债券研究 证 券 研 究 报 告 【债券深度报告】 赎回潮叙事中的机构行为图鉴 ——央行报表及债券托管量观察 ❖ 2025 年 7 月，中债登和上清所债券托管总量为 173 万亿，同比增速上行 0.1pct 至 15.8%的水平，环比增量从 2025 年 6 月的 1.3 万亿上行至 1.7 万亿。 ❖ 一、7 月央行资产负债表和托管量解读？ 1、7 月央行资产负债表：规模上行至 45.9 万亿元。（1）从资产端来看，央行 "对其他存款性公司债权"与公开投放规模差异不大，流动性呵护相对积极， 开年以来 PSL 余额快速减少，关注新型政策性金融工具启用；持仓短国债陆 续到期，"对中央政府债权"科目延续缩量。（2）从负债端来看，缴税大月叠 加供给放量，政府存款增量上行至季节性高位，由于银行体系资金流向财政存 款，央行"其他存款性公司存款"季节性回落。 2、7 月央行托管量：买断式逆回购净投放规模维持在 2000 亿，前期国债买入 操作到期 647 亿元，央行创新工具净投放规模合计为 1353 亿元，中债-其他科 目单月增量为 1641 亿，两者较为接近。 ❖ 二、杠杆率：跨季后资金面转松，机构杠杆季节性回落 7 ...

Group 1: Report Industry Investment Rating - No industry investment rating information is provided in the report. Group 2: Core Views of the Report - The logic of "buying on every dip" in the bond market still holds as the logic supporting the long - term bull market in the bond market remains intact. The future outlook is long - term bullish but short - term bottom - grinding [1][2][20]. - The core cause of the four rounds of redemption tides since September 24, 2024, is the unexpected rise in the equity market. The consensus of a slow - bull market in equities is strengthening, leading to more frequent bond market adjustments and redemption tides [1][8]. - The redemption risk index rose to 62 on August 18, indicating the risk of a redemption tide. Although the fund selling sentiment was strong in July, the active purchase by rural commercial banks and insurance companies effectively alleviated market pressure. It is expected that the scale of wealth management products will not be significantly negatively affected this time. If the 10Y Treasury yield touches 1.8% due to unexpected performance in the equity market, core buyers such as banks and insurance companies may enter the market, and investors can consider right - side allocation at this point [1][9][14]. Group 3: Summary by Directory 1. August Redemption Tide Returns - On August 18, the A - share market value exceeded 100 trillion yuan, and the Shanghai Composite Index reached a new high in nearly a decade, triggering a bond market adjustment and bond fund redemptions. The core cause of the four rounds of redemption tides since September 24, 2024, is the unexpected rise in the equity market [8]. - A comprehensive redemption risk index was constructed. On August 18, the index rose to 62, mainly affected by bond fund redemptions, equity market rises, high - valuation transactions of Tier 2 and perpetual bonds, and tightened liquidity [9]. 2. When Will the Redemption Tide Market Reach the Right Side? - In terms of time, the median duration of historical redemption tides is 6 - 7 trading days. Although the market slightly recovered on August 19, the redemption risk index has been triggered, and the redemption disturbance may last for 4 - 5 days [14]. - In terms of adjustment range, the 10Y Treasury yield rose 4bp on August 18 and fell 1bp on August 19, currently reaching about half of the adjustment range of small - scale redemption tides since 2023. The 1.8% level of the 10Y Treasury yield is a key observation point [14]. - The main sellers are funds and securities firms. On August 19, funds net - sold 126.6 billion yuan of bonds. In July, rural commercial banks and insurance companies actively bought bonds, and currently, wealth management products are still net buyers [14]. - The core factors for the end of the redemption tide include equity market adjustments and weakening of the stock - bond seesaw effect, central bank liquidity support, and self - repair of the market after reaching a certain adjustment level [15][16]. 3. Is the Logic of "Buying on Every Dip" Subverted? - The long - term bull market in the bond market is supported by factors such as weak economic recovery, declining income and employment expectations, long - term asset shortage, real estate bubble burst, fiscal tightening of general urban investment, moderately loose monetary policy, and difficulties in bank credit issuance [2][21]. - From the perspective of credit and bank fund flow, the high correlation between social financing credit and the bond market remains. Weak financing demand in general urban investment and real estate leads to weak credit growth, causing bank funds to flow into the bond market, making it difficult for the bond bull market to reverse. In July, the new credit in the social financing scale was - 426.3 billion yuan, a year - on - year decrease of 345.5 billion yuan [2][22]. - From a technical perspective, the long - term interest rate is currently in a relatively right - side position, with good odds and relatively high winning probabilities. However, the liquidity of credit products is relatively weak, and a clearer right - side opportunity is still awaited. It is recommended to enter the market on the right side of this adjustment, take profits moderately, and maintain a defensive position [2][26].