Report Industry Investment Rating - Not provided in the content Core Views of the Report - The bond market in 2025 presents a "stair - climbing" market rhythm. The current liquidity has returned to normal, but long - term bonds have limited odds due to certificate of deposit (CD) prices. The liquidity is expected to remain loose in July. The policy may return to discretionary decision - making. The yield of CDs in June followed a logic of negative factors not materializing, and the balance decreased. The decline in liability costs may benefit the bond market. The "low - interest rate + low - spread" bond market makes it difficult to obtain excess returns, and the 10 - year Treasury yield in July may operate in the range of 1.6% - 1.7% [3][4][6] Summary by Relevant Catalogs 1. 1月至今债市走势分析及其宏观逻辑 (Analysis of the bond market trend and its macro - logic from January to date) - **2025Q1**: Economic expectations improved, from tight funds to tight CDs, long - term bonds corrected, and equities and commodities strengthened [3][31][42] - **April 2025**: The external environment deteriorated, liquidity turned loose, the bond market quickly went bullish, and equities and commodities performed weakly [3][31][42] - **May - June 2025**: Reserve requirement ratio cuts and interest rate cuts were implemented. After the bond market declined to a low level, there was no significant adjustment risk, but capital gains narrowed in the volatile market, and the focus was on exploring spreads. Equities and commodities performed well due to reduced geopolitical risk concerns [3][31][42] - **June 2025 bond market characteristics**: It was a peak period for government bond supply. With the coordination of monetary and fiscal policies, funds were unexpectedly loose. Trading desks actively reserved duration to bet on capital gains, but allocation desks considered the low absolute yield level, and the attractiveness of the bond market weakened. Fundamental data was mixed, with some signs of improvement in consumption, but it was still restricted by fiscal stimulus in the future [3][37][41] - **Treasury yield curve**: In June, the 10Y - 1Y Treasury term spread expanded as loose funds drove down the short - end, but the 30Y - 10Y term spread remained in a low - level shock, reflecting the correction of pessimistic liquidity expectations and still - pessimistic fundamental expectations [20] - **Credit spreads**: In June, the credit spreads of low - grade secondary perpetual bonds compressed, while the credit spreads of medium - term notes expanded, which was related to institutional credit - sinking strategies and the seasonal absence of credit bond allocation power due to wealth management funds returning to the balance sheet [21][25] - **Duration strategy**: Holding long - duration Treasury bonds has not been a good experience in 2025, with monthly declines often wiping out previous monthly gains [26] 2. 流动性与负债成本：从悲观预期修正到回归常态化 (Liquidity and liability costs: From the correction of pessimistic expectations to the return to normalization) - **June liquidity**: The funds were unexpectedly loose in June. Among 20 working days, DR001 ran below the policy rate for 15 days. The supporting factors included exchange - rate appreciation pressure, the arrival of 520 billion yuan in capital injections for four major banks in June, and other normal factors such as end - of - half - year care and fiscal bond - issuance care [4][51][56] - **July liquidity**: The situation of dealing with appreciation pressure is likely to continue. The net financing of government bonds in July may not be small, and the central bank may continue to provide support. Attention should be paid to the potential disturbance of the tax - payment peak in July. The maturity scale of medium - and long - term liquidity in July is 1.4 trillion yuan [4][59][61] - **Monetary policy clues in Q2 2025**: The policy may return to discretionary decision - making. The statement on the bond market and exchange rate in the Q2 meeting of the Monetary Policy Committee has changed, which may imply that it is difficult for the 10 - year Treasury bond to break through the previous low before the next interest - rate cut [66] - **CDs in June**: The yield of CDs in June followed a logic of negative factors not materializing, with both volume and price decreasing, and the balance also declined. The reasons for the limited decline in CD yields included the record - high maturity volume in June, the seasonal increase in demand for liabilities in June, and the restriction of allocation ability due to wealth management funds returning to the balance sheet [4][74][78] - **CDs in July**: Bullish factors may prevail, and the yield of 1Y AAA CDs may fall back to the range of 1.55% - 1.60% [4][82][84] - **Decline in liability costs - Bank deposits**: The acceleration of deposit term - to - maturity in 2022 may benefit the reset of bank liability costs in 2025. The maturity distribution of deposits of the six major banks in 2025 is 22.11 trillion yuan in Q1 and 30.28 trillion yuan from Q2 to Q4 [4][90] - **Decline in liability costs - Insurance**: In August 2024, when the insurance policy - reserve interest rate was lowered, there was an obvious effect of boosting premium scale, and the secondary bond - buying scale of insurance institutions also increased significantly. In 2025, further reduction of the insurance policy - reserve interest rate may bring incremental funds to the bond market (with the greatest impact on local government bonds), but the diversion effect of the stock market needs to be noted [4][93][100] 3. 内需偏弱的根源 (Reasons for the weak domestic demand) - **Weak economic characteristics**: Both investment and consumption demands are weak. Residents' income expectations are weak, and consumption demand is low, in a negative feedback state. In the short term, the demand gap of old growth drivers may be difficult to fill with new growth drivers. The downward pressure on prices continues, with both the GDP deflator and PPI remaining in the negative range for a long time, indicating the restriction of insufficient demand [106][111][114] - **Weak domestic demand**: High - frequency data shows that both the consumption and investment ends of domestic demand are significantly weaker than in previous years [116] - **Unstable exports**: High - frequency data shows that port throughput - related indicators are approaching last year's levels, indicating a possible decline in foreign - trade growth. In the past few years, although export volume has increased, the contribution of falling export prices and exchange rates to export growth is large, and this pattern may not be sustainable in the long term. High interest rates and uncertain trade environments have led to signs of weakening overseas economies [120][124][127] - **Price and policy**: Promoting price recovery remains the policy focus, but prices may continue to bottom out in Q3, and inflation improvement may not occur until Q4. Fiscal policy may be intensified in Q4, but in the short term, it is beneficial to the bond market [130][133][136] 4. 债市"走楼梯" 行情的新特征 (New characteristics of the "stair - climbing" bond - market trend) - **Difficulty in obtaining excess returns**: In the "low - interest rate + low - spread" bond - market environment, it is difficult to obtain excess returns. The attractiveness of allocation desks decreases, and the trading enthusiasm of trading desks also declines. However, trading desks can still seek capital gains through timing in the volatile market [140][142][144] - **Risk preference and interest - rate relationship**: Since 2023, the yield of 10 - year Treasury bonds has declined unilaterally, but the most attractive sectors in the stock market are "quasi - fixed - income" high - dividend targets. The co - existence of falling risk - free rates and rising risk preferences may occur when there is only policy support but no obvious improvement in fundamentals [145][147] - **Bond - fund duration and market adjustment**: When bond funds consistently increase duration, the instability of the bond market increases, but adjustment does not necessarily occur, often requiring external forces such as tight funds or unexpected fundamentals to break the market balance. Fund duration reaching a high level and then showing a consistent signal of increasing duration may be a necessary but not sufficient condition for bond - market adjustment [149][150][155] - **Obstacles to interest - rate decline**: The core obstacle to interest - rate decline is the existence of better assets compared to 10 - year Treasury bonds, including the possible delay in policy - rate cuts, the expansion of overseas investment space, and the expansion and capital diversion of the high - dividend equity market [156][160] - **Investment opportunities**: The bond market is still in a bullish window, but the odds are limited. In the short term, the trading logic of exploring spreads may continue. Local government bonds currently have high cost - effectiveness, the spread fluctuations of ultra - long - term credit bonds are worthy of attention, and positive - arbitrage opportunities in Treasury - bond futures may emerge when carry narrows [163][166] - **Potential factors**: Bullish factors for the bond market include an unexpected decline in the real - estate market, monetary - policy reform, and the central bank restarting bond purchases. Potential risks include strengthened macro - prudential supervision, unexpected deterioration of tariffs, and price recovery after the effectiveness of anti - involution policies [165]