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 ...

Group 1: Monetary Supply and Loan Data - In July, new social financing (社融) was 1.16 trillion yuan, below the Bloomberg consensus estimate of 1.63 trillion yuan[1] - New RMB loans decreased by 500 million yuan, contrasting with the expected increase of 3 billion yuan, resulting in a year-on-year decline of 3.1 billion yuan[4] - M2 growth accelerated to 8.8% year-on-year, up from 8.3% in June, exceeding the expected 8.3%[7] Group 2: Government Debt and Fiscal Policy - The net issuance of government bonds in July was 1.24 trillion yuan, an increase of 555.9 billion yuan year-on-year, contributing approximately 4.1 percentage points to the year-on-year growth of social financing[4] - Total net issuance of government bonds for the first seven months reached 8.9 trillion yuan, up by 4.9 trillion yuan year-on-year, indicating a proactive fiscal policy[1] - Broad fiscal spending grew by 8.9% in the first half of the year, significantly higher than the -2.8% in the same period last year[6] Group 3: Loan Demand and Economic Indicators - The year-on-year growth rate of RMB loans fell to 6.9% in July from 7.1% in June, reflecting weak private sector loan demand[4] - July saw a decrease of 3.1 billion yuan in new short-term and medium-to-long-term loans for residents, primarily due to weakened real estate demand[6] - The month-on-month growth rate of social financing adjusted for seasonality increased from 8.4% in June to 9.6% in July, indicating a potential stabilization in short-term economic growth[1]

证 券 研 究 报 告 政策不确定性下降，7月全球资金回流美股美债 www.swsresearch.com 证券研究报告 2 ◼ 7月全球资产价格回顾：7月受益于大而美法案的通过，政策不确定性落地提升全球资金风险偏好，多数权益类资产涨幅靠前，亚太类市场领涨全球。1）权益方面，7月一方面关税冲击 的影响逐步消退，市场开始逐步适应特朗普的执政风格，另一方面大而美法案的通过提升资金风险偏好，亚太股市，尤其是A股、越南股市和香港股市涨幅靠前；2）固收层面，7月美联 储不降息基本符合市场预期，10年美债收益率先升后降，整体来看7月变动幅度不大，美元指数则反弹3.40%；3）商品层面，本月原油价格有所反弹，受益于全球经济基本面的提升预期 以及沙特和俄罗斯减产计划，布伦特原油价格上涨9.4%；黄金下跌1.6%。 ◼ 7月美国大而美法案于7月3日获得众议院通过。大而美法案中囊括了国防、边境安全、能源政策、医疗补助、社会福利、教育等多项支出的增减；从金额来看，法案计划在未来10年内减 税4万亿美元、削减至少1.5万亿美元支出。该项综合性财政法案通过后，提升了全球资金的风险偏好，7月以来，中国、中国香港、美国和欧洲的主要股指均录 ...

Group 1 - Global investors are shifting away from high-priced corporate bonds, with many asset management firms and top banks taking defensive positions against the corporate debt market [1][2] - The investment-grade bond spread has narrowed to 78 basis points, nearing the 27-year low of 1998, indicating extreme market optimism that contrasts sharply with official economic forecasts [1][2] - There is a significant increase in demand for options to short corporate bond indices, suggesting that investors foresee a reasonable downside in the stock market over the next three months [1][3] Group 2 - Current credit spread levels imply a global economic growth expectation of nearly 5%, which is significantly higher than the IMF's forecast of 3%, causing unease among some investors [2] - The probability of a recession in the U.S. is estimated at 40% according to the IMF, while other major economies also face risks, leading to a low allocation strategy in credit [2] - The U.S. Treasury market is signaling deep concerns about the economic outlook, with bets on potential interest rate cuts by the Federal Reserve [2] Group 3 - Historically, the credit market has acted as a leading indicator for broader market movements, with recent trends indicating a potential market reversal [3] - A significant change was noted as the proportion of corporate bonds with narrowing spreads dropped from 80% to 60% within five trading days, marking a critical shift [3] - Macro investors are likely taking directional views or hedging against the upward trend in risk assets, indicating a change in market sentiment [3] Group 4 - High-yield bonds are seen as the most vulnerable segment in the overpriced corporate debt market, with expectations of rising refinancing costs and default rates potentially impacting the stock market [4] - The risk premium for U.S. junk bond issuers has fallen to its lowest level since 2020, at approximately 2.8%, indicating severe compression of market risk premiums [4] - A downturn in the credit market is expected to eventually pressure the stock market as well [4] Group 5 - Not all market participants share a pessimistic view, as the Nasdaq 100 index recently recorded its largest weekly gain in over a month, supported by strong technical factors and better-than-expected earnings [5] - Market strategists note that when there is a divergence between the stock and bond markets, the bond market tends to be the more accurate indicator of economic conditions [5]

第 432 期 8月6日消息，交通运输部、财政部、自然资源部联合发布《新一轮农村公路提升行动方案》。 债券自营策略调整！委外需求增加， 寻求"固收+"投资机会 近日，因增值税政策变化，债券市场出现了明显波动。"新老划断"引发机构抢筹，短期带来了交易性机 会，而长期来看，银行、保险、券商等机构投资者，为了追求低利率时代下更高的收益，或调整债券投 资策略，寻求比如红利资产等"固收+"投资机会。同时，因公募等资管产品享受了"减半"税收优惠，不 排除更多银行保险资金，选择委托外部公募资管的方式进行债券投资。 宏观动态 三部门：各地可继续安排政府债券用于符合条件的农村公路项目建设 2025-08-06 焦点关注 其中提到，中央财政通过现有资金渠道支持"四好农村路"发展。各省份统筹现有资金渠道支持本省份农 村公路建设、管理、养护和运营，市县落实对农村公路的主体责任。各地可继续安排政府债券用于符合 条件的农村公路项目建设。用好农村客运补贴资金保障农村客运稳定运行。加强资金监管，省、市、县 级财政部门做好监督专项资金支付进度工作，加强规划和财政预算的约束，严禁违规举借债务，严禁新 增政府隐性债务。 央行单日净回笼1705亿元 ...

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]

Summary of Conference Call on Tax Policy Impact on Bond Market Industry Overview - The conference call discusses the impact of the new value-added tax (VAT) policy on the bond market, specifically focusing on different types of bonds and their yields [1][2][3]. Key Points and Arguments 1. **Tax Policy Changes**: The new VAT policy aims to enhance market pricing efficiency, expected to align bond appreciation yields closer to credit bonds. The additional tax burden for banks and insurance self-operated institutions is estimated to increase by 9 basis points (BP), while asset management institutions will see an increase of 4.5 BP [1][2][3]. 2. **Yield Spread Impact**: The new policy is projected to widen the yield spread between new and old bonds by 4.5 to 9 BP. New bond yields are expected to rise by 3 to 6 BP, while old bond yields may slightly decline by 1 to 3 BP [1][2][6]. 3. **Public Fund Tax Exemption**: If public funds continue to enjoy tax exemptions, the actual impact on market yields may be reduced. The theoretical yield spread between 10-year government bonds and policy bank bonds, which is 44 BP, has only realized 6 BP, indicating a 13% realization rate due to the tax exemption [4][6]. 4. **Differential Impact by Bond Type**: The impact of the new tax policy varies by bond duration and activity level. Key duration bonds like 10-year and 30-year government bonds have lower tax spread realization rates, while shorter-duration government and local government bonds may experience higher realization rates [5][6]. 5. **Market Dynamics**: The adjustment in VAT policy is not primarily aimed at increasing fiscal revenue or directing funds into the stock market. It is expected to generate an additional 20 to 70 billion RMB annually [3][9]. 6. **Economic Environment**: The overall impact of the new tax policy on the economic environment and future trends is considered limited. Current manufacturing PMI data indicates a slight decline, but non-manufacturing activities remain above the critical point, suggesting ongoing expansion [10]. 7. **Market Sentiment**: There is a notable "see-saw" effect between the stock and bond markets, where fluctuations in the equity market may significantly influence the bond market. The demand for higher yields is strong, leading to potential capital shifts towards the stock market [13][14]. Other Important Considerations - **Future of Public Fund Tax Exemption**: There is uncertainty regarding whether public funds will continue to enjoy tax exemptions, with market opinions divided. The potential for future policy changes remains a critical area to monitor [8]. - **Historical Context**: The VAT policy change reverses previous exemptions for government bonds, local government bonds, and financial bonds, which had been exempt since 2016 [7]. - **Monitoring Fund Flows**: Continuous monitoring of fund flows between the stock and bond markets will be essential, especially as market conditions evolve [14]. This summary encapsulates the key insights from the conference call regarding the implications of the new tax policy on the bond market and related economic factors.

Group 1: Domestic News - The China-US economic talks commenced in Stockholm on July 28, aiming to translate important consensus into specific policies and actions to advance bilateral economic relations [2] - The National Taxation Administration announced that during the "14th Five-Year Plan" period, the cumulative new tax cuts and fee reductions are expected to reach 10.5 trillion yuan, significantly promoting economic and social development [2] Group 2: Industrial and Economic Policies - The Ministry of Industry and Information Technology emphasized eight key areas for the second half of the year, including expanding domestic demand, promoting high-quality development of key industrial chains, and enhancing technological innovation [3] - A new childcare subsidy plan was announced, providing 3,600 yuan per child annually for children under three years old starting from January 1, 2025 [3] Group 3: International News - The U.S. Treasury Department projected a net borrowing of 1.007 trillion dollars for the third quarter, significantly higher than previous estimates due to the increase in the debt ceiling [4] - The U.S. government is accelerating bond issuance to replenish cash reserves after the debt ceiling was raised by 5 trillion dollars [4] Group 4: Financial Market Dynamics - On July 28, the central bank conducted a 4.958 billion yuan reverse repurchase operation, resulting in a net cash injection of 3.251 billion yuan for the day [6][7] - The bond market showed a warming trend, with the yield on the 10-year government bond falling by 1.75 basis points to 1.7150% [8] Group 5: Commodity Market - International crude oil prices rose, with WTI crude oil futures increasing by 2.38% to 66.71 dollars per barrel [5] - Natural gas prices fell by 2.04% to 3.032 dollars per million British thermal units [5] Group 6: Credit Market - Several corporate bonds experienced significant price deviations, with "24远洋控股PPN001" dropping over 13% and "H1碧地04" declining over 10% [10] - Companies such as 景峰医药 and 正邦科技 faced financial difficulties, with the former unable to repay a loan and the latter entering pre-restructuring [11] Group 7: Convertible Bonds - The convertible bond market saw a collective decline, with major indices dropping by 0.70% to 0.81% on July 28 [15] - The trading volume in the convertible bond market decreased by 9.94 billion yuan compared to the previous trading day [15]

Group 1: Report Industry Investment Rating - No relevant content mentioned Group 2: Core Viewpoints of the Report - Anti - involution policies affect commodity prices and inflation expectations, leading to significant adjustments in the bond market. Credit bond yields rise with interest rates, and most credit spreads widen, especially for secondary perpetual bonds [3]. - It's too early to talk about negative feedback, with a very low probability. The market's ability to respond has improved, and there has been no change in macro - expectations. Moreover, bank wealth management's focus on liquidity can prevent negative feedback [4][6]. - The asset shortage pattern remains unchanged and is intensifying. Interest rates may have short - term adjustments but not continuous and significant ones. Credit spreads are likely to be volatile, and investors should seize phased trading opportunities [7]. Group 3: Summary by Related Catalogs 1 Market Review: Sharp Correction, Widening Spreads of Secondary Perpetual Bonds 1.1 Market Performance - The credit bond market had a sharp correction this week, with credit spreads widening. The stock market strengthened, and the bond market adjusted significantly. Yields of medium - and long - term secondary perpetual bonds rose more than 10bp, with a 14.5bp decline in 10Y secondary perpetual bonds. Credit spreads of secondary perpetual bonds widened more, while those of some medium - and long - term notes, corporate bonds, and urban investment bonds slightly narrowed [25]. 1.2 Insurance Continues to Allocate, Funds Sell Massively - Insurance companies continued to strongly allocate credit bonds, with a net purchase of 125.63 billion yuan this week, a 38.7% increase from the previous week. The net purchase of ultra - long - term credit bonds over 5 years was 6.75 billion yuan, with a similar increase compared to the previous week [40]. - Funds sold a large amount of credit bonds, reaching 22.578 billion yuan. The net sales of bonds within 5Y were 12.738 billion yuan, and those over 5Y were 7.474 billion yuan [40]. 1.3 Low - Rating Transaction Proportion Declines - The proportion of transactions with a remaining maturity of over 3 years for urban investment bonds, industrial bonds, and secondary perpetual bonds was 30%, 29%, and 72% respectively, remaining at a high level. The proportion of low - rating transactions decreased, with a 1 - percentage - point decline in urban investment bonds with AA(2) and below, a 1 - percentage - point decline in industrial bonds with AA and below, and a 3 - percentage - point decline in secondary perpetual bonds with AA and below [49][53]. 2 Market Outlook: Redemption is Controllable, Seize Trading Opportunities 2.1 Redemption is Controllable, Seize Trading Opportunities - The market adjusted due to the impact of anti - involution policies on commodity prices and inflation expectations. Indicators such as the term structure of interest rate swaps showed a change in inflation expectations [57][61]. - There is no need to worry about negative feedback because the market's response ability has improved, and bank wealth management's focus on liquidity can prevent it. The asset shortage pattern persists, and interest rates are unlikely to have continuous and significant adjustments. Credit spreads are likely to be volatile, and investors should seize phased trading opportunities [4][7]. 2.2 Science and Technology Innovation Bonds Continue to Contribute Net Financing - In July, non - financial credit bond financing was good, with a net financing of 347.9 billion yuan, exceeding the levels of July in the previous two years [93]. 3 What to Buy in Credit? 3.1 Focus on High - Grade Secondary Perpetual Bonds for Trading, Weak - Quality Urban Investment Bonds for Coupon - For short - term secondary perpetual bonds, the price - to - value ratio is positive, while for medium - and long - term ones, it is negative. It is recommended that high - grade trading strategies focus on secondary perpetual bonds, and low - grade coupon strategies focus on urban investment bonds. The price - to - value ratio of short - term AAA secondary capital bonds to medium - term notes remains positive, and that of long - term ones fluctuates around 0 [100]. - The price - to - value ratio of short - term urban investment bonds to medium - term notes is positive, and that of long - term low - grade ones has rebounded rapidly, reaching the historical central level. Urban investment bonds still have an advantage in terms of bond selection scope [102]. 3.2 General Credit Coupon is More Advantageous - Currently, the proportion of urban investment bonds with a valuation above 2.3% is 19.8%, that of non - financial industrial bonds is 10.8%, and that of secondary perpetual bonds is 6.8%. From the perspective of coupon bond selection, general credit has a wider bond selection space [106]. 3.3 First - Level Issuance Statistics - No specific content provided in the output for further summary 3.4 Second - Level Valuation Change Details - No specific content provided in the output for further summary

Group 1: Primary Market - In the week from July 21 to July 25, 2025, a total of 414 credit bonds were issued, with a total issuance scale of 592.83 billion, representing a week-on-week increase of 47.80% [3] - Among the issued bonds, industrial bonds accounted for 202 issues with a scale of 219.28 billion, a week-on-week increase of 24.66%, making up 36.99% of the total issuance [3] - City investment bonds totaled 166 issues with a scale of 109.63 billion, a week-on-week increase of 2.90%, representing 18.49% of the total [3] - Financial bonds had 46 issues with a scale of 263.92 billion, a week-on-week increase of 122.44%, accounting for 44.52% of the total [3] - The average issuance term for credit bonds was 3.35 years, with industrial bonds at 3.38 years, city investment bonds at 3.75 years, and financial bonds at 1.66 years [3] - The overall average coupon rate for credit bonds was 2.08%, with industrial bonds at 2.01%, city investment bonds at 2.25%, and financial bonds at 1.83% [3] - A total of 23 credit bonds were canceled during the week [3] Group 2: Secondary Market - Credit spreads increased across industries, with the largest increase in AAA-rated industries being in pharmaceuticals, which rose by 7.6 basis points, while electronics saw a decrease of 1.5 basis points [4] - For AA+ rated industries, real estate experienced the largest increase in credit spreads by 8.9 basis points, while building materials decreased by 15.3 basis points [4] - In the AA-rated category, electronics had the largest increase in credit spreads by 7.5 basis points, while building materials decreased by 0.5 basis points [4] - In terms of city investment bonds, the largest increase in AAA-rated credit spreads was in Shaanxi, which rose by 5.3 basis points, while Yunnan saw a decrease of 1.2 basis points [4] - For AA+ rated credit spreads, Fujian had the largest increase of 6.4 basis points, while Qinghai decreased by 1.2 basis points [4] - The largest increase in AA-rated credit spreads was in Hubei, which rose by 6.5 basis points, while Sichuan decreased by 2 basis points [4] Group 3: Trading Volume - The top three credit bonds by trading volume were commercial bank bonds, corporate bonds, and medium-term notes [5] - Commercial bank bonds had a trading volume of 573.26 billion, a week-on-week increase of 35.93%, accounting for 37.04% of the total trading volume [5] - Corporate bonds had a trading volume of 368.42 billion, a week-on-week increase of 1.83%, representing 23.81% of the total [5] - Medium-term notes had a trading volume of 327.90 billion, a week-on-week decrease of 4.54%, making up 21.19% of the total [5]