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]

Group 1 - The People's Bank of China conducted a 7-day reverse repurchase operation of 449.2 billion yuan at an interest rate of 1.40%, maintaining the previous rate, resulting in a net injection of 234.4 billion yuan after 214.8 billion yuan of reverse repos matured on the same day [1] - The overnight Shanghai Interbank Offered Rate (Shibor) fell below 1.4%, with the 7-day and 14-day rates also declining. Specifically, the overnight Shibor decreased by 10.10 basis points to 1.3660%, the 7-day Shibor dropped by 5.10 basis points to 1.5450%, and the 14-day Shibor fell by 0.40 basis points to 1.6310% [1][2] Group 2 - In the interbank pledged repo market, the overnight rates fell by nearly 10 basis points, while the transaction volume for the 7-day products increased, with the R007 transaction volume accounting for 16.3%. The weighted average rates for DR001 and R001 decreased by 9.9 basis points and 9.2 basis points, respectively, while the rates for DR007 and R007 fell by 1.6 basis points and 1.4 basis points [6] - As of July 29, there were 62 interbank certificates of deposit issued, with an actual issuance amount of 109.06 billion yuan. The overall trading sentiment for primary certificates was weak, with significant fluctuations in the current bonds [11]

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 ...

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints The report analyzes the liquidity situation from July 21 - 25, 2025, indicating that the capital market shows a state of tight funds and rising interest rates, but the market's expectation of the capital side is stable. The central bank's attitude of caring for the capital side helps maintain the stability of capital interest rates, but there are still uncertainties in the stock market and redemptions [1][2]. 3. Summary by Related Catalogs **Funding Situation** - The open - market maturity was 2046.8 billion yuan last week, with a net investment of 10.95 billion yuan. The capital side was slightly tight, and the average value of DR007 was basically flat compared with the previous week, while the average value of R007 increased by 2BP. Exchange repurchase rates also increased [1]. - The total maturity of certificates of deposit (CDs) was 1076.48 billion yuan last week, with a net financing scale of - 560.79 billion yuan. The 1 - year AAA CD maturity yield increased compared with the previous week. The 1 - year FR007 interest rate swap average decreased compared with the previous week, and the market's expectation of the capital side was stable [2]. **Repurchase Transaction** - The volume of pledged repurchase transactions was between 7.1 - 8.1 trillion yuan last week, and the average volume of R001 repurchase transactions increased by 454 billion yuan compared with the previous week. The undelivered repurchase balance decreased compared with the previous week. In terms of institutions, the lending scale of large - scale banks decreased, while that of money market funds increased. The borrowing scales of securities firms and funds decreased, while that of wealth management increased [4]. **Other Market Indicators** - The 6M national stock bill transfer quotation decreased compared with the last trading day of the previous week. The US dollar - RMB exchange rate decreased slightly, and the Sino - US interest rate spread narrowed. There may be increased exchange rate fluctuations this week due to trade negotiations and central bank meetings [5]. **This Week's Key Concerns** The open - market capital maturity this week is 1656.3 billion yuan. Important economic data such as the eurozone and US Q2 GDP, China's July official PMI, the US July FOMC interest rate decision, and the US July ISM manufacturing index and unemployment rate will be released. Attention should also be paid to the central bank's open - market investment operations [6].

Group 1: Market Adjustments - The bond market experienced significant adjustments from July 21 to 25, with the 10-year government bond yield rising to 1.73% (+6.9bp) and the 30-year yield reaching 1.95% (+7.5bp) due to concentrated negative factors[11] - The average duration of interest rate bond funds, credit bond funds, and financial bond funds has decreased to 3.47 years, 1.24 years, and 1.49 years respectively, indicating a return to relatively safe positions after previously high durations[22] - The net outflow of funds from the banking system dropped significantly from over 4 trillion yuan in early July to less than 3 trillion yuan by July 25, raising concerns in the bond market[24] Group 2: Redemption Pressures - From July 21 to 25, the net subscription index for pure bond funds showed negative values, with significant redemption pressures peaking at -29.2 on July 24[27] - The total scale of wealth management products decreased by 125.2 billion yuan to 30.95 trillion yuan, reflecting redemption pressures amid a strong performance in equity and commodity markets[43] - Despite the redemption pressures, wealth management products continued to show net buying behavior, with a total net purchase of 107.6 billion yuan during the same period, indicating that liquidity management pressures remain manageable[51] Group 3: Risk Preferences and Market Outlook - The recent surge in commodity prices, with increases of 73.4% for coking coal and 43.3% for polysilicon, has raised concerns about inflation and its potential impact on the bond market[33] - The bond market may have already passed its most challenging period, with expectations of a stable funding environment supported by the central bank's actions[41] - The upcoming clarity from U.S.-China negotiations and the July Politburo meeting may influence risk preferences, with potential short-term cooling in the stock market expected[41]

1. Report Industry Investment Rating - The short - term (1 - 3 months), medium - term (3 - 6 months), and long - term (6 - 12 months) rating for treasury bonds is "oscillating" [4] 2. Core Viewpoints of the Report - Market sentiment is expected to ease temporarily next week as exchanges cool down commodities and the Politburo meeting's incremental policies are likely limited. The central bank will maintain market liquidity, and funds are expected to return to a loose state after the month - end. However, risk appetite will be strong in Q3, and there will still be fluctuations in the bond market [2][14] - It is difficult for market risk appetite to continue rising next week. The commodity market rally is driven by sentiment, and there is a risk that market expectations for incremental policies may be disappointed. Market risk appetite is expected to decline gradually [14] - There is no basis for the continuous tightening of the funds market. After the month - end, the funds market is expected to loosen, and the sentiment in the treasury bond market may improve [15][16] - Market fluctuations will continue in Q3, and a trend - based market may not appear until Q4. The bond market is not at risk of a long - term bear market, and it will turn bullish after the central bank's interest - rate cut expectations rise [16] 3. Summary According to the Catalog 3.1 One - Week Review and Outlook 3.1.1 This Week's Trend Review - From July 21 - 27, treasury bond futures declined significantly. Influenced by various factors such as investment news, commodity price changes, and central bank policies, the prices of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures main contracts decreased by 0.108, 0.420, 0.615, and 2.410 yuan respectively compared to last weekend [13] 3.1.2 Next Week's Outlook - Market sentiment is expected to improve, but fluctuations will persist. Risk appetite will be strong in Q3, and trend - based market may appear in Q4. Strategies include cautiously gambling on oversold rebound opportunities, considering short - hedging strategies, and constructing curve - steepening strategies [2][14][16] 3.2 Weekly Observation of Interest - Bearing Bonds 3.2.1 Primary Market - This week, 84 interest - bearing bonds were issued, with a total issuance of 939.805 billion yuan and a net financing of 209.169 billion yuan. The net financing of local government bonds increased, while that of inter - bank certificates of deposit decreased [20] 3.2.2 Secondary Market - Treasury bond yields rose. As of July 25, the yields of 2 - year, 5 - year, 10 - year, and 30 - year treasury bonds increased by 4.92, 9.14, 7.07, and 9.15 basis points respectively compared to last weekend. The 10Y - 1Y and 30Y - 10Y spreads widened, while the 10Y - 5Y spread narrowed [26][27] 3.3 Treasury Bond Futures 3.3.1 Price, Trading Volume, and Open Interest - Treasury bond futures declined significantly. The trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures increased, while the open interests of 2 - year and 5 - year contracts changed, with the 10 - year and 30 - year contracts showing an increase in open interest [35][38] 3.3.2 Basis and IRR - Positive - arbitrage opportunities were not obvious this week. The IRR of CTD bonds of each main contract was between 1.4% - 1.8%, and the positive - arbitrage strategy opportunities were relatively few [42] 3.3.3 Inter - Delivery and Inter - Variety Spreads - As of July 25, the inter - delivery spreads of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures 2509 - 2512 contracts were - 0.082, - 0.060, - 0.015, and + 0.220 yuan respectively. The long - term far - season contracts declined slightly more [45][46] 3.4 Weekly Observation of the Funds Market - The central bank's open - market reverse repurchase had a net withdrawal of 705 billion yuan this week, but the overall net investment was 109.5 billion yuan. The funds rate increased slightly, and the average daily trading volume of inter - bank pledged repurchase increased [49][52][54] 3.5 Weekly Overseas Observation - The US dollar index weakened slightly, and the 10Y US treasury bond yield declined slightly. As of July 25, the US dollar index decreased by 0.80% to 97.6701, and the 10Y US treasury bond yield was 4.40%, a 4 - basis - point decline from last weekend [61] 3.6 Weekly Observation of High - Frequency Inflation Data - Industrial product prices rose across the board this week, while agricultural product prices showed mixed trends. As of July 25, the South China industrial product index, metal index, and energy - chemical index increased, while the prices of pork, vegetables, and fruits changed differently [64] 3.7 Investment Recommendations - Next week, it is recommended to cautiously gamble on oversold rebound opportunities. Long - term, there is no bearish view, but it may be too early for allocation funds to go long. Consider short - hedging strategies and construct curve - steepening strategies [2][65]

Report Summary 1. Report Industry Investment Rating There is no information provided about the industry investment rating in the given content. 2. Core View of the Report The central bank first withdrew and then injected funds, leading to a situation where the funds were initially tight and then loosened. It is expected that the central bank will continue to support the market. [1] 3. Summary by Relevant Catalog I. Funds - **Fund prices and bill rates**: The R001 closed at 1.55% (previous value: 1.49%), DR001 at 1.52% (previous value: 1.46%), R007 at 1.69% (previous value: 1.51%), and DR007 at 1.65% (previous value: 1.51%). The 6M national stock bank draft transfer and discount rate closed at 0.72% (previous value: 0.81%). [1] - **Central bank's open - market operations**: The central bank had a net injection of 1095 billion yuan this week. It continuously withdrew funds in the first four days, with a cumulative net withdrawal of 6923 billion yuan, and then made a large - scale net injection of 8018 billion yuan on Friday. [1] - **Bond yields**: The 10 - year treasury bond yield increased by 7.24bp in the first four days and 6.72bp for the whole week to 1.73%; the 30 - year treasury bond yield increased by 9.05bp in the first four days and 8.40bp for the whole week to 1.97%. [1][2] II. Inter - bank Certificates of Deposit - **Maturity yields**: The 3M, 6M, and 1Y maturity yields of certificates of deposit increased by 4.69bp, 6.16bp, and 5.75bp respectively. The 1Y - 3M term spread widened. [2] - **Net financing and issuance**: The net financing of certificates of deposit was - 5598 billion yuan this week (previous value: 1444 billion yuan). The issuance interest rates of 1 - year certificates of deposit for state - owned banks, joint - stock banks, city commercial banks, and rural commercial banks increased. The weighted average issuance term shortened to 7.3M (previous value: 8.3M). [2] III. Institutional Behavior - **Government bond issuance and payment**: This week, the net issuance of government bonds was 3031 billion yuan, and the net payment was 3472 billion yuan. Next week, the expected net issuance is 4030 billion yuan, and the net payment is 2947 billion yuan. [3] - **Repurchase trading volume and leverage ratio**: The pledged repurchase trading volume first rose to 8.0 trillion and then fell to 7.1 trillion, with an average daily volume of 7.70 trillion yuan (previous value: 7.24 trillion yuan). The inter - bank market leverage ratio first rose to 109.10% and then fell to 108.39%, with an average daily ratio of 108.85% (previous value: 108.65%). [3]

Group 1 - The market has shown a continued upward trend, with the CSI 300 index increasing by 1.69%, the Shanghai Composite Index by 1.67%, and the CSI 500 index by 3.28% over the past week [3] - The steel sector has been highlighted as a leading performer, with a weekly increase and a cumulative excess return of over 11% since July [3][5] - The recent infrastructure projects, such as the Yarlung Tsangpo River hydropower project, have sparked positive expectations regarding the economic cycle, reminiscent of the 2008 stimulus measures [4][5] Group 2 - The market is currently experiencing a shift from institutional investment to retail trading, leading to increased volatility in the short term [5] - The recommendation is to maintain a high position in both the main board and small-cap sectors, while being prepared for potential adjustments in the future [6] - The current market dynamics suggest that the core driving variable for A-shares remains the liquidity situation, rather than just fundamental improvements [6]