Group 1 - The liquidity in the interbank market improved as the tax period effects diminished, with the central bank's net injection of 102.8 billion yuan on July 18 [1] - The central bank continued to net withdraw funds throughout the week, with a net withdrawal of 555 billion yuan on Monday and 2.477 billion yuan on Tuesday [1] - On Thursday, the funding rates increased significantly, with overnight and 7-day funding rates inverted, and the central bank net withdrew 119.5 billion yuan [1] Group 2 - The U.S. Congressional Budget Office estimated that the recent tax and spending bill signed by President Trump will increase the U.S. deficit by 3.4 trillion dollars over the next ten years [2] - The bill includes cuts to Medicaid and provisions that could lead to 10 million Americans losing health insurance by 2034 [2] - The National Association of Realtors reported a 2.7% month-over-month decline in existing home sales in June, reaching an annualized total of 3.9 million units, the lowest since September of the previous year [2] Group 3 - The National Development and Reform Commission held a meeting to discuss the "14th Five-Year Plan," emphasizing the importance of enterprise innovation and collaboration between state-owned and private enterprises [3] - The recent market trends indicate a recovery in risk appetite, impacting the performance of bonds, while the internal logic for a bullish bond market remains due to weakened financing demand and debt leverage [3] - The supply-side policies mainly affect upstream industries, while midstream and downstream sectors remain weak, suggesting potential for further easing in monetary policy [3] Group 4 - The National Development Bank ETF (159650) targets policy financial bonds, which are characterized by high credit ratings, large volumes, and good liquidity, making them attractive investment options [4] - The ETF offers good liquidity, low credit risk, and reasonable risk-return ratios, serving as a suitable tool for short-duration allocations [4]

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - The bond market has recently undergone significant adjustments, and the adjustment may not be over yet. The market generally expects the yield of the 10 - year active bond to operate between 1.7% - 1.8% in the next month, with the yield top at 1.8% and the bottom at 1.6% in the second half of the year. The report maintains the mid - term strategy of 1.6% - 1.9% for the 10 - year treasury bond [3][8]. - The market generally expects the yield curve to steepen, with a higher probability of a bear steepening. Making the curve steeper remains a relatively high - probability strategy [11]. - The expected returns of bond funds have been significantly downgraded, and bonds are currently the least favored major asset class. The market expects the yield of medium - and long - term bond funds to be below 2% for over 80% of the time, and below 1.5% for 40% of the time this year [3][15]. - The bond market may experience some oversold rebounds, but the upside is limited due to insufficient internal positive factors. It is recommended to be cautious with duration, lower annual return expectations, maintain a low - volatility portfolio, and seize short - term trading opportunities [3][17]. 3. Summary by Related Catalogs Reasons for the Bond Market Adjustment - The rise of commodities and equities is considered the main reason. The stock and commodity markets have strengthened this week, with the duration and amplitude exceeding market expectations, which has weakened the sentiment in the bond market. The low interest rate level is a secondary reason, as the low cost - effectiveness of bond assets and limited downward space for interest rates lead to significant adjustments when there are negative factors [3][5]. Bond Market Stabilization - Most views believe that the bond market has not yet stabilized, but small - scale entry is possible. Some also think that sentiment has reversed and short - term stabilization is difficult, while few believe the adjustment has ended. The bond market has been affected by risk assets in the past few days, and yesterday's sharp decline was also due to the tightening of funds in July and the lower - than - expected MLF roll - over at the end of the session [3][5]. Yield Point Estimation - 1.8% is generally considered the upper limit of this round of adjustment. Most think the 10 - year active bond will operate between 1.7% - 1.8% in the next month, with the yield top at 1.8% and the bottom at 1.6% in the second half of the year. The report believes that there may be some repair around 1.8%, and oversold rebound operations can be carried out in the range of 1.75% - 1.8%, but the interest rate adjustment may not be over in the whole - year dimension [3][8]. Yield Curve Expectation - The market generally expects the yield curve to steepen, with a higher probability of a bear steepening. Since July, funds have been relatively loose, so the short - end adjustment has been significantly smaller than the long - end. The market generally expects funds to maintain the current level, while the long - end is more affected by other factors. Making the curve steeper remains a relatively high - probability strategy [11]. Risks and Opportunities in the Bond Market - The mainstream expectations for bond market opportunities are central bank bond purchases, A - share and commodity market corrections, while the attention to real estate and tariffs has weakened. Risk factors are more diverse, including A - share rises, institutional redemption pressure, central bank tightening of liquidity, and inflation increases. Although the decline in this round is less than that in the first quarter, the redemption of bond funds is stronger, and the secondary impact of redemptions needs to be vigilant [3][13]. Bond Fund Return Expectation - The expected returns of bond funds have been significantly downgraded, and bonds are currently the least favored major asset class. As of July 22, the year - to - date returns of the money market fund index and the long - term pure bond fund index are 0.77% and 0.70% respectively. Over 80% of the market expects the yield of medium - and long - term bond funds to be below 2% this year, and 40% expect it to be below 1.5%, indicating that the market expects the second - half returns to be difficult to exceed the first - half returns [3][15].

Group 1 - Silver futures are currently trading below 9487, with a recent price of 9476, reflecting a 0.94% increase from the opening price of 9442 [1] - The highest price reached today was 9526, while the lowest was 9390, indicating a short-term oscillating trend in silver futures [1] - The market's risk appetite has increased following President Trump's announcement of a trade agreement with Japan, leading to a nearly 4% rise in the Japanese stock market and a new high for the Shanghai Composite Index since October of last year [3] Group 2 - The trade agreement includes a reduction in tariffs on Japanese products from a threatened 25% to 15%, which may further enhance market risk appetite and reduce demand for safe-haven assets like silver [3] - The U.S. dollar index is hovering near a two-week low, and the decline in U.S. Treasury yields is providing some support for silver prices [3] - Analysts suggest that if more trade agreements are reached before August, it could further boost risk appetite and weaken gold demand, although a continued weak dollar may allow gold prices to rise to $3500 [3] Group 3 - The silver market is currently in a bullish trend, with recent highs around 9540, although there has been some pullback without forming a top pattern [4] - Key support levels for silver are identified at 9350 and 9250, with a break below 9350 indicating a potential shift from strong to weak momentum [4]

1. Report Industry Investment Rating - There is no information about the industry investment rating in the provided reports. 2. Core Viewpoints of the Report - Bond supply surplus has raised concerns, and all treasury bond futures closed lower. The strong stock market has boosted risk appetite, suppressing the bond market. The delayed expectation of the Fed's interest rate cut and increased global trade uncertainty have added uncertainty to foreign capital inflows. Overall, the bond market is oscillating between stable growth and easing expectations, and short - term attention should be paid to policy signals at the end of the month [1][2]. 3. Summary by Relevant Catalogs I. Interest Rate Pricing Tracking Indicators - **Price Indicators**: China's CPI (monthly) had a month - on - month change of - 0.10% and a year - on - year change of 0.10%. China's PPI (monthly) had a month - on - month change of - 0.40% and a year - on - year change of - 3.60% [8]. - **Monthly Economic Indicators**: Social financing scale was 430.22 trillion yuan, with a month - on - month increase of 4.06 trillion yuan (+0.95%); M2 year - on - year was 8.30%, with a month - on - month increase of 0.40% (+5.06%); Manufacturing PMI was 49.70%, with a month - on - month increase of 0.20% (+0.40%) [8]. - **Daily Economic Indicators**: The US dollar index was 97.39, down 0.47 (-0.48%); The offshore US dollar to RMB exchange rate was 7.1722, down 0.007 (-0.10%); SHIBOR 7 - day was 1.46, down 0.02 (-1.02%); DR007 was 1.47, down 0.02 (-1.07%); R007 was 1.68, up 0.04 (+2.35%); The 3 - month inter - bank certificate of deposit (AAA) was 1.55, up 0.01 (+0.45%); The AA - AAA credit spread (1Y) was 0.08, up 0.00 (+0.45%) [8]. II. Treasury Bond and Treasury Bond Futures Market Overview - **Closing Prices and Price Changes**: On July 22, 2025, the closing prices of TS, TF, T, and TL were 102.41 yuan, 105.89 yuan, 108.64 yuan, and 119.45 yuan respectively, with price changes of - 0.01%, - 0.05%, - 0.09%, and - 0.40% respectively [2]. - **Net Basis Spreads**: The average net basis spreads of TS, TF, T, and TL were - 0.011 yuan, - 0.047 yuan, 0.045 yuan, and - 0.047 yuan respectively [2]. III. Money Market Fundamentals - **Central Bank Operations**: On July 22, 2025, the central bank conducted 214.8 billion yuan of 7 - day reverse repurchase operations at a fixed interest rate of 1.4% [1]. - **Money Market Interest Rates**: The main term repurchase rates of 1D, 7D, 14D, and 1M were 1.317%, 1.462%, 1.551%, and 1.529% respectively, and the repurchase rates have recently declined [1]. IV. Spread Overview - **Inter - period Spreads**: The report mentions the inter - period spread trends of various treasury bond futures varieties, but specific data is not detailed here [40]. - **Cross - variety Spreads**: The report analyzes the spreads between spot bond term spreads and futures cross - variety spreads, such as (4*TS - T), (2*TS - TF), (2*TF - T), (3*T - TL), and (2*TS - 3*TF + T) [40][42][43]. V. Two - year Treasury Bond Futures - **Implied Interest Rate and Yield**: The report shows the relationship between the implied interest rate of the TS main contract and the treasury bond yield, as well as the relationship between the IRR of the TS main contract and the funding rate [45][47]. - **Basis Spread Trends**: The report presents the three - year basis spread and net basis spread trends of the TS main contract [54]. VI. Five - year Treasury Bond Futures - **Implied Interest Rate and Yield**: The report shows the relationship between the implied interest rate of the TF main contract and the treasury bond yield, as well as the relationship between the IRR of the TF main contract and the funding rate [53][56]. - **Basis Spread Trends**: The report presents the three - year basis spread and net basis spread trends of the TF main contract [53]. VII. Ten - year Treasury Bond Futures - **Implied Interest Rate and Yield**: The report shows the relationship between the implied interest rate of the T main contract and the treasury bond yield, as well as the relationship between the IRR of the T main contract and the funding rate [61]. - **Basis Spread Trends**: The report presents the three - year basis spread and net basis spread trends of the T main contract [64]. VIII. Thirty - year Treasury Bond Futures - **Implied Interest Rate and Yield**: The report shows the relationship between the implied interest rate of the TL main contract and the treasury bond yield, as well as the relationship between the IRR of the TL main contract and the funding rate [69][72]. - **Basis Spread Trends**: The report presents the three - year basis spread and net basis spread trends of the TL main contract [75]. 4. Strategies - **Single - side Strategy**: With the decline of repurchase rates and the oscillation of treasury bond futures prices, the 2509 contract is neutral [3]. - **Arbitrage Strategy**: Pay attention to the widening of the basis spread [3]. - **Hedging Strategy**: There is medium - term adjustment pressure, and short - side investors can moderately hedge with far - month contracts [3].

国债期货日报 2025年7月22日 大宗商品大幅反弹 观点：交易盘暂时观望 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： 国债期货开盘偏强窄幅震荡，盘中跳水翻绿，随着风险资产走强价格持续下跌，午后二次跳水，尾盘明显收 跌。结构上短端偏强，TS09下跌0.008。10Y活跃券250011当日上行1.2bp，接近1.69%。流动性进一步改 善，资金利率回到1.3%的关键水平，开盘前隔夜匿名1.3%超过1400亿大额，DR001同样下行回到1.3%附 近。 日内消息： 1.俄罗斯总统新闻秘书、克宫发言人佩斯科夫表示，俄罗斯总统普京将于9月访华，出席中国人民抗日战争暨 世界反法西斯战争胜利80周年纪念活动，俄方正为此次访华行程做筹备。 行情研判： 当前风险资产强势，不光是权益市场内部轮动接力，同样体现在风险资产之间的先后上涨提供支撑，风险偏 好整体强势，加上国债期货价格下跌破位，交易盘短期建议暂时止损观望，等待重要会议后反内卷政策细节 全部落地。 TS主力：净基差与基差 source： wind,南华研究 元 TS净基差：主连 TS基差：主连 10/31 12/3 ...

Group 1: Market Trends - The macroeconomic uncertainty has increased, but there is a trend towards a decline in global risk-free interest rates and improved risk appetite[6] - The U.S. stock market reached new highs, with major indices maintaining elevated levels, indicating a strong market performance[9] - The U.S. June CPI data showed a year-on-year increase of 2.7%, above the expected 2.6%, while the core CPI rose to 2.9%, aligning with expectations[28] Group 2: Inflation and Economic Indicators - Inflation risk pricing has intensified, with significant market volatility observed following the CPI release, highlighting a growing focus on inflation narratives[10] - The latest CPI data reflects a divergence in inflation trends, with strong commodity inflation and weak service inflation, suggesting future inflation risks may remain below market expectations[20] - Retail sales in June increased by 0.6%, exceeding the expected 0.1%, indicating resilient consumer spending despite price increases driven by tariffs[34] Group 3: Policy and Political Influences - Trump's shift from a populist agenda to a market-focused approach has been pivotal in explaining the market rebound since April, with policies aimed at stabilizing and boosting the economy[15] - The tightening concerns are viewed as short-term, while expansionary drivers are expected to dominate the trend moving forward[20] - The geopolitical landscape and policy uncertainties continue to pose risks to economic stability, impacting market sentiment[3]

Market Performance - Government bond futures closed lower across the board, with the 30-year main contract down 0.46% at 119.970 yuan, the 10-year main contract down 0.05% at 108.760 yuan, the 5-year main contract down 0.05% at 105.955 yuan, and the 2-year main contract down 0.01% at 102.420 yuan [1] - As of 17:00, the yield on the 30-year government bond "25 Super Long Special Government Bond 02" rose by 1.4 basis points to 1.887%, the yield on the 10-year government development bond "25 National Development 10" rose by 1.05 basis points to 1.7525%, and the yield on the 10-year government bond "25 Coupon Government Bond 11" rose by 0.95 basis points to 1.6735% [1] Funding Conditions - The central bank announced a 7-day reverse repurchase operation of 170.7 billion yuan at a fixed rate, with a bidding amount of 170.7 billion yuan and a successful bid amount of 170.7 billion yuan [2] - On the same day, 226.2 billion yuan in reverse repos matured, resulting in a net withdrawal of 55.5 billion yuan [2] - The overnight repurchase weighted rate (DR001) fell by nearly 10 basis points to around 1.35%, indicating a gradual return to a balanced but slightly loose liquidity environment post-tax period [2] News Developments - On July 19, the groundbreaking ceremony for the Yarlung Tsangpo River downstream hydropower project was held in Linzhi City, Tibet, with a total investment of approximately 1.2 trillion yuan for the construction of five tiered power stations [3] - The project primarily focuses on power transmission and consumption outside Tibet while also addressing local demand [3] - The stock market opened high and continued to trend upward, with the Shanghai Composite Index rising 0.72%, the Shenzhen Component Index rising 0.86%, and the ChiNext Index rising 0.87% [3] - A total trading volume of 1.73 trillion yuan was recorded, up from 1.59 trillion yuan the previous day, with 4,000 stocks gaining and the number of stocks hitting the daily limit reaching a two-month high [3] Operational Suggestions - Recent policies against excessive competition and the commencement of large infrastructure projects have boosted the commodity and equity markets, leading to a recovery in risk appetite that may suppress the bond market [4] - Current fundamental data shows a supply-demand divergence, with production continuing to rise, positively impacting quarterly GDP performance, but nominal growth is hindered by low inflation, affecting corporate profits and real economic sentiment [4] - The period of July to August may see a new round of stable real estate policies, government investment expansion, and tariff negotiations, indicating a complex macroeconomic outlook [4] - The bond market is expected to remain in a range-bound phase due to the lack of a clear main trend, with the T2509 contract focusing on support around 108.6 [4] - A cautious approach is recommended in the short term, monitoring funding conditions and incremental policy developments, while considering a potential shift towards a looser funding environment [4]

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core View of the Report Domestic market optimism is fermenting, and risk assets are continuously strong. Overseas, the outlook for the EU - US trade agreement is worrying, but the overall trade risk has decreased. The US Treasury Secretary will soon talk with China. The US dollar index and US bond yields have declined, and global risk appetite has increased. In China, economic growth in the first half of the year was higher than expected, but consumption and investment slowed down significantly in June. Policies to boost domestic risk appetite have been introduced. Different asset classes have different trends: stocks are expected to be short - term strong with caution for long positions; bonds are at a high level with cautious observation; commodities show different trends in different sectors [2]. 3. Summary by Related Catalogs Macro - finance - **Overall situation**: Overseas trade risks decrease, and the US dollar and bond yields fall. In China, economic growth in H1 is higher than expected, but June consumption and investment slow down. Policies boost domestic risk appetite. Stocks are short - term strong, bonds are high - level volatile, and commodities have different trends [2]. - **Stock index**: Driven by sectors like hydropower, construction machinery, etc., the domestic stock market rises. The short - term macro - upward drive is enhanced, and attention should be paid to Sino - US trade negotiations and domestic incremental policies. Short - term cautious long positions are recommended [3]. - **Precious metals**: On Monday, the precious metal market rose. Uncertainty before the August 1st tariff deadline supports precious metals. The short - term gold is in a box - shaped range, and silver has a strong technical rebound logic. The long - term support for gold remains [4]. Black Metals - **Steel**: On Monday, the steel spot and futures markets rose, and trading volume increased. Policy and project news boost market sentiment. Real demand is weak, but there are differences among varieties. Supply decreases, and the cost support is strong. The steel market is expected to be short - term strong [5][6]. - **Iron ore**: On Monday, the iron ore spot and futures prices rebounded. Steel mills have high profits, and iron water production increased. The short - term price is expected to be strong [6]. - **Silicon manganese/silicon iron**: On Monday, the prices rebounded slightly. Demand decreased, and the cost of raw materials changed. The production rhythm is stable, and the price may follow the coal price rebound [7]. - **Soda ash**: On Monday, the price rose significantly. Supply is in an over - supply pattern, demand is weak, and profits decline. The short - term price is supported by policies, but the long - term is suppressed [8]. - **Glass**: On Monday, the price rose. Supply pressure increases in the off - season, and demand is weak. Profits increase, and the price is supported by policies [9]. Non - ferrous Metals and New Energy - **Copper**: The future copper price depends on the tariff implementation time. Short - term, the growth - stabilizing plan is favorable to the price [10]. - **Aluminum**: The social inventory is in a cumulative trend, and the fundamentals are weak. The price increase is limited [10]. - **Aluminum alloy**: Scrap aluminum supply is tight, production costs rise, and demand is weak. The short - term price is expected to be strong but with limited upside [10]. - **Tin**: Supply is better than expected, and demand is weak. The short - term price is volatile, and the medium - term upside is limited [11]. - **Lithium carbonate**: On Monday, the price rose. Supply increases, inventory accumulates. Affected by policies, it is expected to be strong with attention to macro - disturbances [12]. - **Industrial silicon**: On Monday, the price rose. Production is stable, supply decreases, and the price is driven by manufacturers and policies. It is expected to be strong [13]. - **Polysilicon**: On Monday, the price rose. After policy adjustment, the price increased. It is expected to be strong with attention to market feedback [14]. Energy and Chemicals - **Crude oil**: Due to trade negotiation progress and Russian oil exports, the oil price is expected to be weak in the short term [15]. - **Asphalt**: The price is strong but lacks upward drive. Demand in the peak season is average, and attention should be paid to inventory changes [15]. - **PX**: It maintains a tight pattern, and the price is supported by the sector. The upward space is limited [16]. - **PTA**: The basis is at a flat level, and demand is low. The price is volatile, and there is a risk of production reduction [16]. - **Ethylene glycol**: Inventory decreases slightly, but demand is low. The short - term price is volatile [16]. - **Short - fiber**: The price follows the polyester sector and is weak. Orders are average, and inventory is high [17]. - **Methanol**: Supply increases, demand decreases, and the price is expected to be weak [17][18]. - **PP**: Supply pressure increases, demand is weak, and the price center is expected to move down [18]. - **LLDPE**: Demand is weak, inventory rises. The short - term price may rebound, but the long - term center will move down [18]. Agricultural Products - **US soybeans**: The soybean good - quality rate decreased, and high - temperature risks need attention [19]. - **Soybean/canola meal**: The soybean meal is in a weak - basis and inventory - accumulating pattern. The canola meal consumption is lower than expected. The short - term price is high - level volatile [20]. - **Soybean/canola oil**: Soybean oil inventory pressure is high, and canola oil has no fundamental support. The price is affected by palm oil [21]. - **Palm oil**: Domestic inventory increases, and the short - term price has resistance. The Malaysian palm oil export may improve, which may support the price [22].

国债期货日报 2025年7月21日 左侧尝试 观点：交易盘试多，需要带好止损 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： 国债期货跳空低开，T2509低开一毛钱，早盘偏弱震荡，午后小幅上行，跌幅收窄。资金方面，公开市场到 期2262亿，央行新做1707亿，净回笼555亿。流动性有所改善，DR001加权从上周五的1.45%回到1.35%附 近，午后隔夜匿名价格回到1.3%。非银流动性同样充裕，交易所资金价格日内震荡下行，同样回落到1.35% 附近。 日内消息： | TS2509 | 102.416 | 102.434 | -0.018 | 102.378 | TS合约持仓(手） | 122170 | 123247 | -1077 | 34519 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | TF2509 | 105.935 | 106.005 | -0.07 | 105.885 | TF合约持仓(手） | 209691 | 206287 | 3404 | 208905 | ...

Core Viewpoint - Bank of America’s chief investment strategist Michael Hartnett indicates that nearly all proprietary trading signals have issued sell signals, despite a record bullish reversal among fund managers following three months of panic selling [1] Group 1: Sell Signals - The cash rule from Bank of America’s fund manager survey shows that cash as a percentage of assets under management (AUM) is at 3.9%, reaching sell signal levels. Historically, similar sell signals have led to an average decline of 2% in the S&P 500 index [2] - The global breadth rule indicates that 64% of MSCI global stock index components are trading above their 50-day and 200-day moving averages, down from 80% last week, but not yet at the 88% sell signal threshold [2] - The global fund flow trading rule shows that inflows into global stocks/high-yield bonds account for 0.9% of AUM over the past four weeks, down from 1.0% last week, triggering a sell signal [2] Group 2: Market Conditions - Hartnett suggests that those looking for sell triggers should focus on the bond market rather than the stock market, emphasizing that "bears watch bonds, bulls watch stocks" [2] - The 30-year U.S. Treasury yield remains at a critical level, having briefly surpassed 5% during a mini-panic when the market speculated on Trump firing Powell. However, as long as yields do not reach new highs and the MOVE index stays around 80, the market maintains a "risk-on" status [2][3] Group 3: Economic Indicators - If long-term Treasury yields reach new highs and the MOVE index exceeds 100, Hartnett will shift to a "risk-off" stance [3] - The current market breadth is collapsing, with the equal-weighted S&P 500 to S&P 500 ratio at a 22-year low, the Russell 2000 to S&P 500 ratio near a 25-year low, and the value to growth stock ratio at a 30-year low, indicating a potential economic slowdown or stock market bubble [3] Group 4: Historical Context - Hartnett draws parallels between the current situation and the early 1970s, referencing Nixon's economic policies and the Fed's rate cuts, which contributed to a boom-bust cycle. He notes that after initial market sell-offs, the S&P 500 rose 11% a year later, suggesting that history may repeat itself if Powell is removed [4]