Market Overview - The A-share market has shown strong upward momentum, with the Shanghai Composite Index breaking through the key level of 3674.40 points, reaching a new high since the "9·24" rally last year, with a year-to-date increase of nearly 10% [1] - On August 14, the index continued to rise, surpassing 3700 points, marking the highest level since December 2021, with trading volume in the Shanghai and Shenzhen markets reaching 2.18 trillion yuan, indicating a significant increase in market activity [1][2] Equity Market Dynamics - The current rally in the equity market is driven by multiple factors, including improved expectations from "anti-involution" policies, increased participation from retail investors, institutional funds, and foreign capital, as well as resilient macroeconomic fundamentals and proactive fiscal policies [2] - Various sectors are experiencing structural opportunities, with significant gains in securities, semiconductors, and insurance, indicating a shift away from a market dominated solely by bank stocks [2] Bond Market Analysis - The bond market has shown a mixed performance, with the yield on 10-year government bonds rising from 1.6855% on August 11 to 1.7350% on August 13, reflecting a lack of clear catalysts for bond price increases [1][2] - The bond market is currently influenced by two main factors: the strong performance of the equity market reducing the willingness of bond investors to increase positions, and a divergence in institutional behavior, with funds and brokerages being net sellers while banks and insurance companies are net buyers [3][5] Tax Policy Impact - The recent restoration of value-added tax on interest income from newly issued government and local bonds has led to an increase in selling pressure from funds, impacting their future bond allocation strategies [5][6] - Despite the tax changes, the overall impact on the bond market is expected to be limited, as the demand for fixed-income products remains relatively stable [8] Future Outlook - The bond market is perceived to be in a "top and bottom" range, with limited potential for significant yield declines due to the strong equity market and investor risk appetite, while still supported by a loose monetary policy [7] - Analysts suggest that the "look at stocks, do bonds" strategy may continue, but the coexistence of a "dual bull" market for stocks and bonds is also possible as the capital market recovers [7][8]

Group 1: Report Highlights - The active bond phenomenon is caused by the differentiation between the allocation portfolio and the trading portfolio. New bonds go through a cycle of "liquidity accumulation → premium widening → switching to active bonds → premium continuing to widen → premium compression" after issuance. The new-old bond spread is an indicator of liquidity premium [4][7]. - For a new bond to become an active bond, it must meet three core conditions: longer maturity, larger scale, and continuous issuance. Other factors such as issuance timing and code convenience can also be considered [4][8]. - The shape of the new-old bond spread shows a divergent evolution trend among bond types. The spread center has shifted downward, the active bond cycle has generally shortened, and the time for the spread to reach its peak has also decreased. In the future, the active bond phenomenon may gradually weaken [4][9][10]. - The new-old bond spread arbitrage strategy can be divided into four stages, and the report calculates the arbitrage space and stop-profit indicators for each stage [4][11]. Group 2: Active Bond Phenomenon - The active bond phenomenon is driven by the pursuit of liquidity by market participants. Each new bond experiences a cycle of strong to weak liquidity, corresponding to the active bond lifecycle. The liquidity premium of active bonds is an important indicator of market sentiment and capital flow and creates multiple trading arbitrage opportunities [20]. - The active bond phenomenon is caused by the differentiation between the allocation portfolio (banks, insurance) and the trading portfolio (funds, securities firms, etc.). The allocation portfolio holds bonds until maturity, weakening the demand for liquidity, while the trading portfolio relies on price difference returns, strengthening the dependence on liquidity [21]. - The active bond is not permanent but changes over time. When a new bond is issued, it may gradually replace the old bond as the new active bond, a process called new-old bond alternation [22]. Group 3: Conditions for New Bonds to Become Active Bonds - Longer maturity: Active bonds need to have sufficient duration sensitivity to attract trading funds for band operations. Long-term bonds (such as 10Y/30Y) are suitable for trading to obtain capital gains due to their long duration and sensitivity to interest rate fluctuations [36]. - Larger scale: Scale is the cornerstone of liquidity. A single bond's circulation volume needs to exceed a certain scale threshold to accommodate high-frequency trading. Large-scale bonds can avoid being "bought out" by the allocation portfolio and provide capacity for short-term leveraged trading [37]. - Continuous issuance: Frequent issuance helps maintain market attention and prevent existing bonds from being marginalized. Interruptions in issuance can lead to a rapid decline in liquidity [43]. - Issuance timing: If a new bond is issued at a relatively high interest rate and continued to be issued during a period of rapid interest rate decline, the switching of active bonds may be hindered. An interest rate shock period is relatively favorable for new bonds to switch to active bonds [50][51]. - Code convenience: Complex codes may increase trading friction costs, while simple codes can improve trading efficiency. Bonds with convenient codes are more likely to attract trading [56]. Group 4: Patterns of New-Old Bond Spread Trends - The new-old bond spread shows regular fluctuations along with the active bond switching cycle, generally presenting an "M-shaped" trend. The spread first widens, then narrows, widens again, and finally converges [62]. - The shape of the new-old bond spread shows a divergent evolution trend among bond types. The 10-year CDB bond shows a trend of changing from an "inverted V-shaped" to an "M-shaped", the 10-year Treasury bond evolves in the opposite direction, and the 30-year Treasury bond maintains an "M-shaped" [9][64]. - The center of the new-old bond spread has shifted downward, and the maximum spread average of the three major bond types has been compressed to varying degrees. The driving factors include the allocation portfolio's continuous increase in holding existing old bonds, the diversion effect of special Treasury bonds on liquidity, and the enhanced consistency of the trading portfolio's pursuit of new bonds [80][83][85]. Group 5: Shortening of Active Bond Cycle and Spread Peak Time - The active bond cycle has generally shortened. The active bond cycles of 10-year Treasury bonds and CDB bonds have been shorter this year due to the faster switching rhythm. The cycle characteristics of 30-year Treasury bonds are mainly reflected in the shorter active cycle of special Treasury bonds [10][89]. - The spread peak usually lags behind the switching date. In recent years, due to the advancement of market expectations, the time for the peak to appear has shortened, reflecting a shift from long-term cyclical to short-term event-driven liquidity premium gaming [10][91]. Group 6: New-Old Bond Spread Arbitrage Strategy - The new-old bond spread arbitrage strategy can be divided into four stages: arbitrage of the primary-secondary market spread from the new bond's payment date to the listing date, arbitrage of the spread widening from the listing date to the "sub-maximum spread day" before the switching date, arbitrage of the spread widening from the switching date to the peak of the active bond spread, and trading of the spread convergence from the peak decline to the retirement of the active bond [11][92]. - From the payment date to the listing date of a new bond, the spread generally widens. A "long new bond, short old bond" strategy can be adopted on the payment date and closed on the listing date to complete short-term arbitrage [93]. - After the new bond is listed, the spread fluctuates in a pattern of "first widening, then a phased correction". A "long new bond, short old bond" strategy can be adopted on the listing date and stopped for profit on the "sub-maximum spread day" [98].

▍ 上 周债市震荡偏弱。 2 0 2 5年4月2 1日至2 0 2 5年4月2 5日，债市震荡偏弱。1 0年期国债收益率从上周的1 . 6 4 9 3%变动至1 . 6 6 0 6%；1 0年期国开债收益 率从上周的1 . 6 8 1 0%变动至1 . 6 9 6 1%；TS、TF、T、TL主力合约收盘价分别变动- 0 . 1 5 /- 0 . 3 0 /- 0 . 2 6 /- 0 . 0 2元。 文 ｜ 明明 周成华 丘远航 赵诣 在贸易冲突背景下，预计从4月PMI开始，数据层面将逐步反映压力，适时降准降息时点临近，收益率曲线先牛陡后牛平的概率 更大。 ▍ 风险因素： 美国关税政策继续反复；货币政策、财政政策超预期；央行公开市场操作投放超预期；信用违约事件频发等。 本文节选自中信证券研究部已于 2025年4月27日 发布的《 每周债券策略聚焦20250426—适时降准降息窗口临近 》报告，具体分析内容（包括相关风险提示等）请详见报告。若因对报 告的摘编而产生歧义，应以报告发布当日的完整内容为准。 ▍ 具体看单日表现。 周一，LPR维持不变，现券收益率有所上行。周二，税 期尾声，资金利率回落，债市修复。周三 ...