债市短期修复 国债周报 2025/08/02 蒋文斌（宏观金融组） 0755-23375128 jiangwb@wkqh.cn 从业资格号：F3048844 交易咨询号：Z0017196 程靖茹（联系人） chengjr@wkqh.cn 从业资格号：F03133937 CONTENTS 目录 01 周度评估及策略推荐 04 流动性 02 期现市场 周度评估及策略推荐 周度评估及策略推荐 ◆ 经济及政策：今年上半年经济数据在受关税影响下整体仍具韧性，7月PMI数据整体低于预期，供需两端有所回落，"反内卷"对价格预期有 所提振，但需求和生产端的配合仍有待观察；新出口订单有一定回落，往后看，在抢出口有所透支以及下半年基数抬升的影响下，出口可能 有一定压力。海外方面，FOMC会议联储表态边际偏鹰，日央行维持利率不变，但美国就业数据低于预期，9月份降息概率增加。 1、中共中央政治局7月30日召开会议，会议指出，宏观政策要持续发力、适时加力。要落实落细更加积极的财政政策和适度宽松的货币政策， 充分释放政策效应。加快政府债券发行使用，提高资金使用效率。兜牢基层"三保"底线。货币政策要保持流动性充裕，促进社会综合融资成 本下 ...

核心结论：此次恢复征收利息收入增值税，主要有两点原因，一是税收优惠政策的 历史使命已经完成；二是结构调整，避免资金过度沉积在利率债内部。具体看，本 次恢复征收利息收入增值税，在操作上有两点细节需要关注：一是采取"新老划 断"的方式；二是不同机构的税率可能存在差异。对债券而言，本次恢复征收利息 收入增值税，短期将推动利率下行，并导致新老债券定价差异，长期看对利率债偏 利空，同时税收成本拉平后信用利差也将趋于收窄。实际上，7 月中旬以来债券市 场波动明显放大，主要与资金面扰动以及股票市场表现偏强有关。往后看，利率大 方向仍偏下行，股市波动、央行对资金面态度、基本面是影响走势的关键变量。 1、回顾看，此前国债、地方政府债券、金融债券利息收入一直免征相关税费，主 要旨在吸引资金进入债券市场、扩大债券市场规模。最早在国债发行初期，我国 就出台了国债利息收入免征营业税政策；再到 2016 年"营改增"改革后，将免征 营业税改为免征增值税，并将地方债利息收入和金融机构持有金融债券取得的利 息收入纳入免税范围。利息收入免税政策的出台主要旨在吸引资金进入债券市场， 扩大债券市场规模，优化金融市场结构，促进金融市场体系的完善。 ...

Core Viewpoint - The World Gold Council predicts an upward trend in gold prices over the next 18 months, with a potential rise of 20% in 2024, leading to historical highs in the first half of 2025, driven by strong investment demand amid a weak dollar and geopolitical uncertainties [1][2] Group 1: Gold Price Forecast - Analysts expect gold prices to consolidate with a slight upward potential of 0%-5% in the second half of 2025, depending on macroeconomic conditions [1][4] - In a bullish scenario, gold could rise by 10%-15% in the second half of 2025, potentially ending the year with a nearly 40% increase [5] - Conversely, in a bearish scenario, gold prices could retract by 12%-17%, resulting in a lower double-digit or single-digit return for the year [6] Group 2: Factors Influencing Gold Prices - The performance of gold in 2025 has been remarkable, with a nearly 26% increase in the first half, attributed to a weak dollar, anticipated interest rate cuts, and heightened geopolitical tensions [2][3] - Increased demand from OTC markets, exchanges, and ETFs has led to a record average daily trading volume of $329 billion in the first half of the year [2] - Central banks have continued to purchase gold at a strong pace, contributing to a 41% increase in total assets under management in gold ETFs, reaching $383 billion [2] Group 3: Economic and Geopolitical Context - The macroeconomic outlook suggests global GDP will remain below trend, with inflation rates potentially exceeding 5% in the second half of the year [4] - Geopolitical tensions are expected to remain high, contributing to a generally uncertain market environment [4][5] - The weak performance of the dollar, which has seen its worst annual start since 1973, has further enhanced gold's appeal as a safe-haven asset [2] Group 4: Investment Demand Dynamics - Investment demand is anticipated to significantly outpace consumer demand, especially in a risk-averse environment [5] - The current net long positions in COMEX futures indicate substantial room for further accumulation if market conditions worsen [6] - The potential for new institutional investors, such as Chinese insurance companies, could provide additional support for gold prices [7]

Debt Issuance Pressure - The estimated net issuance of U.S. Treasury bonds for Q3 2025 is approximately $1.12 trillion, second only to Q2 2020, indicating significant supply pressure[2] - This figure exceeds the actual financing amount of $1.01 trillion in Q3 2023, suggesting a substantial increase in issuance pressure[11] - The projected fiscal deficit for Q3 2025 is $0.6 trillion, with a TGA net increase of $0.52 trillion contributing to the net issuance estimate[11] Historical Context - The supply panic in Q3 2023 was primarily due to actual financing of $1.01 trillion significantly exceeding the expected $0.85 trillion[27] - The low TGA balance at the start of Q3 2023 (actual $148 billion vs. expected $408.6 billion) contributed to the unexpected financing pressure[27] - Historical data suggests that the overall debt maturity pressure for Q3 2025 is not significantly elevated compared to previous periods[37] Interest Rate Dynamics - Rising Treasury yields in 2023 were influenced by stronger-than-expected economic data and hawkish Federal Reserve policies[3] - If similar yield increases occur in Q3 2025, it may prompt the Federal Reserve to accelerate its easing cycle[36] - The market anticipates that the significant increase in bond supply for Q3 2025 will not lead to a repeat of the panic seen in Q3 2023 due to better expectations[28] Debt Structure Adjustments - Adjusting the issuance structure by increasing short-term debt may alleviate some pressure on long-term bond supply, but not entirely[51] - The total estimated debt issuance for FY 2025 is $30.6 trillion, with Q3 2025 expected to account for $8.32 trillion of this total[45] - The proportion of short-term debt has been increasing, with the long-term debt issuance ratio dropping to around 16%[47]

Summary of Conference Call Notes Industry Overview - The discussion primarily revolves around the bond market and interest rate trends, particularly focusing on the liquidity and monetary policy environment in June 2023. Key Points and Arguments 1. **Interest Rate Trends**: - Overnight rates have decreased since late May, stabilizing around 1.4% with short-term government bond rates at approximately 1.5% and bank deposit rates around 1.6% to 1.7% [1][2][3]. 2. **Liquidity Pressure**: - June sees a significant maturity of time deposits exceeding 10 trillion, coupled with banks lowering deposit rates, indicating increased pressure on bank liabilities [2][9]. 3. **Monetary Policy Outlook**: - There is an expectation of potential interest rate cuts in the third quarter, with a higher probability towards late August and September [4][10]. 4. **Investment Strategy**: - Investors are advised to look for buying opportunities as interest rates may fluctuate between 1.7% and 1.75% during periods of liquidity pressure, particularly around late June [5][6]. 5. **Credit Market Dynamics**: - The credit market is showing signs of compression in credit spreads, suggesting potential investment opportunities, although the overall market remains cautious [11][12]. 6. **Short-term Trading Focus**: - The strategy for June emphasizes trading in short to medium-term bonds, with a focus on liquidity and market sentiment [16][30]. 7. **Yield Curve Analysis**: - The yield curve is expected to steepen, which may provide opportunities for trading between different bond types, such as bullet bonds versus amortizing bonds [17][18]. 8. **Market Sentiment and Timing**: - The timing of trades is crucial, with recommendations to act quickly as market conditions can change rapidly, especially with liquidity events [20][21]. 9. **Long-term Credit Risks**: - There are concerns regarding the long-term credit risks associated with certain bonds, particularly in a potentially tightening market [14][15][36]. 10. **Investment Recommendations**: - Specific recommendations include focusing on bonds with favorable risk-return profiles and being cautious with long-duration credit investments due to potential liquidity issues [29][30][35]. Other Important but Overlooked Content - The discussion highlights the importance of monitoring macroeconomic indicators and their potential impact on interest rates and bond prices, emphasizing that without clear signals, significant market adjustments are unlikely [12][13]. - The potential for structural changes in the bond market due to shifts in investor behavior and liquidity preferences is noted, suggesting a need for adaptive strategies [13][36]. This summary encapsulates the key insights and recommendations from the conference call, providing a comprehensive overview of the current state and outlook of the bond market and interest rate environment.

Report Industry Investment Rating No relevant content provided. Core Views of the Report - The potential negative factors for the current bond market come from the fundamentals, including economic data disclosure and the progress of Sino-US negotiations. Under the consensus expectation, it is difficult to say that the bond market will reverse. Attention should be paid to the changes in bond market expectations caused by event shocks [2]. - The sentiment index of fixed-income sellers has reached a new high this year, while buyers mainly expect the market to fluctuate, and their sentiment has declined for three consecutive weeks [2]. Summary by Relevant Catalogs 1. Seller and Buyer Markets 1.1 Seller Market Sentiment Index and Interest Rate Bonds - This week, the weighted tracking index was 0.47, showing a mostly bullish view but lower than last week. The unweighted tracking index was 0.68, up 0.09 from last week. Currently, institutions generally hold a neutral-to-bullish view, with 18 bullish, 6 neutral, and 1 bearish [10]. - 72% of institutions are bullish, with keywords such as weak credit, slow economic recovery, external demand shocks, loose monetary policy, low supply pressure in July, and opportunities for a bullish flattening of the curve after the short end declines [4][10]. - 24% of institutions are neutral, with keywords such as the neutral impact of restarting treasury bonds, and potential disturbances from the stock-bond seesaw and unexpected Sino-US negotiations [4][10]. - 4% of institutions are bearish, with the view that the central bank's bond purchases are not the reason for the decline in interest rates, and the economic recovery in the second half of 2025 is expected to drive up prices and interest rates [4][10]. 1.2 Buyer Market Sentiment Index and Interest Rate Bonds - This week, the tracking sentiment index was 0.13, showing a mostly neutral view and lower than last week. Currently, institutions generally hold a neutral-to-bullish view, with 5 bullish and 18 neutral [11]. - 22% of institutions are bullish, with keywords such as loose funds and a possible quarter-on-quarter weakening of the economic fundamentals in the third quarter [11]. - 78% of institutions are neutral, with keywords such as the reduced expectation of broad credit after the second-quarter monetary policy meeting and the suppression of bond market sentiment by the equity market [11]. 1.3 Credit Bonds - Market hot topics include the recovery of wealth management scale and loose funds. The recovery of wealth management scale may further improve the demand for credit bonds, and loose funds, combined with weak fundamentals, support the overall strength of the bond market and a decline in benchmark interest rates [17]. 1.4 Convertible Bonds - This week, institutions generally hold a neutral-to-bullish view, with 8 bullish and 6 neutral [18]. - 57% of institutions are bullish, believing that with the new bond supply not accelerating significantly on the issuance side, the convertible bond market scale may gradually shrink in the second half of the year, and medium and large-cap convertible bonds among high-quality existing and newly issued bonds are worth attention [18]. - 43% of institutions are neutral, stating that there is still uncertainty about the US tariff increase, and the allocation value of convertible bonds will be better reflected after the valuation is moderately digested [18]. 2. Treasury Bond Futures Tracking 2.1 Futures Trading - Futures prices showed mixed trends. As of July 4, the prices of TS/TF/T/TL treasury bond contracts were 102.51 yuan, 106.26 yuan, 109.10 yuan, and 121.20 yuan respectively, with changes of -0.03 yuan, -0.01 yuan, +0.05 yuan, and +0.31 yuan compared to last Friday [21]. - The trading volume of treasury bond futures generally increased. As of July 4, from a 5MA perspective, the trading volumes of TS/TF/T/TL futures contracts were 640 billion yuan, 622 billion yuan, 766 billion yuan, and 988 billion yuan respectively, with changes of +3.04 billion yuan, +30.63 billion yuan, +77.98 billion yuan, and -19.99 billion yuan compared to last Friday [21]. - The trading-to-holding ratio of treasury bond futures generally increased. As of July 4, from a 5MA perspective, the trading-to-holding ratios of TS/TF/T/TL futures contracts were 0.27, 0.40, 0.38, and 0.85 respectively, with changes of +0.01, +0.03, +0.04, and -0.03 compared to last Friday [22]. 2.2 Spot Bond Trading - The turnover rate of 30-year treasury bonds decreased. On July 4, the turnover rate was 4.03%, down 3.90 percentage points from last week and up 0.61 percentage points from Monday, with an average weekly turnover rate of 4.21%. The weekly average turnover rate of interest rate bonds decreased, and the turnover rate on July 4 was 0.93%, down 0.09 percentage points from last week and up 0.28 percentage points from Monday [29]. - The turnover rate of 10-year China Development Bank bonds increased. On July 4, the turnover rate was 4.91%, up 0.45 percentage points from last week and up 1.60 percentage points from Monday [32]. 2.3 Basis Trading - The basis generally narrowed, while the net basis widened across the board. As of July 4, the basis (CTD) of TS/TF/T/TL main contracts were -0.02 yuan, 0.001 yuan, 0.14 yuan, and 0.25 yuan respectively, with changes of +0.05 yuan, +0.05 yuan, +0.16 yuan, and -0.07 yuan compared to last Friday [39]. - In terms of the net basis, the net basis of main contracts widened. As of July 4, the net basis (CTD) of TS/TF/T/TL main contracts were -0.05 yuan, -0.06 yuan, -0.11 yuan, and -0.11 yuan respectively, with changes of -0.01 yuan, -0.01 yuan, -0.07 yuan, and -0.12 yuan compared to last Friday [41]. - In terms of IRR, the IRR of T and TL main contracts increased, while the others decreased. As of July 4, the IRR (CTD) of TS/TF/T/TL main contracts were 1.65%, 1.69%, 1.89%, and 1.80% respectively, with changes of -0.20%, -0.23%, +0.03%, and +0.14% compared to last Friday [41]. 2.4 Inter-period and Inter-variety Spreads - Inter-period spreads showed mixed trends. As of July 4, the spreads between the near and far months of TS/TF/T/TL contracts were -0.12 yuan, -0.08 yuan, -0.08 yuan, and 0.13 yuan respectively, with changes of +0.01 yuan, -0.005 yuan, -0.07 yuan, and -0.01 yuan compared to last Friday [48]. - Inter-variety spreads of main futures contracts all narrowed. As of July 4, 2*TS - TF, 2*TF - T, 4*TS - T, and 3*T - TL were 98.77 yuan, 103.39 yuan, 300.92 yuan, and 206.13 yuan respectively, with changes of -0.06 yuan, -0.07 yuan, -0.19 yuan, and -0.14 yuan compared to last Friday [48].

Core Viewpoint - The cost of debt repayment may adversely affect other economic activities, indicating that debt issues could lead to interest rate trends that are not influenced by Federal Reserve actions [1] Group 1 - Debt repayment costs are highlighted as a potential negative factor for various economic activities [1] - The article suggests that debt issues may create a scenario where interest rate movements are independent of the Federal Reserve's decisions [1]

Summary of Conference Call Notes Industry Overview - The focus is on the bond market and its dynamics in 2024, particularly regarding deposit certificates and the movement of deposits due to seasonal pressures on bank liabilities [1][3] - The bond market has been influenced by two main themes: funding and liability shortages, and fundamental factors, especially the impact of overseas markets [2] Key Points and Arguments - **Monetary Policy and Market Stability**: The central bank's unexpected measures, such as a 1 trillion yuan reverse repurchase operation, have helped stabilize the funding environment, although ongoing observation of future measures is necessary [3][4] - **Fiscal Policy Impact**: The issuance of government bonds has accelerated, but the overall economic impact remains limited due to stricter self-auditing and economic conditions [5] - **Short-term and Long-term Interest Rates**: Short-term rates are stable, with deposit certificates maintaining rates below 1.7%. Long-term rates are expected to fluctuate based on fundamental expectations and market sentiment, with potential downward pressure if monetary policy is further eased [6][11] - **Future Economic Indicators**: Key factors to monitor include domestic economic recovery, upcoming political meetings, and the results of US-China negotiations, which will influence long-term interest rates [7][8] Additional Important Insights - **Credit Market Dynamics**: The credit bond market in 2025 shows unique characteristics, with short-term bonds sometimes outperforming deposit certificates, while the supply of credit bonds remains constrained [9] - **Liquidity Premiums**: There has been a rebound in credit spreads, with high-grade, pledgeable securities experiencing compressed liquidity premiums. The stable attitude of the central bank has contributed to a smoother market logic [10] - **Investment Recommendations**: There is a recommendation to focus on long-term interest rate compression opportunities and to consider slightly flawed but yield-potential securities in the three to four-year category [11][12] - **Market Performance of Financial Products**: The performance of financial products and public funds has been less favorable compared to last year, with limited space for interest rate declines leading to lower volatility in certain securities [12]

Summary of Conference Call Records Industry Overview - The records primarily discuss the bond market and the implications of U.S.-China relations on interest rates and liquidity in the financial system [1][3][7]. Key Points and Arguments 1. **Global Economic Trends**: There is a consensus that global economic decoupling and fragmentation are long-term trends, with short-term tariff adjustments unlikely to reverse the overall direction of U.S.-China relations [1][7]. 2. **Interest Rate Projections**: - A complete removal of reciprocal tariffs could lead to an estimated interest rate rebound of about 12 basis points, but the impact is expected to be limited [1][3]. - The 10-year government bond yield is projected to have an upper limit adjustment to 1.75% if tariffs are fully removed, although current macroeconomic conditions do not support a strong rebound to 1.4% [6][8]. 3. **Market Sentiment**: - June has seen improved liquidity conditions, with bond market sentiment turning positive and the 2001 bond effectively breaking below 1.4% [1][4]. - The negative factors that suppressed the market in May are dissipating, indicating clear trend opportunities [4][5]. 4. **Central Bank Policies**: - The central bank is maintaining a tightening stance, which, along with a recovering real estate sector, supports market sentiment [8][9]. - Recent announcements of reverse repos by the central bank aim to stabilize market expectations and signal liquidity support [10]. 5. **Future Liquidity Expectations**: - There is a shift towards a more accommodative liquidity outlook, with the DR001 rate breaking below 1.4%, indicating enhanced liquidity sentiment [2][12]. - The central bank's actions suggest potential for further liquidity increases if market conditions remain tight [11][12]. 6. **Investment Opportunities**: - The outlook for medium to long-term bond funds is positive, with expected returns of 2.5-3% this year, encouraging investors to seize current market trends [13][14]. Other Important Insights - The impact of U.S.-China tariffs on market reactions has diminished, with the market forming a consensus that long-term trends will prevail despite short-term fluctuations [3][7]. - Structural tariffs and trade measures, such as Section 301 and Section 232, continue to pose risks to the economic relationship between the U.S. and China [7][9]. - The central bank's flexible approach to liquidity management reflects its responsiveness to uncertainties in U.S.-China relations and domestic economic pressures [10].

Core Viewpoint - The Federal Reserve Governor Cook did not provide comments on the economic outlook or interest rate trends [1] Group 1 - The absence of commentary on the economic outlook suggests a cautious approach from the Federal Reserve [1] - Lack of guidance on interest rate movements may indicate uncertainty in monetary policy direction [1]