Report Information - Report Title: Bond Market Tracking Weekly Report (7.21 - 7.25) [1][14] - Report Date: July 28, 2025 [1] 1. Investment Rating - No investment rating for the industry is provided in the report. 2. Core Viewpoints - Risk asset strength is the main cause of the current "headwind" in the bond market. Since mid - July, the strengthening of risk assets has weakened bond market sentiment. In late July, Yajiang Group's 1.2 trillion yuan investment plan catalyzed the stock market's rise and the bond market's decline, and the commodity market also rose sharply. Fund selling of bonds has been significant in July, with a net selling scale of over 300 billion yuan. The reasons may be portfolio optimization by fund managers and re - balancing by investors. However, the continuous buying by allocation - type and under - allocated institutions, such as state - owned banks, insurance institutions, and rural commercial banks, has played a "stabilizer" role and may support the bond market's future trend. In the short term, whether the anti - involution market can continue depends on whether the PPI can improve. The upcoming Politburo meeting may affect the bond market. Overall, the curve shape may remain steep, and the 10 - year treasury bond may have investment value at a yield of 1.70% - 1.75%. [4][12][18] 3. Summary by Directory 3.1 Cross - market Linkage and the Bond Market's "Headwind" Period - **Cause of the "Headwind"**: Since mid - July, the strengthening of risk assets has been the main cause of the bond market's weakness. In early July, the bond market was relatively stable, but as the mid - July large tax period approached, concerns about the central bank's long - term monetary injection and the improvement of the equity market due to anti - involution policies and the upcoming Central Urban Work Conference suppressed bond market sentiment. In late July, Yajiang Group's investment plan, combined with the rise of the commodity market, further pressured the bond market. [18] - **Institutional Behavior**: Funds and securities firms have been the main sellers of old interest - rate bonds in July, with funds selling over 300 billion yuan. The reasons may be portfolio optimization by fund managers and re - balancing by investors. Wealth management products' redemptions may be preventive due to the rise of the equity market. On the other hand, state - owned banks, insurance institutions, and rural commercial banks have been net buyers, providing support to the bond market. [5][24][33] - **Key Indicators**: In the short term, whether the anti - involution market can continue depends on whether the PPI can improve. The Politburo meeting may also affect the bond market. If the PPI does not improve in July, the bond market sentiment may recover. [7][35] 3.2 Important Events - **July MLF Net Injection**: On July 24, the central bank announced a 400 billion yuan MLF operation on July 25, with a net injection of 100 billion yuan as the total July MLF maturity was 300 billion yuan. [56] - **Insurance Third - Quarter Predetermined Interest Rate**: On July 25, the China Insurance Association announced that the research value of the predetermined interest rate for ordinary life insurance products in the third quarter was 1.99%. [57] 3.3 Money Market - **Open Market Operations and Fund Rates**: From July 21 to 25, the central bank's 7 - day reverse repurchase operations had a net injection of - 7.05 billion yuan. The overall fund rate tightened last week, with overnight fund prices rising sharply on Thursday. As of July 25, R001, R007, DR001, and DR007 had changed compared to July 18. [60][64] - **Certificate of Deposit Rates and Repurchase Transactions**: In the primary market, last week, the net financing of inter - bank certificates of deposit was - 559.79 billion yuan, with a significant net outflow. The issuance scale of inter - bank certificates of deposit decreased compared to the previous week. The issuance rate of inter - bank certificates of deposit increased compared to the previous week. In the secondary market, the yields of inter - bank certificates of deposit of all maturities increased due to the tightened fund rate. [68][73][77] 3.4 Bond Market - **Primary Market**: On July 24, the first - level issuance result of bond 2500005 was relatively weak. The issuance progress of local bonds in July was only 63.99% of the plan, and the supply rhythm of local finance in the third quarter may be postponed. Last week, the net financing of local government bonds was slower than that of treasury bonds. The special refinancing bonds issued as of last week totaled 1.84 trillion yuan, mainly with long - term and ultra - long - term maturities. [81][89][92] - **Secondary Market**: Last week, the bond market showed a bear - steep trend. The yields of treasury bonds and policy - bank bonds of various maturities changed, and the term spread between 10 - year and 1 - year treasury bonds widened to around 35BP. The liquidity premium between the active and sub - active bonds of 10 - year treasury bonds and policy - bank bonds narrowed. [94][101] 3.5 Institutional Behavior Tracking - **Leveraged Trading**: Last week, the scale of leveraged trading remained relatively high. The average daily trading volume of inter - bank pledged repurchase was about 7.74 trillion yuan. [119] - **Cash Bond Market Transactions**: State - owned banks and rural commercial banks were the largest buyers in the interest - rate bond market last week. State - owned banks mainly increased their holdings of treasury bonds with maturities of less than 5 years, while rural commercial banks significantly increased their holdings of policy - bank bonds with maturities of 5 - 10 years and treasury bonds with maturities of more than 5 years. [109][123] 3.6 High - frequency Data Tracking - **Commodity Prices**: Last week, the settlement prices of rebar, cathode copper, and Brent crude oil futures increased, while the settlement price of WTI crude oil futures decreased. The cement price index decreased, and the South China Glass Index increased. [133] - **Shipping and Food Prices**: The CCFI decreased, and the BDI increased. The wholesale prices of pork and vegetables increased. [133] - **Exchange Rate**: The central parity rate of the US dollar against the RMB was 7.14 last week. [133]

[Table_Reporto] 2025 年 07 月 28 日 证券研究报告•固定收益定期报告 债券市场跟踪周报（7.21-7.25） 跨市场联动下的债市"逆风期"何时结束？ S 风险资产走强是本轮债市"逆风"的主因 "逆风期"需要重点关注的风向标 反内卷行情能否延续短期内或应重点关注 PPI 能否确认改善。短期来看，虽然 美国特朗普政府引发的全球关税谈判事件仍对资本市场定价具有重大意义，但 考虑到关税问题具有反复性，该事件对债券市场的边际影响可能已逐步减弱， 债券市场定价幅度预计相对有限。而当前由反内卷预期催化的风险资产行情却 仍有可能延续，不过目前无论是对风险资产或是无风险资产的定价都是源于价 格水平回升的预期，若 7月 PPI指数未能实现实质性回升，债市情绪或有可能 迎来修复窗口期。另外，本周即将召开的政治局会议按惯例将研讨下半年经济 核心观点 西南证券研究院 [Table_Author] 分析师：杨杰峰 执业证号：S1250523060001 电话：18190773632 邮箱：yangjf@swsc.com.cn 联系人：叶昱宏 电话：18223492691 邮箱：yeyuh@swsc.com.c ...