行业 国债日报 日期 2025 年 8 月 26 日 研究员：黄雯昕(国债集运) 021-60635739 huangwenxin@ccb.ccbfutures.com 期货从业资格号：F3051589 研究员：聂嘉怡(股指) 021-60635735 niejiayi@ccb.ccbfutures.com 期货从业资格号：F03124070 宏观金融团队 请阅读正文后的声明 ＃summary＃ 每日报告 研究员：何卓乔(宏观贵金属) 18665641296 hezhuoqiao@ccb.ccbfutures.com 期货从业资格号：F3008762 | | 表1：国债期货8月25日交易数据汇总 | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 合约 | 前结算价 | 开盘价 | 收盘价 | 结算价 | 涨跌 | 涨跌幅 （%） | 成交量 | 持仓量 | 仓差 | | TL2509 | 116.440 | 116.290 | 117.190 | 117.150 | 0.750 | 0.64 | ...

证 券 研 究 报 告 【债券周报】 赎回扰动反复，信用债如何参与？ ——信用周报 20250823 本周央行操作偏积极，税期走款影响下资金先紧后松，上证指数上行至 3800 点以上，续创新高，股债跷板效应明显，债市震荡走弱，基金净值下跌触发赎 回指标。本周信用债各品种收益率普遍上行，利差多数走阔，其中 1y 短端品 种、4-5y 隐含评级 AA 产业债、15y 中票信用利差被动收窄，9-10y 城投债、 3-4y 保险次级债表现相对偏弱。 信用债赎回压力如何？ 1、基金净值下跌触发赎回潮信号。本周一（8 月 18 日）中长期纯债基金单日 净值下跌 16.18BP，触发赎回潮信号，单日净值下跌幅度创年内新高，但全周 调整幅度不及 7 月下旬。全周来看，中长期纯债基金净值全周累计跌幅 13.5BP， 短期纯债基金净值全周累计跌幅 3.91BP。从债券 ETF 份额看，本周一至周四， 信用债 ETF 份额连续四日小幅下跌，周五明显修复。利率债 ETF 份额较为稳 定，仅周四小幅下跌。 2、理财产品净值出现下跌，但跌幅可控。本周一至周三，中长期纯债理财产 品净值出现下跌，周四至周五净值回升；短期纯债理财产品净值仅在 ...

Report Information - Report Title: Treasury Bond Daily Report [1] - Date: August 21, 2025 [2] - Researcher: He Zhuoqiao, Huang Wenxin, Nie Jiayi [3] Industry Investment Rating - Not provided Core Viewpoints - Long - term, the bullish foundation of the bond market remains unchanged as the Politburo meeting in July maintained the "moderately loose" stance on monetary policy, and there are uncertainties in tariffs and potential risks of export decline after front - loading. However, in the short term, the stock - bond seesaw effect has strengthened since late June, and the bullish equity market has put pressure on the bond market. The marginal weakening of July's fundamental data still shows short - term resilience, making it difficult to trigger a significant increase in easing sentiment. The short - term rebound of the bond market is unlikely to form a trend. A similar situation occurred from February to March this year, and it may require the alleviation of relevant negative factors for the bond market to stabilize and rise again. It is recommended to maintain the strategy of going long on short - term bonds and short on long - term bonds [11][12] Summary by Directory 1. Market Review and Operation Suggestions - **Market Conditions**: The stock - bond seesaw continued. In the morning, the weak stock market boosted the bond market sentiment, and treasury bond futures rebounded across the board. However, in the afternoon, the rising stock market suppressed the bond market, and the decline widened at the end of the session [8] - **Interest Rate Bonds**: The yields of major inter - bank interest rate bonds across all maturities increased, with a larger increase at the long end. By 16:30 pm, the yield of the 10 - year treasury bond active bond 250011 reported 1.7825%, up 1.65bp [9] - **Funding Market**: The central bank actively protected the funding market. The inter - bank funding market tightened in the morning and loosened again in the afternoon. There were 218.5 billion yuan of reverse repurchase maturities, and the central bank conducted 616 billion yuan of reverse repurchase operations, achieving a net injection of 397.5 billion yuan. The tax - payment period disturbance was gradually weakening. The short - term funding rates increased slightly, with the overnight weighted rate of inter - bank deposits rising 0.29bp to 1.47% and the 7 - day rate rising 2.28bp to 1.568%. The medium - and long - term funds were stable, and the 1 - year AAA certificate of deposit rate remained around 1.6% [10] - **Conclusion**: Long - term bullish foundation unchanged, but short - term pressure exists. Maintain the strategy of going long on short - term bonds and short on long - term bonds [11][12] 2. Industry News - The deputy governor of the People's Bank of China, Zou Lan, stated that policies would be strengthened to stimulate the vitality of the movable property financing market, which is important for small and medium - sized enterprises to solve financing problems and for the diversified development of the financial market [13] - The central bank's second - quarter monetary policy implementation report proposed to implement a moderately loose monetary policy, maintain sufficient liquidity, promote a reasonable recovery of prices, and use structural monetary policy tools to support key areas [14] 3. Data Overview - **Treasury Bond Futures**: Include information on the trading data of treasury bond futures contracts, cross - maturity spreads, cross - variety spreads, and the trend of main contracts [6][15][16] - **Money Market**: Data on bank - to - bank pledged repurchase weighted rates, inter - bank deposit pledged repurchase rates, SHIBOR term structure and trend [25][28][33] - **Derivatives Market**: Data on Shibor3M interest rate swap fixing curves and FR007 interest rate swap fixing curves [37][38]

Report Information - Report Title: Treasury Bond Daily Report [1] - Date: August 19, 2025 [2] - Researcher: He Zhuoqiao, Huang Wenxin, Nie Jiayi [3] Investment Rating - Not provided in the content Core View - Long - term, the bull - market foundation of the bond market remains unchanged as the Politburo meeting in July maintained a "moderately loose" stance on monetary policy and there is high tariff uncertainty. But short - term, the stock - bond seesaw effect since late June has put pressure on the bond market, and the short - term rebound of the bond market is unlikely to form a trend. It is recommended to maintain the strategy of going long on short - term and short on long - term bonds [11][12] Summary by Directory 1. Market Review and Operation Suggestions - **Market Condition**: A - shares hitting new highs suppressed the bond market, with treasury bond futures falling across the board and long - end bonds experiencing larger declines. The yields of 30 - year and 10 - year treasury bonds approached the 2.0% and 1.8% thresholds respectively [8] - **Interest Rate Bonds**: The yields of major inter - bank interest rate bonds across all maturities rose, with long - end yields rising significantly by 4 - 6bp. As of 16:30, the yield of the 10 - year treasury bond active bond 250011 was reported at 1.785%, up 4bp [9] - **Funding Market**: The central bank increased its investment to offset tax - period disturbances, and the inter - bank funding market tightened marginally. There were 112 billion yuan of reverse repurchases due, and the central bank conducted 266.5 billion yuan of reverse repurchase operations, achieving a net investment of 154.5 billion yuan. Short - term funding rates rose, while medium - and long - term funding remained stable [10] - **Conclusion**: The long - term bull - market foundation of the bond market remains unchanged, but short - term pressure exists. It is recommended to maintain the strategy of going long on short - term and short on long - term bonds and pay attention to the central bank's investment during the tax - period this week [11][12] 2. Industry News - The Deputy Governor of the People's Bank of China, Zou Lan, stated that policy support will be strengthened to stimulate the vitality of the movable property financing market, which is important for small and medium - sized enterprises and the diversification of the financial market [13] - On the evening of August 17, Eastern Time, Ukrainian President Volodymyr Zelensky arrived in Washington, and on the afternoon of August 18, Eastern Time, he was scheduled to meet with US President Donald Trump [13] - The central bank's second - quarter monetary policy implementation report proposed to implement a moderately loose monetary policy, promote a reasonable recovery of prices, and use structural monetary policy tools [14] 3. Data Overview - **Treasury Bond Futures Market**: Data on trading of various treasury bond futures contracts on August 18, including settlement prices, trading volumes, and open interest, were provided [6] - **Money Market**: Information on SHIBOR term structure changes, inter - bank pledged repurchase weighted interest rate changes, and other money - market data were presented [28][29] - **Derivatives Market**: Information on Shibor3M and FR007 interest rate swap fixing curves was provided [32]

Group 1: Economic Fundamentals - In August, the focus will be on the verification of policy effects, with new policy financial tools expected to boost credit and investment recovery[1] - The "anti-involution" narrative is expected to lead to moderate price recovery, although short-term trends remain uncertain[1] - External factors indicate a potential 90-day extension of the exemption period, with reduced uncertainty in tariff policies, but the downward trend in exports is expected to continue[1] Group 2: Liquidity and Market Dynamics - Historical data shows that August is a month with potential liquidity fluctuations, but risks are limited under current monetary policy targets[2] - The liquidity gap in August is projected to be around 1.8 trillion, with a central tendency likely to remain around 1.5%[2] - The supply of government bonds is expected to accelerate, with net financing projected between 1.5 to 1.6 trillion[3] Group 3: Institutional Behavior - Demand for bonds may weaken due to increased supply and limited institutional buying power, with a supply-demand index for August expected to be at 59%, significantly lower than the second quarter average[3] - The market is likely to experience structural pressure due to the imbalance between supply and demand[3] Group 4: Market Strategy - The bond market is entering the second phase of a "three-step" strategy, with the 10-year government bond expected to fluctuate between 1.65% and 1.75%[3] - Investors are advised to be flexible and consider timely profit-taking in response to key market events and policy announcements[3]

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report In the last week of July, with the central bank's support, funds smoothly crossed the month. The outcome of the Sino-US talks was in line with expectations, and the Politburo meeting mainly focused on advancing existing policies. The equity market fluctuated weakly, and the bond market shifted towards recovery. On Friday, the VAT policies for treasury bonds, local government bonds, and financial bonds were adjusted, and the yield of the 10-year active treasury bond fell below 1.7%. Throughout the week, the yield of the 1-year active treasury bond dropped by 1.75BP to 1.3600%, the yield of the 10-year active treasury bond decreased by 3.75BP to 1.6950%, and the yield of the 30-year treasury bond declined by 4.45BP to 1.9030% [3][6][7]. 3. Summary According to the Table of Contents (1) Interest Rate Bond Market Review: Limited Increment from the Politburo Meeting, "Old Bond Rush" Driven by VAT Adjustment - **Overall Situation**: In the last week of July, with the central bank's support, funds smoothly crossed the month. The Sino-US talks had no unexpected results, and the Politburo meeting mainly advanced existing policies. The equity market fluctuated weakly, and the bond market recovered. After the bond VAT adjustment policy was announced on Friday, the yield of the 10-year active treasury bond fell below 1.7% [3][6][7]. - **Daily Performance**: - **July 28th**: The central bank net injected 3251 billion yuan. The bond market continued the recovery trend, and the yields of major treasury bonds decreased by 1.5 - 2.5BP [7][10][11]. - **July 29th**: The central bank net injected 2344 billion yuan. Affected by the Sino-US talks and Politburo meeting expectations, the equity market strengthened, and the yields of medium - and long - term treasury bonds over 5 years increased by 3 - 4BP [7][12]. - **July 30th**: The central bank net injected 1585 billion yuan. The Politburo meeting did not mention "anti - involution" and real estate policies much. The equity market rebounded, and the yields of major treasury bonds decreased by 2 - 4BP [7][13]. - **July 31st**: The central bank net withdrew 478 billion yuan in the morning. Due to factors such as the PMI data being lower than expected and the weakening of the equity market, the bond market performed strongly, and the yields of major treasury bonds decreased by 1 - 2BP [7][14]. - **August 1st**: The central bank net withdrew 6633 billion yuan in the morning. The equity market continued to correct. After the bond VAT adjustment policy was announced in the evening, the yield of the 10-year treasury bond first rose and then fell, closing at 1.6950% [7][15][16]. (2) Funding Situation: The Central Bank Conducted Net OMO Injections Near the Month - End, and the Funding Situation was Balanced and Loose The central bank net injected 69 billion yuan this week. The funding sentiment index was generally below 50. The cross - month funding situation was stable and loose. The issuance price of 1-year national and joint - stock bank certificates of deposit dropped to 1.6250%, and the weekly average of DR007 was 1.53% [1][7]. (3) Primary Issuance: Net Financing of Treasury Bonds, Policy Financial Bonds, and Interbank Certificates of Deposit Increased, while Net Financing of Local Government Bonds Decreased No specific data on the increase and decrease of net financing are provided in the text, but it is mentioned that the net financing of treasury bonds, policy financial bonds, and interbank certificates of deposit increased, and the net financing of local government bonds decreased [24]. (4) Benchmark Changes: The Term Spreads of Treasury Bonds and China Development Bank Bonds Both Narrowed - **Yield Curve Changes**: The yields of short - term treasury bonds dropped by 1.01BP, and the yields of short - term China Development Bank bonds decreased by 2.52BP. The yields of long - term treasury bonds declined by 2.65BP, and the yields of long - term China Development Bank bonds fell by 4.64BP [19]. - **Absolute Level of Term Spreads**: The 10Y - 1Y spread of treasury bonds narrowed by 1.64BP to 33.25BP, and the 10Y - 1Y spread of China Development Bank bonds narrowed by 2.12BP to 26.45BP [19].

行业 国债日报 日期 2025 年 8 月 1 日 研究员：何卓乔(宏观贵金属) 18665641296 hezhuoqiao@ccb.ccbfutures.com 期货从业资格号：F3008762 研究员：黄雯昕(国债集运) 021-60635739 huangwenxin@ccb.ccbfutures.com 期货从业资格号：F3051589 研究员：聂嘉怡(股指) 021-60635735 niejiayi@ccb.ccbfutures.com 期货从业资格号：F03124070 宏观金融团队 请阅读正文后的声明 ＃summary＃ 每日报告 | | 表1：国债期货7月31日交易数据汇总 | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 合约 | 前结算价 | 开盘价 | 收盘价 | 结算价 | 涨跌 | 涨跌幅 （%） | 成交量 | 持仓量 | 仓差 | | TL2509 | 118.440 | 118.700 | 119.120 | 119.120 | 0.680 | 0.57 | 1 ...

1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints of the Report - In July 2025, extreme weather affected the release of downstream demand, causing a decline in new orders and production, with demand sub - items returning to the contraction zone. However, there were also increasing positive factors such as rising price indicators and improved macro - confidence. For the bond market, attention should be paid to the seesaw effect between data verification and risk - preference boosting, and the transmission effect of "strong expectations" to reality after August [4][10][11]. 3. Summary by Related Catalogs 3.1 Manufacturing PMI: Weather Factors Disturb, and the Boom Declines Temporarily 3.1.1 Supply and Demand: Demand Declines More Than Production - Production slowed down, with a month - on - month decrease of 0.5 pct to 50.5%. Factors included the weakening of the June rush - to - deliver effect, extreme high - temperature weather affecting demand and restocking, and industry "anti - involution" measures [2][16]. - New orders fell into the contraction zone, with a month - on - month decrease of 0.8 pct to 49.4%. The gap between new orders and new export orders narrowed to 2.3 pct, and domestic demand orders slowed more than export orders due to extreme weather [2][19]. 3.1.2 Foreign Trade: The Marginal Effect of "Rushing to Export" Weakens - New export orders declined month - on - month by 0.6 pct to 47.1%, and imports remained flat at 47.8%. The concentrated release of previous back - logged export orders in May - June weakened in July [2][22]. 3.1.3 Price: The Expectation of "Anti - Involution" and Rising Commodity Prices Lead to Accelerated Price Repair - The purchase price of raw materials and the ex - factory price increased by 3.1 pct and 2.1 pct month - on - month to 51.5% and 48.3% respectively. The increase was larger than in June, and it was expected that the PPI in July would improve marginally [2][27]. 3.1.4 Inventory: The De - stocking Rhythm Accelerates Relatively - Raw material inventory decreased by 0.3 pct month - on - month to 47.7%, and finished - product inventory decreased by 0.7%. Production restocking slowed down, and enterprises de - stocked faster [2][30]. 3.2 Non - manufacturing PMI: Construction Slows Down, and Service Consumption Differentiates Widely - In July, the non - manufacturing PMI was 50.1%, a month - on - month decrease of 0.4 pct. The service industry PMI decreased by 0.1 pct to 50.0%, and the construction industry PMI decreased by 2.2 pct to 50.6%. - The construction industry PMI declined due to the influence of the rainy season, with housing construction activities falling below the boom - bust line and civil engineering construction remaining above 55%. After the rainy season, there may be a rush - to - work effect, and the PMI is expected to recover. - The service industry PMI dropped to the boom - bust line. Retail and transportation industries were boosted by summer consumption, while the accommodation and catering industries had relatively weak demand growth [3][37].

研究员：何卓乔(宏观贵金属) 18665641296 hezhuoqiao@ccb.ccbfutures.com 期货从业资格号：F3008762 行业 国债日报 日期 2025 年 7 月 31 日 研究员：黄雯昕(国债集运) 021-60635739 huangwenxin@ccb.ccbfutures.com 期货从业资格号：F3051589 研究员：聂嘉怡(股指) 021-60635735 niejiayi@ccb.ccbfutures.com 期货从业资格号：F03124070 宏观金融团队 请阅读正文后的声明 ＃summary＃ 每日报告 | | 表1：国债期货7月30日交易数据汇总 | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 合约 | 前结算价 | 开盘价 | 收盘价 | 结算价 | 涨跌 | 涨跌幅 （%） | 成交量 | 持仓量 | 仓差 | | TL2509 | 117.890 | 118.000 | 118.360 | 118.440 | 0.470 | 0.40 | ...

行业 国债日报 日期 2025 年 7 月 30 日 研究员：何卓乔(宏观贵金属) 18665641296 hezhuoqiao@ccb.ccbfutures.com 期货从业资格号：F3008762 研究员：黄雯昕(国债集运) 021-60635739 huangwenxin@ccb.ccbfutures.com 期货从业资格号：F3051589 研究员：聂嘉怡(股指) 021-60635735 niejiayi@ccb.ccbfutures.com 期货从业资格号：F03124070 宏观金融团队 请阅读正文后的声明 ＃summary＃ 每日报告 资金市场： 月末央行连续净投放，银行间资金面走松。今日有 2148 亿元逆回购到期，央 行开展了 4492 亿元逆回购操作，实现净投放 2344 亿元。银行间资金情绪指数走 松，短端资金利率全面回落，其中银存间隔夜加权回落 9.8bp 至 1.36%，7 天回落 1.6bp 至 1.56%附近，中长期资金平稳，1 年 AAA 存单利率维持在 1.64%附近变动 不大。 结论： 7 月中下旬以来市场风险偏好明显提升，股市持续走强以及反内卷带来商品 回暖和通胀预期升 ...