来源：金融界 上证可转债ETF（511180）紧密跟踪上证投资级可转债及可交换债券指数，样本券由上海证券交易所上 市、主体评级AA及以上的可转换公司债券和可交换公司债券组成。指数采用市值加权计算。 风险提示：文中提及的指数成份股仅作展示，个股描述不作为任何形式的投资建议。任何在本文出现的 信息（包括但不限于个股、评论、预测、图表、指标、理论、任何形式的表述等）均只作为参考，投资 人须对任何自主决定的投资行为负责。基金投资有风险，基金的过往业绩并不代表其未来表现，基金管 理人管理的其他基金的业绩并不构成基金业绩表现的保证，基金投资须谨慎。 8月18-22日，债市已经接近走出独立行情，上证指数持续刷十年新高水平，债市收益率冲高震荡。长端 方面，10年国债活跃券（250011）上行至1.79%（+4bp），30年国债活跃券（2500002）上行至2.04% （+4.4bp）；短端方面，1年国债活跃券（250008）上行至1.38%（+1.7bp），3年国债活跃券 （250010）上行至1.44%（+2.5bp）。 华西宏观固收团队认为，往后看，债市的利多或来自于降息预期发酵。鲍威尔在Jackson Hole会议上超 ...

03 主要经济数据 01 周度评估及策略推荐 CONTENTS 目录 01 周度评估及策略推荐 周度评估及策略推荐 04 流动性 需求偏弱，宽货币延续 国债周报 2025/08/16 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 02 期现市场 05 利率及汇率 ◆ 经济及政策：7月经济数据整体略有放缓，外需好于内需， "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；出口方面， 在抢出口效应的背景下7月进出口数据总体超预期，但往后看，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，市场对美国9月份降息预期较强，利好金融市场流动性。 1、国家统计局数据显示，7月份，规模以上工业增加值同比实际增长5.7%；7月社会消费品零售总额38780亿元，同比增长3.7%；1-7月份，全国 固定资产投资（不含农户）288229亿元，同比增长1.6%。1—7月份，全国房地产开发投资53580亿元，同比下降12. ...

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoint Although the domestic economic fundamentals remained under pressure in June, the financial data showed that the effects of the loose monetary policy had begun to emerge, which might be reflected in subsequent economic indicators. The market had high expectations for the Politburo meeting and the Sino-US trade negotiations this week, and the stock index might continue to rise in the near term. In the long run, the central Huijin's increase in ETF holdings also had a driving effect on guiding long-term funds into the market, injecting confidence into the market, and the stock index also had the potential to rise. The strategy suggested buying on dips [2]. 3. Summary by Related Catalogs Futures Market - **Futures Contracts**: The prices of most futures contracts rose, with the IF, IH, and IC contracts increasing, while the IM main contract (2509) decreased. For example, the IF main contract (2509) rose to 4122.0, up 6.4 [2]. - **Futures Spreads**: The spreads between different contracts showed various changes, such as the IF - IH current - month contract spread decreasing by 2.0 to 1325.2 [2]. - **Futures Positions**: The net positions of the top 20 in IF, IH, and IC decreased, while that of IM increased. For instance, the IF top 20 net position decreased to -27,859.00, down 1918.0 [2]. Spot Market - **Spot Prices**: The spot prices of major indices rose, including the Shanghai - Shenzhen 300, Shanghai Composite 50, CSI 500, and CSI 1000. The Shanghai - Shenzhen 300 rose to 4135.82, up 8.7 [2]. - **Basis**: The basis of most futures contracts changed, with the IF main contract basis decreasing to -13.8, down 2.7 [2]. Market Sentiment - **Trading Volume and Balance**: The A - share trading volume decreased to 17,661.50 billion yuan, down 493.01 billion yuan, while the margin trading balance increased to 19,474.29 billion yuan, up 54.37 billion yuan [2]. - **Other Indicators**: Various indicators such as the proportion of rising stocks, option prices, and implied volatilities showed different trends. The proportion of rising stocks increased to 51.37%, up 4.60% [2]. Market Strength - Weakness Analysis - **Overall A - shares**: The strength of all A - shares increased to 5.80, up 1.10, with improvements in both the technical and capital aspects [2]. Industry News - **Industrial Enterprises**: From January to June, the total profit of industrial enterprises above the designated size was 3436.5 billion yuan, a year - on - year decrease of 1.8%. The operating income was 66.78 trillion yuan, a year - on - year increase of 2.5% [2]. - **A - share Financing**: As of July 27, 74 A - share companies had completed private placements this year, raising a total of 659 billion yuan, a significant increase compared to the same period last year [2]. - **Stock Index Performance**: The major A - share indices generally rose, with the Shanghai Composite Index up 0.12%, the Shenzhen Component Index up 0.44%, and the ChiNext Index up 0.96%. The trading volume in the Shanghai and Shenzhen stock markets declined slightly [2]. Key Events to Watch - **International Economic Data**: Important economic data and central bank decisions in the US and Canada are scheduled to be released from July 29 to August 1, such as the US June JOLTs job openings on July 29 at 22:00 [3].

Group 1 - The central bank has adopted a supportive monetary policy since June, leading to a significant decline in funding rates, with overnight funding rates (DR001) remaining around 1.3%, providing strong support for the bond market [1][5][6] - The bond market has shown a low volatility and narrow fluctuation pattern since July, with the key to breaking this pattern lying in the implementation of a loose monetary policy [1][2] - The yield spread between key and non-key term government bonds has been significantly compressed, indicating cautious market sentiment, with the 50-year and 30-year bond spread narrowing from nearly 15 basis points to less than 9 basis points [2][3] Group 2 - The central bank's monetary policy has shifted focus from "risk prevention" to "stabilizing growth," with a low probability of new incremental monetary policy measures in the short term [3][5] - Government bond issuance has accelerated this year, with a total issuance of 7.62 trillion yuan by the end of June, which is a significant increase compared to the previous year [3][4] - The domestic economy is experiencing a weak recovery, with a strong performance in consumption but continued weakness in investment, particularly in the real estate sector [4][5] Group 3 - The bond market is expected to maintain a range-bound fluctuation in the short term, with the probability of unexpected policy measures being low, while liquidity remains supportive for the bond market [5][6] - The 10-year government bond yield is projected to reach a low point of around 1.5% this year, suggesting potential entry points for investors if further adjustments occur in the bond market [6]

Market Overview - Major A-share indices weakened, with the ChiNext Index down over 1%, the Shanghai Composite Index down 0.2%, and the Shenzhen Component Index down 0.59%. Nearly 2,900 stocks in the Shanghai, Shenzhen, and Beijing markets declined [1] - Government bond futures mostly opened higher, with the 30-year main contract up 0.04%, the 10-year main contract up 0.01%, the 5-year main contract up 0.02%, and the 2-year main contract flat [1] Bond Market Insights - The 30-year government bond ETF (Boshi 511130) opened high and fluctuated throughout the day, with a slight increase of 3 basis points and a trading volume of nearly 600 million yuan, indicating active trading [1] - Overnight SHIBOR, although showing a small decrease, remains at a low level around 1.3000%, below last year's peak, suggesting a shift in institutional strategies as the previous heavy bets on low interest rates are being corrected [1] - Beijing Shichuang Futures noted that since mid-April 2025, government bond futures have been lackluster, with low volatility and limited opportunities for both bulls and bears, but a potential upward space is expected in Q3 [1] Economic Context - The average loan interest rate in Q1 2025 remains high at 3.75%, with the actual interest rate estimated at 4.52%, which is considered restrictive for the economy, especially in a deflationary context [2] - Market expectations for interest rate cuts have been tempered, with only a 10 basis point cut occurring on May 7, despite earlier predictions of a 30-40 basis point reduction [2] - Factors influencing the slow pace of rate cuts include stable economic conditions, minimal tariff impacts, ongoing fiscal policy effects, and external pressures from the US Federal Reserve's delayed rate cuts [2] Future Outlook - There is an expectation that the Federal Reserve may initiate rate cuts in Q3, which could lead to a more aggressive domestic monetary policy response, potentially benefiting government bond futures [3] - The Boshi 30-year government bond ETF, established in March 2024, tracks the "Shanghai 30-Year Government Bond Index" and is sensitive to interest rate changes, making it a noteworthy investment option [3]

Group 1: Market Performance - Shanghai gold (Au) dropped 0.40% to 775.68 yuan/gram, while Shanghai silver (Ag) rose 0.67% to 8926.00 yuan/kilogram. COMEX gold fell 0.09% to 3340.00 dollars/ounce, and COMEX silver dropped 0.19% to 37.02 dollars/ounce. The US 10-year Treasury yield was reported at 4.3%, and the US dollar index was at 97.02 [2]. - Au(T+D) closed at 775.81 yuan/gram, up 0.71% from the previous trading day; Ag(T+D) closed at 8929.00 yuan/kilogram, up 2.20%. London gold was at 3332.15 dollars/ounce, down 0.11%, and London silver was at 36.88 dollars/ounce, up 1.58%. SPDR Gold ETF holdings remained unchanged at 947.66 tons, and SLV Silver ETF holdings increased by 22.61 tons to 14868.74 tons [3]. - The US 10-year Treasury yield rose to 4.3500%, and TIPS increased to 2.0200%. The US dollar index rose 0.35% to 97.1185, and the offshore RMB fell 0.49% to 7.2545. Major stock indices, including the Dow Jones, S&P 500, and Nasdaq, all rose, while the VIX index fell 1.56% [3]. Group 2: Market Outlook and Policy Expectations - The "Big and Beautiful Bill" passed the House of Representatives, and the US's loose fiscal policy is about to be implemented, which requires a loose monetary policy from the Federal Reserve. Despite the better-than-expected non-farm payroll data, silver prices remained resilient [2]. - The US added 147,000 non-farm jobs in June, higher than the expected 110,000 and the revised previous value of 140,000. The non-farm government employment sub - item contributed 73,000 jobs, and the education and health services sector added 51,000 jobs. The market reduced its expectations for the Fed's subsequent interest rate cuts [2]. - The implementation of the US's loose fiscal policy will increase the pressure on US Treasury bond issuance, and the Federal Reserve is expected to maintain the interest rate unchanged at the July meeting with a more dovish stance and cut interest rates by 25 basis points at the September meeting [2]. Group 3: Investment Opportunities - Against the background of the expected loosening of the Federal Reserve's monetary policy, attention should be paid to the long - term opportunities for silver. The reference operating range for the main contract of Shanghai gold is 760 - 801 yuan/gram, and that for Shanghai silver is 8638 - 9300 yuan/kilogram [2]. Group 4: Data Summary - For gold on July 3, 2025, COMEX gold's closing price (active contract) was 3336.00 dollars/ounce, down 0.97%; trading volume increased by 16.99% to 151,500 lots; and open interest decreased by 1.42% to 435,000 lots. SHFE gold's closing price (active contract) was 781.28 yuan/gram, up 0.68%; trading volume decreased by 11.96% to 267,500 lots; and open interest increased by 0.82% to 413,800 lots [6]. - For silver on July 3, 2025, COMEX silver's closing price (active contract) was 37.04 dollars/ounce, up 0.68%; open interest decreased by 5.53% to 174,600 lots; and inventory decreased by 0.18% to 15,529 tons. SHFE silver's closing price (active contract) was 8944.00 yuan/kilogram, up 2.25%; trading volume increased by 47.09% to 923,300 lots; and open interest increased by 10.21% to 927,300 lots [6]. Group 5: Price Structure and Spread - COMEX gold and silver, London gold and silver, and Shanghai gold and silver all have corresponding near - far month price structures and spreads. For example, on July 3, 2025, the SHFE - COMEX spread for gold was 7.46 yuan/gram, and for silver was 446.74 yuan/kilogram [49].

Group 1 - The core viewpoint of the news highlights the impact of strong U.S. employment data on market expectations regarding the Federal Reserve's interest rate cuts, leading to a decline in gold futures prices [1][3] - The U.S. added 147,000 non-farm jobs in June, surpassing expectations of 110,000 and the revised previous value of 140,000, with government employment contributing significantly [3] - The passage of the "Big and Beautiful" bill in the House of Representatives indicates a forthcoming implementation of expansive fiscal policy in the U.S., which will require accommodative monetary policy from the Federal Reserve [3] Group 2 - The current trading range for the main Shanghai gold futures contract is between 760 and 801 yuan per gram, with resistance levels at 785-790 yuan and support levels at 750-760 yuan [4]

1. Report Industry Investment Rating - The investment rating for government bonds is "Oscillation" [1] 2. Core View of the Report - The bond bull market is expected to continue, and it is recommended to steepen the yield curve. The market is driven by loose liquidity expectations, weak economic data in May, and strong market sentiment. However, the rally is based on expectations, and there is some instability. Adjustments could be opportunities to add positions. Short - end and ultra - long - end bonds are expected to perform strongly [2][14][16] 3. Summary According to the Table of Contents 1.1 Weekly Review: Treasury Futures Continue to Strengthen - From June 16 - 22, treasury futures continued to strengthen. On Monday, they opened higher due to the central bank's 400 billion yuan outright reverse repurchase. Economic data in May was mostly weak, with only consumption exceeding expectations, and the bond market reacted little. On Tuesday, with loose funds and expected loose monetary policies, the bond market strengthened and the curve steepened. On Wednesday, the Lujiazui Financial Forum had limited incremental positive news, but the buying power in the bond market remained strong. On Thursday, the market worried about regulatory tightening, causing a temporary drop in futures. On Friday, with the LPR unchanged, the market expected the central bank to restart treasury bond trading, and the bond market strengthened. As of June 20, the settlement prices of the 2 - year, 5 - year, 10 - year, and 30 - year treasury futures main contracts were 102.542, 106.275, 109.165, and 121.340 yuan respectively, up 0.080, 0.130, 0.155, and 0.810 yuan from the previous weekend [1][13] 1.2 Next Week's View: Bond Bull Market Continues, Keep Steepening the Curve - Next week, incremental news is limited, and the bond market will be driven by funds and sentiment. Near the end of the month, the expectation of the central bank restarting treasury bond trading is rising, and there are no effective negative factors, so the bond bull market is expected to continue. The short - end and ultra - long - end bonds are expected to perform strongly, and the curve's short - end may steepen [14][16] 2.1 Primary Market - This week, 83 interest - rate bonds were issued, with a total issuance of 854.533 billion yuan and a net financing of 322.984 billion yuan, a change of - 86.593 billion yuan and + 30.336 billion yuan from last week respectively. Local government bonds issued 60, with a total issuance of 261.753 billion yuan and a net financing of 124.334 billion yuan, up 153.967 billion yuan and 167.346 billion yuan from last week respectively. 632 inter - bank certificates of deposit were issued, with a total issuance of 1102.32 billion yuan and a net financing of 80.68 billion yuan, up 61.6 billion yuan and 243.59 billion yuan from last week respectively [22][23] 2.2 Secondary Market - Treasury bond yields declined. As of June 20, the yields of 2 - year, 5 - year, 10 - year, and 30 - year treasury bonds were 1.37%, 1.51%, 1.64%, and 1.84% respectively, down 4.89, 0.77, 0.44, and 1.20 bp from the previous weekend. The 10Y - 1Y spread widened by 5.05 bp to 28.06 bp, the 10Y - 5Y spread widened by 0.33 bp to 13.41 bp, and the 30Y - 10Y spread narrowed by 0.76 bp to 19.78 bp. The yields of 1 - year, 5 - year, and 10 - year policy - bank bonds were 1.49%, 1.58%, and 1.68% respectively, down 1.29, 2.29, and 2.88 bp from the previous weekend [27][28] 3.1 Price, Trading Volume, and Open Interest - Treasury futures continued to strengthen. As of June 20, the settlement prices of the 2 - year, 5 - year, 10 - year, and 30 - year treasury futures main contracts were 102.542, 106.275, 109.165, and 121.340 yuan respectively, up 0.080, 0.130, 0.155, and 0.810 yuan from the previous weekend. The trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year treasury futures this week were 32,988, 53,684, 58,000, and 65,458 lots respectively, a change of + 2015, + 2552, + 272, and + 1117 lots from the previous weekend. The open interests were 127,389, 182,960, 232,190, and 131,052 lots respectively, up 3389, 9949, 19213, and 6033 lots from the previous weekend [35][38] 3.2 Basis and IRR - This week, the opportunity for cash - and - carry arbitrage was not obvious. The funds were generally balanced and loose, and the futures basis generally fluctuated narrowly. The IRR of the CTD bonds of each main contract was around 1.8%, and the current certificate of deposit rate was slightly higher than 1.6%, so the opportunity for cash - and - carry arbitrage was relatively limited [42] 3.3 Inter - delivery and Inter - variety Spreads - As of June 20, the inter - delivery spreads of the 2509 - 2512 contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury futures were - 0.150, - 0.060, 0.000, and + 0.160 yuan respectively, a change of - 0.036, + 0.005, - 0.010, and - 0.010 yuan from the previous weekend [46][47] 4. Weekly Observation of Funds - This week, the central bank conducted 960.3 billion yuan of reverse repurchase operations, with 858.2 billion yuan of reverse repurchases and 182 billion yuan of MLF maturing, resulting in a net withdrawal of 79.9 billion yuan. As of June 20, R007, DR007, SHIBOR overnight, and SHIBOR 1 - week were 1.59%, 1.49%, 1.37%, and 1.53% respectively, a change of + 3.12, - 3.20, - 4.30, and + 2.10 bp from the previous weekend. The average daily trading volume of inter - bank pledged repurchase was 8.32 trillion yuan, 0.37 trillion yuan more than last week, and the overnight ratio was 89.71%, slightly higher than last week [52][53][55] 5. Weekly Overseas Observation - The US dollar index strengthened slightly, and the 10Y US treasury yield declined slightly. As of June 20, the US dollar index rose 0.63% to 98.7639 from the previous weekend, the 10Y US treasury yield was 4.38%, down 3 bp from the previous weekend, and the 10Y Sino - US treasury yield spread was inverted by 273.9 bp [60] 6. Weekly Observation of High - Frequency Inflation Data - This week, industrial product prices rose uniformly. As of June 20, the Nanhua Industrial Product Index, Metal Index, and Energy and Chemical Index were 3593.71, 6031.96, and 1720.25 points respectively, up 85.74, 10.08, and 67.98 points from the previous weekend. Agricultural product prices showed mixed trends. As of June 20, the prices of pork, 28 key vegetables, and 7 key fruits were 20.33, 4.38, and 7.49 yuan/kg respectively, a change of + 0.07, + 0.05, and - 0.29 yuan/kg from the previous weekend [64] 7. Investment Suggestions - Adopt a bullish approach. Long positions can be held, and it is recommended to consider mid - term long positions on dips. Moderately pay attention to the cash - and - carry arbitrage opportunities in treasury futures. Consider the curve - steepening strategy, and recommend the 2TS - T strategy, and short - end varieties can also use physical bonds [17][18][19]

Core Viewpoint - The article discusses the recent fluctuations in government bond yields, highlighting a rebound on June 18 after a significant decline, driven by macroeconomic fundamentals and expectations of a loose monetary policy [1][2]. Market Performance - On June 18, the bond market experienced volatility, with the 30-year main contract rising by 0.09% while the 10-year main contract fell by 0.01%. The 5-year contract decreased by 0.01%, and the 2-year contract increased by 0.01% [3]. - The yields of various government bonds showed a general upward trend, with the 30-year bond yield rising by 0.15 basis points to 1.844%, and the 10-year bond yield increasing by 0.4 basis points to 1.6375% [3]. Market Sentiment and Expectations - The decline in bond yields prior to June 18 was attributed to rumors regarding the inclusion of medium and short-term government bonds in reserve requirements, which affected market sentiment [4]. - Analysts suggest that the best time for the central bank to restart government bond trading is in the second half of the year, particularly in the third quarter, with appropriate announcement procedures expected [5]. Factors Influencing the Market - The anticipation of the central bank's bond trading resumption is influenced by the large scale of bank interbank certificates maturing at the end of June, with expectations of increased short-term bond purchases by major banks [7]. - Recent data indicates that major banks have significantly increased their purchases of short-term government bonds, which has contributed to a bullish sentiment in the bond market [7]. Monetary Policy and Market Dynamics - The central bank's proactive measures, including multiple reverse repos, have helped maintain a stable funding environment, with a net injection of liquidity expected for June [8]. - Despite the positive outlook, some analysts caution that the downward space for bond yields may be limited, particularly for the 10-year bond yield, which faces resistance in the 1.5% to 1.6% range [9].

1. Report Industry Investment Rating No information regarding the report industry investment rating is provided. 2. Core Views of the Report - **Hua'an's View**: The bond market is favorable, but the odds of further decline in interest rates are limited. It is still advisable to adopt a trading mindset. The current market sentiment is rising, with investors both bullish and taking action. The fundamental factors still support the bond market, but the potential for interest rate decline is limited. Given the historical performance of the bond market in June, it is recommended to approach it with a trading perspective [2]. - **Seller's View**: More than half of the fixed - income sellers are bullish on the bond market, with a significant increase in sentiment this week [3]. - **Buyer's View**: The buyer sentiment is relatively cautious, with nearly 60% holding a neutral view. Overall, the fixed - income buyer's view is neutral with a slight bullish bias [3]. 3. Summary by Relevant Catalogs 3.1 Seller and Buyer Markets 3.1.1 Seller Market Sentiment Index and Interest - rate Bonds - The weighted sentiment index this week is 0.43, indicating a predominantly bullish view, up from last week. The unweighted index is 0.54, an increase of 0.12 from last week. Among the institutions, 16 are bullish, 12 are neutral, and 1 are bearish. 55% of the institutions are bullish, 41% are neutral, and 3% are bearish [10]. 3.1.2 Buyer Market Sentiment Index and Interest - rate Bonds - This week's buyer sentiment index is 0.23, showing a neutral - with - a - slight - bullish view, down 0.12 from last week. Among the institutions, 10 are bullish, 16 are neutral, and 1 is bearish. 37% of the institutions are bullish, 59% are neutral, and 4% are bearish [11]. 3.1.3 Credit Bonds - Market hot topics include quarter - end wealth management repatriation and central bank monetary policy. Quarter - end wealth management repatriation poses resistance to credit spread compression and disturbs the credit market in the short term. Monetary policy easing may drive interest rate changes, but the room for further spread compression is limited [16]. 3.1.4 Convertible Bonds - This week, institutions generally hold a neutral - with - a - slight - bullish view. One institution is bullish and 11 are neutral. 8% of the institutions are bullish, and 92% are neutral [17]. 3.2 Treasury Bond Futures Tracking 3.2.1 Futures Trading - As of June 13, the prices of TS/TF/T/TL contracts increased. The contract prices were 102.46 yuan, 106.18 yuan, 109.02 yuan, and 120.5 yuan respectively, up 0.01 yuan, 0.03 yuan, 0.09 yuan, and 0.72 yuan from last Friday. The contract holdings increased, while the trading volumes and trading - to - holding ratios decreased [19][20]. 3.2.2 Spot Bond Trading - On June 13, the turnover rate of 30Y treasury bonds was 3.62%, up 0.06 pct from last week and 0.10 pct from Monday, with a weekly average of 4.33%. The turnover rate of 10Y China Development Bank bonds was 5.90%, up 0.04 pct from last week. The weekly average turnover rate of interest - rate bonds decreased to 0.92% on June 13, down 0.07 pct from last week [31]. 3.2.3 Basis Trading - As of June 13, except for the TF contract, the basis of other contracts narrowed. The net basis of the TS contract narrowed, while that of others widened. The IRR of the TS contract decreased, while that of others increased [36][39]. 3.2.4 Spread Trading - As of June 13, except for the TL contract, the inter - delivery spread of other contracts narrowed. The inter - variety spreads of all main contracts widened [45].