Core Insights - The U.S. long-term bond funds are experiencing the largest capital outflow in five years, with a net outflow of $11 billion in Q2 2025, marking the highest since the market turmoil of the COVID-19 pandemic in 2020 [1] - This sell-off reverses a trend of average inflows of $20 billion over the previous 12 quarters, indicating deep investor anxiety regarding the long-term value of U.S. Treasuries [1] - The outflow reflects broader concerns about the long-term fiscal outlook, exacerbated by rising debt levels, inflation, and supply issues [1][2][3] Group 1: Debt Concerns - The U.S. is facing a "debt tsunami," with projections of trillions in additional debt over the next decade due to tax reforms, leading to accelerated Treasury issuance to cover deficits [1] - Market trust in fiscal sustainability is rapidly eroding, as highlighted by Goldman Sachs' chief credit strategist [1] Group 2: Inflation Pressures - Tariffs imposed by the Trump administration are expected to trigger imported inflation, which poses a significant threat to long-term bonds [2] - Long-term bonds are particularly sensitive to inflation, as rising prices erode the real purchasing power of fixed interest payments [2] Group 3: Supply-Demand Imbalance - The U.S. Treasury's accelerated borrowing to fill deficits has led to a supply-demand imbalance in long-term bonds, with prices dropping approximately 1% this quarter and 30-year yields nearing 4.82% [3] - Bill Gross warns that the 10-year Treasury yield is unlikely to break below 4.25% due to fiscal deficits and a weak dollar contributing to inflation [3] Group 4: Shift to Short-Term Bonds - In contrast to long-term bonds, short-term Treasury funds attracted over $39 billion this quarter, indicating a significant shift in investor strategy [4] - Investors are opting for shorter maturities to lock in yields while avoiding long-term inflation risks, with expectations of delayed rate cuts by the Federal Reserve until 2026 [4] - The preference for liquidity is heightened due to geopolitical tensions and tariff uncertainties, leading to a focus on more liquid short-term assets [4] Group 5: Global Implications - The sell-off in long-term U.S. Treasuries is prompting a global reallocation of capital, with institutions like PIMCO reducing exposure to the dollar and long-term bonds [5] - Following a downgrade of the U.S. sovereign rating by Moody's, sovereign funds are accelerating diversification into gold and non-U.S. bonds, with the 10-year Treasury yield spiking to 4.49% [5] - There is an increasing demand for risk compensation, as investors anticipate needing higher returns on the long end of the yield curve, despite the core status of U.S. Treasuries remaining intact [5] Group 6: Historical Context - The current scale of Treasury sell-offs has surpassed the "taper tantrum" of 2013 and the bond market crash of 2022, suggesting that if U.S. fiscal discipline continues to falter, the process of "de-dollarization" may accelerate, reshaping the global financial landscape [6]

Market Overview - The bond market returned to a weak state on June 30, with all major government bond futures closing lower and interbank bond yields generally rising by 1-2 basis points [1][2] - The central bank conducted a net injection of 111 billion yuan in the open market, while short-term cross-quarter funding rates continued to rise [1][5] Bond Futures and Yields - The closing prices for government bond futures showed declines: 30-year futures down 0.43% to 120.420, 10-year down 0.16% to 108.895, 5-year down 0.10% to 106.160, and 2-year down 0.05% to 102.498 [2] - Major interbank bond yields increased, with the 30-year government bond yield rising by 1.05 basis points to 1.8635%, and the 10-year government bond yield increasing by 0.6 basis points to 1.728% [2] International Bond Market - In North America, U.S. Treasury yields rose across the board, with the 2-year yield increasing by 3.47 basis points to 3.746% and the 10-year yield rising by 3.13 basis points to 4.271% [3] - In Asia, Japanese bond yields showed mixed results, with the 10-year yield down 0.2 basis points to 1.428% [3] - In the Eurozone, 10-year bond yields for France, Germany, Italy, and Spain all increased, with the German yield rising by 2.1 basis points to 2.587% [3] Primary Market - Agricultural Development Bank's three issues of financial bonds had bidding yields lower than the China Bond valuation, with yields for 91-day, 3-year, and 5-year bonds at 1.3068%, 1.5473%, and 1.6197% respectively [4] Funding Conditions - The central bank announced a 7-day reverse repurchase operation of 331.5 billion yuan at a fixed rate of 1.40%, with a net injection of 111 billion yuan for the day [5] - Short-term Shibor rates rose across the board, with the overnight rate up 5.1 basis points to 1.422% and the 7-day rate up 9.5 basis points to 1.763% [5] Economic Indicators - The official non-manufacturing PMI for June was 50.5, up 0.2 percentage points from the previous month, indicating continued expansion in the non-manufacturing sector [6][7] - The official manufacturing PMI for June was 49.7, showing an improvement from the previous value of 49.5, indicating a slight recovery in manufacturing activity [6][7] Institutional Insights - Huatai Fixed Income noted that the bond market is currently crowded, with high leverage and low credit spreads, suggesting potential volatility risks ahead [8] - CITIC Fixed Income indicated that the central bank's net injection model may continue into July, with expectations of a better liquidity environment compared to June [8]

另一个是"资资产" 可能的再现。今年资产供给前置，一半以上的政府债 券净融资在上半年，如果不新加预算，政府债券净融资月均同比多增量将 从上半年 7000 亿左右下降到下半年的负值，同时实际利率上升抑制非政 府债券社融。因而下半年资产供给节奏将放缓。但资金供给充足，这决定 配置力量旺盛。居民持续增加存款、保险、理财、货基债基等低风险偏好 资产配置。而央行主动和被动的也会增加资金投放，一方面上半年同比多 增的财政存款会在 3 季度左右投放，另一方面，央行对流动性呵护增强， 5 月以来资金投放增加。如果后续央行开启国债买卖，那么市场将进一步 向资产"的方向演进。 证券研究报告 | 固定收益年度策略 gszqdatemark 2025 06 30 年 月 日 年度策略 踏着熟悉的节奏——2025 年债市中期策略 2025 年上半年债市大幅波动，外部扰动明显加大。24 年底利率开启快速 下行，这在 25 年初延续，10 年国债一度突破 1.6%的低位。而后随着资 金的收紧，以及春节之后银行抛券压力的上升，市场开始了大幅调整。10 年国债最高一度达到 1.9%附近，而仅 30bps 的调整幅度也是长债 2023 年以来最 ...

日本10年期国债收益率上涨1.5个基点，至1.445%。 日本10年国债收益率 ...

固收 - 下半年信用债展望：票息占优，积极配置 20260629 摘要 高票息资产稀缺性持续，信用周期短期难扩张，资金涌入信用市场。央 行货币政策态度转变，呵护市场意图明显，利率震荡下移，票息增厚收 益成信用债投资关键策略。 科创债收益偏低，与普通债券存在替代关系，对总供给影响待观察。银 行、券商发行量增加，高收益普通债仍稀缺，广义基金面临资产配置困 境。 高收益和城投债快速缩量，短久期品种受青睐，资质下沉明显。城投债 隐性债务化解使其适宜资质挖掘，建议机构适度激进配置并拉长期限。 广义基金配置空间受限，中短期票息资产缩量，建议积极进行对角线交 易。城投板块中低资质品种右侧行情更易获利，操作空间更大。 今年政府债供应前置，与去年形成对比，可能影响市场供需关系。政府 放松约束，提高杠杆，债券供给曲线均衡，利率债供给占比高，企业信 用债供应较少。 Q&A 2025 年下半年信用债的投资策略是什么？ 2025 年下半年信用债投资策略仍然优选票息资产。尽管上半年票息已经占优， 下半年基本格局预计不会发生根本性变化。核心逻辑在于资产荒延续，中短期 票息资产尤其稀缺，且相对高票息的资产在一定时间内将保持稀缺性。此外， 信 ...

欧洲利率在1%左右期间欧元区债券市场整体表现强劲，欧洲机构投资者配置特征为拉长久期并使用衍生 工具对冲。 负利率及量化宽松政策（QE）对欧元区债券市场的影响极为显著。ECB的大规模资产购买计 划（APP和PEPP）直接推高了债券价格，压低了各期限国债收益率。在负利率和QE期间，欧洲债券市场 表现强劲，年回报率较高。Bloomberg Euro Aggregate Index等主要债券指数在2014-2020年间整体年 化回报在3.5%-4.5%左右。低利率环境下，欧洲保险机构推行负债久期匹配策略，通过发行长期限保单 或存款产品，降低负债端利率敏感度。在资产负债管理中，海外资管机构还通过衍生工具进行久期匹配与 利率风险对冲。 报告导读： 偏好动态久期、成本管控及多元配置。 欧元区政策利率演变：经济增长与通胀间寻求平衡。 自1999年欧元区成立以来，欧洲央行（ECB）作为 单一货币政策的执行者，其政策利率的演变深刻反映了欧元区经济周期的起伏及全球金融环境的变化。 2014年6月，ECB首次将存款便利利率降至负值（-0.10%），标志着欧元区正式进入负利率时代。2022 年下半年，受俄乌冲突引发的能源危机和通胀飙升 ...

截至 6 月 27 日，城投债、产业债成交期限分别加权于 2.18 年、3.39 年，均处于 2021 年 3 月以来 90%以上分位数水 平，商业银行债中 ，二级资本债、银行永续债以及一般商金债加权平均成交期限分别为 4.21 年、3.54 年、2.07 年， 其中一般商金债处于较低历史水平；从其余金融债来看，证券公司债、证券次级债、保险公司债、租赁公司债久期分 别为 1.54 年、2.28 年、3.18 年、1.45 年，其中证券公司债、证券次级债位于较低历史分位，租赁公司债位于较高历 史分位。 城投债：城投债加权平均成交期限徘徊在 2.18 年附近。其中，陕西省级城投债久期超 8 年，福建区县级城投债成交 久期缩短至 1.24 年附近。同时，广东地级市、福建地级市、河北地级市、山西省级等区域城投债久期历史分位数已 逾 90%，湖南省级、河南地级市城投债久期逼近 2021 年以来最高。 产业债：产业债加权平均成交期限较上周有所拉长，总体处于 3.39 年附近，钢铁行业成交久期缩短至 1.66 年，食品 饮料行业成交久期拉长至 2.31 年。此外，房地产行业成交久期处于较低历史分位，公用事业、交通运输、商贸 ...

[Table_IndNameRptType]2 固定收益 固收周报 博弈央行买债的囚徒困境 ——债市机构行为周报（6 月第 5 周） 报告日期： 2025-06-29 [Table_Author] 首席分析师：颜子琦 执业证书号：S0010522030002 电话：13127532070 邮箱：yanzq@hazq.com [Table_Author] 分析师：洪子彦 执业证书号： S0010525060002 电话：15851599909 邮箱：hongziyan@hazq.com 本周综述： ⚫[Table_Summary] 当前机构行为特征以及博弈央行买债的囚徒困境 跨季时点债市震荡，短端表现更优。6 月最后一周，债市整体表现震 荡，短端更优，10 年国债到期收益率维持横盘，1 年、3 年到期收益率 出现 1-2bp 的小幅下行。 债市投资者在当前时点面临囚徒困境。6 月末是一个较为敏感的时间节 点，一方面是跨季，另一方面公募基金有冲排名/规模的诉求，从短期的 可博弈因素来看，仍有央行是否开启买债以及 6 月 PMI 数据仍未公布， 对于投资者而言，实际面临一定的囚徒困境： 从近期的机构行为特征看，大行 ...

证券研究报告·固定收益·固收周报 固收周报 20250629 周观：从货政委员会例会看债市破局时间 点（2025 年第 25 期） [Table_Tag] [Table_Summary] 观点 ◼ 央行货政委员会 2025 年第二季度例会透露了怎样的信息？ ◼ A：本周（2025.6.23-2025.6.27），10 年期国债活跃券收益率从上周五的 1.638%上行 0.8bp 至 1.646%。 周度复盘：周一（6.23），早盘新闻显示美国介入伊以冲突，受避险情绪 推动，10 年期国债活跃券收益率下行。随后央行净回笼资金，叠加股市 上涨令债市情绪走弱，全天 10 年期国债活跃券收益率上行 0.2bp。周二 （6.24），早盘有伊以停火，股市强势上涨，债市随之微跌。同时资金面 开始受到跨月影响，虽然央行盘后公告第二日将进行 3000 亿元的 MLF 续作，但 DR007 上行至 1.6684%，债市情绪受到压制，全天 10 年期国 债活跃券收益率上行 0.6bp。周三（6.25），受财政部《国务院关于 2024 年中央决算的报告》中表示将根据形势变化及时推出增量储备政策和发 改委即将召开新闻发布会的影响，上午 ...

Group 1 - The yield on the 10-year U.S. Treasury bond increased by 3.52 basis points, reaching 4.2769% [1] - The 10-year Treasury yield has decreased by a total of 9.83 basis points this week, trading within the range of 4.4028%-4.2378% [1] - The yield on the 2-year U.S. Treasury bond rose by 2.86 basis points, now at 3.7480% [1] Group 2 - The 2-year Treasury yield has seen a cumulative decline of 15.97 basis points this week, fluctuating between 3.9289%-3.7071% [1]