机构认为与股牛已脱钩，继续看多债市。 转债指数接近历史最高点，转债可能到了谨慎乐观的时候，后续关注股市变化及可转债发行审批等。我 们估算目前理财持有三千多亿固收+基金，其中，持仓一级债基很多。倘若后续股市调整，理财可能大 幅赎回固收+基金，或有负反馈。固收+不好做，规模大幅起来的时候，转债估值往往很高了。 我们持续看下半年10Y国债1.6%-1.8%，未来几个月有机会再度接近1.6%！最近一直建议珍惜收益率2% 以上的30Y国债和5Y资本债。此前，我们也持续明确建议业绩落后的抓住调整机会大幅加久期实现一把 翻身，右侧投资难度不低。很多久期短的一直等着加仓拉久期。 本轮债市调整以来平安公司债ETF（511030）回撤控制排名第一，近一周场内成交贴水最少，净值相对 稳健且回撤可控。 以上内容与数据，与有连云立场无关，不构成投资建议。据此操作，风险自担。 从已披露中报的上市公司来看，同比低基数之下，全A的1H25盈利增速未较一季度改善，营收增速持续 低迷。自24年9月24日以来，本轮股票牛市时间已接近1年，全A指数已经翻倍。本轮股票牛市是资金驱 动，上证十年新高后，进入无人区，昨日成交已达3.2万亿，天量或难以持续 ...

证券研究报告 固收定期报告 hyzqdatemark 2025 年 08 月 24 日 ——利率周报（2025.8.18-2025.8.24） 投资要点： 联系人 mahe@huayuanstock.com 国内债市回调，美国 9 月降息概率上升 报告核心观点：1-7 月全国一般公共预算收入同比仅微增 0.1%，税收收入同比 -0.3%，反映经济修复动能偏弱；财政支出同比+3.4%，社保就业支出高增 9.8%， 显示政策托底力度加大。LPR 连续四个月按兵不动（1 年期 3.0%、5 年期 3.5%）， 叠加美联储释放 9 月降息信号，国内资金利率有望保持低位，资金面或持续宽松。 本周中观数据显示消费与交运延续复苏，但地产链持续低迷，工业品价格分化。债 市调整主因"股债跷跷板"效应及机构行为扰动，随着债基及券商自营持仓的超长 债转移到险资等配置盘上，后续股市对债市的扰动或将明显减弱，债市预计将逐步 回归基本面、资金面定价。 证券分析师 廖志明 SAC：S1350524100002 liaozhiming@huayuanstock.com 马赫 请务必仔细阅读正文之后的评级说明和重要声明 宏观要闻：25 年 1 ...

1. Report Industry Investment Rating - The report is bullish on the bond market in the short - term, expecting the 10Y Treasury yield to return to around 1.65% in the next six months and the 5Y national and regional bank secondary capital bonds to reach below 1.9% [1][2] 2. Core View of the Report - The bond market may gradually decouple from the stock market as the long - term bond holdings of securities firms' proprietary trading and bond funds decline significantly. The recent bond market correction is due to the systematic active reduction of duration by bond funds and securities firms' proprietary trading, not related to the economic fundamentals [1] - Since 2010, only stock bull markets driven by fundamentals have led to bond bear markets, while those driven by funds have not. The current stock market rally may be driven by funds and has a weak relationship with fundamentals [1] - The diversion of funds from the bond market by the stock market is limited. The growth of the bond investment of bank proprietary trading is significant, and the scale growth of wealth management products is less affected by the stock market [1] - There are multiple reasons to be bullish on the bond market in the short - term, including continuous central bank easing, increasing economic downward pressure, possible restart of central bank's Treasury bond purchases, continuous decline in bank liability costs, and the passing of the peak of government bond net issuance [1][2] 3. Summary by Relevant Catalogs 3.1 Bond - Stock Relationship - From July 1 to August 22, 2025, in the secondary trading of inter - bank market interest - rate bonds, securities firms' proprietary trading net - sold 479 billion yuan, including 114.6 billion yuan of bonds with a remaining maturity of over 20 years; public funds (excluding money - market funds) net - sold 436 billion yuan of interest - rate bonds, including 60.5 billion yuan of those with a maturity of over 20 years. As the long - term bonds held by bond funds and securities firms' proprietary trading are transferred to insurance funds and other allocation players, the impact of the stock market on the bond market will weaken [1] - Since 2010, there have been three major stock market bull markets: the 14Q4 - 15Q1 bull market was driven by funds, resulting in a bull market for both stocks and bonds; the 2017 and 2020 - 2021 bull markets were driven by economic recovery, leading to a bear market in bonds. The 2024 "924" stock market rally led to a rapid adjustment in the bond market, but the bond market stabilized quickly after the stock market peaked on October 8 [1] 3.2 Diversion of Funds - As of the end of July 2025, the bond - holding scale of bank proprietary trading reached 99 trillion yuan, accounting for 52% of the total scale of China's bond market. In the first seven months of 2025, the net issuance of Chinese bonds totaled 14.3 trillion yuan, and the bond investment balance of the banking industry increased by 9.6 trillion yuan, accounting for 67.5% [1] - The diversion of funds from the bond market by the stock market is mainly reflected in the possible moderate increase in the stock investment ratio and decrease in the bond investment ratio of flexible allocation funds, annuities, and insurance funds during a stock bull market, but the actual diversion scale is limited. The scale growth of wealth management products is due to the substitution of deposits and is less affected by the stock market [1] 3.3 Reasons for Bullish on the Bond Market - Central bank's continuous easing: Since 25Q2, the DR001 and DR007 interest rates have dropped significantly, indicating a shift from "de - facto interest rate hike" in 25Q1 to "de - facto interest rate cut". It is expected that the capital interest rate will remain low and have low volatility in the next six months [1] - Increasing economic downward pressure: Consumption subsidies may overdraw the demand for household appliances, the consumption growth rate started to decline in July, the real estate market remains sluggish, and the investment growth rate has dropped significantly, so the economic downward pressure may increase significantly in the second half of the year [1] - Possible restart of central bank's Treasury bond purchases: Considering the recent significant rebound in Treasury bond yields, indicating an oversupply of Treasury bonds, the central bank may restart Treasury bond purchases when the 10Y Treasury yield reaches above 1.8% [1][2] - Decrease in bank liability costs: As the deposit interest rates have been significantly reduced in the past few years, the bank liability cost rate is expected to decline quarter - by - quarter. The 10Y Treasury bonds have certain allocation value for most bank proprietary trading, and the weak credit demand may prompt banks to increase bond investment [1][2] - Passing of the peak of government bond net issuance: As of August 22, the net issuance of government bonds since the beginning of the year has reached 10.4 trillion yuan, accounting for 75% of the annual plan, and the net issuance scale in Q4 is expected to be small [2]

Core Viewpoint - The article discusses the ongoing "stock-bond seesaw" phenomenon, highlighting the strong correlation between the 10Y government bond yield and the CSI 300 index, with a Pearson coefficient of 0.92 since early July 2023, indicating increased investor preference for risk assets [4][5]. Group 1: Market Dynamics - The current stock market resembles last year's bond market, with the "wealth effect" being a significant driver for the bullish trend. However, this year's bond market lacks a similar wealth effect [5]. - As of the report date, the 10Y government bond yield stands at 1.73%, having increased by 5.2 basis points since the end of last year, prompting a shift of funds from the bond market to the stock market as investors become more optimistic about equities [5][6]. Group 2: Long-term Outlook - In the long term, it is unlikely that the bond market will consistently follow the stock market in pricing. Historical data shows that since 2016, there have been few instances where bond yields and stock indices moved in the same direction for extended periods [6][7]. - The correlation between the 10Y government bond yield and the CSI 300 index over the past 9.5 years is only 0.08, while the correlation with nominal GDP growth and the DR007 rate is significantly higher at 0.56 and 0.83, respectively. This indicates that bond pricing is more sensitive to economic conditions and monetary policy [7].

Group 1 - The current "anti-involution" theme has a broader industry coverage compared to the supply-side reform from 2015-2018, including sectors like photovoltaic, new energy vehicles, steel, coal, building materials, basic chemicals, and pig farming [22][23][28] - The steel and coal industries are transitioning from passive destocking to active restocking, with steel profitability already improving, while photovoltaic and medical devices show stronger demand for "anti-involution" [27][28] - The report highlights that the photovoltaic and medical device sectors are in an active destocking phase, with high potential for price rebound if successful [27][28] Group 2 - The equity market is experiencing a slight decline in sentiment, with expectations for a high-level fluctuation in August, as the overall financial and industrial sentiment has decreased [31][32] - The 10Y government bond yield is expected to slightly decline to 1.70% in August, influenced by factors such as economic growth and inflation [50][53] - The real estate sector is under increasing demand-side pressure, with the industry pressure index rising slightly to 0.597, indicating a potential worsening of the market situation [69][71] Group 3 - The report recommends focusing on high win-rate and high payout industries, including computer, electric equipment and new energy, non-ferrous metals, agriculture, transportation, and light manufacturing [4] - The "clearing reversal" strategy suggests investing in industries that are at the end of the clearing phase, with rising demand and improved competitive landscape, such as oil and petrochemicals, non-ferrous metals, and utilities [4][88] - The report emphasizes the importance of monitoring the performance of small-cap stocks, which have shown a slight increase in attention compared to large-cap stocks [87][88]

Group 1: Report Industry Investment Rating - Not provided in the content Group 2: Core Viewpoints of the Report - The direct and main impact of resuming taxation is to increase the yield of new bonds and slightly lower the yield of old bonds. The pricing of new bonds depends largely on the investor structure, while the pricing of old bonds depends on investors' expectations of new bond yields [2][9]. - For 10Y treasury bonds, the current yield on August 1st is 1.71%. Bank self - operating investors with a 6% VAT rate have an equivalent yield of 1.83% after tax resumption, a 12bp increase; asset management accounts with a 3% tax rate have an equivalent yield of 1.77%, a 6bp increase [2][9]. - The reasonable spread range between new and old bonds is (6bp, 12bp). When the spread is below 6bp, all investors tend to sell new bonds and buy old bonds; when it is above 12bp, all investors have the motivation to buy new bonds and sell old bonds; when it is between 6bp and 12bp, 6% - tax - rate investors tend to sell new bonds and buy old bonds, while 3% - tax - rate investors tend to buy new bonds and sell old bonds [2][10]. - If there are only 3% - or 6% - tax - rate investors, the yield increase is borne by new bonds, and old bonds remain at the current level. If both types of investors exist, the increase in new bond yields is hard to satisfy both, and 6% - tax - rate investors' tendency to buy old bonds will push old bond yields down [3][13]. - Old bond yields below 1.71% are pushed by 6% - tax - rate investors. Only when their proportion is moderate can they push old bond yields down from 1.71%. The theoretical limit of old bond yields is new bond yields - 12bp, and the actual downward range of old bond yields is very limited [4][15]. Group 3: Summary According to the Directory 1. How to Price New and Old Bonds after Resuming Taxation? - On August 1st, 2025, the Ministry of Finance and the State Taxation Administration announced that starting from August 8th, 2025, VAT on the interest income of newly issued national, local government, and financial bonds will be resumed [1][9]. - Taking 10Y treasury bonds as an example, different tax - rate investors have different equivalent yields after tax resumption. Bank self - operating investors with a 6% VAT rate have an equivalent yield of 1.83%, a 12bp increase; asset management accounts with a 3% tax rate have an equivalent yield of 1.77%, a 6bp increase [2][9]. - Four scenarios are established to study the dynamic relationship between new and old bond yields. In scenarios where only one type of tax - rate investor exists, old bond yields remain unchanged. In scenarios where both types exist, 6% - tax - rate investors' behavior may push old bond yields down [12][14]. - The theoretical limit of old bond yields is new bond yields - 12bp, and the actual downward range of old bond yields is limited, as shown in the graph of the relationship between new and old bond yields [15][16].

Core Insights - The report indicates that the bond market is experiencing increased volatility, with interest rates retreating from their peak levels. The 10-year government bond yield closed at 1.7059%, down 2.7 basis points from the previous week, reflecting a recovery to levels seen on July 22 [3][7][8] - The report identifies three main pricing clues affecting interest rate adjustments: the increase in external risk premiums, the adjustment of "anti-involution" and "re-inflation" expectations, and the potential for adjustments in data trading [15][20][26] Group 1: Interest Rate Trends - The report confirms that the previous interest rate bottom has been established, and it is unlikely that rates will fall below previous lows. The rapid decline in interest rates this week indicates a shift in market focus from the "interest rate peak" to the potential for downward movement [4][28] - The 10-year interest rate has been validated at the critical psychological level of 1.75%, suggesting that rates above this level are likely to attract configuration forces [12][28] Group 2: External Environment and Economic Indicators - The uncertainty surrounding US-China tariff prospects has increased, with the likelihood of significant tariff hikes being low. Recent developments indicate that punitive tariffs of 40% on ASEAN countries are unlikely to lead to substantial increases in tariffs [2][28] - The report notes that despite adjustments in "re-inflation" expectations, risk appetite remains strong, with commodity prices still significantly higher than in June. The South China Industrial Products Index was reported at 3680.1, reflecting an 8.7% increase from the June low [22][29] Group 3: Data Trading Adjustments - The report highlights that the basic pressure on the bond market may weaken, but the possibility of a significant economic downturn is low. Recent PMI data indicates a decline in manufacturing, construction, and service sectors, suggesting a potential slowdown in economic momentum [26][27] - The report emphasizes that the adjustments in the three pricing clues have led to a rapid decline in interest rates, but after the initial emotional response, the likelihood of returning to previous lows is minimal [28]

Core Viewpoint - The article emphasizes that "black swan" events are not random but rather an inevitable part of market trends, serving as a "compass" for market direction despite technical corrections [1]. Group 1: Market Conditions - The funding environment is balanced and slightly loose, with long-term bond yields experiencing a minor decline [1]. - The central bank conducted a 28.32 billion yuan reverse repurchase operation, with 33.1 billion yuan of reverse repos maturing today, resulting in a net withdrawal of 47.8 billion yuan [1]. - The overnight funding rates showed slight increases, with DR001 around 1.40% and DR007 around 1.55% [1]. Group 2: Economic Indicators - The official manufacturing PMI for July was reported at 49.3, which is below expectations and the previous value of 49.7, indicating weak performance in the stock and commodity markets [2][3]. - The bond market showed a warm sentiment following the Fed's decision to maintain interest rates, with the 10-year government bond yield opening lower at 1.712% and fluctuating around this level [3]. Group 3: Trading Activity - The 10-year government bond yield attempted to break through the 1.70% mark four times but failed each time, reflecting market resistance at this key level [3]. - The trading volume for various repo rates showed a decline, with R001 at 49,463.47 million yuan, down by 4,009.97 million yuan, and R007 at 3,800.93 million yuan, down by 8,281.33 million yuan [2].

Core Viewpoint - The current transition between old and new orders is in a "chaotic period," suggesting that a "global barbell strategy" based on an all-weather approach is recommended for portfolio construction, focusing on Chinese assets for the second half of the year [3][10][14]. Group 1: Overview of the Current Situation - The core contradiction in the domestic macroeconomic environment remains the debt cycle, with China having passed the peak of the current debt cycle and entering a contraction phase [3][27]. - The transition from "passive leverage" to "de-leveraging" is ongoing, characterized by a decrease in total debt service relative to GDP while total debt remains elevated [3][37]. Group 2: Historical Context and Credit Pulse Conditions - Historical analysis indicates that conditions triggering credit pulses during debt contraction periods include a significant easing of monetary policy, which can alleviate the debt burden on the private sector [4][38]. - The relationship between nominal GDP growth and policy interest rates serves as a leading indicator for economic conditions, with a stable or expanding gap between the two indicating potential internal demand stimulation [38][39]. Group 3: Investment Strategy for the Second Half - The focus for Chinese assets should be on maximizing the "win rate," with fixed income expected to outperform equities and commodities during the debt contraction phase [6][61]. - The strategic asset allocation should favor high dividend and high-value factors while reducing exposure to high-growth factors in the A-share market [73][74]. Group 4: Risk and Pricing Assessment - The overall pricing of Chinese assets appears reasonable, with the equity risk premium (ERP) reflecting the structural transformation of the economy [48][59]. - The current yield curve should steepen, with short-term rates expected to decline more than long-term rates, indicating better value in short-term debt [52][53].

Core Viewpoint - The article discusses the current state of the bond market, highlighting the balance in the funding environment and the slight increase in long-term bond yields, while also noting the impact of central bank operations and market reactions to external news events. Group 1: Central Bank Operations - The central bank conducted a 450.5 billion yuan 7-day reverse repurchase operation, with a net injection of 360.5 billion yuan after 90 billion yuan of reverse repos matured [2] - The funding rates showed a slight decline, with DR001 around 1.46% and DR007 around 1.52% [2] - Continuous large net injections by the central bank over two days have contributed to a stable funding environment during the tax period [3] Group 2: Market Reactions - The overnight rumors regarding Powell's dismissal caused initial market turmoil, with U.S. stocks experiencing volatility before stabilizing [4] - The 10-year government bond yield opened at 1.659% and fluctuated slightly, reflecting a stable sentiment in the bond market [4] - Since June, the 10-year government bond yield has been oscillating within the range of 1.63% to 1.68%, indicating a narrow trading band [4] Group 3: Stock Market Performance - The stock market has shown resilience, remaining above 3500 points for six consecutive days, with investors expressing optimism despite potential downturns [4] - The surge in polysilicon prices by 50% since the end of June has contributed to a broader commodity market rally [4]