执业证书号：S0010522030002 电话：13127532070 邮箱：yanzq@hazq.com [Table_Author] 研究助理：洪子彦 [Table_IndNameRptType]2 固定收益 固收周报 债市"每调买机"情绪回归 ——债市情绪面周报（6 月第 1 周） 报告日期： 2025-06-03 [Table_Author] 首席分析师：颜子琦 执业证书号：S0010123060036 电话：15851599909 邮箱：hongziyan@hazq.com 主要观点： ⚫[Table_Summary] 华安观点：6 月债市高胜率+低赔率的组合延续 当前 10Y 国债收益率在 1.65%至 1.70%附近持续震荡超一月，5 月利率 弱、信用强，存单在 1.70%附近震荡，短期债市多空交织。第一，在关税反复 扰动背景下，央行的主要目标由防空转、稳汇率切换至稳增长，双降以及一揽 子货币政策带动广谱利率下行，债牛环境不变；第二，但从短期来看，6 月资 金面易受扰动，存单大额到期+季末流动性冲击+供给高峰，在此背景下央行 对于资金面的话语权已经提升，我们预计一季度的情形大概率不会重演，资金 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Last week, the situation of the trade war was uncertain, causing the bond market to fluctuate. With a loose funding environment and the overnight interest rate dropping back to 1.4%, ultra-long bonds were slightly pressured, showing a V-shaped trend throughout the week. The trading activity of ultra-long bonds increased slightly, and both the term spread and the variety spread widened [1][11]. - For the 30-year treasury bond, as of May 30, the spread between the 30-year and 10-year treasury bonds was 23BP, at a historically low level. Considering domestic economic data, the economy in April still showed resilience. The estimated year-on-year GDP growth rate in April was about 4.1%, a 0.8% decline from March but still higher than the annual economic growth target. In terms of inflation, the CPI in April was -0.1% and the PPI was -2.7%, indicating obvious deflation risks. With the recent easing of Sino-US trade frictions and the dissipation of investors' pessimistic expectations, the short-term focus will shift to the domestic economic data of the second quarter. It is expected that as the policy support effect weakens, the bond yield is more likely to decline. However, the current term spread of the 30-year treasury bond is still low, providing limited protection [2][12]. - For the 20-year CDB bond, as of May 30, the spread between the 20-year CDB bond and the 20-year treasury bond was 2BP, at a historically extremely low level. The domestic economic situation in April was similar to that of the 30-year treasury bond. It is also expected that the bond yield will decline as the policy support effect weakens. However, the current variety spread of the 20-year CDB bond is still low, providing limited protection [3][13]. 3. Summary by Relevant Catalogs 3.1 Weekly Review - **Ultra-long Bond Review**: Last week, due to the uncertain trade war situation and a loose funding environment with the overnight interest rate at 1.4%, ultra-long bonds were slightly pressured, showing a V-shaped trend. The trading activity increased slightly, and both the term spread and the variety spread widened [1][11]. - **Ultra-long Bond Investment Outlook**: As analyzed above for the 30-year treasury bond and 20-year CDB bond [2][3]. - **Ultra-long Bond Basic Overview**: As of May 31, the balance of outstanding ultra-long bonds exceeded 21.6 trillion yuan, accounting for 14.4% of the total bond balance. Local government bonds and treasury bonds were the main varieties. By remaining term, the 30-year variety had the highest proportion [14]. 3.2 Primary Market - **Weekly Issuance**: Last week (May 26 - May 30, 2025), the issuance of ultra-long bonds was low, totaling 117.7 billion yuan, a significant decrease compared to the week before last. By variety, local government bonds accounted for 104.9 billion yuan, and by term, 20-year bonds accounted for 56.5 billion yuan [19]. - **Upcoming Issuance This Week**: The announced issuance plan for ultra-long bonds this week totals 108.1 billion yuan, including 71 billion yuan of ultra-long treasury bonds and 37.1 billion yuan of ultra-long local government bonds [26]. 3.3 Secondary Market - **Trading Volume**: Last week, the trading of ultra-long bonds was quite active, with a turnover of 903.9 billion yuan, accounting for 10.4% of the total bond turnover. Compared to the week before last, the trading activity increased slightly, with the turnover increasing by 42.2 billion yuan and the proportion increasing by 0.2% [28][29]. - **Yield**: Affected by the trade war and the funding environment, ultra-long bonds were slightly pressured, showing a V-shaped trend. The yields of different types of ultra-long bonds had different changes, such as the 15-year treasury bond yield decreasing by 2BP to 1.85% [36]. - **Spread Analysis** - **Term Spread**: Last week, the term spread of ultra-long bonds widened but remained at a low absolute level. The spread between the 30-year and 10-year treasury bonds was 23BP, a 6BP increase from the week before last, at the 6% quantile since 2010 [43]. - **Variety Spread**: The variety spread of ultra-long bonds also widened but was at a low absolute level. The spread between the 20-year CDB bond and the treasury bond was 2BP, and the spread between the 20-year railway bond and the treasury bond was 7BP, with changes of 0BP and 2BP respectively from the week before last, at the 2% and 3% quantiles since 2010 [48]. 3.4 30-year Treasury Bond Futures - Last week, the main contract of the 30-year treasury bond futures, TL2509, closed at 119.41 yuan, a decrease of 0.16%. The total trading volume was 408,900 lots (-60,932 lots), and the open interest was 113,500 lots (-15,740 lots), showing a slight decline in both [50].

固定收益 | 动态跟踪 报告发布日期 2025 年 06 月 03 日 | 齐晟 | qisheng@orientsec.com.cn | | --- | --- | | | 执业证书编号：S0860521120001 | | 杜林 | dulin@orientsec.com.cn | | | 执业证书编号：S0860522080004 | | 王静颖 | wangjingying@orientsec.com.cn | | | 执业证书编号：S0860523080003 | | | | 利空或已提前反应，6 月债市或存机会 固定收益市场周观察 研究结论 风险提示 政策变化超预期；货币政策变化超预期；经济基本面变化超预期；信用风险暴露超预 期；数据统计可能存在遗误 | 建议在 3Y 左右做下沉挖掘：固定收益市场 | 2025-05-27 | | --- | --- | | 周观察 | | | 存单利率重回下行时间点或早于预期：固 | 2025-05-26 | | 定收益市场周观察 | | | 降准是对债市行情的确认还是催化？ | 2025-05-22 | 有关分析师的申明，见本报告最后部分。其他重要信息披露见分 ...

截至2025年6月3日 11:22，30年国债ETF博时(511130)上涨0.06%，最新价报111.55元。流动性方面，30年国债ETF博时盘中换手6.57%，成交5.05亿元。拉长 时间看，截至5月30日，30年国债ETF博时近1月日均成交23.51亿元。 从资金净流入方面来看，30年国债ETF博时近8天获得连续资金净流入，最高单日获得3.75亿元净流入，合计"吸金"9.69亿元，日均净流入达1.21亿元。 数据显示，杠杆资金持续布局中。30年国债ETF博时最新融资买入额达3159.61万元，最新融资余额达5023.35万元。 截至5月30日，30年国债ETF博时近1年净值上涨14.28%，指数债券型基金排名3/386，居于前0.78%。从收益能力看，截至2025年5月30日，30年国债ETF博时 自成立以来，最高单月回报为5.35%，最长连涨月数为4个月，最长连涨涨幅为10.58%，涨跌月数比为9/5，上涨月份平均收益率为2.20%，月盈利百分比为 64.29%，月盈利概率为70.26%，历史持有1年盈利概率为100.00%。截至2025年5月30日，30年国债ETF博时近3个月超越基准年化收益为1. ...

Group 1 - The 30-year Treasury ETF (511090) has seen a price increase of 0.12%, with the latest price at 123.1 yuan as of June 3, 2025 [1] - The trading volume for the 30-year Treasury ETF reached 1.692 billion yuan, with a turnover rate of 9.21% [1] - The average daily trading volume over the past month was 7.543 billion yuan [1] - The current size of the 30-year Treasury ETF is 18.387 billion yuan [1] - In the past nine trading days, there have been net inflows on six days, totaling 601 million yuan, with an average daily net inflow of 6.678 million yuan [1] Group 2 - The 30-year Treasury ETF closely tracks the China Bond 30-Year Treasury Index, which consists of publicly issued 30-year treasury bonds [2] - The ETF is considered a good tool for portfolio management, offering low trading thresholds and high trading efficiency [2] - The minimum trading unit is 100 shares, approximately 10,000 yuan, allowing individual investors to participate easily [2] - The ETF allows for T+0 trading, providing immediate transaction capabilities [2] - Multiple market makers ensure liquidity, allowing for instant transactions without a lack of counterparties [2] Group 3 - According to Huatai Securities, the bond market is expected to experience a balanced tug-of-war in the first half of the year, with reduced profit-making effects [1] - The core contradiction in the bond market for the second half of the year is the "lack of certainty" amid multiple variables [1] - The actual growth rate for the year is expected to reach 5%, while nominal growth continues to stabilize [1] - The central bank's probability of further interest rate cuts is decreasing, and the narrow money supply is expected to remain balanced [1] - The bond market is likely to continue exhibiting characteristics of a volatile market in the second half of the year, with increased difficulty in rhythm judgment [1]

1. Report Industry Investment Rating No information provided in the content. 2. Core Viewpoints of the Report - In the fourth week of May, the impact of the rainy season continued to expand, and the traditional off - season effect became more prominent. Food prices remained stable, export freight rates increased due to port congestion, industrial product prices mostly declined, investment demand was weak, new home sales showed an end - of - month rush, and second - hand home sales momentum weakened [4][35]. - In the short term, the impact of the rainy season and the traditional off - season continued to be released. The May PMI showed a mild recovery, and the risk of repeated external tariff policies still existed, which supported the bond market. Attention should be paid to the export data in early June and the potential "expectation gap". In the future, observe the indicators of freight volume and freight rates in June's "rush to export" and the implementation of domestic policy - based financial tools and infrastructure high - frequency performance [4][35]. 3. Summary by Relevant Catalogs (1) Inflation - related - Food prices basically remained stable. The average wholesale price of pork in the country decreased by 0.3% week - on - week, with the decline narrowing. Vegetable prices increased by 1.3% week - on - week, turning from a decline to an increase. The 200 - index of agricultural product wholesale prices was flat week - on - week, and the wholesale price index of vegetable basket products increased by 0.02% week - on - week [9]. (2) Import and Export - related - The congestion at US and European ports pushed up freight rates. The CCFI index increased by 0.9% week - on - week, and the SCFI index increased by 30.7% week - on - week. In the European route, the shipping demand was stable, and the spot market booking price increased. In the North American route, the "rush to export" continued to drive high shipping demand, with some ports congested and route freight rates rising by over 40%. From May 19th to May 25th, the container throughput and cargo throughput of ports increased both week - on - week and year - on - year, with the year - on - year increase remaining the same as the previous week [12]. - The BDI index remained stable week - on - week, and the CDFI index increased for two consecutive weeks. The freight rates of different ship types in the international dry bulk shipping market showed a differentiated trend [12]. (3) Industry - related - The price of thermal coal stabilized with a narrowing decline. The price of thermal coal (Q5500) at Qinhuangdao Port decreased by 0.03% week - on - week. Although high - temperature weather in the north supported coal demand, heavy rainfall in the south squeezed thermal power. Some coal mines tightened supply at the end of the month, and the port coal price tended to be stable [16]. - The decline of rebar prices widened. The spot price of rebar (HRB400 20mm) decreased by 1.9% week - on - week. The apparent demand for rebar increased by 0.7% week - on - week. The supply of five major steel products increased, but the housing construction demand was weak, and the price declined due to high supply and slow inventory reduction [16]. - Copper prices turned from a decline to an increase. The average prices of Yangtze River Non - ferrous copper and LME copper increased by 0.3% and 0.9% week - on - week respectively. Macro - favorable factors such as the extension of the EU tariff deadline and the possible suspension of tariff policies boosted market sentiment, but the high copper price restricted downstream procurement and limited the price increase [22]. - The spot price of glass fluctuated downward. Due to the approaching Dragon Boat Festival and the rainy season in the south, downstream enterprises had limited stocking willingness, and most manufacturers reduced prices to clear inventory [22]. (4) Investment - related - The decline of cement prices continued to widen. The weekly average of the national cement price index decreased by 2.0% week - on - week. Rainy weather in South and East China led to weak market demand and low enterprise shipments [26]. - The sales of new homes in 30 cities increased week - on - week, possibly due to the end - of - month rush effect. From May 23rd to May 29th, the transaction area of new homes increased by 14.5% week - on - week and decreased by 3.0% year - on - year, with the year - on - year decline narrowing. The transaction area of second - hand homes in 17 cities decreased by 7.7% week - on - week, and the year - on - year increase further narrowed, indicating a weakening momentum [27]. (5) Consumption - related - From May 1st to May 25th, the retail sales of passenger cars increased by 16% year - on - year (17% in April), and increased by 9% month - on - month. The wholesale sales of passenger cars increased by 17% year - on - year and decreased by 1% month - on - month [28]. - Crude oil prices continued to decline. As of Friday, Brent crude oil and WTI crude oil prices decreased by 1.4% and 1.2% week - on - week respectively. The planned accelerated production increase of 8 major OPEC + oil - producing countries and the weakening of crude oil demand expectations under tariff policy uncertainty continued to suppress oil prices [3][28].

Core Insights - The company bond ETF (511030) has shown a slight increase of 1.08% over the past six months, with a recent price of 105.77 yuan as of May 29, 2025 [1] - The government bond ETF for 5 to 10 years (511020) has experienced a 2.69% increase over the last six months, currently priced at 116.98 yuan [4] - The national development bond ETF (159651) has seen a 1.98% increase over the past year, with a current price of 105.97 yuan [6] Liquidity - The company bond ETF had a turnover rate of 6.89% with a transaction volume of 1.043 billion yuan, averaging 1.591 billion yuan in daily trading over the past month [1] - The government bond ETF for 5 to 10 years had a turnover rate of 3.2% and a transaction volume of 44.7588 million yuan, with an average daily trading volume of 299 million yuan over the past year [4] - The national development bond ETF had a turnover rate of 2.16% and a transaction volume of 27.2881 million yuan, averaging 564 million yuan in daily trading over the past year [6] Scale - The company bond ETF has reached a new high in scale at 15.146 billion yuan, marking a significant increase [1] - The government bond ETF for 5 to 10 years has a current scale of 1.399 billion yuan [4] - The national development bond ETF has seen a growth of 1.2 billion yuan in scale over the past six months, ranking it among the top half of comparable funds [7] Market Sentiment - Recent market rumors suggest that banks may not meet performance expectations for Q2, leading to a sell-off in the bond market [1] - Analysts indicate that investors are adopting a strategy of "buying small dips and larger dips" to gradually increase their positions [1] - The current downward trend in bond market interest rates is viewed as reasonable when compared to deposit rates and loan rates since 2022 [1]

Market Overview - The bond market continued to show weakness, with most government bond futures closing lower and interbank bond yields rising slightly by around 0.5 basis points [1] - The central bank conducted a net injection of 58.5 billion yuan in the open market, while short-term funding rates exhibited some divergence [1] Bond Futures and Yields - The closing prices for government bond futures showed a decline, with the 30-year main contract down by 0.04% to 119.400, while the 10-year main contract remained flat at 108.730 [2] - The yields on major interbank bonds mostly continued to rise, with the 10-year government bond yield increasing by 0.75 basis points to 1.705% [2] International Bond Markets - In North America, U.S. Treasury yields collectively fell, with the 2-year yield down by 0.74 basis points to 3.974% [3] - In Asia, Japanese bond yields mostly rose, with the 10-year yield increasing by 5.3 basis points to 1.514% [3] - In the Eurozone, yields on 10-year bonds from France, Germany, Italy, and Spain all decreased [3] Primary Market Activity - Agricultural Development Bank's financial bonds had successful bids with yields of 1.4792%, 1.7059%, and 1.7985% for 1.074-year, 3-year, and 10-year maturities, respectively [4] Funding Conditions - The central bank announced a 215.5 billion yuan reverse repurchase operation at a fixed rate of 1.40%, with a net injection of 58.5 billion yuan for the day [5] - The Shibor rates showed mixed performance, with the overnight rate declining by 4.1 basis points to 1.411% [5] Institutional Insights - Citic Securities indicated that uncertainty may persist in the economic landscape through 2025, with a projected GDP growth of 5% for the year [6] - China International Capital Corporation noted that credit bond supply may continue to recover, while short-term credit spreads are at historically low levels [7]

Core Viewpoint - The bond market is experiencing a weak performance with government bond futures slightly declining, and interbank bond yields rising, indicating a shift away from previous easing expectations [1][2]. Market Performance - Government bond futures closed lower across the board, with the 30-year main contract down 0.26% to 119.460, the 10-year main contract down 0.11% to 108.735, and the 5-year main contract down 0.03% to 106.030 [2]. - Interbank bond yields generally increased, with the 10-year policy bank bond yield rising by 0.75 basis points to 1.7025% [2]. - The China Convertible Bond Index fell by 0.24% to 426.29 points, with significant declines in several convertible bonds [2]. Monetary Policy and Liquidity - The central bank conducted a 7-day reverse repurchase operation of 448 billion yuan at a fixed rate of 1.40%, resulting in a net injection of 91 billion yuan for the day [5]. - Short-term Shibor rates showed mixed performance, with the overnight rate down 5.4 basis points to 1.452% and the 7-day rate up 1.9 basis points to 1.598% [5]. Economic Indicators - From January to April, the total profit of large-scale industrial enterprises reached 21,170.2 billion yuan, a year-on-year increase of 1.4%, while profits of state-controlled enterprises fell by 4.4% [6]. - The manufacturing sector showed resilience, with growth in general equipment manufacturing and computer-related sectors, while the automotive sector experienced a decline of 5.1% [6]. Institutional Insights - Huatai Securities suggests focusing on non-bank allocations, PMI data, and bond supply, maintaining a judgment of 1.5%-1.8% fluctuation for 10-year government bonds [8]. - CITIC Securities indicates that the basic risk pricing is temporarily paused, with expectations of continued monetary easing, suggesting a challenging environment for bond market stability in the near term [8].

Group 1 - The core viewpoint of the news highlights the performance and market activity of the credit bond ETF Bosera, which has seen a continuous increase in trading and liquidity, indicating strong investor interest [2][3] - As of May 27, 2025, the credit bond ETF Bosera has achieved a price of 100.79 yuan, marking a 0.05% increase and a seven-day consecutive rise [2] - The fund has recorded a trading volume of 46.02 billion yuan with a turnover rate of 67.44%, reflecting active market participation [2] Group 2 - The credit bond ETF Bosera has experienced a net inflow of funds over the past five days, totaling 13.03 billion yuan, with a peak single-day inflow of 5.25 billion yuan [3] - The fund's leverage has been increasing, with a latest financing balance of 55.00 million yuan, indicating sustained interest from leveraged investors [3] - Since its inception, the credit bond ETF Bosera has shown a monthly profit percentage of 66.67% and a historical three-month holding profit probability of 100.00% [3] Group 3 - The fund's maximum drawdown since inception is 0.89%, with a relative benchmark drawdown of 0.10%, and it took 26 days to recover from the maximum drawdown [3] - The management fee for the credit bond ETF Bosera is 0.15%, and the custody fee is 0.05%, which are among the lowest in comparable funds [3] - The tracking error for the fund year-to-date is 0.009%, indicating the highest tracking precision among comparable funds [3]