证券研究报告：固定收益报告 发布时间：2025-08-26 研究所 分析师:梁伟超 SAC 登记编号:S1340523070001 Email:liangweichao@cnpsec.com 研究助理:王一 SAC 登记编号:S1340125070001 Email:wangyi8@cnpsec.com 近期研究报告 《调整后，如何抓住信用的机会？—— 信用周报 20250825》 - 2025.08.26 固收专题 债市调整处于什么阶段？ ——看股做债专题一 ⚫ 2014-2025，权益牛市期间债市如何表现 1）2014–2015 年在宽货币与改革影响下，A 股快速拉升，而利率 债并未单边走弱：初期总量宽松支撑股债同涨；中期预期分化与资金 虹吸主导"股涨债跌"；股市盘整期，债市有修复机会；杠杆助推股市 阶段冲顶之际，市场回归"股强债弱"。2）2016 年中期在货币宽松与 供给侧改革共振下，股债曾短暂同涨；2017 年去杠杆与监管强化，叠 加稳汇率诉求，资金价格抬升触发股债"双杀"。3）2019 年在制度改 革与科创行情驱动下，权益结构性上涨而债市总体震荡、前低后高； 2020 年宽松政策对冲疫情冲击，长端收 ...

固定收益 | 动态跟踪 本轮赎回压力或止于基金端 固定收益市场周观察 政策变化超预期；货币政策变化超预期；经济基本面变化超预期；信用风险暴露超预 期；数据统计可能存在遗漏 报告发布日期 2025 年 08 月 25 日 | 齐晟 | qisheng@orientsec.com.cn | | --- | --- | | | 执业证书编号：S0860521120001 | | 杜林 | dulin@orientsec.com.cn | | | 执业证书编号：S0860522080004 | | 王静颖 | wangjingying@orientsec.com.cn | | | 执业证书编号：S0860523080003 | | 徐沛翔 | xupeixiang@orientsec.com.cn | | | 执业证书编号：S0860525070003 | 补跌后骑乘空间增大，继续挖掘中短端城 投：信用债市场周观察 2025-08-25 交易热度新高，估值还未见顶：可转债市 场周观察 2025-08-19 24Q4 债市的"反向镜像"：固定收益市场 周观察 2025-08-18 有关分析师的申明，见本报告最后部分。其 ...

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 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - This week, the equity market continued to rise strongly, and the bond market remained highly volatile. However, from the perspective of institutional behavior, the sentiment of trading desks stabilized significantly in the second half of the week, enhancing the bond market's resilience to pressure. The selling pressure from funds on interest - rate bonds was concentrated in the first two days, and they turned to net buyers in the second half of the week. The purchasing power of allocation desks has weakened. The focus in the future is still on the redemption pressure and sentiment improvement of trading desks [9]. 3. Summary According to the Table of Contents 3.1 Overall Sentiment: Bond Market Vitality Index Declined - The bond market vitality index declined this week. As of August 22, the bond market vitality index dropped 12 pcts to 17% compared to August 15, and the 5D - MA decreased 4 pcts to 23% [10]. - Indicators of rising bond market vitality include the median duration of medium - and long - term pure bond funds (the rolling two - year percentile increased from 98.3% to 99.7%), the excess level of the inter - bank bond market leverage ratio compared to the average of the past four years (the rolling two - year percentile increased from 24% to 26%), and the implied tax rate of the 10 - year China Development Bank bond (inverse) (the rolling two - year percentile increased from 4% to 8%) [1]. - Indicators of falling bond market vitality include the trading volume of the active 10Y CDB bond / the balance of 9 - 10Y CDB bonds (the rolling two - year percentile decreased from 86% to 38%) and the turnover rate of 30Y treasury bonds (the rolling two - year percentile decreased from 55% to 44%) [1]. 3.2 Institutional Behavior: Trading Desks Were Net Sellers, and the Purchasing Power of Allocation Desks Weakened 3.2.1 Buying and Selling Strength and Bond Selection - In the cash bond market this week, the order of net buying strength was large banks > insurance > other product types > wealth management > overseas institutions and others > rural financial institutions, and the order of net selling strength was funds > city commercial banks > securities firms > money market funds > joint - stock banks. For ultra - long bonds (bonds with a maturity of over 15 years), the order of net buying strength was insurance > rural commercial banks > city commercial banks > wealth management > overseas institutions and others, and the order of net selling strength was funds > large banks > joint - stock banks > securities firms > other product types [20]. - The main bond types of various institutions are as follows: large banks mainly focus on 3 - 5Y interest - rate bonds; rural commercial banks have no obvious main bond types; insurance mainly focuses on 7 - 10Y credit bonds; funds have no obvious main bond types; wealth management mainly focuses on 1 - 3Y credit bonds; other product types mainly focus on 3 - 5Y interest - rate bonds and 7 - 10Y other bonds [2]. 3.2.2 Trading Desks: Interest - Rate Bond Funds Significantly Increased Duration, Credit Bond Funds Slightly Increased Duration, and High - Performing Bond Funds Made Smaller Duration Adjustments - As of August 22, the mean and median durations of the full - sample medium - and long - term pure bond funds increased by 0.05 years and 0.08 years respectively compared to August 15, reaching 4.61 years and 4.48 years, and were at the 99.1% and 99.7% rolling two - year percentiles respectively. Among them, the median durations of pure interest - rate bond funds, interest - rate bond funds, and credit bond funds increased by 0.42 years, 0.23 years, and 0.03 years respectively, reaching 5.85 years, 5.47 years, and 4.05 years. The median durations of high - performing interest - rate bond funds and credit bond funds increased by 0.33 years and 0.11 years respectively, reaching 6.87 years and 4.65 years [39]. 3.2.3 Allocation Desks: Wealth Management Extended Duration in the Secondary Market, Rural Commercial Banks and Insurance Deployed Ultra - Long Bonds - **Differentiated Primary Subscription Demand for Treasury Bonds and Policy Financial Bonds, Declining Demand for Ultra - Long Bonds**: This week, the primary subscription demand for treasury bonds and policy financial bonds showed differentiation, with the demand for ultra - long bonds declining. The weighted average full - coverage multiples of treasury bonds and policy financial bonds decreased from 3.30 times to 2.87 times and increased from 2.87 times to 2.98 times respectively compared to the previous week. Among them, the weighted average full - coverage multiples of treasury bonds and policy financial bonds with a maturity of 10Y and above decreased from 4.08 times to 2.69 times and from 2.62 times to 2.51 times respectively [52]. - **Large Banks: Maintained Strong Net Buying of 1 - 3Y Treasury Bonds since August**: Since the beginning of this year, the issuance of government bonds has been fast and the duration has been long. Large banks' net selling of cash bonds in the secondary market in the first half of the year was significantly stronger than in the same period of previous years. From July to August, large banks increased their net buying. As of August 22, the cumulative net selling of cash bonds for the whole year was lower than the levels in the same period of 2022 and 2023. In terms of short - term treasury bonds, large banks increased their net buying of treasury bonds with a maturity of less than 1Y since June, but the cumulative net buying since the beginning of the year was still much lower than the level in the same period of 2024 and higher than the level in 2023. Large banks maintained strong net buying of 1 - 3Y treasury bonds from May to July, and the daily average net buying strength decreased slightly in August compared to July. As of August 22, the cumulative net buying of 1 - 3Y treasury bonds this year was 5657 billion yuan (compared to 5330 billion yuan at the end of August 2024) [57]. - **Rural Commercial Banks: Weak Bond - Buying Strength, Focusing on Long - Term Bonds and Neglecting Short - Term Bonds**: The cumulative net buying of cash bonds by rural commercial banks since the beginning of this year has been significantly weaker than in the same period of previous years, mainly due to the weak net buying of short - term bonds with a maturity of less than 1Y. As of August 22, rural commercial banks had a cumulative net selling of 3732 billion yuan of bonds with a maturity of less than 1Y (compared to net buying of 1.99 trillion yuan and 2.67 trillion yuan at the end of August in 2023 and 2024 respectively). However, the net buying of bonds with a maturity of 7 - 10Y and over 10Y was higher than in the same period of previous years [68]. - **Insurance: The Accelerated Issuance of Government Bonds Facilitated the Deployment of Ultra - Long Bonds by Insurance**: The net buying of cash bonds by insurance since the beginning of this year has been significantly higher than in the same period of previous years, mainly due to the strong buying of ultra - long bonds with a maturity of over 10Y. Assuming that the cumulative year - on - year growth rates of premium income in July and August are 6% and 8% respectively, as of August 22, the ratio of cumulative net buying of cash bonds to cumulative premium income this year reached 47.76%, exceeding the level of 40.10% at the end of August last year. The strong allocation by insurance is mainly due to the sufficient supply of ultra - long - term government bonds this year. As of August 22, the ratio of insurance's cumulative net buying of cash bonds to the cumulative issuance of government bonds with a maturity of over 10Y was only 28.28%, lower than the levels of 35.14% and 31.15% at the end of July and August last year [75]. - **Wealth Management: The Duration in the Secondary Market Rose Again**: Since June, the cumulative net buying of cash bonds by wealth management has been continuously increasing and is significantly higher than the levels of the past three years. In particular, the net buying of bonds with a maturity of over 10Y has been very strong. As of August 22, wealth management had a cumulative net buying of 1414 billion yuan of bonds with a maturity of over 10Y this year, while in previous years (except 2022), there was cumulative net selling in the same period. This week, the duration of wealth management's net buying of cash bonds in the secondary market remained basically the same and was still at the highest level since February 23, 2024. As of August 22, the weighted average duration of wealth management's cumulative net buying of cash bonds was 1.76 years, the same as on August 15 [77][83]. 3.3 Asset Management Product Tracking: Most Interest - Rate Bond Funds Recorded Negative Returns in the Past Three Months - Since August, the month - on - month growth rate of the scale of equity funds has been higher than that of bond funds. In August, the month - on - month increases in the scale of bond funds and equity funds were 57.8 billion yuan and 339 billion yuan respectively, compared to 142.3 billion yuan and 164.1 billion yuan in July. - The issuance share of newly established bond - type funds this week was still low. The scale of newly established bond funds this week was only 3.7 billion yuan, which rebounded from 1.2 billion yuan in the previous week but was still at a relatively low level. - In terms of the performance of bond funds, the net value of various types of bond funds continued to decline significantly this week, and credit bond funds had relatively stronger resistance to decline. The median annualized returns of pure interest - rate bond funds, interest - rate bond funds, and credit bond funds in the past week were - 8.6%, - 7.8%, and - 7.1% respectively. Most pure interest - rate bond funds and interest - rate bond funds recorded negative returns in the past three months [86].

固定收益 | 固定收益专题 利率专题 证券研究报告 2025 年 08 月 24 日 险资配债的逻辑与新趋势 险资投资情况概览：走弱的保费收入增速，走强的股债投资力度 去年下半年"炒停售"热潮褪去后，寿险产品保费收入增速明显走弱，拖 累行业整体表现。保险资金整体投资力度却呈现了逆势大幅走强。从大类 资产配置的角度看，债券和股票是险资投资的主要发力点。参考海外经验 来说，我们认为财产险公司的权益投资占比后续还有很大的继续提升空间。 险资配债需要考虑什么：在增厚收益与平滑波动中选择最优解 保险资金在中国债券市场中占比约为 9.32%。券种分布上，地方债目前在保 险持仓结构中占比已快速增长至达 47%。在二级现券市场上，超长期地方 政府债自 24 年 11 月以来，在保险净买入规模中整体占比 50%以上。 考虑因素一：增厚收益，结合税收成本与资本占用成本的综合考量 1）在税收成本方面，即使 8 月 8 日之后新代码债券的利息收入需要征收增 值税，政府债的税收收益依然明显领先于其他券种。 2）在资本占用成本方面，"偿二代"二期监管体系即将于 2026 年起全面实 施，险企尤其是中小型险企的偿付能力充足率承压。展望后续 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - 8 - 10 months are in a headwind period for the bond market, with current sentiment weaker than in March. Short - term advice is to observe more and trade less, and take profit and adjust positions when there is a yield decline window. Mid - term is an adjustment rather than a reversal, so pay attention to opportunities arising from declines [7][10][107]. - Currently, the safety cushion of bank wealth management still exists. In the short term, redemptions may be a small - scale redemption wave at the fund level. If the yield rises to 1.9%, pay attention to the redemption pressure of wealth management [7][10][107]. - The 30 - 10y spread has reached a new high since 2024. Considering the positive effects of the insurance predetermined interest rate cut and "rush to stop sales", gradually allocate during adjustments when the 10y Treasury bond approaches 1.8% and the 30 - 10y spread is around 30bp [7][10][107]. 3. Summary by Relevant Catalogs 3.1 7 - month Central Bank Balance Sheet and Custody Volume Interpretation 3.1.1 July 2025 Central Bank Balance Sheet Changes - The central bank's balance sheet scale increased from 45.8 trillion yuan to 45.9 trillion yuan, up 16.7 billion yuan. The main increase on the asset side was "claims on other depository corporations", and on the liability side, it was "government deposits", while the main decrease was "deposits of other depository corporations" [15]. - On the asset side, the "claims on other depository corporations" were close to the open - market投放 scale, showing positive liquidity support. The PSL balance has been rapidly decreasing since the beginning of the year, and attention should be paid to the restart of policy - related financial tools. The "claims on the central government" continued to shrink due to the maturity of short - term Treasury bonds [17][18][20]. - On the liability side, due to the large tax - payment month and increased supply, government deposit increments reached a seasonal high. Bank system funds flowed to fiscal deposits, causing the "deposits of other depository corporations" to decline seasonally [23][28]. 3.1.2 Impact of July 2025 Central Bank Operations on Custody Volume - In July, the central bank conducted 1.4 trillion yuan of outright reverse repurchase operations, with a net injection of 20 billion yuan. Treasury bond trading remained suspended [32]. - The scale of innovative tools was consistent with the change in the custody volume account. The main incremental varieties were local government bonds and policy - bank bonds, and the main reduction item was Treasury bonds [33]. 3.2 Leverage Ratio: After the Quarter - end, the Funding Situation Eased, and Institutional Leverage Declined Seasonally - In July, after the quarter - end, the funding situation eased, and the average monthly leverage ratio declined seasonally to 107.6%. The average daily trading volume of pledged repurchase decreased to 7.6 trillion yuan, and the average bond - market leverage ratio decreased from 107.8% to 107.6% [38]. 3.3 By Institution: Allocation - Oriented Investors Increased Positions on Highs, Redemption Drove Funds to Sell Bonds, and Wealth Management Had a Big Bond - Allocation Month 3.3.1 Banks: Large Banks Set a New Monthly Bond - Allocation High, and Rural Commercial Banks Bought 7 - 10y Bonds on Highs - As of July 2025, commercial banks mainly held local government bonds, Treasury bonds, and policy - bank bonds. In July, they mainly increased positions in interest - rate bonds and reduced positions in certificates of deposit [44][46]. - Large banks' bond - investment scale reached a new high in July. In the primary market, government - bond supply advanced seasonally, and in the secondary market, regulatory pressure eased, and they mainly bought short - term Treasury bonds and certificates of deposit [50]. - Rural commercial banks bought 7 - 10y interest - rate bonds on highs in July. Since mid - August, their bond - buying scale increased again, but their willingness to allocate below 1.75% weakened [54][56]. 3.3.2 Insurance: Bond - Allocation Sentiment Was Good Since July, and Attention Should Be Paid to Structural Opportunities from the Predetermined Interest Rate Cut - As of July 2025, insurance companies mainly held local government bonds, credit bonds, and Treasury bonds. They increased positions in local government bonds and certificates of deposit in July [59][60]. - The predetermined interest rate of insurance products will be officially lowered in September. Attention should be paid to the opportunity of narrowing the 30 - 10y spread, and gradually allocate during adjustments [67]. 3.3.3 General Funds: Redemption Pressure Drove Funds to Sell Bonds, and Wealth Management Had a Seasonal Bond - Allocation Month - As of July 2025, general funds mainly held credit bonds, certificates of deposit, and policy - bank bonds. In July, they increased positions in credit bonds and reduced positions in interest - rate bonds [69][74]. - Funds faced increased redemption pressure in July and mainly sold 7 - 10y Treasury bonds, policy - bank bonds, and certificates of deposit. After August 18, the redemption wave restarted, and historically, the 10y Treasury bond usually peaked within 5 trading days after the start of redemptions [79]. - Bank wealth management had a bond - allocation month driven by liabilities, but some "front - running" behaviors overdrew the seasonal bond - allocation demand [81]. 3.3.4 Foreign Investors: The Comprehensive Yield of Investing in Certificates of Deposit Decreased, and the Net Outflow Speed Accelerated - As of July 2025, foreign institutions mainly held Treasury bonds, certificates of deposit, and policy - bank bonds. In July, they mainly reduced positions in certificates of deposit, Treasury bonds, and policy - bank bonds [85][92]. 3.4 By Bond Type: The Main Support for the Increment of Bond - Market Custody Volume Was Government Bonds, and the Main Reduction Item Was Certificates of Deposit - In July, the increment of the bond - market custody volume increased, with government bonds as the main support and certificates of deposit as the main reduction item. The net financing scale of interest - rate bonds decreased from 1.7067 trillion yuan to 1.5334 trillion yuan [94][99]. - For Treasury bonds, the issuance scale decreased, and the net financing scale declined. For local government bonds, the issuance scale increased, and the net financing scale increased. For policy - bank bonds, the supply rhythm was relatively stable, and the net financing scale changed little [99][100]. - For certificates of deposit, after the quarter - end, the funding situation was loose, and bank liability pressure was limited, resulting in negative net financing [104].

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].

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - The bond market has a low "profit - making effect", leading to the continuous withdrawal of trading funds. Despite marginal positive factors, the bond market continued to decline last week. The current situation is similar to the reversal in the bond market in the fourth quarter of last year [4][7]. - It is difficult to expect the bond market to rise again due to the end of the stock market rally. The triggers for the bond market to rise again are that loose liquidity becomes the dominant factor and the coupon value meets investors' psychological expectations [10]. - Although trading enthusiasm is cooling, the bond market still has two supporting factors: continued loose liquidity and rigid allocation demand. The overall outlook for the bond market in the second half of the year is not pessimistic, and short - term trading enthusiasm is hard to recover immediately [4][11][12]. Summary by Directory 1. Bond Market Weekly Viewpoint: The "Reverse Mirror" of the Bond Market in Q4 2024 - The bond market adjustment last week was mainly due to the low "profit - making effect", causing trading funds to withdraw. The current situation is similar to the change in the bond market sentiment in Q4 last year. The reversal last year was due to the central bank's actions and the economic "small spring". Currently, the bond market is also facing the consensus of low profit - making effect [4][7]. - It is difficult for the bond market to rise again because of the end of the stock market rally. The bond market's rise depends on loose liquidity and the coupon value reaching investors' expectations. The former requires central bank signals, and the latter needs sufficient withdrawal of trading funds and investors' confidence in limited bond market adjustment [10]. - There are two supporting factors for the bond market: continued loose liquidity and rigid allocation demand. The overall outlook for the bond market in the second half of the year is not pessimistic, but short - term trading is difficult, and medium - and short - term credit products still have allocation value [4][11][12]. 2. This Week's Focus in the Fixed - Income Market: Increasing Supply of Local Government Bonds 2.1 Domestic August LPR to be Announced - This week, China will announce the August LPR, the US will announce the July new - home starts, and the eurozone will announce the August consumer confidence index and PMI. The Fed Chairman will speak at the Jackson Hole Global Central Bank Annual Meeting on Friday [14]. 2.2 This Week's Increase in Interest - Bearing Bond Issuance - This week, it is expected to issue 931.2 billion yuan of interest - bearing bonds, a relatively high level compared to previous years. Among them, treasury bonds are expected to issue about 402 billion yuan, local government bonds 369.2 billion yuan, and policy - bank bonds about 160 billion yuan [16]. 3. Review and Outlook of Interest - Bearing Bonds: Improved Risk Appetite Puts Pressure on the Bond Market 3.1 Continued Net Withdrawal in Reverse Repurchase Operations - The central bank's open - market reverse repurchase operations continued to have a net withdrawal. The reverse repurchase scale reached 711.8 billion yuan, with a net withdrawal of 414.9 billion yuan. Tax - period funds saw a low - level increase in interest rates, with the repurchase volume rising and then falling, and the overnight and 7 - day DR and R rates changing compared to the previous week [22][23]. - The issuance of certificates of deposit remained at a relatively high level, with a net financing of - 131.1 billion yuan. The issuance by different types of banks and the proportion of different maturities changed, and the certificate of deposit rates mostly increased [28][29]. 3.2 Improved Market Risk Appetite - Last week, the resurgence of anti - involution policies led to a rapid rise in commodity prices and a stronger equity market, improving market risk appetite and putting pressure on the bond market. Despite poor financial and economic data, the positive impact was limited, and the redemption pressure on bond funds increased the bond market adjustment. On August 15, the yields of various - maturity treasury bonds mostly increased, with the 10 - year China Development Bank bond rising the most [38]. 4. High - Frequency Data: Most开工率 Declined - On the production side, most开工率 declined, such as blast furnace and semi - steel tire开工率, while the asphalt开工率 increased. The year - on - year decline in the average daily crude steel output in early August narrowed [47]. - On the demand side, the year - on - year growth rates of passenger car manufacturers' wholesale and retail sales diverged. The year - on - year growth rate of commercial housing transaction area remained negative. The export indices SCFI and CCFI decreased [47]. - On the price side, crude oil, copper, and aluminum prices declined, coal prices were divided, and in the middle - stream, building material prices mostly decreased. The output of rebar increased, and the inventory rose rapidly. Vegetable prices increased, while fruit and pork prices decreased [48].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Last week, the bond market adjusted significantly under the suppression of the equity market. Fund selling pressure reappeared, but the overall intensity was controllable, and the allocation disk gradually took over. The selling pressure of funds on interest - rate bonds last week was weaker than that in the two weeks of 7/19 - 7/25 and 7/5 - 7/11, and they maintained net buying of credit bonds. The承接 strength of insurance and rural commercial banks gradually increased in the second half of the week [9]. - Looking forward, continuous attention should be paid to the fund redemption pressure. Since the beginning of this year, the bond market has been volatile. After this week's adjustment, most pure interest - rate bond funds and interest - rate bond funds have recorded negative returns in the past three months. Meanwhile, the profit - making effect of the equity market has attracted capital inflows, and the growth rate of equity fund scale has been greater than that of bond funds for the second consecutive month [9]. 3. Summary According to Relevant Catalogs 3.1 Overall Sentiment: Bond Market Vitality Index Rebounds - As of August 15, the bond market vitality index rebounded by 16 pcts to 29% compared with August 8, and the 5D - MA rebounded by 3 pcts to 28% [1][10]. - Vitality warming indicators: The trading volume of the active 10Y China Development Bank bond / the balance of 9 - 10Y China Development Bank bonds (the rolling two - year quantile increased from 55% to 87%); 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 increased from 17% to 24%); the 30Y Treasury bond turnover rate (the rolling two - year quantile increased from 25% to 55%) [12]. - Vitality cooling indicators: The median duration of medium - and long - term pure bond funds decreased from 4.42 years to 4.41 years, and the rolling two - year quantile decreased from 98.7% to 98.3%; the implied tax rate of the 10 - year China Development Bank bond (inverse) decreased from 95.0% to 94.1%, and the rolling two - year quantile decreased from 9% to 4% [13]. 3.2 Institutional Behavior: Fund Selling Pressure Reappears, Allocation Disk Gradually Takes Over 3.2.1 Buying and Selling Strength and Bond Type Selection - In the cash bond market last week, the net buying strength ranking was: money market funds > insurance > large - scale banks > overseas institutions and others > wealth management > rural commercial banks; the net selling strength ranking was: city commercial banks > securities firms > joint - stock banks > funds. For ultra - long bonds (bonds with a maturity of over 15 years), the net buying strength ranking was: insurance > rural commercial banks > wealth management > overseas institutions and others; the net selling strength ranking was: funds > large - scale banks > joint - stock banks > securities firms > other product types [23]. - The main bond types of various institutions: large - scale banks focus on 1 - 3Y and 3 - 5Y interest - rate bonds; rural commercial banks focus on interest - rate bonds over 10Y; insurance focuses on interest - rate bonds over 10Y and 7 - 10Y credit bonds; funds focus on interest - rate bonds within 1Y; wealth management and other product types have no obvious main bond types [28]. 3.2.2 Trading Disk - As of August 15, the median duration of all - sample medium - and long - term pure bond funds decreased by 0.01 years to 4.41 years compared with August 8. Among them, the median durations of pure interest - rate bond funds and interest - rate bond funds decreased by 0.30 years and 0.22 years to 5.43 years and 5.24 years respectively; the median duration of credit bond funds increased by 0.04 years to 4.02 years. The median durations of high - performance interest - rate bond funds and credit bond funds decreased by 0.26 years and 0.23 years to 6.54 years and 4.55 years respectively [3][44]. 3.2.3 Allocation Disk - **Treasury and Policy - Financial Bond Primary Subscription Demand**: Last week, the primary subscription demand for treasury and policy - financial bonds showed differentiation, and the subscription demand for ultra - long bonds decreased. The weighted average full - field multiples of treasury and policy - financial bonds were 3.30 times and 2.87 times respectively [58]. - **Large - Scale Banks**: Since August, the net buying strength of 1 - 3Y Treasury bonds has remained strong. As of August 15, the cumulative net buying scale of 1 - 3Y Treasury bonds this year was 5406 billion yuan [64]. - **Rural Commercial Banks**: This year's cumulative net buying scale of cash bonds is significantly weaker than in previous years, mainly due to the weak net buying strength of short - term bonds within 1Y. However, the net buying strength of 7 - 10Y and bonds over 10Y is higher than the same period in previous years [76]. - **Insurance**: This year, the net buying strength of cash bonds is significantly higher than in previous years, mainly due to the strong buying of ultra - long bonds over 10Y. As of August 15, the ratio of this year's cumulative net buying of cash bonds to cumulative premium income reached 43.38%, exceeding 40.10% at the end of August last year. The ratio of this year's cumulative net buying of cash bonds to the cumulative issuance scale of government bonds over 10Y was only 28.42%, lower than 35.14% and 31.15% at the end of July and August last year [81]. - **Wealth Management**: Since June, the cumulative net buying scale of cash bonds has continued to rise, significantly higher than the past three years. As of August 15, the cumulative net buying of bonds over 10Y this year was 138 billion yuan. Last week, the duration of net - bought cash bonds in the secondary market rose again, reaching a new high since February 23, 2024 [91][93]. 3.3 Asset Management Product Tracking: Most Interest - Rate Bond Funds Recorded Negative Returns in the Past Three Months - Since August, the month - on - month increase in the scale of equity funds has still been higher than that of bond funds. The month - on - month increase in the scale of bond funds and equity funds in August was 5.03 billion yuan and 14.57 billion yuan respectively, and in July it was 14.23 billion yuan and 16.41 billion yuan respectively. - The issuance share of newly established bond - type funds last week was low, only 120 million yuan, a significant drop from 2.51 billion yuan in the previous week. - Last week, the net value of various types of bond funds declined significantly, and credit bond funds had relatively stronger resistance to decline. Most pure interest - rate bond funds and interest - rate bond funds recorded negative returns in the past three months [94].

Report Industry Investment Rating No relevant content provided. Core Viewpoints - Economic and financial data weakness does not change the high - low switching trend between stocks and bonds, with stocks strong and bonds weak. The continuous net -回笼 of funds by the central bank from Monday to Thursday last week did not change the loose liquidity, and the central bank switched to net - injection on Friday. The loose funds support short - end interest rates, while long - end interest rates are rising due to the strong performance of the equity market [2][92]. - The Q2 2025 monetary policy report shows an attitude of liquidity care and emphasizes "preventing capital idling". The central bank may focus more on micro - level changes, improve the transmission efficiency of policy interest rates to market interest rates, and prevent capital idling in the next stage [2][11][93]. - Given the loose funds and strong stock market, the yield curve may become steeper. In the short term, short - term bonds perform well due to loose funds, while long - term bonds are at a disadvantage. In the long term, the interest rate center will decline, and the rigid demand of institutional investors will support bonds. The investment strategy is to "shorten portfolio duration + prioritize old bonds" [2][95]. Summary by Directory 1. Important Matters - On August 15, 2025, the central bank will conduct a 5000 - billion - yuan 6 - month买断式逆回购 operation, resulting in a net injection of 3000 billion yuan after the operation, as the August maturity scale is 9000 billion yuan [5]. - The Ministry of Finance, the People's Bank of China, and the National Financial Regulatory Administration jointly issued a personal consumption loan fiscal subsidy policy from September 1, 2025, to August 31, 2026, with detailed subsidy rules and a list of first - batch loan - handling institutions [7]. - The credit data in July 2025 was relatively weak. The cumulative social financing scale from January to July was 23.99 trillion yuan, with specific changes in various components compared to the previous year [8]. - The Q2 2025 monetary policy report was released on August 15, with changes in the next - stage monetary policy direction compared to the Q1 report, mainly focusing on implementing policies more precisely, improving interest rate transmission, and preventing capital idling [11]. 2. Money Market 2.1 Open Market Operations and Fund Interest Rate Trends - From August 11 to 15, 2025, the central bank's 7 - day open - market operations had a net -回笼 of 4149 billion yuan. It is expected that 9318 billion yuan of base currency will be matured and withdrawn from August 18 to 22 [15][16]. - The funds were relatively loose last week, and the policy interest rate of the 7 - day open - market reverse repurchase was 1.40%. As of August 15, R001, R007, DR001, and DR007 had specific changes compared to August 8, and their interest rate centers also changed [21]. 2.2 Certificate of Deposit Interest Rate Trends and Repurchase Transaction Situations - In the primary market, commercial bank certificates of deposit were in a net - financing - out state last week, with a net financing scale of - 1311.1 billion yuan. The state - owned banks had the largest issuance scale, and the 1 - year CD issuance rate of national and joint - stock banks dropped to around 1.62% - 1.63% [27][30]. - In the secondary market, due to the overall market weakness, the yields of CDs of all maturities were on the rise, and the 1Y - 3M term spread widened [34]. 3. Bond Market - In the primary market, on August 14, the marginal interest rate of the 3 - year treasury bond (250015) was 1.4600%, and the net - financing rhythm of local government bonds from January to August was faster than that of treasury bonds. The supply of local bonds from August to September may have a relatively long average maturity. Last week, the issuance and net - financing scale of interest - rate bonds decreased [38][45]. - As of August 15, the issuance scale of special refinancing bonds in 2025 reached 1.89 trillion yuan, mainly in long - and ultra - long - term maturities, with certain regional differences in issuance [47]. - In the secondary market, the strong performance of the equity market last week led to a weak bond market. The short - end interest rates were supported by low - level running funds, and the curve steepened further. The trading volume and turnover rate of 10 - year treasury and CDB active bonds increased, and the term spread and the spread between national and local bonds had specific changes [50][54][57]. 4. Institutional Behavior Tracking - In July, the institutional leverage ratio decreased seasonally and was at a relatively low level compared to the same period due to the upward - fluctuating bond market. The trading volume of inter - bank pledged repurchase was relatively high last week [66][71]. - In the cash - bond market, state - owned banks increased their holdings of treasury bonds with maturities within 5 years, rural commercial banks increased their holdings of treasury bonds with maturities over 5 years and CDB bonds with maturities of 5 - 10 years, while securities firms and funds were net sellers, and funds mainly reduced their holdings of long - term bonds [66][76]. - The current average cost of major trading desks for adding positions in 10 - year treasury bonds is above 1.70%, with rural commercial banks' cost decreasing due to large - scale position - adding [79]. 5. High - Frequency Data Tracking - Last week, the settlement prices of rebar futures decreased by 1.47% week - on - week, wire rod futures remained flat, cathode copper futures increased by 1.01%, the cement price index decreased by 1.05%, and the Nanhua Glass Index decreased by 1.58%. The CCFI index decreased by 0.62%, and the BDI index increased by 2.26%. The wholesale price of pork decreased by 3.00%, and the wholesale price of vegetables increased by 3.94%. Brent crude oil futures increased by 8.88%, and WTI crude oil futures decreased by 0.61%. The central parity rate of the US dollar against the RMB was 7.14 [90]. 6. Market Outlook - The high - low switching trend between stocks and bonds will continue. The central bank's liquidity operations maintain loose funds, supporting short - end interest rates and causing long - end interest rates to rise due to the strong equity market [2][92]. - The central bank may focus on micro - level changes and improve the transmission efficiency of interest rates in the next - stage monetary policy, while preventing capital idling [2][93]. - The yield curve may become steeper in the short term. In the long term, the interest rate center will decline, and the investment strategy is to "shorten portfolio duration + prioritize old bonds" [2][95].