【大河财立方消息】8月29日，央行发布2025年7月份金融市场运行情况。 一、债券市场发行情况 7月份，债券市场共发行各类债券77536.2亿元。国债发行12226.5亿元，地方政府债券发行12134.9亿 元，金融债券发行13905.5亿元，公司信用类债券1发行13496.8亿元，信贷资产支持证券发行329.3亿 元，同业存单发行24743.6亿元。 截至7月末，债券市场托管余额190.4万亿元。其中,银行间市场托管余额168.4万亿元，交易所市场托管 余额22.0万亿元。分券种来看，国债托管余额37.6万亿元，地方政府债券托管余额52.5万亿元，金融债 券托管余额43.4万亿元，公司信用类债券托管余额34.0万亿元，信贷资产支持证券托管余额1.0万亿元， 同业存单托管余额20.7万亿元。商业银行柜台债券托管余额2092.8亿元。 二、债券市场运行情况 7月份，银行间债券市场现券成交37.3万亿元，日均成交1.6万亿元，同比增加2.8%，环比减少5.5%。单 笔成交量在500-5000万元的交易占总成交金额的51.8%，单笔成交量在9000万元以上的交易占总成交金 额的42.1%，单笔平均成交量4029.0 ...

Core Viewpoint - The article discusses the psychological behavior of investors when facing losses and gains, highlighting the tendency to hold onto losing positions while being quick to take profits when the market starts to recover [1]. Group 1: Market Overview - The A-share market approached 3800 points, with a mixed sentiment influenced by bond market conditions and monetary policy signals [3]. - The central bank conducted a net injection of 1243 billion yuan through reverse repos, indicating a balanced and slightly loose liquidity environment [3]. - The interbank funding rates showed a slight decline, with DR001 around 1.46% and DR007 at 1.51% [3]. Group 2: Bond Market Dynamics - The bond market experienced cautious sentiment, with the 10-year government bond yield fluctuating around 1.78% after an initial rise [5]. - There were reports suggesting restrictions on short-selling in the bond market, which contributed to the volatility in interest rates [5]. - The government bond futures showed a strong upward movement, indicating a potential rebound in market sentiment after a prolonged period of pressure [5]. Group 3: Interest Rate Trends - The weighted average rates for various repo transactions were reported, with R001 at 1.51% and R007 at 1.54%, reflecting changes in market liquidity [4]. - The interest rates for government bonds across different maturities showed a downward trend, with the 10-year bond yield at 1.7610% [8]. - The overall trading volume in the interbank market was substantial, with R001 transactions reaching approximately 64699.39 billion yuan [4].

Core Viewpoint - The article discusses the market dynamics between bonds and equities, highlighting the impact of tax regulations on investment strategies and market sentiment [3][5][6]. Group 1: Market Overview - The stock market opened lower but rebounded, demonstrating a clear "see-saw" effect between stocks and bonds, with the bond market reacting to new tax regulations [5][6]. - The central bank conducted a 7-day reverse repurchase operation of 544.8 billion yuan, with a net injection of 49 billion yuan, indicating a balanced and slightly loose liquidity environment [3][4]. Group 2: Bond Market Insights - The yield on long-term bonds has seen a slight increase, with the 10-year government bond yield fluctuating between 1.68% and 1.7125% during the trading session [5][6]. - There is a consensus among market participants that older bonds are performing better than new issues of the same maturity, reflecting a divergence in the performance of government bond futures [6]. Group 3: Economic Indicators - Recent U.S. non-farm payroll data fell short of expectations, leading to a decline in risk assets globally, which influenced the sentiment in the domestic market [5][6]. - The article notes that the market is reacting to international events, including potential visits by political figures, which may affect investor sentiment and market movements [5][6].

Market Trends - The US sustainable bond market is experiencing increased competition from foreign companies this year [1]

Investment Rating - The report provides a detailed forecast for various asset classes, indicating a bearish outlook for equities and a mixed sentiment for fixed income and commodities [2]. Core Insights - The report highlights significant declines in equity indices, with the S&P 500 expected to drop by 20.7% in a bear scenario, while the MSCI Europe is projected to decline by 22.3% [2]. - The report notes that the AAII survey for Net Bulls has reached a six-month high, indicating a potential shift in market sentiment [6]. - US Quality metrics have fallen to their lowest levels since 2001, suggesting deteriorating market conditions [6][9]. Summary by Sections Equities - S&P 500 forecasted returns range from 4,900 to 7,200, with a base case return of 4.7% [2]. - MSCI Europe shows a similar trend with a forecast range of 1,610 to 2,620 and a base case return of 7.3% [2]. - Topix is projected to decline by 23.3% in a bear scenario, with a base case return of 5.0% [2]. Fixed Income - UST 10-year yields are forecasted to range from 2.85% to 4.35%, with a base case return of 12.1% [2]. - US Investment Grade (IG) credit is expected to yield excess returns of -0.1% in a bear scenario [2]. Commodities - Brent crude oil is projected to have a bear case return of -23.6%, with a base case return of -8.3% [2]. - Gold is expected to decline by 20.6% in a bear scenario, with a base case return of -6.5% [2]. Market Sentiment - The Market Sentiment Indicator (MSI) reflects a negative sentiment shift, with various indicators showing increased volatility and negative positioning [55][62]. - The report indicates a significant divergence in positioning among asset managers, hedge funds, and dealers across different markets [62]. Cross-Asset Correlations - The report notes that cross-asset correlations have increased, with equities showing a correlation of 71% and credit at 82% [73]. - The correlation between equity and rates is notably negative at -7%, indicating a potential decoupling of these asset classes [73].

Market Overview & Opportunity - The municipal (MUN) bond market experienced a challenging first half of the year, underperforming other fixed income asset classes, creating an investment opportunity [3][5] - Water and sewer bonds are highlighted as a particularly attractive segment within the MUN market due to their low default rates and inelastic demand [4] - New York City water bonds, serving 95 million people and holding a double A credit rating, offer a tax-equivalent yield of 105% for those in the highest tax bracket who are users of New York City water [4] Issuance & Infrastructure Needs - Approximately $300 billion in revenue is outstanding in water and sewer bonds across the country [1] - Increased issuance is expected for water safety and lead pipe remediation, estimated at $30-40 billion [6] - The EPA estimates $12 trillion in issuance will be needed over the next 20 years to address aging infrastructure [7] - Per- and polyfluoroalkyl substances (PFAS) remediation is a significant driver of increased issuance, with an estimated 15% of utilities needing remediation [6][7] Regional Differences & Safety - In the Midwest and Northeast, the focus is on replacing aging water infrastructure [9] - In the West, the emphasis is on securing water resources, as seen with San Diego's $1 billion debt issuance for water desalination [9][10] - The Southern Nevada Water District issued funds for residents to remove turf and install more efficient water meters [10]

Group 1 - The core viewpoint is that the convertible bond market is experiencing a bull market driven by policy support, supply-demand imbalance, and capital allocation needs, with the China Securities Convertible Bond Index reaching a new high since June 2015 [1] - Since September 24, 2024, the China Securities Convertible Bond Index has accumulated over a 20% increase, entering a technical bull market phase [1] - The supply-demand imbalance is a key driver of the bull market, with the market's outstanding scale shrinking from over 870 billion yuan at the beginning of 2024 to below 680 billion yuan currently [1] Group 2 - The median conversion premium rate in the convertible bond market is close to 30%, with some bonds exceeding 100%, indicating a high valuation state driven by supply-demand imbalance and capital [2] - Investors may not continue to allocate convertible bonds at high premiums if the equity market is extremely weak, as both conversion and holding to maturity could lead to losses [2] - The ongoing bull market in convertible bonds raises the risk of forced redemption, as companies often include redemption clauses that can be triggered under certain conditions [2] Group 3 - Overall, the valuation compression space for convertible bonds is limited under the current institutional capital allocation and supply contraction backdrop, while investors need to be cautious of forced redemption risks [3] - It is advisable to select convertible bonds with good credit quality and avoid those with potential rating downgrades [3] - Despite a noticeable decrease in the number of delistings in the convertible bond market this year, caution is still warranted for bonds with weak credit quality [3]

Group 1: Open Market Operations - The central bank announced a 7-day reverse repurchase operation on June 23, with a fixed rate and quantity tendering of 220.5 billion yuan at an interest rate of 1.40%, with the bid and awarded amount both at 220.5 billion yuan [1] - On the same day, 242 billion yuan in reverse repos and 100 billion yuan in treasury cash deposits matured [1] Group 2: Funding Conditions - The overall funding environment is relatively loose, with overnight pledged repo rates slightly declining but remaining around 1.37%, while the 7-day pledged repo rate increased by over 1 basis point [3] - The latest overnight financing guarantee rate in the U.S. is 4.28% [5] - The latest transaction for one-year interbank certificates of deposit among major banks is around 1.64%, showing little change from the previous day [6] Group 3: Interbank Major Rate Bond Yields - The yields for various government bonds are as follows: - 1Y: 1.3550% - 2Y: 1.3725% - 3Y: 1.4000% - 5Y: 1.4820% - 7Y: 1.5700% - 10Y: 1.6400% [9] Group 4: Recent City Investment Bonds (AAA) Yield Spread Trends - Recent trends and data on yield spreads for city investment bonds (AAA) were analyzed, indicating market conditions [10] Group 5: National Bond Futures Closing - The closing prices for national bond futures are as follows: - 30-year main contract down 0.04% - 10-year main contract down 0.01% - 5-year main contract unchanged - 2-year main contract down 0.01% [11] Group 6: Key News - The Ministry of Foreign Affairs announced that Premier Li Qiang will attend the 16th Summer Davos Forum in Tianjin from June 24 to 25, where he will deliver a special speech at the opening ceremony [11] - Iran plans to close the Strait of Hormuz, with the Ministry of Foreign Affairs responding that the safety and stability of the region are in the common interest of the international community [11] Group 7: Bond Market Developments - The first low-altitude economy ABS was successfully established on the Shenzhen Stock Exchange [15] - The Financial Supervision Administration has allowed currency brokerage companies to facilitate transactions between financial institutions in currency, bonds, foreign exchange, and gold markets [15] - The Japanese government plans to more actively reduce the scale of long-term government bond auctions [15]

Investment Rating - The report maintains an "Overweight" (OW) position on cash, equities, credit, and bonds, while being "Underweight" (UW) on commodities for the next three months [3][21]. Core Insights - Emerging Market (EM) equities have shown resilience despite tariff uncertainties, with a projected earnings growth of 10% to 11% for CY 2025/26, which is 2-3 percentage points higher than previous forecasts [2][6]. - The S&P 500 had its best May performance since 1990, outperforming EM equities year-to-date, although EM equities have generally outperformed US equities in the same period [2][7]. - A weaker US Dollar is expected to support EM outperformance, as EM equities have historically benefited from a weaker Dollar [2][14]. Summary by Sections Economic Outlook - The report highlights the importance of upcoming economic data and decisions from G4 central banks, with expectations of a 25 basis point rate cut by the ECB and stable unemployment rates in the US [1][2]. Market Performance - The S&P 500's performance in May 2025 was notably strong, while EM equities have shown positive macro surprises, contrasting with muted US macro surprises [2][9]. Asset Allocation - The report suggests a diversified approach, advocating for international diversification in equities and bonds, and highlights the potential benefits of EM equity and local rates [3][6][21]. Correlation Analysis - The correlation between MSCI EM and the US Dollar has turned more positive, indicating a decoupling of EM rates from US rates, which may provide investment opportunities [16][18].

Market Overview - The bond market showed consolidation on May 22, with government bond futures mostly stable and interbank bond yields fluctuating within a narrow range of 0.5 basis points [1][2] - The People's Bank of China conducted a net injection of 90 billion yuan in the open market, with short-term funding rates continuing to decline [1][5] Yield Movements - The 30-year government bond futures fell by 0.04% to 119.520, while the 10-year futures rose by 0.01% to 108.815 [2] - The yield on the 10-year China Development Bank bond increased by 0.25 basis points to 1.74%, while the yield on the 30-year government bond decreased by 0.5 basis points to 1.9115% [2] International Bond Markets - In North America, U.S. Treasury yields rose across the board, with the 10-year yield increasing by 11.56 basis points to 4.605% [3] - Japanese bond yields also saw an uptick, with the 10-year yield rising by 6 basis points to 1.575% [3] - Eurozone bond yields increased, with the 10-year French bond yield rising by 4.9 basis points to 3.308% [3] Primary Market Activity - The Export-Import Bank of China issued a 1-year fixed-rate bond with a winning rate of 1.2094%, achieving a bid-to-cover ratio of 4.23 [4] - The China Development Bank's 3-year and 7-year financial bonds had winning yields of 1.5274% and 1.6676%, respectively, with bid-to-cover ratios of 2.21 and 5.03 [4] Funding Conditions - The central bank conducted a 7-day reverse repurchase operation with a total amount of 154.5 billion yuan at a rate of 1.40%, resulting in a net injection of 90 billion yuan for the day [5] - Short-term Shibor rates mostly declined, with the overnight rate falling by 4.4 basis points to 1.465% [5] Institutional Insights - Huatai Securities noted that while April real estate data showed marginal weakness, the impact of interest rate cuts on bank interest margins is expected to be limited [6] - Shenwan Hongyuan projected that increased government bond supply in Q2 and Q3 will create opportunities for banks to allocate bonds, particularly in local and national bonds [7] - China International Capital Corporation highlighted that the flattening of the deposit curve could provide more room for long-term interest rate declines, potentially leading to a bull steepening of the yield curve [7]