证券研究报告 | 金融工程月报 金融工程月报 报告日期：2025 年 06 月 04 日 新一轮不确定性上行周期或开启 ——2025 年 6 月大类资产配置月报 核心观点 关税风险+美债利率上行风险，新一轮不确定性上行周期或将开启，风险资产或将面临 一定调整压力，建议逢低配置黄金以提高组合防御性。 ❑ 关税风险+美债利率上行风险，新一轮不确定性上行周期或将开启。 4 月初美国对等关税政策宣布后，全球风险资产巨震，而后随着关税的部分暂停 及谈判的推进，A 股、美股、铜等主要大类资产均已基本修复对等关税以来的跌 幅，并于 5 月 15 日前后开始窄幅震荡，等待进一步的催化。短暂平静后，我们认 为新一轮不确定性上行周期或将开启：一方面，90 天的关税暂停窗口期即将于 7 月初结束，而目前美国尚未与除英国外的主要经济体达成贸易协定，由于关税暂 停窗口是否会继续延长仍存不确定性，随着时间推进，市场可能将逐步开始交易 关税不确定性的新一轮走高。另一方面，美债利率的上行风险似乎更加迫在眉睫。 5 月 28 日，美国国际贸易法院裁定暂停特朗普政府于 4 月 2 日宣布的对等关税政 策，虽然后续迅速反转，但美债市场的初期表现隐 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - The recent rise in US Treasury yields is driven by concerns about US fiscal sustainability, inflation expectations pushed up by US tariff policies, and a weakening demand for US Treasuries. Moody's downgrade of the US sovereign credit rating has caused short - term upward pressure on yields, and the US tariff policy has increased short - term inflation risks, with the 1 - year inflation expectation reaching 7.3% in May. The demand for US Treasuries has weakened, especially in the long - term bond primary market, leading to a steeper yield curve [2][10][15]. - The impact of rising US Treasury yields on the domestic bond market is limited. The domestic bond market is mainly driven by domestic demand and is expected to be moderately strong with an oscillatory trend. Domestic institutions are the main players in the domestic bond market, and the monetary policy is domestically focused and expected to remain loose [3][24]. - In the bond market trading strategy, the approach of taking profits on price increases and adding positions on price drops is recommended. Attention can be paid to the allocation value of 6 - 7 - year China Development Bank bonds. Currently, the new 10 - year China Development Bank bonds and new 30 - year Treasury bonds are more cost - effective, and the new - old bond spread of the 30 - year Treasury bond 2500002 is expected to widen further [4][27][28]. 3. Summary According to the Directory 1. Reasons, Outlook, and Impact of the Rise in US Treasury Yields - **Reasons for the Rise in US Treasury Yields** - Moody's downgrade of the US sovereign credit rating has increased market concerns about US debt risks, causing short - term upward pressure on yields [2][10]. - The US tariff policy has increased short - term inflation risks. The uncertainty of the policy has pushed up the inflation expectations of the US household sector, with the 1 - year inflation expectation reaching 7.3% in May, making it difficult for long - term Treasury yields to decline [2][10]. - The demand for US Treasuries has weakened. The primary market subscription enthusiasm has declined, especially for long - term bonds. As of May 9, the subscription multiple of long - term Treasury bonds in May dropped to 1.97 times from 2.33 times in April, and the weaker long - end subscription sentiment has steepened the yield curve [15]. - **Outlook for US Treasury Yields** - In the short term, US Treasury yields are expected to oscillate at a high level. The high uncertainty of the US tariff policy, persistent inflation expectations, concerns about US fiscal sustainability, and weakening demand for US Treasuries make it difficult for yields to decline. However, the pressure for a significant further increase in yields is controllable due to the possibility of Fed rate cuts and a weakening US economy [24]. - **Impact on the Domestic Bond Market** - The impact of rising US Treasury yields on the domestic bond market is limited. Domestic institutions are the main players in the domestic bond market, and the monetary policy is domestically focused and expected to remain loose. The domestic bond market is expected to be moderately strong with an oscillatory trend [3][24]. 2. Bond Market Trading Strategies - Adopt the strategy of taking profits on price increases and adding positions on price drops [4][27]. - Focus on the allocation value of 6 - 7 - year China Development Bank bonds [4][27]. - The new 10 - year China Development Bank bonds and new 30 - year Treasury bonds are more cost - effective. The 30 - year Treasury bond 2500002 has become an active bond after its listing, and its new - old bond spread is expected to widen further as there are still 3 additional issuances planned [4][27][28].

Core Viewpoint - The recent rise in long-term U.S. Treasury yields is driven by concerns over deficits linked to Trump's tax reform, leading to a narrative of "Bond Vigilantes" [1] Group 1: Market Analysis - Demand for the 20-year U.S. Treasury auction was weak, but not the worst, with a bid-to-cover ratio exceeding 5%, attracting market attention [1] - Moody's downgrade of the U.S. sovereign credit rating has exacerbated market sentiment, but its practical significance is limited and not a core concern for the market [1] - The prevailing market sentiment is bearish on U.S. Treasuries, with long-term yields likely to rise in the short term, although this may change if negative factors are fully priced in [1] Group 2: Economic Implications - The "Bond Vigilantes" narrative may provide an opportunity for Trump to argue that the "One Big Beautiful Bill" can stimulate economic growth and address debt issues [1] - If U.S. economic data weakens and fiscal trajectories do not improve, long-term Treasuries may face increased selling pressure [1] - Future attention should be given to potential inflation rebounds and the release of Treasury supply following the resolution of the debt ceiling, which could drive yields higher [1]