第 445 期 2025-08-25 焦点关注 央行大额投放，债市有所修复 近一段时间债券市场持续震荡引发关注，股债"跷跷板"效应明显。今天A股三大指数继续走强，A股成 交额历史第二次突破3万亿元。 但债市对权益市场表现有所脱敏，情绪出现修复迹象，30Y超长特别国债2500002收益率下行4bp至 1.9975％，时隔多日再度步入2.0%下方。国债期货收盘全线大幅上涨，30年期主力合约涨0.78%，10年 期主力合约涨0.27%，5年期主力合约涨0.15%，2年期主力合约涨0.10%。 公开市场方面，央行今日开展2884亿元7天逆回购操作，投标量2884亿元，操作利率为1.40%，因今日 2665亿元逆回购到期，单日净投放219亿元。此外，叠加今日将开展6000亿元1年期MLF操作，当日共 实现净投放6219亿元。 交易员表示，尽管短期内股市高热或继续造成存款搬家，并扰动资金面，但在政策护航下料流动性整体 仍无虞。 10只科创债ETF自8月27日起纳入可质押库 10只科创债ETF将于8月27日起纳入可质押库。首批科创债ETF上市首日（7月17日），10家管理人已向 中国结算提交了旗下科创债ETF纳入回购质押库 ...

固定收益 | 固定收益点评 固收周度点评 证券研究报告 债市或延续区间波动 1、债市复盘：股市继续压制、资金收敛，赎回压力增加 本周，债市跟随股市演绎，未能走出独立行情，呈现近乎"股市涨势延续、 债市跌势不止"的单边趋势：（1）股债"跷跷板"效应明显，债市对基本 面"脱敏"。（2）市场情绪敏感，出现债基的集中赎回。上半周赎回压力加 大，基金卖盘明显增加。（3）利率中枢上移，单日波动加大。10 年国债活 跃券收益率 8/18 便突破 1.75%关键点位，而后运行于 1.75%-1.79%的区间。 资金面超预期收敛后边际缓和，资金利率波动加大，大行净融出规模快速 回落，整体上呈现两点特征：（1）预期与现实的背离，原因在于传统的税 期和非传统的股债市场联动改变资金流向两点因素形成的共振冲击。（2） 流动性投放力度大、节奏前置以稳定预期，阻断赎回压力的蔓延。 2、利率筑顶了吗？ 过去的一周，在赎回担忧发酵的同时，央行呵护显效、配置盘持续买入、 交易盘抛售到小幅净买入，或逐步对利率向上的空间形成一定约束，我们 预计 1.80%或成为 10年期国债利率的阶段性顶部，当前正处筑顶的过程中。 央行的适时呵护对债市的调整形成一 ...

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 ...

Group 1 - The new tax policy allows individual investors to enjoy tax exemptions on interest income from government bonds, local government bonds, and financial bonds, provided their monthly interest does not exceed 100,000 yuan, effective until December 31, 2027 [1][2] - The policy aims to unify the tax system and eliminate tax burden differences among various bonds, enhancing market pricing efficiency and potentially increasing the issuance rates of new bonds by 5-10 basis points [1][2] - The tax burden on institutional investors will lead to a decrease in after-tax returns, with self-operated portfolios experiencing a one-time drop of approximately 6% and asset management products declining by about 3% [1][2] Group 2 - The tax increase is expected to widen the yield spread between new and old bonds, with older bonds likely to trade at a premium due to the tax exemption, while new bonds will need to offer higher nominal rates [2][3] - Financial institutions may adjust their strategies, potentially reducing their holdings in high-weight interest rate bonds and increasing investments in tax-exempt local government bonds [2][3] - The policy is designed to balance the need for government revenue without significantly impacting market liquidity, as 95% of retail investors will still benefit from tax exemptions [2][3] Group 3 - The issuance costs for new bonds are projected to rise by 3-5 basis points, but this increase is considered manageable [3] - High-net-worth individuals and private equity funds are expected to be more affected by the tax changes, potentially leading them to split funds across multiple accounts or shift towards older bonds [3][4] - The overall impact on the bond market is anticipated to be moderate, with the long-term effects dependent on the continuation of tax exemptions after 2028 [3][4]

Core Points - The People's Bank of China has released a draft decision to amend certain regulations, focusing on enhancing the functions of bond registration, custody, and settlement institutions, optimizing information disclosure mechanisms, and improving the liquidity of pledged bonds and the efficiency of fund utilization [1][2] Group 1: Regulatory Changes - The amendments primarily involve the issuance of financial bonds in the interbank market, non-financial corporate debt instruments, and the management of bond registration, custody, and settlement [2] - The draft includes significant updates to three management measures, specifically the "Measures for the Administration of Financial Bond Issuance in the National Interbank Bond Market," "Measures for the Administration of Non-Financial Corporate Debt Financing Instruments in the Interbank Bond Market," and "Measures for the Administration of Bond Registration, Custody, and Settlement in the Interbank Bond Market" [2][3] - The definition and scope of bond registration and custody institutions have been updated, explicitly including the Shanghai Clearing House as a legal entity [2][3] Group 2: Information Disclosure - The revised regulations require issuers to submit relevant information disclosure documents through the financial bond issuance management information system to the interbank lending center, which will then forward these documents to the bond registration and custody institutions [3][4] - The changes aim to enhance the role of the interbank lending center in managing financial bond issuance information and ensuring compliance with disclosure requirements [4] Group 3: Pledged Bonds - A significant change is the removal of the previous requirement for pledged bonds to be frozen, which is expected to enhance liquidity and efficiency in the bond market [7][9] - The new regulations allow bond registration and custody institutions to provide pledge registration services without freezing the pledged bonds, enabling them to be reused or traded during the pledge period [9][10] - This adjustment is anticipated to improve the utilization of collateral and facilitate the development of a multi-tiered bond market, aligning domestic practices with international standards [9][10][11]

Group 1: Monetary Policy and Market Operations - The central bank conducted a 7-day reverse repurchase operation on July 22, with a fixed rate and a total of 214.8 billion yuan at an interest rate of 1.40% [1] - On the same day, 342.5 billion yuan in reverse repos and 120 billion yuan in treasury cash deposits matured [1] - The interbank market showed a significant improvement in liquidity, with the weighted average interest rate for overnight repos (DR001) dropping over 5 basis points, approaching 1.30% [3] Group 2: Bond Market Performance - The yields on long-term government bonds (7-year, 10-year, and 30-year) increased by over 1 basis point, indicating a weak performance in the bond market [9] - The closing prices for government bond futures showed a decline across all maturities, with the 30-year main contract down by 0.4% [12] Group 3: Social Insurance and Employment - As of the end of June, the number of participants in basic pension, unemployment, and work injury insurance reached 1.071 billion, 245 million, and 300 million respectively, showing steady growth year-on-year [13] - The total income of the three social insurance funds in the first half of the year was 4.53 trillion yuan, with total expenditures of 3.89 trillion yuan, resulting in a cumulative balance of 9.83 trillion yuan [13] - The number of new urban jobs added in the first half of the year was 6.95 million [13] Group 4: International Investment Initiatives - The German government, along with business representatives, announced a large-scale investment initiative to invest 631 billion euros by 2028 to boost the economy and enhance competitiveness [15]

Summary of Key Points from Conference Call Records Industry Overview - The records primarily discuss the bond market, particularly focusing on long-term credit bonds and their market dynamics in 2025 [1][2][4][7]. Core Insights and Arguments 1. **Market Dynamics**: Since late May 2025, the long-term credit bond market has seen a significant uptick due to monetary easing measures such as interest rate cuts and increased liquidity from non-bank institutions. This has led to a rapid growth in credit bond ETFs [1][7]. 2. **Investment Trends**: There has been a notable increase in net purchases of medium-term bonds (5-7 years) by various institutional investors, including funds, insurance companies, and pension funds. The peak net purchase reached approximately 3.5 billion, compared to 0.5 billion in the previous year [8]. 3. **Credit Spread Compression**: Short-term bonds (up to 3 years) have experienced extreme compression in credit spreads, while long-term bonds (5 years and above) still have room for further compression, with potential spread reductions of 17-40 basis points compared to last year's lows [1][10]. 4. **Market Reactions**: The bond market's volatility in July 2025 was attributed to regulatory changes in rural financial institutions and uncertainties in real estate policies. However, the core issue was the over-concentration of trades and unmet expectations for monetary easing [2][3]. 5. **Long-term Credit Bond Strategy**: Investors are advised to look for opportunities in long-term credit bonds, particularly when yields approach around 1.7%. Continuous monitoring of fund redemption and government bond supply is crucial for making informed investment decisions [4][5][6]. 6. **Central Bank Operations**: The central bank's recent actions, including substantial reverse repo operations, indicate a commitment to maintaining liquidity in the market, which is expected to prevent significant upward pressure on bond prices [5][6]. Additional Important Insights 1. **Debt Management**: The records highlight the challenges faced by local government financing platforms in managing debt, with a notable slowdown in the growth of interest-bearing debt and bonds, reaching the lowest growth rates since 2019 [14][20]. 2. **Debt Structure Changes**: The proportion of long-term debt in local government financing platforms has increased, with long-term debt now accounting for 70.5% of total debt. However, the asset-liability ratio has also risen, indicating growing financial pressure [16][17]. 3. **Cash Flow Concerns**: There is a concerning trend in the short-term debt repayment capacity of local governments, with a decrease in the coverage ratio of cash to short-term debt, indicating potential liquidity issues [17][19]. 4. **Future Outlook**: Key areas to watch include the market transformation of financing platforms, the repayment of overdue corporate debts, and the resolution of issues related to unlicensed financial institutions [21][22]. This summary encapsulates the critical points discussed in the conference call records, providing a comprehensive overview of the current state and future outlook of the bond market and local government financing platforms.

Group 1: Report Overview - The report is a fixed - income report released on July 14, 2025 [1] - Analysts are Liang Weichao and Li Shukai [2] Group 2: Industry Investment Rating - No industry investment rating is provided in the report Group 3: Core Viewpoints - In the second week of July, the bond market entered a consolidation phase. Credit bonds declined less than interest - rate bonds. After the adjustment, the short - term participation window for ultra - long - term bonds has likely passed, and the 3 - 5 - year weak - quality riding strategy may offer better cost - effectiveness. Also, 1 - 2 - year short - duration sinking is a good choice [3][5][30] Group 4: Market Performance Summary Overall Bond Market - In the week from July 7 to July 11, 2025, due to multiple negative factors, the "stock - bond seesaw" effect was in play, with the equity market strengthening and interest - rate bonds weakening. Credit bonds followed the trend of interest - rate bonds but declined less [3][10] Yield Changes of Major Bond Types - For Treasury bonds, the 1Y, 2Y, 3Y, 4Y, and 5Y maturity yields increased by 3.40BP, 4.61BP, 3.67BP, 3.58BP, and 3.63BP respectively. For AAA medium - and short - term notes, the yields changed by - 0.58BP, 1.46BP, 3.34BP, 3.59BP, and 3.87BP respectively; for AA+ medium - and short - term notes, they changed by - 1.58BP, 0.46BP, 1.34BP, 4.59BP, and 2.87BP respectively [10][12] Ultra - long - term Credit Bonds - Ultra - long - term credit bonds were also adjusted. The adjustment of urban investment ultra - long - term bonds was the highest. Only AA+ 10Y medium - term notes performed well with a continued decline in valuation yield. AAA/AA+ 10Y medium - term note yields increased by 2.62BP and decreased by 1.38BP respectively. AAA/AA+ 10Y urban investment yields increased by 3.36BP and 4.36BP respectively, while the 10Y Treasury bond yield only increased by 2.20BP [3][11] Perpetual and Secondary Bonds (Er Yong Bonds) - The market of Er Yong bonds weakened and showed the characteristic of a "volatility amplifier". The decline of those with a maturity of less than 5Y was greater than that of general credit bonds of the same maturity, and the decline of those with a maturity of 7Y and above slightly exceeded that of ultra - long - term credit bonds. The yields of 1 - 5Y, 7Y, and 10Y AAA - bank secondary capital bonds increased by 3.94BP, 5.14BP, 5.79BP, 5.32BP, 5.44BP, 4.35BP, and 4.78BP respectively [4][17] Group 5: Market Feature Analysis Curve Shape - The steepness of the 1 - 2Y for all ratings and 3 - 5Y for low - ratings was the highest, but it was slightly lower compared to the end of May, and the 1 - year segment remained relatively flat [13] Historical Quantiles - The ticket - coupon value of credit bonds remained low. In terms of credit spreads, there may be opportunities for participation in the 3Y - 5Y segment. The yields of 1Y - AAA, 3Y - AAA, etc. were at relatively low levels since 2024, and after a week of adjustment, the short - end 1Y still had no cost - effectiveness, while the protection of 3Y - 5Y was enhanced [15] Active Trading - The trading sentiment of Er Yong bonds was relatively weak. The proportion of low - valuation transactions from July 7 to July 11 was 100.00%, 2.44%, 46.34%, 100.00%, 80.49% respectively, and the average trading durations were 5.90 years, 0.59 years, 2.14 years, 6.25 years, 4.02 years respectively. The trading margin of Er Yong bonds below the valuation was small, generally within 3BP; the discount trading margin was also small, generally within 2BP [19][20][22] Ultra - long - term Credit Bonds - Institutions' willingness to sell ultra - long - term credit bonds increased significantly compared to the previous week. The proportion of discount transactions was 2.44%, 85.37%, 70.73%, 95.12%, 60.98% respectively, and the discount margin was mostly within 3BP. The market's willingness to buy ultra - long - term credit bonds weakened, and the trading focus returned to the 3 - 5 - year riding transactions of low - quality urban investment bonds. Although the market adjusted, institutions' willingness to buy was still strong, with about 45% of the transactions below the valuation having a margin of 4BP or more [5][25][26]

Report Overview - Report Type: Fixed Income Report - Release Date: July 2, 2025 - Analysts: Liang Weichao, Li Shukai 1. Industry Investment Rating No industry investment rating is provided in the report. 2. Core View - The ultra-long-term credit bond market cooled down in the last week of June after two consecutive weeks of heating up, but it is only a temporary adjustment without signs of a market reversal. - In the short term, one can be more optimistic about the opportunities to participate in ultra-long-term credit bonds, especially considering the potential incremental space from the expansion of bond ETF products, which may improve the liquidity of ultra-long-term bonds. - However, the thin coupon protection makes them less resistant to fluctuations, and the vulnerability of the liability side of public fund products should not be ignored. A strategy of quick entry and exit and staying ahead of the news may be a good choice [5][26]. 3. Summary by Directory 3.1 Ultra-long Term Temporarily Cools Down - **Market Performance in the Last Week of June**: The bond market entered a consolidation phase, with interest rates first weakening and then strengthening. Credit bonds performed worse than interest rate bonds, with larger declines. Affected by the "stock-bond seesaw" effect, the short - and medium - term yields of interest rate bonds fluctuated downward, while the long - and ultra - long - term yields adjusted. Credit bonds had different trends from interest rate bonds, with relatively larger adjustment amplitudes [3][10]. - **Performance of Ultra-long-term Credit Bonds**: After two consecutive weeks of rising, ultra-long-term credit bonds adjusted, with the adjustment amplitude even exceeding that of the same - term interest rate bonds. The yields of AAA/AA+ 10Y medium - term notes increased by 2.5BP and decreased by 1.5BP respectively, and the yields of AAA/AA+ 10Y urban investment bonds increased by 3.7BP and 1.7BP respectively, while the 10Y treasury bond yield only increased by 0.7BP [3][10]. - **Curve Morphology**: The steepness of the 1 - 2 year for medium - and high - grade bonds and the 2 - 5 year for low - grade bonds was the highest, but overall it was slightly lower than at the end of May, and the short - end remained flat [12]. - **Absolute Yield and Credit Spread**: The coupon value remains low. In terms of credit spreads, there may be opportunities around the 3 - year mark. After a week of adjustment, the short - term 1 - year still lacks cost - effectiveness, while the protection of the 3 - year has strengthened [14]. - **Performance of Perpetual and Tier 2 Bonds**: The market of perpetual and tier 2 bonds weakened. The decline of those within 5 years was similar to that of the same - term general credit bonds, and the performance of those over 7 years was comparable to that of ultra-long - term credit bonds. The yield of 4 - 10 year AAA - bank tier 2 capital bonds increased by 1.98BP, 0.36BP, 1.38BP, 4.01BP, 3.69BP, 3.85BP, and 2.62BP respectively [4][16]. - **Active Trading of Perpetual and Tier 2 Bonds**: The trading sentiment fluctuated throughout the week, being poor on Tuesday and Wednesday and better on the other days. The proportion of low - valuation transactions and the average trading duration also fluctuated. The trading amplitude of low - valuation and discount transactions was small [18][19][21]. - **Selling and Buying Intentions of Ultra-long-term Credit Bonds**: Institutions' selling intention increased compared with the previous week, but the discount amplitude was mostly within 3BP, not an urgent selling situation. The market's buying intention was not weak, with about 43% of the low - valuation transactions having an amplitude of 4BP or more, indicating the existence of allocation demand [5][22][24].

Market Overview - As of June 30, the bond market showed slight weakness influenced by PMI data, cross-quarter funding, and stock market performance, continuing a narrow fluctuation pattern [1] - Overall, the yield on government bonds is expected to rise initially and then decline in the first half of 2025, with credit spreads mostly narrowing [1] - The funding environment is balanced and slightly loose, with a decrease in funding prices compared to June, where the average decline of DR007 is about 10 basis points [1] Bond Issuance - By June 30, the total issuance of various bonds reached 27.29 trillion yuan, a year-on-year increase of nearly 24%, with government bonds accounting for 16.93 trillion yuan and credit bonds 10.35 trillion yuan [2] - In the first half of 2025, 98 government bonds were issued, a decrease of 8 from the previous year, with the issuance scale increasing by over 2 trillion yuan [4] - Local government bonds saw an increase in issuance, with 1,086 bonds issued, up 310 from the previous year, and the average issuance rate down by approximately 55 basis points [6] Trading Volume - The total trading volume of cash bonds in the market was 166.43 trillion yuan, a year-on-year decrease of 6.94%, with credit bonds accounting for 39.63 trillion yuan [16] - The trading volume of interest rate bonds also decreased, with a total of 124.29 trillion yuan traded, down 6.49% year-on-year [17] Yield Trends - The yield curve for government bonds showed an overall decline in the first half of 2025, with significant decreases in the medium to long end, such as a 55.89 basis point drop in the 10-year yield [19] - Local government bonds exhibited similar trends, with the 10-year yield down by 55.51 basis points [21] Institutional Insights - Institutions expect that the funding rates will remain loose in July, but the issuance of local special bonds may create some disturbances in the funding environment [29] - The basic economic trends are still favorable for the bond market, with internal demand needing improvement and external demand facing challenges [30]