来源：郁言债市 ►传统框架失效，"看股做债"走向极致 7月中旬以来或是相对煎熬的阶段。一方面，债市需要承受长久期收益率大幅上行带来的资本利得亏损，另一方面，投资者还面临着传统利率定价框架的 全面失效。在理论上，债市定价的三要素，资金面、基本面、政策面，均支持利率下行。 市场进入了一个由风险偏好单变量决断的定价状态，这也使得"看股做债"走向极致。这种状态形成的原因，或主要与股市非常态的风险收益率比相关，4 月以来股市的极致行情使得上证指数、万得全A的滚动3M卡玛比率自7月后长期维持在4.0以上水平，这是去年"924"行情也无法达到的状态。这种几乎只 涨不跌的风险偏好，对债市形成极大压力。 ►8月下旬，股市发展的两个逻辑 一是快涨逻辑，在"九三共识"的支撑下，各大股指，尤其是大盘型股指，或受到资金的托举，继续维持只涨不跌的趋势，同时由于本轮股票牛市不同 于"924"行情，前期散户资金进场节奏或更为温和，未来一周随着股市赚钱效应得到强化，不排除居民资金集中进场，加快股市上涨速度的可能性，债市 或仍面临压力。 二是震荡逻辑，随着9月3日阅兵时点将近，部分投资者或针对"九三共识"做逆向投资，提前止盈退场，一旦股市开始出 ...

8月22日下午两点半，债券市场持续下探，哀鸿遍野。十年期国债活跃券收益率上行超过2个基点，而30 年期国债更是岌岌可危，难掩颓势。 当日，财政部发行了高达830亿元的30年期特别国债，中标利率虽提高至2.15%，但全场认购倍数仅为 2.89倍，市场反应冷淡，机构投资者参与意愿低迷。与年初国债发行时机构争相抢购、认购倍数轻松突 破3倍甚至4倍的盛况相比，如今即便收益率有所提升，市场却反而望而却步，这其中究竟有何玄机？ 究其原因，是A股市场正经历一场前所未有的狂欢。 同一时间，上证指数一路高歌猛进，成功突破3800点，创下近十年来的新高，单日涨幅高达1.09%。中 证转债亦不甘示弱，紧随其后，上涨0.8%。在"逐利"法则下，资金如潮水般涌向股市。 在股市动辄百分之几的日涨幅面前，债市那点微薄的利息显得黯然失色，毫无吸引力。然而，债市向来 以"稳健"著称，为何会遭遇如此程度的连续下跌？ 事实上，从8月初开始，利率债便已进入下行通道，超长期债券基金更是首当其冲，损失惨重。部分基 金单日净值跌幅超过0.5%，投资者们的心态遭受巨大冲击。习惯了每日"收蛋"的债基投资者，如今却面 临"碎蛋"的困境，苦不堪言。 这背后，是经 ...

Group 1: Investment Rating - The report gives a bullish outlook on the bond market in the short - term, recommending long - duration sinking city investment bonds, capital bonds, city investment dim sum bonds, and US dollar bonds, and strongly promoting perpetual bonds of Minsheng, Bohai, and Hengfeng Banks, while also suggesting attention to capital bond opportunities of Tianjin Bank, Beibu Gulf Bank, and China Property Insurance [2] Group 2: Core Views - As of Q2 2025, the total assets of interest - rate bond funds reached 3.6 trillion yuan, a record high since Q1 2023. The bond allocation ratio continued to rise, with the proportion of bonds in the overall asset allocation reaching 97.28%. Active interest - rate bond funds slightly increased their allocation to Treasury bonds and significantly increased their allocation to long - duration bonds. The overall yield of interest - rate bond funds rebounded [2] - In Q2 2025, affected by factors such as the domestic economic adjustment period, relatively loose monetary policy, and institutional allocation demand, the yield of 10 - year Treasury bonds declined rapidly and then fluctuated at a low level. The overall scale of interest - rate bond funds only increased slightly. In terms of heavy - position bond allocation, the scale and proportion of various types of bonds changed little, but the strategy leaned towards long - duration bonds [2] - In late July, the bond market adjusted. The report believes that going long in the bond market is currently the path of least resistance. In August, the yield of 10 - year Treasury bonds may gradually return to around 1.65%, and the yield of 5 - year national and joint - stock second - tier bonds may fall below 1.9%. There are few negative factors in the current bond market, and the new tax regulations may push up the demand for old government bonds and financial bonds, lowering yields [2] Group 3: Summary by Directory Interest - rate Bond Fund Scale and Asset Allocation - As of Q2 2025, the total assets of interest - rate bond funds were 3.6 trillion yuan, with active and passive interest - rate bond funds at 2.4 trillion and 1.2 trillion yuan respectively, increasing by 0.07 trillion and 0.13 trillion yuan compared to Q1 2025. In terms of asset allocation, bonds accounted for 97.28% (about 3.5 trillion yuan), and cash accounted for 0.91% (about 0.03 trillion yuan), with the proportions increasing by 0.30 and 0.17 percentage points respectively compared to the previous quarter [2] Active Interest - rate Bond Fund Heavy - position Bond Allocation - In Q2 2025, among the top five heavy - position bonds of active interest - rate bond funds, the scale proportions of policy - financial bonds, Treasury bonds, commercial - financial bonds, and local government bonds were 90.3%, 8.1%, 0.7%, and 0.5% respectively. Compared with Q1, there was a slight increase in Treasury bond allocation and a decrease in policy - financial bond allocation, with the proportions changing by + 2.0 and - 2.7 percentage points respectively [2] Interest - rate Bond Fund Duration Changes - From Q1 to Q2 2025, the duration of interest - rate bond funds calculated based on heavy - position bonds rose rapidly from 3.32 years to 3.95 years. The average duration of heavy - position Treasury bonds of active interest - rate bond funds increased significantly to 9.34 years. Active interest - rate bond funds increased their allocation to bonds with a maturity of over 10 years, and the scale proportion of 30 - year Treasury bonds in heavy - position Treasury bonds increased from 11.4% to 27.1% [2] Yield of Bond Funds - The average annualized yield of interest - rate bond funds in Q2 2025 rebounded by 5.65 percentage points to 3.96% from - 1.69% in Q1 2025. The annualized yield of credit - bond funds in H1 2025 (1.92%) was higher than that of interest - rate bond funds (1.10%) [2] Investment Strategy Changes in Q2 2025 - Affected by multiple factors, the overall scale of interest - rate bond funds only increased slightly. In terms of heavy - position bond allocation, the strategy leaned towards long - duration bonds to seek higher returns [2]

Core Viewpoint - The "anti-involution" policy has led to a stronger risk appetite in the equity market and a rapid increase in commodity prices, resulting in rising inflation expectations. This, combined with the US-China tariff disputes and concerns over potential incremental policies from the political bureau meeting at the end of July, has created multiple headwinds for the bond market, particularly long-term interest rate bonds, which have seen rising yields and falling prices, causing significant net value drawdowns in bond funds [1][2]. Summary by Sections Market Conditions - The manufacturing Purchasing Managers' Index (PMI) for July was 49.3%, a decrease of 0.4 percentage points from the previous month, indicating a decline in manufacturing sentiment, suggesting that the fundamentals have not yet shown signs of reversal [1]. Bond Market Analysis - Since the "anti-involution" policy began, the yield on 10-year government bonds has risen from 1.66% to 1.75%, a nearly 10 basis point increase. This adjustment reflects the current market's pricing of strong expectations and the likelihood of no interest rate cuts in the third quarter [2][4]. - The central bank's provision of liquidity has acted as a stabilizer, indicating that the monetary policy stance remains unchanged, which enhances the value of carry trades in the bond market [2]. Investment Strategy - Traditional analytical frameworks remain effective, with the fundamental conditions still determining the long-term direction of the bond market. The monetary policy report from the previous quarter sets the tone for the upcoming quarter, indicating that the bond market lacks a basis for a turnaround [4]. - Identifying key yield anchors for bonds, such as the 10-year government bond yield, is crucial. The difference between the 10-year yield and the DR007 has reached a high of 28 basis points, suggesting a solid safety margin for the current yield [5]. Long-term Outlook - The overall trend for yield is downward, but the rate of decline is expected to slow, with increasing competition in the long-term interest rate bond market. Fund managers should focus on enhancing their predictive and responsive capabilities amid narrow fluctuations to increase returns through tactical trading [8].

Core Viewpoint - The bond market is currently experiencing a period of adjustment, influenced by various factors such as the "stock-bond seesaw" effect, but analysts believe that there are still opportunities for bullish positions as negative sentiment dissipates [1][2][4]. Group 1: Market Conditions - The bond market has shown signs of volatility and adjustment, with the 10-year government bond yield rising from 1.67% on July 18 to 1.73% by July 25 [2]. - The stock market has been performing well, with the Shanghai Composite Index surpassing 3600 points and gaining 4.3% in July, which has diverted some funds away from the bond market [2]. - The recent adjustments in the bond market are attributed to increased risk appetite and a rise in funding rates, leading to a significant sell-off in bond funds [3]. Group 2: Investment Opportunities - Despite the recent adjustments, there are positive factors emerging, such as increased buying from insurance institutions, which reached a new high since April 2020, indicating potential support for the bond market [4]. - Analysts suggest that the current bond market levels present a good value for investment, particularly in long-duration government bonds and recently adjusted perpetual bonds [6][7]. - The expectation is that the 10-year government bond yield may return to around 1.65% as market risks ease, and there are notable opportunities in credit bonds, especially in municipal investment bonds and insurance subordinated debt [6][7].

Group 1 - The core viewpoint of the articles highlights a significant "seesaw effect" in the market, where the A-share market is recovering while the bond market is experiencing adjustments, leading to increased redemptions in bond funds [1] - As of July 25, over 400 bond funds have reported losses this year, with more than half of bond funds showing negative performance since July, particularly those heavily invested in long-term interest rate bonds [1][2] - The yield on major interbank bonds has generally declined, with the 30-year government bond yield dropping by 2 basis points to 1.9275% and the 10-year policy bank bond yield down by 1.75 basis points to 1.81% [1] Group 2 - The bond market is expected to experience fluctuations over the next year, with opportunities arising from adjustments; during July 21-25, bond funds rapidly reduced duration, resulting in a net sell of 236.1 billion yuan in long-term bonds [2] - As of July 25, the company bond ETF (511030) has seen a slight increase of 0.01%, with a one-year cumulative increase of 1.76% [2] - The company bond ETF has a current scale of 22.262 billion yuan, with recent inflows and outflows remaining balanced, and a total of 1.08 million yuan raised over the last ten trading days [3] Group 3 - The company bond ETF has a management fee rate of 0.15% and a custody fee rate of 0.05% [4] - The tracking error of the company bond ETF for the year is 0.013%, closely following the China Bond - Medium to High Grade Corporate Bond Spread Factor Index [5] - The company bond ETF has achieved a maximum drawdown of 0.50% this year, with a recovery time of 23 days after the drawdown [3]

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report Under the resonance of multiple negative factors such as the rise in risk preference, the sharp rise in the equity and commodity markets, and the central bank's net withdrawal in the open - market operations disturbing the capital price, the bond market fluctuated violently this week. The selling behavior of funds is particularly worthy of attention. The scale of funds' net selling on Thursday and Friday was second only to the redemption tides in late August and early October last year. The performance of bond funds was poor, with over 40% of pure interest - rate bond funds recording negative returns in the past three months. Continued attention should be paid to changes in market risk preference and fund redemption situations [10]. 3. Summary According to Relevant Catalogs 3.1 Overall Sentiment - The bond market vitality index increased, mainly due to the rise in the turnover rate of ultra - long bonds. As of July 25, the bond market vitality index rose 6 pcts to 37% compared with July 18, and the 5D - MA rose 5 pcts to 45% [11]. - Indicators of rising bond market vitality included the trading volume of the active 10Y CDB bond / the balance of 9 - 10Y CDB bonds (the rolling two - year quantile rose from 42% to 72%), the 30Y treasury bond turnover rate (the rolling two - year quantile rose from 16% to 71%), and the median duration of medium - and long - term pure bond funds (the rolling two - year quantile rose from 99.3% to 99.7%) [13]. - Indicators of falling bond market vitality included the excess level of the inter - bank bond market leverage ratio compared with the average of the past 4 years (the rolling two - year quantile dropped from 20% to 5%) and the implied tax rate of 1 - 10Y CDB bonds (the rolling two - year quantile dropped from 57% to 21%) [14]. 3.2 Institutional Behavior 3.2.1 Buying and Selling Strength and Bond Selection - In terms of overall buying and selling strength, the order of net buying strength in the cash bond market this week was large banks > insurance > wealth management > other products > money market funds > overseas institutions and others, and the order of net selling strength was funds > securities firms > joint - stock banks > city commercial banks. For ultra - long bonds, the order of net buying strength was insurance > rural commercial banks > city commercial banks > wealth management, and the order of net selling strength was funds > securities firms > large banks > joint - stock banks > other products [22]. - Different institutions had different main bond types. Large banks focused on 1 - 3Y interest - rate bonds and credit bonds; rural commercial banks focused on 5 - 10Y interest - rate bonds and 1 - 3Y other bonds; insurance focused on interest - rate bonds over 10Y and 7 - 10Y credit bonds; funds focused on interest - rate bonds within 1Y; wealth management focused on certificates of deposit and interest - rate bonds within 3Y; other products focused on certificates of deposit [26]. 3.2.2 Trading Portfolio - As of July 25, the median duration of the full - sample medium - and long - term pure bond funds increased by 0.21 years to 4.38 years compared with July 18. Among them, the median durations of pure interest - rate bond funds and interest - rate bond funds decreased by 0.22 years and 0.04 years respectively, while that of credit bond funds increased by 0.19 years. The median durations of high - performing interest - rate bond funds and credit bond funds changed more significantly, decreasing by 0.48 years and increasing by 0.32 years respectively [35]. 3.2.3 Allocation Portfolio - **Primary market**: The primary subscription demand for treasury bonds and policy - bank bonds decreased overall this week. The weighted average full - market multiples of treasury bonds and policy - bank bonds decreased from 3.25 times to 2.94 times and from 3.36 times to 3.16 times respectively [53]. - **Large banks**: As of July 25, the cumulative net purchase of 1 - 3Y treasury bonds this year reached 4032 billion yuan, higher than the same period last year [59]. - **Rural commercial banks**: This year, the cumulative net purchase of cash bonds was significantly weaker than in previous years, mainly due to the weak net purchase of short - term bonds within 1Y. However, the net purchase of 7 - 10Y and over 10Y cash bonds was higher than the same period in previous years [70]. - **Insurance**: This year, the net purchase of cash bonds and its ratio to premium income were significantly higher than in previous years, mainly due to the sufficient supply of ultra - long - term government bonds. As of July 25, the ratio of the cumulative net purchase of cash bonds to the cumulative issuance of government bonds over 10Y was 27.34%, lower than 35.14% at the end of July last year [81]. - **Wealth management**: From June to July, the cumulative net purchase of cash bonds continued to rise, especially for bonds over 10Y. This week, the duration of net - bought cash bonds in the secondary market increased to the highest level since February 23, 2024 [90]. 3.3 Asset Management Product Tracking - Since July, the increase in the scale of wealth management products was weaker than seasonal. The scale increased by 27.96 billion yuan, far lower than the same period from 2021 - 2024. The wealth management product break - even rate decreased [94]. - Since July, the scale of bond funds increased by 13.41 billion yuan, with a significant slowdown in growth rate, while the scale of equity funds increased by 20.99 billion yuan. This week, the net value of various types of bond funds fell sharply, and over 40% of pure interest - rate bond funds recorded negative returns in the past three months [101].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Short - term liquidity depends on central bank's injections. Investors can maintain duration and seize opportunities from falling interest rates [2]. - In mid - July, there are both positive and negative factors for the liquidity. The key variable is the central bank's roll - over of outright reverse repos. DR007 is likely to fluctuate between 1.40% - 1.50%. There are few negative factors for the bond market. If there is a tightening trend in liquidity, a further decline in large banks' lending volume should be observed first [3]. 3. Summary According to Related Catalogs 3.1 This Week's Institutional Behavior Review: Is There a Tightening Trend in Liquidity? - **Yield Curve**: Yields of treasury bonds and China Development Bank bonds generally increased. For treasury bonds, 1Y yield rose 3bp, 3Y and 5Y rose 4bp, 7Y rose 3bp, 10Y rose about 3bp, 15Y and 30Y rose 2bp. For China Development Bank bonds, 1Y yield rose about 4bp, 3Y rose 4bp, 5Y rose about 6bp, 7Y and 10Y rose 3bp, 15Y rose 2bp, and 30Y changed less than 1bp [13]. - **Term Spread**: The spread between treasury bonds and China Development Bank bonds increased. For treasury bonds, the short - term spread narrowed and the long - term spread widened. For China Development Bank bonds, the short - term spread was divided, and the medium - and long - term spread narrowed [16]. 3.2 Bond Market Leverage and Liquidity - **Leverage Ratio**: It dropped to 107.3%. From July 7th to July 11th, 2025, the leverage ratio decreased continuously during the week. As of July 11th, it was about 107.3%, down 0.69pct from last Friday and 0.58pct from this Monday [20]. - **Average Daily Turnover of Pledged Repurchase**: The average daily turnover of pledged repurchase this week was 8.2 trillion yuan, with an average overnight proportion of 89.57%. From July 7th to July 11th, the average daily turnover was 8.2 trillion yuan, up 0.61 trillion yuan from last week. The average overnight turnover was 7.4 trillion yuan, up 0.55 trillion yuan month - on - month, and the average overnight proportion was 89.57%, down 0.14pct month - on - month [26][27]. - **Liquidity**: Banks' lending volume continued to decline. From July 7th to July 11th, the lending volume of the banking system decreased. On July 11th, large banks and policy banks' net lending was 4.65 trillion yuan; joint - stock banks and urban and rural commercial banks' average daily net lending was 0.66 trillion yuan, and on July 11th, they had a net inflow of 0.91 trillion yuan. The banking system's net lending was 3.74 trillion yuan [31]. 3.3 Duration of Medium - and Long - Term Bond Funds - **Median Duration**: It dropped to 2.87 years. From July 7th to July 11th, the median duration of medium - and long - term bond funds was 2.87 years (de - leveraged) and 3.21 years (leveraged). On July 11th, the median duration (de - leveraged) was 2.87 years, down 0.01 year from last Friday; the median duration (leveraged) was 3.21 years, up 0.04 year from last Friday [45]. - **Duration of Interest - Rate Bond Funds**: It rose to 3.93 years. Among different types of bond funds, the median duration (leveraged) of interest - rate bond funds rose to 3.93 years, up 0.02 year from last Friday; the median duration (leveraged) of credit bond funds rose to 2.98 years, up 0.01 year from last Friday; the median duration (de - leveraged) of interest - rate bond funds was 3.55 years, up 0.09 year from last Friday; the median duration (de - leveraged) of credit bond funds was 2.73 years, down 0.02 year from last Friday [48]. 3.4 Category Strategy Comparison - **China - US Yield Spread**: It generally widened. The 1Y spread widened 3bp, 2Y widened 7bp, 3Y widened 6bp, 5Y widened 5bp, 7Y widened 3bp, 10Y widened about 3bp, and 30Y widened 2bp [52]. - **Implied Tax Rate**: The short - term spread widened, and the long - term spread narrowed. As of July 11th, the spread between China Development Bank bonds and treasury bonds widened 1bp for 1Y, changed less than 1bp for 3Y, widened 2bp for 5Y, widened 1bp for 7Y and 10Y, changed less than 1bp for 15Y, and narrowed 2bp for 30Y [53]. 3.5 Changes in Bond Lending Balance On July 11th, the concentration of lending for active 10Y treasury bonds, active 10Y China Development Bank bonds, second - active 10Y China Development Bank bonds, and active 30Y treasury bonds showed an upward trend, while the concentration of second - active 10Y treasury bonds showed a downward trend. For all institutions, it showed an upward trend [56].

今天先聊债券，因为债券跌得最多，给大家按摩一下。 跌得确实有点多，满屏都是绿色的，7-10年利率债基今天跌0.5%左右，而10年国债从1.74%的位置上行4.55bps，你从比例上看， 差不多相当于上 证跌3%吧 ，那肯定算大跌了对吧。 | 利率债二级 | | | 信用债二级 | 同业存单二级 | | 同业存单一级 … … " | | | --- | --- | --- | --- | --- | --- | --- | --- | | 1Y | | 2Y | ЗУ | 5Y | 7Y | 10Y | 10Y以上 | | 国债 | 250001.IB | 240024.IB | 250005.IB | 250003.IB | 240018.IB | 240011.IB | 2400006 ... | | 1.5850 | | 1.5100 | 1.6000 | 1.6600 | 1.7475 | 1.7875 | 1.9750 | | - 8.50 | | - 7.00 | - 5.50 | - 6.00 | - 6.50 | 4.55 | - 3.75 | | 国开 | 210203.IB | 220203 ...