A股与债市同庆，跷跷板失灵背后的全球联动 今日上午，资本市场上演了一幅罕见的双牛图景——A股与债市居然携手上涨，打破了平日里此消彼长 的"跷跷板"效应。上证指数与中证转债双双拔高逾1%，与此同时，国债收益率却悄然下行1至2个基 点。这不禁让人扼腕，难道市场运行的固有规律在此刻出现了失灵？ 美联储预期引爆全球流动性，国内政策空间悄然打开 令人意想不到的是，这场"股债双涨"的盛宴，其幕后推手竟远在海外。美联储降息预期的突然升温，如 同一把火，瞬间点燃了全球流动性宽松的预期。在此背景下，国内货币政策的空间也随之豁然开朗。过 往，当流动性充裕时，资金往往在股市的风险收益之间抉择，或是涌入股市博取高额回报，或是退守债 市寻求避险。而今天，资金却表现出前所未有的"博爱"，同时惬意地流入了股市与债市。 充裕流动性喂养双市，利率债暖流涌动，股市亦享"温水" 上午，央行不仅开展了6000亿元的一年期MLF操作，还实现了逆回购的净投放。银行间市场资金价格 DR007维持在1.49%的低位，市场资金面异常充裕，完全不存在"缺钱"的烦恼。充沛的流动性犹如甘 霖，最先滋养了债券市场，特别是中短端品种，而股市也随之沐浴在"温水"之中，一 ...

华泰证券研报称，当前债市票息保护弱、重博弈、情绪驱动强，投资体验"事倍功半"。短期债市仍处逆 风，但利率大概率"上有顶"。短期维持十年国债老券上限在1.8%附近（配置盘开始关注），极限位置是 1.9%（交易盘介入），潜在超调风险仍来自于机构行为。时间上，十月份之后（供给淡季+情绪拐点 +消费等高基数）再寻找"反攻"机会。资金面持续收紧风险不大，继续推荐曲线陡峭化交易。品种上， 30年国债、二永债等品种容易成为情绪放大器，建议暂时规避。5-7年及以下利率债品种兼具防守特 性，杠杆套息浅尝辄止。信用债以中短端为主，3-5年普通信用债经过本轮下跌后初具性价比。转债保 持权益β暴露。 ...

固定收益 | 固定收益定期 交易盘抛压已明显缓解 证券研究报告 机构行为跟踪周报 20250824 债市活力指数回落 截至 8 月 22 日，债市活力指数较 8 月 15 日回落 12pcts 至 17%，5D-MA 回落 4pcts 至 23%。 3）配置盘：理财二级市场拉久期，农商行保险部署超长债 其中，债市活力升温指标包括：中长期纯债基久期中位数（滚动两年分位 数由 98.3%升至 99.7%）、银行间债市杠杆率较过去 4 年同期均值的超额水平 （滚动两年分位数由 24%升至 26%）、十年期国开债隐含税率（反向）（滚动 两年分位数由 4%升至 8%）。债市活力降温指标包括：10Y 国开债活跃券成 交额/9-10Y 国开债余额（滚动两年分位数由 86%降至 38%）、30Y 国债换手 率（滚动两年分位数由 55%降至 44%）。 机构买卖行为跟踪：交易盘主力卖出，配置盘承接力度减弱 1）买卖力度与券种选择：后半周基金抛压明显缓解，农商行转为卖出 整体来看，本周现券市场净买入力度排序为：大行>保险>其他产品类>理 财>境外机构及其他>农村金融机构，净卖出力度排序为基金>城商行＞券 商>货基>股份行。 券种 ...

证券研究报告 债券研究 [Table_ReportType] 专题报告 | ] [Table_A 李一爽 uthor固定收益首席分析师 | | --- | | 执业编号：S1500520050002 | | 联系电话：+86 18817583889 | | 邮 箱： liyishuang@cindasc.com | 朱金保 固定收益分析师 执业编号：S1500524080002 联系电话：+86 15850662789 联系电话：+86 15850662789 邮 箱： zhujinbao@cindasc.com 流动性收紧叠加情绪冲击 信用利差全面走高 —— 信用利差周度跟踪 20250823 [[Table_R Table_Report eportTTime ime]] 2025 年 8 月 23 日 请阅读最后一页免责声明及信息披露 http://www.cindasc.com 1 歌声ue 信达证券股份有限公司 CINDA SECURITIES CO.,LTD 北京市西城区宣武门西大街甲 127 号金隅 大厦B 座 邮编：100031 3流动性收紧叠加情绪冲击 信用利差全面走高 [Table_Repo ...

固定收益 | 固定收益定期 二手稳增长，新房仍承压 证券研究报告 生产：工业生产运行平稳，PTA 开工率回落 高频跟踪周报 20250823 核心关注点：地产新房成交环比回暖但同比仍低于季节性，二手房成交量 实现同比增长，新房二手房分化；汽车消费回暖，电影票房下降；生产领 域工业运行平稳，基建开工维持韧性；投资方面螺纹钢消费量价分化，水 泥价格低位回升；商品期货多数下跌，焦煤、碳酸锂、玻璃下跌幅度较大。 从 2024 年 9 月政治局会议提出"止跌回稳"，到今年 6 月国常会强调"更 大力度"，再到 8 月 18 日，国务院全体会议要求"采取有力措施"，仍显 示出中央对楼市持续承压的高度关注。会议提出"结合城市更新"、"推进 城中村和危旧房改造"等表述，一定程度指明了房地产领域的投资新方向 和模式转型，注重对现有存量的优化提升。 往后展望，预计地产政策工具箱或进一步打开，但大幅刺激的概率或不高， 而是通过政策力量让市场软着陆，实现一个相对平稳、不再大幅下行的新 平衡。相关措施如加快城中村改造、加大地产收储、核心城市限购进一步 松绑、下调住房贷款利率、降低首付比例、减免换购住房的个人所得税等。 需求：新房成交环 ...

Investment Rating of the Report There is no information provided regarding the industry investment rating in the report. Core Viewpoints of the Report The report analyzes the bond custody data for July 2025, indicating that the total bond custody increased month - on - month, with different trends among various bond types and institutions. The leverage ratio of the bond market decreased month - on - month due to the seasonal reduction of the repurchase bond balance [1][2][3]. Summary by Directory 1. Bond Custody Total and Structure - The total bond custody increased month - on - month. As of the end of July 2025, the combined bond custody of China Central Depository & Clearing Co., Ltd. (CCDC) and Shanghai Clearing House was 173.03 trillion yuan, with a net monthly increase of 1.74 trillion yuan, 0.45 trillion yuan more than the month - on - month increase at the end of June [1][10]. - The custody of interest - rate bonds, credit bonds, and financial bonds increased month - on - month, while the custody of inter - bank certificates of deposit (ICDs) decreased. In July 2025, the custody of interest - rate bonds was 118.91 trillion yuan, accounting for 68.72% of the inter - bank bond market custody, with a net increase of 1.51 trillion yuan; the custody of credit bonds was 18.69 trillion yuan, accounting for 10.80%, with a net increase of 0.18 trillion yuan; the custody of non - policy financial bonds was 12.78 trillion yuan, accounting for 7.39%, with a net increase of 0.41 trillion yuan; the custody of ICDs was 20.74 trillion yuan, accounting for 11.99%, with a net decrease of 0.37 trillion yuan [1][10]. 2. Bond Holder Structure and Changes 2.1 Changes in Custody by Institution Month - on - Month - The custody of major bonds by various institutions in the bond market showed differentiation this month. Allocation accounts increased their custody, while trading accounts and overseas institutions decreased theirs. Specifically, policy banks, insurance institutions, and credit unions increased their holdings of major bonds across the board; commercial banks increased their holdings of major interest - rate and credit products but continued to reduce their holdings of ICDs; securities companies increased their holdings of ICDs but reduced their holdings of major interest - rate and credit products; non - legal entity products continued to increase their holdings of major credit products but reduced their holdings of major interest - rate products and ICDs; overseas institutions continued to reduce their holdings of major bonds across the board [2][24]. - In July, the "anti - involution" policy boosted the equity and commodity markets. Under the influence of factors such as the stock - bond seesaw, the bond market significantly corrected. Trading accounts such as securities and broad - based funds quickly took profits and sold, while allocation accounts such as commercial banks and insurance companies bought significantly, acting as a "stabilizer" for the bond market [24]. 2.2 Changes in Custody by Bond Type Month - on - Month - Treasury bond custody continued to increase this month, with commercial banks being the main buyers [2][26]. - Local government bond custody continued to increase this month, and commercial banks continued to significantly increase their holdings [2][26]. - Policy - financial bond custody continued to increase this month, with commercial banks being the main buyers [2][26]. - ICD custody continued to decrease this month, with commercial banks being the main sellers. The continuous decline in ICD custody was mainly due to the slowdown in issuance and relatively large maturity of existing bonds [2][26]. - Corporate bond custody continued to decrease this month, with non - legal entity products being the main sellers [2][29]. - Medium - term note custody continued to increase this month, and non - legal entity products continued to significantly increase their holdings [2][29]. - Short - term and super - short - term financing custody turned to an increase this month, with commercial banks being the main buyers [29]. - Non - publicly - oriented instrument custody continued to decrease this month, with non - legal entity products being the main sellers [30]. 2.3 Holder Structure of Major Bonds - As of the end of July 2025, the holder structure of major bonds varied. For example, commercial banks were the largest holders of treasury bonds, local government bonds, and policy - financial bonds, while non - legal entity products were the largest holders of medium - term notes, short - term and super - short - term financing, and ICDs [33][34][37]. 3. Observation of Bond Market Leverage Ratio - The balance of bonds to be repurchased decreased seasonally, and the bond market leverage ratio decreased month - on - month. As of the end of July 2025, the estimated balance of repurchase - style pledged repos was 110,279.78 billion yuan, a decrease of 11,233.91 billion yuan month - on - month. The leverage ratio was 106.81%, a decrease of 0.83 percentage points month - on - month and 0.24 percentage points year - on - year [3][48].

Group 1: Report Industry Investment Rating - No industry investment rating information is provided in the report. Group 2: Core Views of the Report - The logic of "buying on every dip" in the bond market still holds as the logic supporting the long - term bull market in the bond market remains intact. The future outlook is long - term bullish but short - term bottom - grinding [1][2][20]. - The core cause of the four rounds of redemption tides since September 24, 2024, is the unexpected rise in the equity market. The consensus of a slow - bull market in equities is strengthening, leading to more frequent bond market adjustments and redemption tides [1][8]. - The redemption risk index rose to 62 on August 18, indicating the risk of a redemption tide. Although the fund selling sentiment was strong in July, the active purchase by rural commercial banks and insurance companies effectively alleviated market pressure. It is expected that the scale of wealth management products will not be significantly negatively affected this time. If the 10Y Treasury yield touches 1.8% due to unexpected performance in the equity market, core buyers such as banks and insurance companies may enter the market, and investors can consider right - side allocation at this point [1][9][14]. Group 3: Summary by Directory 1. August Redemption Tide Returns - On August 18, the A - share market value exceeded 100 trillion yuan, and the Shanghai Composite Index reached a new high in nearly a decade, triggering a bond market adjustment and bond fund redemptions. The core cause of the four rounds of redemption tides since September 24, 2024, is the unexpected rise in the equity market [8]. - A comprehensive redemption risk index was constructed. On August 18, the index rose to 62, mainly affected by bond fund redemptions, equity market rises, high - valuation transactions of Tier 2 and perpetual bonds, and tightened liquidity [9]. 2. When Will the Redemption Tide Market Reach the Right Side? - In terms of time, the median duration of historical redemption tides is 6 - 7 trading days. Although the market slightly recovered on August 19, the redemption risk index has been triggered, and the redemption disturbance may last for 4 - 5 days [14]. - In terms of adjustment range, the 10Y Treasury yield rose 4bp on August 18 and fell 1bp on August 19, currently reaching about half of the adjustment range of small - scale redemption tides since 2023. The 1.8% level of the 10Y Treasury yield is a key observation point [14]. - The main sellers are funds and securities firms. On August 19, funds net - sold 126.6 billion yuan of bonds. In July, rural commercial banks and insurance companies actively bought bonds, and currently, wealth management products are still net buyers [14]. - The core factors for the end of the redemption tide include equity market adjustments and weakening of the stock - bond seesaw effect, central bank liquidity support, and self - repair of the market after reaching a certain adjustment level [15][16]. 3. Is the Logic of "Buying on Every Dip" Subverted? - The long - term bull market in the bond market is supported by factors such as weak economic recovery, declining income and employment expectations, long - term asset shortage, real estate bubble burst, fiscal tightening of general urban investment, moderately loose monetary policy, and difficulties in bank credit issuance [2][21]. - From the perspective of credit and bank fund flow, the high correlation between social financing credit and the bond market remains. Weak financing demand in general urban investment and real estate leads to weak credit growth, causing bank funds to flow into the bond market, making it difficult for the bond bull market to reverse. In July, the new credit in the social financing scale was - 426.3 billion yuan, a year - on - year decrease of 345.5 billion yuan [2][22]. - From a technical perspective, the long - term interest rate is currently in a relatively right - side position, with good odds and relatively high winning probabilities. However, the liquidity of credit products is relatively weak, and a clearer right - side opportunity is still awaited. It is recommended to enter the market on the right side of this adjustment, take profits moderately, and maintain a defensive position [2][26].

Summary of Key Points from Conference Call Industry Overview - The discussion primarily revolves around the bond market and its current dynamics, with a focus on the impact of economic conditions and monetary policy on bond yields and investment strategies [1][3][20]. Core Insights and Arguments - **Market Sentiment Shift**: There has been a recent shift in sentiment among buyers in the bond market, moving from bullish to bearish due to concerns over rising prices, stock market volatility, and bank redemptions of bond funds. However, some institutions have reduced duration to one year, potentially signaling the start of a new market trend [1][3]. - **Net Selling of Long-Duration Bonds**: From July 21 to August 15, broker proprietary trading and bond funds net sold 250 billion and 260 billion respectively in interest rate bonds, with over 100 billion in bonds with a maturity of over 20 years, indicating a significant reduction in duration by market participants [1][4]. - **Increased Demand from Specific Institutions**: While brokers and funds sold long-duration bonds, rural commercial banks and insurance companies, particularly large life insurance firms, emerged as major buyers, indicating a perceived value in long-duration bonds [1][5]. - **Stock Market Dynamics**: The stock market's recent rise is characterized as a "chip game," with little correlation to the economic fundamentals. The CSI 2000 index is significantly overvalued compared to 30-year government bonds, suggesting that the stock market's rise is primarily driven by retail investor activity rather than corporate performance [1][6]. - **Economic Downturn Risks**: There are increasing concerns about economic pressures in the second half of the year, with July data showing a decline in consumption and investment, alongside export challenges. This may lead to potential monetary easing measures such as rate cuts [1][7][10]. - **Future Economic Outlook**: The economic outlook remains pessimistic, with expectations of a decline in the 10-year government bond yield to 1.5% due to reduced consumer subsidies, declining exports, and a weak real estate market [1][7][20]. - **Impact of Monetary Policy**: The bond market is expected to benefit from a continuation of loose monetary policy, with a potential resumption of government bond purchases by the central bank, a decline in bank funding costs, and a peak in government bond issuance already passed [1][11][20]. - **Growth in Wealth Management Products**: The scale of bank wealth management products has seen significant growth, with an increase of over 2 trillion in July, creating substantial demand for credit bonds and potentially driving a new wave in the bond market [2][13]. Other Important Considerations - **Bank Funding Costs and Bond Yields**: Bank funding costs are projected to decrease to around 1.6% by the fourth quarter, enhancing the attractiveness of 10-year government bonds, which currently yield approximately 1.7% [1][12]. - **Credit Market Dynamics**: The growth in wealth management products is expected to lead to increased demand for credit bonds, despite some concerns about net asset value fluctuations [1][13]. - **International Trade Factors**: Ongoing trade tensions and international negotiations, particularly between the U.S. and Russia, introduce uncertainties that could impact China's economic and financial landscape [1][17][18]. This summary encapsulates the key points discussed in the conference call, highlighting the current state of the bond market, economic outlook, and the implications of monetary policy and market dynamics.

Group 1 - The report indicates that the probability of a significant decline in the bond market is low, suggesting opportunities for allocation at high interest rate levels. Historical patterns show that since 2016, prolonged bull markets in stocks and bear markets in bonds have only occurred three times, driven by economic recovery and tightening liquidity [3][18] - The report forecasts that the yield on 10-year government bonds will remain in the range of 1.65% to 1.75% in the short term, recommending gradual allocation above 1.72%, prioritizing credit bonds over interest rate bonds and convertible bonds [3][18] Group 2 - The stock market is currently experiencing strong sentiment, with incremental capital continuously entering the market. The report suggests a balanced allocation strategy, focusing on large and mid-cap industry leaders, particularly in technology, new energy, cyclical sectors, pharmaceuticals, and high-dividend themes [4][19] - The report notes that the market's "money-moving" logic is strengthening, and the market's profitability effect is expanding, indicating a high probability of short-term gains. However, it also warns that the potential for high valuations in low-tier sectors has been released, suggesting a need to optimize existing holdings rather than chase high prices [4][19] Group 3 - The report highlights that the U.S. stock market is expected to maintain its upward trend in the short term, driven by the market's pricing of the Federal Reserve's anticipated interest rate cuts. However, it also notes that any unexpected hawkish stance from the Fed could limit market buffer space [13][19] - The report emphasizes that the labor market in the U.S. is showing signs of weakness, which could heighten concerns about a "hard landing" for the economy, potentially disrupting the upward momentum of U.S. stocks [19][19] Group 4 - The report provides insights into the performance of domestic macro multi-asset models, indicating a year-to-date return of 7.77%, exceeding the benchmark by 4.33%. The Sharpe ratio for this model stands at 2.2550, significantly higher than the benchmark's ratio [26][27] - The global macro multi-asset model also shows a year-to-date return of 7.70%, with an excess return of 4.26% over the benchmark, and a Sharpe ratio of 1.8928, again surpassing the benchmark [26][27]

1. Report Industry Investment Rating No information provided in the given content. 2. Core Views of the Report - The report comprehensively analyzes commercial banks' bond allocation, regulatory frameworks, asset - liability structures, and bond investment behaviors. Low - interest rates may lead to an increase in the proportion of OCI accounts, amplifying large banks' trading behaviors. Investors should pay attention to the "buy short, sell long" seasonal characteristics of large banks' bond investments and trading opportunities. Rural commercial banks' bond investment behaviors also show new features, and investors can make decisions based on their seasonal characteristics and key trading varieties [4][9][10]. 3. Summary According to the Table of Contents 3.1 Commercial Banks' Bond Allocation Overview - As of the end of 2024, commercial banks' bond allocation reached 89.70 trillion yuan, accounting for 50.70% of China's bond market custody balance. They prefer interest - rate bonds, with interest - rate bonds accounting for 82.7% (74.0 trillion yuan), followed by credit bonds (11.3%, 10.2 trillion yuan) and certificates of deposit (6.0%, 5.4 trillion yuan). Since 2024, the growth rate of commercial banks' bond allocation has first declined and then increased, which is highly correlated with the supply rhythm of government bonds [14][16]. 3.2 Bank Main Regulatory Frameworks: Macro - Prudential + Micro - Supervision, Multi - Dimensional and Multi - Level - **Central Bank Macro - Prudential Assessment**: Focuses on "broad credit" and interest - rate pricing. The assessment objects include various banking financial institutions, divided into three categories. It contains seven major indicators, and the assessment results are divided into A, B, and C grades, with different incentives and constraints for each grade [21][24]. - **Financial Regulatory Bureau Micro - Indicator Assessment** - **Capital Measures and Bank Ratings**: Centered on capital adequacy ratio, the 2023 "Commercial Bank Capital Management Measures" guide banks to form an interest - rate bond - based investment structure. Bank ratings have additional requirements for systemically important banks and global systemically important banks [28][29][34]. - **Liquidity Risk Assessment Indicators**: Aim to guide banks to increase stable liabilities and hold high - quality liquid assets. Mainly focus on LCR, NSFR, HQLAAR, and LMR, with different applicable scopes. The assessment pressure mainly lies in the quarter - end compliance pressure of NSFR [46][48]. - **Duration Indicators**: A "hard constraint" for large banks to extend bond investment duration. When the economic value change of state - owned large banks exceeds 15% of their primary capital, regulatory assessment is required [49]. 3.3 Bank Asset - Liability Structure - **Liability Structure** - **Deposit Structure**: Deposits account for about 70% of liabilities. Personal deposits exceed corporate deposits, and non - bank inter - bank deposits account for a relatively stable proportion. The weighted deposit term has been lengthening. Since 2024, large banks' dependence on inter - bank liabilities has increased, and the cost of liabilities has been declining rapidly [55][57][70]. - **Inter - bank Liabilities**: Since 2024, high - interest deposit - soliciting behaviors have been prohibited, and large banks' inter - bank liability ratio has increased to around 15%. After the optimization of non - bank inter - bank current deposit pricing in late 2024, large banks rely more on inter - bank certificates of deposit to supplement liabilities [63][65]. - **Asset Structure** - **Loan Structure**: Loans are the main asset, but the growth rate of household and corporate loans has been declining since 2023, and the loan term has been lengthening. The loan term has shown a trend of "first lengthening, then shortening, and then lengthening" since 2015 [73][77][84]. - **Inter - bank Assets**: The proportion of inter - bank assets has been declining, and the term has been lengthening since 2022. Among them, the proportion of lending funds has remained stable, while the proportions of placed - with - banks and reverse - repurchase assets have declined [87][91]. 3.4 Bank Bond Investment Behaviors - **Bond Allocation Varieties**: Mainly interest - rate bonds, with interest - rate bonds > certificates of deposit > credit bonds in terms of EVA comparison [4]. - **Financial Investment Account Structure**: The OCI account is both offensive and defensive and is more favored by banks in the low - interest rate stage. State - owned banks in the OCI account mainly trade government bonds, while small and medium - sized banks conduct credit down - grading. In the AC account, government bonds dominate. The TPL account has the strongest trading attribute, with a relatively high proportion of outsourced funds [4]. - **Large Banks' High - Frequency Duration of Holdings**: Since 2024, the duration pressure has gradually increased, and the characteristic of "buying short and selling long" at the end of the quarter has been strengthened. In 2025, the duration of large banks has continued to lengthen, and the duration pressure may ease after the peak of government bond issuance [4]. 3.5 New Developments: New Features of Large and Small Banks' Investment Behaviors - **Large Banks** - **Buying Bonds**: Driven by the central bank's bond - buying, large banks "buy short" and control the short - end pricing. Constrained by duration indicators, the "buy short, sell long" characteristic is strengthened. - **Selling Bonds**: To meet profit requirements, they sell old bonds to realize floating profits. Facing liquidity pressure, they reduce lending, redeem funds, and then increase bond sales [4]. - **Small Banks**: In 2025, "small banks' bond - buying" has returned, with a more flexible investment style. Rural commercial banks attach importance to trading in bond investment, with an overall increase in turnover rate. They have pricing power over certain bonds, and their bond - buying peaks usually occur in specific periods. Attention should be paid to the leading signals of rural commercial banks' early - bird actions at the end of the year [7].