存量市场特征 超长信用债收益回撤。本周（2025.8.11-2025.8.15，下同）市场风险偏好再度切换，债市行情反转，超长信用债亦被 波及。与上周相比，存量超长信用债收益率出现回撤，2.2%-2.3%收益率的超长信用债只数明显增长。 一级发行情况 超长信用新债认购续升。本周超长信用新债发行规模合计 159.7 亿，供给量基本持平上周。在新债发行利率方面，本 周超长城投新债发行利率均值上行至 2.6%，超长产业新债票面则在 2.3%附近徘徊。在近期波动率偏高的债市环境中， 超长信用新债一级定价与现券市场略有偏离，这也或是近两周该品种新债认购热度持续上升的原因。 二级成交表现 长债指数普跌。债市又一轮急跌，本周 10 年以上国债指数跌幅高达 1.64%，10 年以上 AA+信用债指数跌幅虽小于利率 长债，但绝对值也超过 0.5%。 超长信用债成交情绪萎靡。在信用债资产中，超长信用债跌势难控，品种流动性明显弱化，本周 10 年以上产业债成 交笔数已下降至不足 40 笔，最为活跃的 7-10 年产业债，成交量相比 7 月中旬也缩减近半。成交收益方面，7-10 年信 用长债收益回调幅度大于 6bp，10 年以上普信 ...

2025 年 08 月 17 日 固定收益研究团队 Q2 货币政策报告学习，政策边际变化下的债市波动 ——固收专题 陈曦（分析师） 刘瑞（分析师） chenxi2@kysec.cn 证书编号：S0790521100002 liurui2@kysec.cn 证书编号：S0790525010001 政策动态 8 月 15 日，央行发布《2025 年第二季度中国货币政策执行报告》，政策基调方 面，延续强调"落实落细适度宽松的货币政策；把促进物价合理回升作为把握货 币政策的重要考量；把握好政策实施力度和节奏"等。新提法集中在两方面：一 是强调"提高资金使用效率，防范资金空转"，从操作上看，今年一季度在利率 快速下行的背景下，央行主动收紧过流动性，若后续利率出现快速下行，则收紧 流动性是央行干预债市的重要潜在工具；二是对信贷投放从"加大投放力度"改 为"稳固支持力度"，说明央行对信用扩张的总量诉求下降、淡化信贷总量考核， 未来支持特定领域的结构性货币政策工具的重要性将继续提升。 资金面均衡宽松，发行量略收紧，债市收益率上行，曲线熊陡 二级市场：本周债市收益率上行，债市有所下跌。截至 8 月 15 日，1Y、10Y 和 ...

固定收益 | 固定收益点评 固收周度点评 证券研究报告 波动行情中，向个券相对价值寻收益 2、关键阻力位前，债市的"强心剂"与"风险点" 与 7 月末类似，本周债市的剧烈调整归根结底依然是短期的情绪冲击，资 产本身的定价逻辑没有太大变化，这也是掣肘 10Y 国债利率上行突破 1.75% 的"强心剂"。其一，本周社融与经济数据发布后，债市做多力量有限或主 要是由于 6 月底票据利率已大幅走低，使得市场对此已有预期，而非基本 面因素已不重要。其二，本周资金利率维持稳定，央行对资金面依然维持 密切关注和精准调控。其三，配置盘逐渐发力，考虑到 8 月正处于保险预 定利率即将调降的"炒停售"时期，后续保险承接力度有望进一步加强。 但与此同时，债市几个潜在的风险点也不容忽视。 1）关注债基赎回负反馈风险。截至 8 月 17 日，8 月股基、债基规模环比 增幅分别为 1457 亿元、503 亿元，已是连续第二个月出现股基规模增幅大 于债基。 2）央行货币政策聚焦多元目标，对于个别时点供需摩擦阶段性放大、导 致的资金面和债市波动或有一定容忍度。 3）结合去年"924"一揽子政策后的股债跷跷板效应来看，本轮利率上行 幅度不算太 ...

Market Overview - The bond market experienced significant adjustments due to factors such as stock market fluctuations and tightening liquidity, resulting in the largest decline since April[2] - Credit bond ETFs and Sci-Tech bond ETFs showed notable volatility, with average declines exceeding 0.25%[5] ETF Performance - On July 24, all 10 listed Sci-Tech bond ETFs closed below 100 CNY, with the largest drop being 0.27% in a single day[5] - By July 25, credit bond ETFs generally rebounded, while Sci-Tech bond ETFs continued to decline by approximately 0.1%[5] Premium and Discount Rates - The discount rates for credit bond ETFs expanded significantly on July 24, reaching 0.3%-0.5%, while government bond ETFs showed only minor fluctuations[5] - On July 25, the discount rate for credit bond ETFs narrowed to around 0.25%, contrasting with the continued expansion of the discount rate for Sci-Tech bond ETFs[5] Arbitrage Opportunities - In weak market sentiment, credit bond ETFs with discounts exceeding 20 basis points (BP) present potential arbitrage opportunities, especially when discounts exceed 40 BP[14] - For cash redemption products, discounts over 5 BP or premiums over 2 BP indicate possible arbitrage space, particularly in weak market conditions[14] Recommendations - During market adjustments, focus on arbitrage opportunities in credit bond ETFs when deep discounts occur[15] - Consider short-duration credit bond ETFs or cash redemption Sci-Tech bond ETFs for better liquidity and lower drawdown risks in a potentially volatile market[16]

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - The recent bond market has experienced increased volatility, with interest rates stabilizing after a correction last week and declining on Monday. The report maintains its previous view that the suppression of the bond market by the recent surge in commodity prices is mainly due to short - term sentiment. Attention should be paid to whether the "anti - involution" policy will be transmitted to the downstream price, driving up inflation such as PPI/CPI. Currently, high - frequency data shows weak demand. The bond fund redemption wave may have ended, and the recent fund selling is mainly of interest - rate bonds rather than credit bonds, which is mainly to cope with liquidity shocks. The central bank conducted large - scale reverse repurchase operations on Monday, indicating its intention to support the capital market. Future attention should be paid to potential incremental policies from the Politburo meeting in July and the impact of events such as the China - US talks in August and the Fourth Plenary Session on the bond market [2]. - Nearly 60% of fixed - income sellers are bullish on the bond market this week, showing an optimistic sentiment. Fixed - income buyers' views are generally neutral, with a decline in the sentiment index [3]. - The report believes that Treasury bond futures will stop falling and rise this week. There are certain reverse - arbitrage opportunities in TS/TL contracts. The inter - delivery spread of TS/TF/T contracts is still inverted but at a relatively high level, while the inter - delivery spread of the TL contract is positive and rising. If the IRR of the 2512 contract is significantly higher than the capital cost, it may be appropriate to participate in positive arbitrage. The current futures price curve has flattened, but the term spreads are generally at a neutral level in history, with limited space for further flattening [5]. 3. Summary by Relevant Catalog 3.1 Seller and Buyer Market 3.1.1 Seller Market Sentiment Index and Interest - Rate Bonds - The weighted sentiment index of sellers this week is 0.41, with a bullish view, up from last week. The unweighted index is 0.56, an increase of 0.02 from last week. Currently, institutions generally hold a neutral - bullish view, with 16 bullish, 10 neutral, and 1 bearish. 59% of institutions are bullish, with key factors including limited impact of the "anti - involution" policy on demand, possible slowdown in export demand, unchanged fundamentals, continuous support from the central bank, narrow spread space, potential new central bank easing, and incremental policies from the Politburo meeting may not exceed expectations. 37% of institutions are neutral, focusing on the central bank's liquidity support from August to September and whether the "anti - involution" policy can be effectively transmitted to the price end. 4% of institutions are bearish, believing that all - round policy implementation may lead to economic surprises and drive up interest rates [12]. 3.1.2 Buyer Market Sentiment Index and Interest - Rate Bonds - The weighted sentiment index of buyers this week is 0.13, with a neutral view, unchanged from last week. The unweighted index is 0.19, a decrease of 0.09 from last week. Currently, institutions generally hold a neutral - bullish view, with 6 bullish, 19 neutral, and 1 bearish. 23% of institutions are bullish, considering that the upward movement of interest rates driven by short - term sentiment is an opportunity, and the broad - spectrum interest rates are generally declining. 73% of institutions are neutral, believing that the suppression of the bond market by the commodity and equity markets needs further observation, and the capital and supply sides do not form a basis for an upward adjustment of interest rates. 4% of institutions are bearish, citing factors such as global inflation driven by the depreciation of the US dollar/expansion of fiscal deficits in developed countries, a rise in domestic risk appetite, and "multi - killing - multi" among institutions [13]. 3.1.3 Credit Bonds - Market hot topics include central bank's capital injection and redemption pressure on credit - bond ETFs. The central bank's large - scale capital injection, with a net injection of 801.8 billion yuan through reverse repurchases and MLF, has loosened the capital market. Credit - bond ETFs' component bonds were over - heated previously, and attention should be paid to the risk of valuation adjustment [17]. 3.1.4 Convertible Bonds - Institutions generally hold a neutral - bullish view on convertible bonds this week, with 8 bullish and 6 neutral. 57% of institutions are bullish, believing that the equity market has strong momentum, convertible bond prices still have room to rise, and attention should be paid to industries not priced by the "anti - involution" expectation at low levels. Fixed - income plus funds have strong demand for convertible bonds. 43% of institutions are also bullish, but they think that convertible bond prices are at a historical high, with a decline in cost - effectiveness. Considering refinancing policies, the subsequent issuance pressure of convertible bonds is expected to be low, and attention should be paid to the risk of a decline in the underlying stock's volatility [20]. 3.2 Treasury Bond Futures Tracking 3.2.1 Futures Trading - As of July 25, the prices of Treasury TS/TF/T/TL contracts decreased to 102.31 yuan, 105.57 yuan, 108.18 yuan, and 117.95 yuan respectively, down 0.12 yuan, 0.42 yuan, 0.61 yuan, and 2.51 yuan from last Friday. The overall open interest of Treasury bond futures increased. As of July 25, the open interest of TS/TF/T/TL contracts was 104,000 lots, 159,000 lots, 196,000 lots, and 122,000 lots respectively, with changes of - 8926 lots, + 753 lots, + 3964 lots, and + 6947 lots from last Friday. The trading volume of Treasury bond futures increased across the board. From a 5 - day moving average perspective as of July 25, the trading volume of TS/TF/T/TL contracts reached 95.4 billion yuan, 86.5 billion yuan, 100.9 billion yuan, and 186 billion yuan respectively, an increase of 34.187 billion yuan, 28.162 billion yuan, 42.779 billion yuan, and 80.347 billion yuan from last Friday. The trading - to - open - interest ratio of Treasury bond futures also increased across the board [25][26]. 3.2.2 Cash Bond Trading - The turnover rate of 30 - year Treasury bonds increased. On July 25, the turnover rate was 6.91%, up 4.04 percentage points from last week and 3.19 percentage points from Monday, with a weekly average turnover rate of 5.79%. The weekly average turnover rate of interest - rate bonds increased. On July 25, the turnover rate was 1.11%, up 0.29 percentage points from last week and 0.19 percentage points from Monday. The turnover rate of 10 - year China Development Bank bonds also increased. On July 25, the turnover rate was 5.69%, up 0.55 percentage points from last week but down 0.68 percentage points from Monday [32]. 3.2.3 Basis Trading - The basis of the main contracts widened across the board. As of July 25, the basis (CTD) of TS/TF/T/TL main contracts was 0.02 yuan, 0.07 yuan, 0.10 yuan, and 0.50 yuan respectively, up 0.01 yuan, 0.06 yuan, 0.03 yuan, and 0.27 yuan from last Friday. The net basis of the main contracts also widened across the board. As of July 25, the net basis (CTD) of TS/TF/T/TL main contracts was 0.03 yuan, 0.60 yuan, 0.08 yuan, and 0.28 yuan respectively, up 0.04 yuan, 0.08 yuan, 0.06 yuan, and 0.33 yuan from last Friday. The IRR of the main contracts decreased across the board. As of July 25, the IRR (CTD) of TS/TF/T/TL main contracts was 1.47%, 1.25%, 1.11%, and 0.21% respectively, down 0.09%, 0.40%, 0.27%, and 1.50% from last Friday [44][47]. 3.2.4 Inter - Delivery Spread and Inter - Variety Spread - In terms of the inter - delivery spread, the inter - delivery spreads of TS and TL futures contracts widened, while the spreads of other main futures contracts narrowed. As of July 25, the near - month minus far - month spreads of TS/TF/T/TL contracts were - 0.08 yuan, - 0.06 yuan, - 0.02 yuan, and 0.22 yuan respectively, with changes of - 0.02 yuan, - 0.005 yuan, + 0.04 yuan, and + 0.04 yuan from last Friday. In terms of the inter - variety spread, except for the narrowing of the spread of the 2*TF - T futures contract, the spreads of other main futures contracts widened. As of July 25, 2*TS - TF, 2*TF - T, 4*TS - T, and 3*T - TL were 99.07 yuan, 102.98 yuan, 301.11 yuan, and 206.47 yuan respectively, with changes of + 0.20 yuan, - 0.22 yuan, + 0.18 yuan, and + 0.56 yuan from last Friday [54][55].

Summary of Key Points from Conference Call Records Industry Overview - The records primarily discuss the bond market, particularly focusing on long-term credit bonds and their market dynamics in 2025 [1][2][4][7]. Core Insights and Arguments 1. **Market Dynamics**: Since late May 2025, the long-term credit bond market has seen a significant uptick due to monetary easing measures such as interest rate cuts and increased liquidity from non-bank institutions. This has led to a rapid growth in credit bond ETFs [1][7]. 2. **Investment Trends**: There has been a notable increase in net purchases of medium-term bonds (5-7 years) by various institutional investors, including funds, insurance companies, and pension funds. The peak net purchase reached approximately 3.5 billion, compared to 0.5 billion in the previous year [8]. 3. **Credit Spread Compression**: Short-term bonds (up to 3 years) have experienced extreme compression in credit spreads, while long-term bonds (5 years and above) still have room for further compression, with potential spread reductions of 17-40 basis points compared to last year's lows [1][10]. 4. **Market Reactions**: The bond market's volatility in July 2025 was attributed to regulatory changes in rural financial institutions and uncertainties in real estate policies. However, the core issue was the over-concentration of trades and unmet expectations for monetary easing [2][3]. 5. **Long-term Credit Bond Strategy**: Investors are advised to look for opportunities in long-term credit bonds, particularly when yields approach around 1.7%. Continuous monitoring of fund redemption and government bond supply is crucial for making informed investment decisions [4][5][6]. 6. **Central Bank Operations**: The central bank's recent actions, including substantial reverse repo operations, indicate a commitment to maintaining liquidity in the market, which is expected to prevent significant upward pressure on bond prices [5][6]. Additional Important Insights 1. **Debt Management**: The records highlight the challenges faced by local government financing platforms in managing debt, with a notable slowdown in the growth of interest-bearing debt and bonds, reaching the lowest growth rates since 2019 [14][20]. 2. **Debt Structure Changes**: The proportion of long-term debt in local government financing platforms has increased, with long-term debt now accounting for 70.5% of total debt. However, the asset-liability ratio has also risen, indicating growing financial pressure [16][17]. 3. **Cash Flow Concerns**: There is a concerning trend in the short-term debt repayment capacity of local governments, with a decrease in the coverage ratio of cash to short-term debt, indicating potential liquidity issues [17][19]. 4. **Future Outlook**: Key areas to watch include the market transformation of financing platforms, the repayment of overdue corporate debts, and the resolution of issues related to unlicensed financial institutions [21][22]. This summary encapsulates the critical points discussed in the conference call records, providing a comprehensive overview of the current state and future outlook of the bond market and local government financing platforms.

Core Viewpoint - The U.S. Treasury Secretary, Janet Yellen, stated that the volatility in the bond market in April is not fundamentally related to concerns about stability [1] Group 1 - The bond market experienced fluctuations in April, but these were not linked to stability issues [1] - Yellen emphasized that the current market conditions should not be interpreted as a sign of underlying economic instability [1] - The Treasury Department is closely monitoring the situation to ensure market stability [1]

Core Viewpoint - The central theme of the articles is the recent monetary policy adjustments by the central bank, including a reduction in deposit and loan interest rates, which has led to a significant decrease in the performance benchmarks of various wealth management products offered by banks [1][2][6]. Group 1: Monetary Policy Changes - In May, the central bank implemented a "combination punch" of monetary policy, reducing the reserve requirement ratio by 0.5 percentage points and the policy interest rate by 0.1 percentage points, resulting in a corresponding decrease in the Loan Prime Rate (LPR) by approximately 0.1 percentage points [2][6]. - Major state-owned banks initiated their first deposit rate cuts of the year, with the interest rate for demand deposits dropping to 0.05%, nearing "zero interest," and the one-year deposit rate falling below 1% [2][3]. Group 2: Wealth Management Product Adjustments - Over 300 wealth management products adjusted their performance benchmarks in May, with some products experiencing reductions exceeding 100 basis points [1][2][3]. - For instance, the benchmark for a specific product from Xingyin Wealth Management was adjusted from an annualized range of 2.20%-4.15% to 1.60%-2.60%, with the upper and lower limits reduced by 60 basis points and 155 basis points, respectively [3][5]. Group 3: Market Trends and Performance - As of early June, the average annualized yield for open-ended fixed-income wealth management products was 2.85%, while the one-year yield averaged 2.41%, indicating a downward trend in yields [6][7]. - The total scale of the wealth management market surpassed 30 trillion yuan, driven by the "deposit migration" effect as deposit rates fell [7][11]. Group 4: Investor Demand and Product Supply Mismatch - There is a notable mismatch between investor risk preferences and the types of wealth management products available, with 46.69% of investors having a risk preference of C3 or higher, while only 4.31% of products fall into the R3 category or above [13][14]. - The low-risk perception of wealth management products has limited their sustainable development, as the supply of low-volatility products does not align with the growing demand for diverse investment options [13][14].

Core Viewpoint - The article discusses the impact of Trump's threat to impose a 50% tariff on the EU, which has led to significant movements in the global bond market and a surge in safe-haven assets like gold, indicating a reshaping of financial market dynamics [1][4]. Group 1: Bond Market Reactions - Following Trump's tariff threat on May 23, the German bond market reacted sharply, with short-term rates rising due to inflation concerns while long-term rates fell, signaling increased recession risks [4][5]. - The yield curve exhibited a "bear flattening" pattern, with the two-year German bond yield rising by 1.8 basis points to 1.782%, while the 30-year yield dropped by 2.3 basis points to 3.065% [4][3]. Group 2: Safe-Haven Assets - Gold prices surged by 2.1% to $3362.70 per ounce, reaching a six-week high, while the US dollar index fell by 0.83%, reflecting a loss of confidence in US policies [6][7]. - The movements in the bond market and precious metals serve as indicators of capital flows amid trade conflicts [7]. Group 3: EU Countermeasures - The EU's countermeasures include a targeted list of $21 billion in tariffs, focusing on agricultural products that impact key Republican states, while avoiding escalation by removing whiskey tariffs [9]. - Potential retaliatory measures from the EU could disrupt corporate bond issuance and increase credit spread volatility [11]. Group 4: Investment Insights - The article highlights that if the tariff conflict persists until 2028, Germany could face cumulative losses of €250 billion, with the bond market already pricing in these risks [18]. - The risk premium on German bonds has increased by 3-5 basis points, and if negotiations break down before July 9, this premium could potentially double [18].

Group 1 - International gold prices opened strong, hovering around the $3,300 mark, supported by various moving averages and buying interest [1] - Gold prices softened on Thursday due to profit-taking after several days of gains, with the dollar continuing its upward trend, increasing by 0.3%, making gold more expensive for international buyers [3] - Despite concerns over U.S. fiscal risks and global bond market volatility supporting safe-haven demand, funds shifted towards the dollar [3] Group 2 - The U.S. Supreme Court ruled that Federal Reserve Board members are protected from being dismissed by the President, indicating strong resistance against any such efforts [2] - The court's decision highlighted the unique structure of the Federal Reserve as a quasi-private entity, following historical traditions of the first and second banks of the United States [2] - The ruling did not explicitly prohibit the President from dismissing Federal Reserve members, but it suggests that such actions would face significant legal challenges [2]