%, and the 2-year government bond yield down by 0.85 basis points to 1.3575% [1] Funding Conditions - The central bank announced a 985 billion yuan 7-day reverse repurchase operation at a fixed rate of 1.40%, with the full amount being successfully bid [2] - On the same day, 3,653 billion yuan in reverse repos matured, resulting in a net withdrawal of 2,668 billion yuan [2] - The overnight pledged repo rate slightly declined, remaining around 1.36%, while the 7-day pledged repo rate decreased by 4 basis points [2] - The latest transaction for one-year interbank certificates of deposit from major banks was around 1.6%, down by approximately 2 basis points from the previous day [2] - Non-bank institutions experienced a significant decrease in financing costs, indicating a continuation of a loose funding environment in the short term [2] Operational Recommendations - The funding environment remains loose at the beginning of the month, with government bond futures continuing to rebound [3] - The central bank's June monetary policy tool operations did not include government bond transactions, leading to a generally strong sentiment in the futures market, although there is a lack of momentum for a breakthrough at previous highs [3] - Future focus should be on whether funding rates can further decline and the subsequent fundamental conditions [3] - For government bond futures strategy: it is recommended to appropriately allocate long positions during adjustments, with attention to profit-taking near previous highs, while monitoring economic data and funding trends [3] - For curve strategy: there is potential to consider steepening [3]

1. Report Industry Investment Rating - No relevant content provided. 2. Core View of the Report - In June, the capital market was loose with a slight downward shift in the capital center under the central bank's care. In July, the capital market may continue to be moderately loose due to favorable factors, but it may not loosen significantly [2][4][6]. 3. Summary by Relevant Catalogs 3.1 6 - Month Review: Central Bank's Care Leads to Slight Downward Shift in Capital Center - **Capital Market Looseness**: In June, the capital market remained loose, with most - term capital centers moving down. DR001, DR007, and DR014 operation centers decreased by 11bp, 2bp, and 1bp respectively compared to May. DR001 mostly operated below the policy rate, and the deviation of DR007 from the policy rate "anti - seasonally" narrowed [2][12]. - **Central Bank's Warm Attitude**: The central bank showed a warm attitude. It conducted two outright reverse - repurchase operations in June with early announcements, net - injecting 2000 billion yuan. MLF continued to increase, with a net injection of 118 billion yuan in June. The central bank's total net - injected funds in June were the second - highest among the same periods since 2018 [16]. - **Inter - bank Certificate of Deposit (NCD)**: In June, the maturity scale of NCDs reached a record high, and the issuance scale was the second - highest in history. However, the NCD issuance rate, after rising in mid - to - late May, started to decline in June under the central bank's long - term capital injection. The R - DR spread seasonally widened [3][19][21]. 3.2 7 - Month Outlook: Capital Market May Continue to be Moderately Loose under Favorable Factors - **Historical Seasonal Pattern**: Historically, capital rates in July tend to decline seasonally. Since 2018, the capital market in July has been more relaxed than in June, mainly manifested by the narrowing of the deviation of DR007 from the policy rate [4][24]. - **Exchange Rate Factor**: The recent dissipation of RMB depreciation pressure and the exchange rate approaching 7.15 mean that the current exchange - rate environment no longer restricts the central bank's monetary easing [4]. - **Central Bank's Mention of "Preventing Capital Idling"**: Although the central bank mentioned "preventing capital idling" in the second - quarter monetary policy meeting, since 2024, when this statement was made, the capital rate did not rise significantly. The central bank's frequent mention of it in 2025 may not be directly related to a change in its attitude [5][31][32]. - **Liquidity Gap**: In July, the net financing pressure of government bonds will slightly increase by 80 billion yuan compared to June. The increase in government deposits may widen the liquidity gap. Considering the maturity of monetary tools, the liquidity gap will be 2.06 trillion yuan. Assuming the central bank conducts equal - amount roll - overs, the estimated excess - reserve ratio in July is about 1.3%, slightly lower than in June [6][37][42].

Report Industry Investment Ratings No specific industry investment ratings are provided in the report. Core Viewpoints - The geopolitical conflict between Israel and Iran has cooled down, and the market risk appetite has rebounded. However, the impact of external factors on the A-share market is limited, and the shock center of the stock index is expected to gradually move up. With the approaching of the interim report season, IF and IH with higher performance certainty may be relatively strong, while IC and IM face increased performance verification pressure [1]. - The bond market sentiment is optimistic, but the high valuation restricts the upward space. The short - term policy interest rate is difficult to cut [1]. - The geopolitical risk premium of precious metals has declined, and the prices are oscillating at a high level. It is recommended to continue holding the strategy of selling out - of - the - money put options on gold and silver 08 contracts [1][4]. - The macro - uncertainty persists, and copper prices continue to oscillate. The supply of copper is tight, but the overseas macro situation is uncertain, and the real demand is cautious [4]. - The cost of aluminum is disturbed, and the inventory is at a low level. The supply of alumina is in excess, but the downward drive may slow down. The supply - demand of aluminum is intertwined, and the low inventory provides support [4]. - The fundamentals of nickel are weak, and the price continues to decline. The supply of the nickel industry chain is in excess, but the price of nickel ore is firm. It is recommended to continue holding the strategy of selling call options [4]. - The supply of lithium carbonate is loose, and the price is under pressure. The demand for lithium is weak, while the supply is increasing, and the inventory of smelters is rising [4][6]. - The high inventory of polysilicon suppresses the rebound. The supply - demand pattern of the polysilicon market is gradually becoming looser. It is recommended to continue holding the strategy of selling call options [6]. - The geopolitical risk premium of steel has declined, and the prices are close to the upper limit of the range. The fundamentals of steel are not significantly changed, and the upward space is limited. It is recommended to hold the strategies of selling out - of - the - money call and put options on rebar [6]. - Coke has completed four rounds of price cuts, and the spot price is approaching the bottom while the futures price rebounds first. The long - term supply of coking coal is in excess, but the short - term supply tightens. It is recommended that cautious investors close their short positions in coking coal and wait and see for new orders [8]. - The glass has stronger support than soda ash. The supply of soda ash is expected to be loose, and it is recommended to hold short positions. The performance of float glass is also weak, and it is recommended to hold short positions and some arbitrage strategies [8]. - The geopolitical premium of crude oil may further decline. It is recommended to close the long - call option positions [8]. - The import volume of methanol may not decrease significantly, and the futures price may face a correction. The positive impact of the Middle - East conflict is fading [10]. - The demand for polyolefins is poor, and the price is expected to decline. The demand for polyolefins is weak, and the crude oil premium is retreating [10]. - The inventory of the cotton industry is decreasing, and it is recommended to maintain a long - position strategy. The supply of cotton is expected to be tight, and the short - term fundamentals have no obvious negative drive [10]. - The demand for rubber is not fulfilled, and the port inventory is increasing. The supply of rubber is increasing while the demand is decreasing, and the price is under pressure [10]. Summary by Categories Stock Index - Geopolitical conflict cools down, market risk appetite rebounds, A - share oscillates upward on Monday, small and micro - cap indexes strengthen, and the trading volume of the two markets slightly rebounds to 1.15 trillion yuan [1]. - The performance of IF and IH may be relatively strong during the interim report season, while IC and IM face performance verification pressure [1]. Treasury Bond - The bond market sentiment is optimistic due to loose liquidity, but the high valuation and the difficulty of short - term policy interest rate cuts restrict the upward space [1]. Precious Metals - Geopolitical risk premium declines, gold and silver prices oscillate at a high level. It is recommended to hold the strategy of selling out - of - the - money put options on gold and silver 08 contracts [1][4]. Non - ferrous Metals - Copper: The supply is tight, but the overseas macro situation is uncertain, and the real demand is cautious. Copper prices continue to oscillate in the short term [4]. - Aluminum: The cost is disturbed, and the inventory is low. The supply of alumina is in excess, but the downward drive may slow down. The supply - demand of aluminum is intertwined, and the low inventory provides support [4]. - Nickel: The fundamentals are weak, the supply of the industry chain is in excess, but the price of nickel ore is firm. It is recommended to hold the strategy of selling call options [4]. Energy and Chemicals - Polypropylene (PP): The event - driven positive factors fade, and the supply is in excess. It is recommended to open new short positions in PP2509 [2]. - Polysilicon: The high inventory suppresses the rebound. It is recommended to continue holding the strategy of selling call options on polysilicon PS2508 - C - 34500 [2][6]. - Aluminum: The inventory is at a low level. It is recommended to hold the previous long positions in AL2508 [2]. - Crude Oil: The geopolitical premium may further decline. It is recommended to close the long - call option positions [8]. - Methanol: The import volume may not decrease significantly, and the futures price may face a correction [10]. - Polyolefins: The demand is poor, and the price is expected to decline [10]. Steel and Iron - Rebar: The geopolitical risk premium declines, and the price is close to the upper limit of the range. It is recommended to hold the strategies of selling out - of - the - money call and put options [6]. - Hot - rolled Coil: The fundamentals change little, and the price oscillates. It is recommended to wait and see for new orders [6]. - Iron Ore: The supply - demand may be slightly looser in June - July, and the price follows the steel price to oscillate in a narrow range. It is recommended to wait and see for new orders [6]. Coking Coal and Coke - Coking Coal: The long - term supply is in excess, but the short - term supply tightens. Cautious investors are recommended to close their short positions and wait and see for new orders [8]. - Coke: The fundamentals show a double - decline in supply and demand. The spot price is approaching the bottom, and the futures price rebounds first [8]. Soda Ash and Glass - Soda Ash: The supply is expected to be loose, and it is recommended to hold short positions and some arbitrage strategies [8]. - Float Glass: The performance is weak, and it is recommended to hold short positions and some arbitrage strategies [8]. Agricultural Products - Cotton: The inventory of the industry is decreasing, and the supply is expected to be tight. It is recommended to maintain a long - position strategy [10]. - Rubber: The demand is not fulfilled, the port inventory is increasing, and the price is under pressure [10].

研究所： | 证券分析师： | | 靳毅 S0350517100001 | | --- | --- | --- | | | | jiny01@ghzq.com.cn | | 联系人 | ： | 马闻倬 S0350124070011 | | | | mawz@ghzq.com.cn | [Table_Title] 资金还能更宽松吗？ 固定收益点评 最近一年走势 相关报告 | 《固定收益点评：债市还有哪些隐忧？*靳毅》— | | --- | | —2025-06-08 | | 《固定收益点评：存单利率还会上行吗？*靳毅》 | | ——2025-05-26 | | 《固定收益点评：出口，会扰动债市吗？*靳毅》 | | ——2025-05-12 | | 《固定收益点评：震荡行情中，何处破局？*靳毅》 | | ——2025-05-05 | 2025 年 06 月 15 日 固定收益点评 《固定收益点评：5 月资金面怎么看？*靳毅》—— 2025-04-27 投资要点: 国海证券研究所 请务必阅读正文后免责条款部分 从基本面维度看，地产表现、信贷需求仍然存在一定下行压力，资 金面没有收紧的基础。地产方面，30 大中城市商 ...

5 月物价、贸易数据出炉；资金面持续宽松，银行间主要利率债收益率涨跌不一 【内容摘要】6 月 9 日，资金面持续宽松；银行间主要利率债收益率涨跌不一；转债市场主要 指数集体收涨，转债个券多数上涨；各期限美债收益率普遍下行，主要欧洲经济体 10 年期国 债收益率走势分化。 一、债市要闻 （一）国内要闻 【中美经贸磋商机制首次会议在英国伦敦开始举行】当地时间 6 月 9 日下午，中美经贸磋商 机制首次会议在英国伦敦开始举行。国务院副总理何立峰与美国有关方面举行会谈。路透社、 天空新闻频道等英国媒体指出，中美新一轮会谈引起各界高度关注，双方开展面对面对话将有 助于加强两国经贸关系，深化相互理解信任。 【5 月 CPI 继续低位运行，PPI 同比降幅有所扩大】国家统计局 6 月 9 日发布的数据显示， 2025 年 5 月，CPI 同比下降 0.1%，上月为下降 0.1%，1-5 月 CPI 累计同比下降 0.1%；5 月 PPI 同比下降 3.3%，上月为下降 2.7%，1-5 月 PPI 累计同比下降 2.6%。 【5 月对美出口降幅扩大，整体出口保持较强韧性】海关总署 6 月 9 日发布数据显示，以美元 计价， ...

| 品种 | 加权利率(%) | 最新利率(%) | 平均回购期限(天) | | --- | --- | --- | --- | | DR001 | 1.3770 | 1.3466 | 1 | | DR007 | 1.5126 | 1.4500 | 6.91 | | DR014 | 1.5393 | 1.5500 | 12.75 | | DR021 | 1.5707 | 1.5800 | 18.04 | | DR1M | 1.6822 | 1.7000 | 29.69 | 银行间市场短期利率走低 不仅是DR007变动明显，6月9日，银行间市场七天期质押式回购加权利率（即R007）跌3.85基点至1.4938%，创2024年10月12日以来新低。银行间市场隔夜 质押式回购加权利率早盘跌4.19基点至1.3705%，创2024年12月30日以来新低。 北京商报记者了解到，银行间市场七天期质押式回购加权利率，即R007，是全市场机构（包括银行、券商、基金等）以各类债券（含信用债）为抵押的7天 期回购利率，该数据反映了市场整体流动性水平，受信用风险、抵押品质量影响较大。 与之相关的七天期存款类金融机构质押式回购利率， ...

Core Points - The People's Bank of China conducted a 173.8 billion yuan reverse repurchase operation on June 9, maintaining the operation rate at 1.40%, resulting in a net injection of 173.8 billion yuan into the market as there were no reverse repos maturing on that day [1] - The Shanghai Interbank Offered Rate (Shibor) saw a slight decline across all maturities, with the overnight Shibor down by 3.30 basis points to 1.3780%, and the 7-day Shibor down by 0.30 basis points to 1.4970% [1][2] - The interbank pledged repo market showed a slight downward trend in rates, with the weighted average rates for DR001 and R001 decreasing by 3.5 basis points and 2.9 basis points, respectively, while transaction volumes varied [6] Market Conditions - The funding environment on June 9 was characterized by a loose liquidity situation, with overnight rates for pledged repo transactions falling to around 1.45% by the end of the day [10] - A total of 145 interbank certificates of deposit were issued on June 9, with an actual issuance volume of 224.51 billion yuan, indicating active trading sentiment in the primary market [11] - The issuance of the second batch of 39.5 billion yuan special bonds aimed at stabilizing growth and investment was successfully completed, supporting central enterprises in key investment areas [13]

最近一周，2年期、5年期、10年期、30年期国债期货震荡偏强，周涨幅分别为0.05%、0.11%、0.18%、 0.31%。目前债市演绎震荡行情，背后是多空博弈相对均衡的结果，经济基本面波浪式修复，宽松的资 金面也对市场产生支撑，这意味着利率上行有顶，而存单提价现象的存在，又约束了利率下行的空间。 从经济基本面来看，5月官方制造业PMI为49.5%，环比上升0.5个百分点，出口回暖带动PMI边际改善。 财新制造业PMI录得48.3%，环比下降2.1个百分点，近8个月来首次落于荣枯线下，其中生产指数和新 订单指数创下2022年12月以来新低。官方PMI与财新PMI的"劈叉"，本质上是"政策驱动的大企业复 苏"与"市场主导的中小企业困局"的缩影，映射了中小企业在外需波动和内需不足下的生存压力，以及 大企业对短期外需改善的响应。总之，中美关税降级可能继续对二季度制造业景气度形成支撑，但中长 期外需不确定性扰动犹存。 在全球经济复苏步伐放缓、地缘政治和贸易政策不确定性加剧的背景下，多国央行纷纷出手，释放出货 币宽松信号。6月5日，中国央行宣布开展1万亿元买断式逆回购操作，打破了央行通常在月末公布操作 的惯例，也释放出 ...