杨琳琳 (8621)23297818× yangll@swsresearch.com 2025 年 08 月 24 日 债市风险释放到了什么程度？ 相关研究 证券分析师 黄伟平 A0230524110002 huangwp@swsresearch.com 研究支持 杨琳琳 A0230124120001 yangll@swsresearch.com 联系人 ⚫ 债市压力情况如何跟踪？ 本研究报告仅通过邮件提供给 中庚基金 使用。1 债 券 研 究 请务必仔细阅读正文之后的各项信息披露与声明 债 券 策 略 证 券 研 究 报 告 - ⚫ 本周债市压力继续释放。主要在于：（1）情绪继续受到股市压制，（2）债市交易结构 仍显拥挤，（3）"反内卷"改变宏观叙事。综合来看，债市的压力主要在于资金分流进 权益市场和债市交易结构拥挤，而"反内卷"在一定程度上强化了宏观叙事。 ⚫ 股市产生的资金分流压力可如何观察？债券类资产比价处于弱势，市场筹码阶段性更多 流向股市。股市情绪及对资金的虹吸效应可重点通过两融余额、个人投资者开户情况、 非银存款变动、基金申赎情况等指标进行及时跟踪。目前看，股市产生的资金分流效果 初显，但还并未 ...

1. Macroeconomic Data Overview - GDP growth in Q2 2025 was 5.2% year-on-year, slightly lower than the previous quarter's 5.4% but higher than the same period last year's 4.7% [1] - The manufacturing PMI in July 2025 was 49.3%, down from 49.7% in the previous month and slightly lower than the same period last year [1] - The non-manufacturing PMI business activity index in July 2025 was 50.1%, slightly down from 50.5% in the previous month but similar to the same period last year [1] - Social financing scale increment in July 2025 was not provided, with the previous month at 1132 billion yuan and the same period last year at 770.7 billion yuan [1] - The year-on-year growth rates of M0, M1, and M2 in July 2025 were 11.8%, 5.6%, and 8.8% respectively. M1 and M2 growth rates increased compared to the previous month and the same period last year [1] - Financial institution RMB loans had a net decrease of 5 billion yuan in July 2025, compared to an increase of 224 billion yuan in the previous month and 26 billion yuan in the same period last year [1] - CPI in July 2025 was flat year-on-year, down from 0.1% in the previous month and 0.5% in the same period last year [1] - PPI in July 2025 was -3.6% year-on-year, the same as the previous month but lower than -0.8% in the same period last year [1] - Fixed asset investment (excluding rural households) cumulative growth rate in July 2025 was 1.6% year-on-year, down from 2.8% in the previous month and 3.6% in the same period last year [1] - The cumulative growth rate of total retail sales of consumer goods in July 2025 was 4.8% year-on-year, slightly down from 5.0% in the previous month but higher than 3.5% in the same period last year [1] - Export and import values in July 2025 increased by 7.2% and 4.1% year-on-year respectively, both higher than the previous month [1] 2. Commodity Investment Reference Comprehensive - From January to July 2025, stamp duty was 255.9 billion yuan, a 20.7% year-on-year increase. Securities trading stamp duty was 93.6 billion yuan, a 62.5% increase. In July alone, it was 15.1 billion yuan, a 125% increase from July 2024 [2] - Zhengzhou Commodity Exchange is promoting the research and development of innovative products like the BPI index futures and the opening up of polyester sector products [2] - Futures prices of many products such as cotton and urea have become important references for national macro - policy making. Many enterprises in different industries use the futures market to manage risks [2] - China's futures market has improved its internationalization level. As of July 2025, there were 24 specific open - ended futures varieties, and some futures companies have achieved 100% foreign ownership [3] - The London Metal Exchange's Hong Kong delivery warehouse was inaugurated, which is significant for Hong Kong's development as an international financial center and for promoting RMB use in commodity trading [3][4] Metals - The Chinese Foreign Ministry was unaware of reports about lifting rare - earth export controls to India [5] - Gold has had low volatility since June 2025. Global gold ETFs added 397 tons in the first half of the year. Gold prices may be supported by an over 80% probability of a September interest - rate cut [5] - The world's largest silver ETF reduced its holdings by 16.95 tons [5] - The US added 407 product categories to the steel and aluminum tariff list with a 50% tax rate [5] - UBS expects global gold demand to reach a new high since 2011 and forecasts gold prices to reach $3600 by the end of March 2026 and $3700 by the end of June and September 2026 [6] - On August 18, lead inventory reached a new high in over a month, while zinc, tin, nickel, copper, and aluminum inventories decreased [6] Coal, Coke, Steel, and Minerals - Shandong plans to raise coke prices, with different increases for different types of coke starting from August 19 [8] - Mexico proposes to restore the North American Steel Committee to improve trade relations with the US and reduce Asian steel imports [8] Energy and Chemicals - On August 19, US crude oil futures fell 1.12%. The decline was affected by the expected US - Russia - Ukraine talks, weak demand from India, and increasing supply pressure [9] - Six government departments held a photovoltaic industry symposium to regulate the industry's competition order [9] - US API crude oil inventory decreased by 24.17 million barrels in the week ending August 15 [9][10] - India's imports of Russian crude oil decreased in July, and state - owned refineries will seek alternative sources in August and September [10] Agricultural Products - The Ministry of Agriculture and Rural Affairs emphasized efforts to ensure a good autumn harvest, regulate the agricultural product market, promote farmers' income, and prevent risks [12] - The Ministry of Agriculture organized a meeting on preventing and controlling major pests and diseases in autumn crops [12] - New York Arabica coffee futures reached a two - month high due to concerns about Brazil's coffee production [12] - US exporters sold 228,606 tons of soybeans to Mexico for delivery in the 2025/2026 season [13] - Corn yields in Nebraska, US, are expected to be lower than in 2024 [14] - Indonesia opened its market to Brazilian beef and offal [14] - India will exempt cotton import tariffs from August 19 to September 30 [14] 3. Financial News Compilation Open Market - On August 19, the central bank conducted 580.3 billion yuan of 7 - day reverse repurchase operations, with a net injection of 465.7 billion yuan after 114.6 billion yuan of reverse repurchases matured [15] Key News - In July 2025, national general public budget revenue increased by 2.6% year - on - year. The cumulative revenue in the first seven months increased by 0.1% year - on - year [16] - Government - funded budget expenditures increased by 31.7% in the first seven months due to the expenditure of 2.89 trillion yuan from special bonds and special treasury bonds [16] - Some provinces' audit reports pointed out problems in the use and management of special bonds, including data inaccuracies, project delays, and misappropriation [17] - From September 1, three new conditions for withdrawing personal pensions were added [17] - The central bank increased the re - loan quota for supporting agriculture and small businesses by 100 billion yuan to support disaster - affected areas [18] - Guangdong plans to issue 2.5 billion yuan of offshore RMB local government bonds in Macau in late August [19] - The second batch of science and technology innovation bond ETFs is about to be submitted, with 14 fund companies involved [19] - There were uncertainties in the principal and interest payment of some bonds, and some companies faced major events such as being presented with a winding - up petition [19] - International credit rating agencies made ratings and outlook adjustments for some countries and companies [19] Bond Market Summary - Bond prices stabilized due to the stock market decline and the central bank's reverse repurchase operations. Most yields of major inter - bank interest - rate bonds decreased, and treasury bond futures rose [20] - In the exchange - traded bond market, some bonds rose while others fell [20] - The CSI Convertible Bond Index rose 0.16%, and the Wind Convertible Bond Equal - Weighted Index rose 0.37% [20][21] - Most money - market interest rates increased on August 19 [21] - Shibor short - term rates mostly increased [21] - The winning yields of some agricultural and national development bank financial bonds were announced, along with their subscription multiples [22] - Most inter - bank and silver - bank repurchase fixed - rate bonds increased [22] - Most European and US bond yields decreased [23] Foreign Exchange Market - The on - shore RMB against the US dollar closed at 7.1820 on August 20, down 28 points from the previous day. The central parity rate was 7.1359, down 37 points [25] - The US dollar index rose 0.12% in New York trading, and most non - US currencies fell [25] Research Report Highlights - Shenwan Fixed Income believes that from May, the bond market has been driven by asset allocation. In August - October, the bond market may face pressure from capital diversion and crowded trading structures [26] - Huatai Fixed Income suggests that the bond market should focus on defense. Insurance funds may start to accept 10 - year treasury bonds at a yield of 1.8%, while trading funds should wait for opportunities [26] - Yangtze River Fixed Income expects that the central bank's mention of preventing capital idling will not lead to a tightening of the capital market. Liquidity will remain reasonably abundant [26] - CITIC Securities reports that the bank wealth - management scale exceeded 32.67 trillion yuan in late July, and it is expected to reach over 33.5 trillion yuan this year [27] - Shenwan Fixed Income expects local bond issuance and net financing to increase significantly in the next period [27][28] - Xingzheng Fixed Income points out that bond ETFs may face redemption and selling pressure during market adjustments. Investors can choose more resilient ETFs and take advantage of price discounts [28] - Yangtze River Fixed Income believes that the central bank may restart open - market treasury bond trading in the fourth quarter when the 10 - year treasury bond yield is in a certain range [28] - CICC Research Report states that the market's pricing of the Fed's interest - rate cut has increased, but the Fed will be cautious due to the risk of "stagflation - like" conditions [29] Today's Bond Market Reminders - On August 20, 142 bonds were listed, 171 bonds were issued, 117 bonds were due for payment, and 112 bonds were due for principal and interest repayment [30][31] 4. Stock Market News - On August 20, the A - share market had a narrow - range shock, with the three major indices falling and the North Exchange 50 hitting a new high. Consumer electronics, CPO, and liquor sectors led the gains [32] - The Hong Kong Hang Seng Index fell 0.21%. Oriental甄选's stock price fluctuated greatly. South - bound funds had a large net purchase [32] - Brokers are competing for customers by offering low commission rates [32] - As of August 18, the margin trading balance exceeded 2.1 trillion yuan, reaching a 10 - year high [33] - Foreign institutions are increasing their positions in Chinese stocks. Many foreign institutions are optimistic about the Chinese stock market [34] - As of August 19, social security funds appeared in the top ten tradable shareholders of 89 stocks, with 20 new heavy - position stocks [34] - As of August 19, 666 A - share companies released their semi - annual reports, and over 60% achieved year - on - year profit growth [34]

Group 1 - The dominant logic in the bond market since May 2025 is major asset allocation rather than "fundamentals + liquidity" [9][10][11] - The low interest rate environment has led to a significant change in residents' asset allocation behavior, with bonds being viewed as "low odds assets" compared to other higher value assets [10][11] - Key indicators to observe the intensity and sustainability of fund diversion include the scale of asset management products, the rate of new resident accounts, margin balances, and non-bank deposits [11][12] Group 2 - The "anti-involution" narrative has altered the macroeconomic discourse, shifting from "weak demand + falling prices" to a focus on improving corporate profitability and potential inflation [17][19] - The bond market's response to "anti-involution" should not be overestimated in the short term, but its long-term impact on price improvement and valuation reassessment is significant [19][20] Group 3 - The bond market should focus on three main expectation differences: external demand, liquidity expectations, and policy expectations, particularly on the demand side [21][22] - The risks in the bond market are gradually being released, with potential pressures from fund diversion and crowded trading structures expected in August to October 2025 [22][24] Group 4 - The expansion of credit bond ETFs presents both opportunities and risks, with potential for increased market volatility and the need for caution regarding component bonds [27][29] - Short-term strategies for credit bonds may involve exploring yield spreads, while caution is advised for long-duration credit bonds and ETFs as they approach profit-taking windows [30][32] Group 5 - The progress of the Southbound Bond Connect expansion offers investment opportunities, particularly in local government bonds and international agency bonds [33][34] - The performance of dim sum bonds is expected to remain strong, with a focus on short-duration sovereign bonds and high-quality local government bonds [34] Group 6 - The approach to low-volatility convertible bonds should shift towards trading rather than allocation, as their trading range narrows [36] - High-volatility convertible bonds should be viewed through a lens of allocation, especially if strong redemption announcements are made [37] Group 7 - The optimal fixed income combination should include short pure bonds as a base, supplemented by mid-to-low-rated convertible bonds and dividend stocks for a balanced portfolio [38]

Group 1 - The core viewpoint of the article highlights the recent surge in the technology stock market, particularly focusing on the significant IPOs in the semiconductor sector, which could lead to a capital drain from existing tech stocks [1][2] - Two prominent companies, Muxi Co. and Moore Threads, have simultaneously received approval for their IPOs on the Sci-Tech Innovation Board, aiming to raise a total of 120 billion yuan, with Muxi seeking 39.04 billion and Moore Threads 80 billion [2][5] - The influx of new capital-seeking companies may create a competitive environment, potentially leading to a redistribution of funds that could disadvantage older tech stocks [4][5] Group 2 - The article emphasizes the importance of discerning genuine investment opportunities in technology stocks, as not all stocks labeled as "tech" will perform well; limited funds and selective institutional investors will lead to a divergence in stock performance [6][7] - A case study illustrates that while some tech stocks may show initial promise, the underlying institutional support is crucial; only one out of three monitored stocks continued to attract institutional investment, while the others faced declines [7][9] - The article suggests that retail investors should focus on data analysis rather than superficial indicators like K-line charts to understand the true market dynamics and institutional behaviors [10][15] Group 3 - The article introduces the concept of "institutional inventory" as a key metric to gauge institutional participation in stocks, indicating whether institutions are accumulating or distributing shares [10][12] - Continuous growth in institutional inventory correlates with stock price increases, while sudden drops in inventory signal potential stock price declines [13][12] - Retail investors are advised to prioritize data analysis over market trends to navigate the evolving landscape of technology stocks effectively [15][17]