华泰证券研报称，当前债市票息保护弱、重博弈、情绪驱动强，投资体验"事倍功半"。短期债市仍处逆 风，但利率大概率"上有顶"。短期维持十年国债老券上限在1.8%附近（配置盘开始关注），极限位置是 1.9%（交易盘介入），潜在超调风险仍来自于机构行为。时间上，十月份之后（供给淡季+情绪拐点 +消费等高基数）再寻找"反攻"机会。资金面持续收紧风险不大，继续推荐曲线陡峭化交易。品种上， 30年国债、二永债等品种容易成为情绪放大器，建议暂时规避。5-7年及以下利率债品种兼具防守特 性，杠杆套息浅尝辄止。信用债以中短端为主，3-5年普通信用债经过本轮下跌后初具性价比。转债保 持权益β暴露。 ...

必须要严格执行交易计划，一旦入场或出场条件成立，立刻行动，让动作同步于计划，快于思想，才能抑制人性弱点的发酵。 ——笔记哥《应对》 【笔记20250820— 债农：放弃买债，All in大A（+央行继续大额净投放-股市大涨+债基赎回较少±资金面先紧后松=小上)】 资金面先紧后松，长债收益率小幅上行。 央行公开市场开展6160亿元7天期逆回购操作，今日有1185亿元逆回购与1000亿元国库现金定存到期，净投放3975亿元。 -------------------------- 债市上午半只脚刚踏进KTV，下午又进了ICU。股市：让你活半天，就是活半天，多一分钟算我输。据统计，能躲牛市的地方越来越少了，今天连消费板 块都风光了一把。年初至今收益还负的，恐怕只有债市了。 债市多头看到"中小银行下调存款利率"的消息也只能沉默，空头：让存款搬家去股市来得更猛烈些吧！听闻马斯克正在放弃创办政党的计划，并在下届总 统竞选中支持万斯。债农：正在放弃买债的计划，并在明天All in大A。 -------------------------- 250210 1.8725/1.9025/1.8610/1.8875 +1.35 25 ...

Report Summary 1) Report Industry Investment Rating No relevant content provided. 2) Core View of the Report - The trading sentiment in the bond market remains weak, and the market needs to decouple from the stock market to confirm a bottom. In the short term, trading is difficult. It is recommended not to short. Cautious investors should wait and see, while aggressive investors looking to bottom - fish can enter with small positions and stagger their purchases [1][3]. 3) Summary by Related Catalogs a) Market Review - On Wednesday, Treasury bond futures opened higher and fluctuated in the morning, then weakened in the afternoon due to the strong performance of the stock market. Medium - and long - term varieties hit new lows. The yield of spot bonds reversed from a decline to an increase and rose significantly in the afternoon. The central bank had a net injection of 497.5 billion yuan through 7 - day reverse repurchase in the open market, and 10 billion yuan of treasury cash fixed - term deposits matured. The funding situation was okay, with DR001 around 1.47% [1]. b) Intraday News - The US Department of Commerce officially announced on Tuesday that it would include 407 types of steel and aluminum derivative products, such as wind turbines, in the 50% tariff list, suddenly expanding the scope of Trump's steel and aluminum tariffs and catching US importers off - guard [2]. c) Market Data - **Contract Prices and Positions**: - TS2509 price was 102.322, down 0.006 from the previous day, and its position decreased by 3,655 hands to 94,194 hands. - TF2509 price was 105.45, down 0.085, and its position decreased by 2,116 hands to 170,809 hands. - T2509 price was 107.935, down 0.115, and its position decreased by 5,181 hands to 227,058 hands. - TL2509 price was 116.24, down 0.22, and its position increased by 2,709 hands to 152,216 hands [4]. - **Basis and Trading Volume**: - TS basis (CTD) was 0.0266, down 0.0066, and its trading volume increased by 5,907 hands to 48,745 hands. - TF basis (CTD) was 0.0464, down 0.0168, and its trading volume decreased by 21,612 hands to 55,311 hands. - T basis (CTD) was 0.0542, down 0.0734, and its trading volume decreased by 14,976 hands to 80,139 hands. - TL basis (CTD) was 0.1715, up 0.3672, and its trading volume decreased by 17,379 hands to 99,916 hands [4].

Group 1: Open Market Operations - The central bank announced a 7-day reverse repurchase operation on August 19, with a fixed rate and quantity tendering of 580.3 billion yuan at an interest rate of 1.40%, with the same amount being the winning bid [1] - On the same day, 114.6 billion yuan of reverse repos matured, resulting in a net injection of 465.7 billion yuan [1] Group 2: Funding Conditions - The interbank market maintained a slight tightening trend, with the overnight repo weighted average rate initially exceeding 1.50% but later falling back to around 1.47% [3] - The latest overnight financing rate in the U.S. was reported at 4.36% [3] Group 3: Interbank Certificates of Deposit - The latest transaction rate for one-year interbank certificates of deposit among major banks was around 1.67%, showing little change from the previous day [7] Group 4: Bond Market Overview - The yields on major interbank bonds mostly declined [9] - Government bond futures closed collectively higher, with the 30-year main contract rising by 0.23%, the 10-year by 0.03%, the 5-year by 0.07%, and the 2-year by 0.03% [13] Group 5: Fiscal Data - From January to July, the national general public budget revenue was 1,358.39 billion yuan, a year-on-year increase of 0.1%, while tax revenue was 1,109.33 billion yuan, a decrease of 0.3% [14] - Non-tax revenue increased by 2% to 249.06 billion yuan, with stamp duty revenue rising by 20.7% to 25.59 billion yuan, and securities transaction stamp duty increasing by 62.5% to 9.36 billion yuan [14] Group 6: Local Government Bonds - Guangdong Province plans to issue offshore RMB local government bonds in Macau, with an expected issuance scale of 2.5 billion yuan [14] Group 7: Credit Ratings - S&P Global Ratings confirmed the U.S. sovereign credit rating at "AA+/A-1+" with a stable outlook, projecting that the net general government debt will approach 100% of GDP [15]

作者：招商银行研究院 零售客群部 私人银行部 | | 本期要点摘要 | | | --- | --- | --- | | 回顾 | 近1月 2025 年以来 | | | 固收产品收益 | 含权债基>高等级同业存单指基>现金 含权债基 > 高等级同业存单指基 > 短债基金> | | | 回顾 | 管理>短债基金>中长期借審 现金管理 > 中长期债基 近一个月,供给端"反内卷"和需求 | | | | 1 月偏强震荡,2 月-3 月中旬债市大幅回 端基建、民生政策落地,基本面修复 调,4月初债市快速走强后回归震荡,5月下 | | | 债市回顾 | 预期强化,市场风险偏好抬升,资金 | 旬小幅回调，6月回归震荡,7月以来有所回 | | | 面维持相对宽松。长债弱于短债，信 | | | | 用债弱于利率债。 | 调。 | | | | 1.财政部、税务总局明确自８月８日起,对新发行的国债、地方政府债券和金融债券 | | 行业事件跟踪 | 利息收入恢复征收增值税。 | | | | | 2.近期多家头部保险公司宣布下调产品预定利率，将于 8 月 31 日前完成产品切换。 | | 展望 | 短期(1个月维度) | 中期(3-6个 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In the short term, bond yields may fluctuate downward. Although government bond issuance brings certain net - increase pressure, the certainty of the downward trend of capital prices is relatively high due to the marginal decline of the central bank's open - market maturity scale and the gradual subsidence of tax - period disturbances. In the long term, the bond yield is still in a downward trend under the background of weak fundamentals [8]. 3. Summary by Relevant Catalogs Bond Market Performance Last Week - Bond yields generally increased, the term spread widened, and the curve became steeper. The 10 - year Treasury bond yield rose 6BP to 1.7465%, the short - term interest rate rose slightly, and the term spread increased by 4BP. Bank - to - bank pledged repo rates and financial institution pledged repo rates both increased. The liquidity of the banking system remained reasonably abundant, and the R007 - DR007 spread narrowed, but the stratification between non - bank institutions and banks still existed [3]. Factors Driving Bond Yield Increases - The increase in market risk preference, tax - period disturbances, and the substantial increase in government bond supply jointly pushed up bond yields. The stock - bond seesaw effect, with the steady rise of the equity index, suppressed the bond market. The tax - period on the 15th led to a convergence of the money market and a significant increase in capital prices. The net increase in government bond issuance also contributed to the rise in bond yields [4]. Policy - related Influences - Policies on preventing capital idling and fiscal discount loans indicate that the pace of comprehensive interest rate cuts may slow down. The central bank's second - quarter monetary policy report emphasizes preventing capital idling, suggesting a possible delay in the pace of reserve requirement ratio and interest rate cuts. The fiscal discount policy for personal consumption and business loans strengthens the signal of a slowdown in the pace of comprehensive interest rate cuts [5]. Fundamental Situation - Economic data generally declined, and loans in the real - sector weakened, reflecting the weak economic operation. In July, economic and financial data showed that the contradiction of "weak demand + resilient supply + low prices" continued. Industrial added - value growth slightly decreased, overall investment growth was dragged down by real estate, infrastructure, and manufacturing, consumption momentum slightly slowed down, and financing in the resident and enterprise sectors was weak [6][7]. Capital - related Situation - This week, liquidity continued to be relatively loose. The maturity scale of the central bank's reverse repurchase decreased significantly, which will relieve capital pressure. The tax - period disturbances are gradually subsiding, and capital prices may decline [7]. Supply - side Situation - This week, local government bond issuance increased, and government bond issuance maintained a net - increase trend. It is expected that the central bank will adjust capital injection to maintain liquidity. The net increase in local government bond issuance this week was 2366 billion yuan compared with last week, and the net increase in Treasury bond issuance also increased by about 1000 billion yuan compared with last week. The scale of government bond payments decreased marginally compared with last week [8].

Core Viewpoint - The upcoming week is a critical juncture for the bond market, determining its direction for recovery or further decline [1] Group 1: Market Direction - If the bond market opts for a recovery, it is advisable to extend duration positions promptly [1] - In the event of continued market decline, a strategy of small, frequent purchases may be considered to capitalize on potential market tops [1] Group 2: Comparative Analysis - From a cost-performance perspective, the 30-year government bonds and 10-year policy bank bonds offer better value compared to 10-year government bonds [1] - The yield spread between 30-year government bonds and 10-year government bonds, as well as the spread between 10-year policy bank bonds and government bonds, have reached new highs over the past year [1] Group 3: Yield Curve Strategy - After a two-week adjustment period, the yield spread between 10-year and 1-year government bonds has rebounded from extremely low levels to the 50-60% percentile range [1] - Future strategies may include employing a barbell approach to take advantage of opportunities for curve flattening [1]

Group 1 - The report highlights a significant shift in market sentiment, with the stock market showing strength while the bond market faces pressure, leading to a rapid change in risk appetite [3][13][14] - The yield on the 10-year government bond has risen to 1.75%, while the 30-year bond approaches 2%, indicating a challenging environment for long-duration bonds [3][13] - The report notes that the recent decline in bond prices is characterized by a "local" feature, particularly affecting long-term credit bonds, while short-term credit bonds have shown relative stability [5][48] Group 2 - The report discusses the performance of various bond strategies, indicating that the 30-year government bond strategy has faced the most significant drawdown, with a loss of 192 basis points in the past week [4][21] - Credit strategies have also experienced substantial drawdowns, particularly in bank subordinated bonds and long-duration portfolios [4][21] - Short-term bond strategies have managed to retain some gains from earlier in the year, with certain portfolios even showing positive returns recently [4][21] Group 3 - The report emphasizes that the current bond market environment is marked by a lack of liquidity, particularly in long-term credit bonds, which have seen a sharp decline in trading volume [6][48] - Despite the challenges, the pricing of medium to short-duration credit bonds remains stable, with limited upward movement in yields compared to the adjustments seen at the end of July [6][17] - The report suggests that the stability of the non-bank funding side has contributed to the resilience of short-duration credit bonds [6][70] Group 4 - The report outlines short-term strategies, recommending a cautious approach due to overall low absolute returns [7][71] - It suggests focusing on price spread trading opportunities in bank subordinated bonds and emphasizes the potential for acquiring high-quality city investment bonds with AA+ ratings [7][71] - The report also notes that new credit bond pricing is susceptible to market fluctuations, indicating a need for careful monitoring of market conditions [7][71]

1. Report Industry Investment Rating - Not mentioned in the provided content 2. Core Viewpoints of the Report - Investment and consumption growth rates have declined, and risk appetite has put pressure on the bond market [2] - The performance of the bond market is affected by multiple factors such as macro - economic data, stock market trends, and monetary policy. If the stock market continues to be strong, it will suppress the bond market; if the stock market corrects, the bond market is likely to rebound [51] - The trading strategy for trading - type investments is to conduct band operations [52] 3. Summary by Relevant Catalogs 3.1 National Debt Futures Weekly Market Review - This week, the main contracts of national debt futures fell on Monday and Tuesday, rebounded on Wednesday, and continued to decline on Thursday and Friday with a slowing decline rate. The 30 - year national debt fell 1.48%, the 10 - year national debt fell 0.29%, the 5 - year national debt fell 0.15%, and the 2 - year national debt fell 0.02% [5] - As of August 15, compared with August 8, the national debt spot yield curve showed a bearish steepening, with an overall upward shift and a larger upward shift at the long - end. The 2 - year national debt yield remained flat at 1.40%, the 5 - year yield rose 4 BP to 1.59%, the 10 - year yield rose 6 BP to 1.75%, and the 30 - year yield rose 9 BP to 2.05% [8] 3.2 Investment Data - From January to July, the national fixed - asset investment increased by 1.6% year - on - year, lower than the market expectation of 2.7% and the 2.8% in January - June. General infrastructure investment (including electricity) increased by 7.3% year - on - year, down from 8.9% in January - June; narrow infrastructure investment (excluding electricity) increased by 3.2% year - on - year, down from 4.6% in January - June; manufacturing investment increased by 6.2% year - on - year, lower than the market expectation of 7.2% and down from 7.5% in January - June; real estate development investment decreased by 12.0% year - on - year, worse than the market expectation of a 11.5% decline and down from 11.2% in January - June [11] 3.3 Real Estate Market Data - From January to July, the sales area of newly built commercial housing was 51,560 million square meters, a year - on - year decrease of 4.0%, and the sales volume was 4,956.6 billion yuan, a decrease of 6.5%. The decline rates were both larger than those in January - June [13] - In July, the second - hand housing prices in first - tier cities decreased by 1.0% month - on - month, with the decline rate expanding by 0.3 percentage points. The prices in second - and third - tier cities decreased by 0.5% month - on - month, with the decline rate narrowing by 0.1 percentage points [17] - Since June, the decline rate of the national new housing sales area has accelerated. From August 1st to 14th, the average daily sales area of commercial housing in 30 large - and medium - sized cities was 180,000 square meters, a year - on - year decrease of 14% [20] 3.4 Consumption Data - In July, the total retail sales of consumer goods were 3,878 billion yuan, a year - on - year increase of 3.7%, lower than the market expectation of 4.9% and the 4.8% in June. The month - on - month decline was 0.14% [23] - In July, most of the year - on - year growth rates of categories related to the trade - in policy slowed down compared with June. The growth rates of essential consumer goods remained stable, while the retail sales of automobiles decreased year - on - year [25] - From January to July, the total service retail sales increased by 5.2% year - on - year, and the growth rate of commodity retail sales was 4.9% year - on - year [27] - In July, the national service production index increased by 5.8% year - on - year, lower than the 6.0% in June [29] 3.5 Industrial Data - In July, the added value of large - scale industries increased by 5.7% year - on - year, slightly lower than the market expectation of 5.8% and the 6.8% in June. From January to July, the cumulative year - on - year increase was 6.3% [31] 3.6 Unemployment Data - In July, the national urban survey unemployment rate was 5.2%, an increase of 0.2 percentage points from the previous month, the same as the same month last year [35] 3.7 Social Financing and Credit Data - In July, the social financing scale increased by 1.16 trillion yuan, less than the market expectation of 1.41 trillion yuan but 389.3 billion yuan more than the same period last year [38] - In July, RMB loans decreased by 50 billion yuan, more than the market expectation of a 15 - billion - yuan decrease and 310 billion yuan more than the same period last year [41] - At the end of July, the balance of M2 increased by 8.8% year - on - year, and the balance of M1 increased by 5.6% year - on - year [43] 3.8 Other Market Data - This week, the Nanhua Industrial Products Index rose slightly and then declined, and the short - term inflation pressure was limited [45] - This week, DR007 only increased on Friday. The average issuance rate of one - year AAA inter - bank certificates of deposit was slightly higher than last week [48]

Fiscal Policy - The government's net financing from bonds has reached 9.5 trillion, surpassing any year except 2023 and 2024, with an additional 4-5 trillion expected to be issued this year [1] - The issuance of government bonds is expected to accelerate, while special bonds will maintain a steady issuance pace similar to previous years [1] - There is a likelihood of additional government bond issuance in the second half of the year to support economic resilience, potentially through special treasury bonds or increased deficits [1] Monetary Policy - A prediction of stock liquidity easing in the second half of the year, but the overall impact may not be as significant as previously anticipated due to financial stability constraints [1] - The central bank is expected to restart bond purchases in the third quarter, primarily due to a lack of long-term liquidity tools [2] - The bank's net interest margin is a significant factor limiting the extent of interest rate reductions, with a focus on the sustainability of banks' profitability [2] Bond Market Outlook - The bond market is currently in a state of oscillation, with strategies suggested for gradually increasing long-term bond holdings at high yield points and reducing them at low yield points [3] - The yield curve is at a relatively high level compared to the year, indicating a neutral to low historical position, with financial stability being a key constraint on monetary policy [2][3]