1. Report Industry Investment Rating No information provided in the content regarding the report industry investment rating. 2. Core Viewpoints of the Report - The transmission path from policy rates to deposit rate cuts is in line with expectations, but the adjustment amplitude of deposit rates exceeds expectations, which helps banks reduce liability costs [1][17]. - From three dimensions, the impact of deposit rate cuts on the bond market is complex. The decline in medium - and long - term bank liability costs may be beneficial for bond allocation, but there may be disturbances in the short - term due to deposit migration, and the impact on other fixed - income investors varies [2]. - The current deposit rate cuts may not bring significant positive effects to the bond market as the market has already priced in factors such as loose funds and declining bank liability costs. The bond market is in a narrow - range shock, with multiple long and short factors intertwined [3]. - The trading cost - effectiveness of 10 - year Treasury bonds above 1.7% is emerging, and attention should be paid to positive carry varieties for coupon payments, while more caution is needed for ultra - long - term bonds [4]. 3. Summary According to the Table of Contents I. Three Dimensions of the Impact of Deposit Rate Cuts on the Bond Market (1) The transmission path from policy rates to deposit rate cuts is in line with expectations - On May 20, major banks experienced the seventh round of deposit rate cuts. The policy transmission path of OMO policy rate - 1 - year LPR - deposit listing rate is clear [1]. - The adjustment amplitude of deposit rates exceeds expectations. The long - end deposit listing rate is still lowered by about 25bp, and the decline in the bank deposit self - regulatory ceiling is generally higher than that of the listing rate [1][17]. - The reason is that banks still face great pressure on net interest margins, and larger deposit rate cuts help reduce bank liability costs [1][20]. (2) Three dimensions to view the impact of deposit rate cuts on the bond market - **Asset side**: The decline in medium - and long - term bank liability costs may exceed 10bp, which is beneficial for removing constraints on bank bond allocation. The decline in long - end deposit rates and the proportion of general deposits contribute to this decline [2][21]. - **Liability side**: In the short term, there may be a phenomenon of deposit migration to non - banks after the deposit listing rate is cut, increasing bank liability pressure and disturbing the bond market. The outflow scale of M1 in the month of deposit rate cuts and the following two months is about 1 trillion [2][27]. - **For other fixed - income investors**: The yield of insurance's available - to - invest assets (general time deposits) decreases, while the impact on bank wealth management, which mainly invests in non - bank deposits and inter - bank certificates of deposit, is controllable [2]. - Overall, the positive impact of the decline in liability costs on the bond market needs time to materialize, and the current deposit rate cuts may not bring significant positive effects. Short - term focus should be on liability outflow pressure, especially the pricing of certificates of deposit and the growth of wealth management scale [29][33]. II. Bond Market Strategy: Trading Cost - Effectiveness Above 1.7% Emerges, Focus on Positive Carry Varieties for Coupon Payments (1) Bond market shock, with multiple long and short factors intertwined - **Short - term capital price**: After the deposit rate cut, the capital price is expected to remain stable. DR007 may continue to be 10 - 20bp higher than the policy rate, and the short - term capital price may fluctuate around 1.5 - 1.6% [3][39]. - **Positive factors**: The domestic economy enters the off - season in the second quarter, with weakening high - frequency indicators in investment and real estate. Uncertainties in Sino - US trade negotiations may affect economic data, and the central bank may restart Treasury bond purchases [3]. - **Negative factors**: The "rush to export" effect in May may boost second - quarter data, and the stock - bond seesaw effect may suppress the bond market due to the high risk appetite in the equity market [3]. - **Summary**: The short - term capital price may remain stable, but there are still many uncertainties in the bond market, making it difficult to determine trends, and the bond market is likely to continue to fluctuate [3]. (2) Operation strategy: Trading cost - effectiveness above 1.7% emerges, focus on positive carry varieties for coupon payments - **10 - year Treasury bonds**: The core pricing range of 10 - year Treasury bonds has changed, and above 1.7%, they gradually have trading cost - effectiveness and can be considered for allocation as the yield rises [4][65]. - **Ultra - long - term bonds**: 30 - year Treasury bonds and other ultra - long - term bonds still need to wait for opportunities. The supply - demand pattern of long - term bonds is unfavorable, and short - term positive factors are not clear [4][66]. - **Operation suggestions**: Focus on positive carry varieties. Bonds such as 7.5 - 9.5 - year Treasury bonds, 5.5 - year China Development Bank bonds, etc., which were negative carry last week and have become positive carry this week, can be focused on [4][71]. III. Review of the Interest - Bearing Bond Market: Deposit Rate Cuts Implemented, Bond Market in Narrow - Range Shock - **Funding situation**: The central bank's OMO has turned to net investment, and the funding situation is balanced and loose. The weighted price of DR007 has dropped to around 1.59%, and major banks may issue inter - bank certificates of deposit at higher prices to make up for the liability gap [10][11]. - **Primary issuance**: The net financing of Treasury bonds and local bonds has decreased, while the net financing of policy - bank bonds and inter - bank certificates of deposit has increased [7]. - **Benchmark changes**: The term spread of Treasury bonds has widened, and the term spread of China Development Bank bonds has narrowed [7].

宏观研究 证 券 研 究 报 告 【每周经济观察】海外周报第 92 期 美欧日 5 月制造业 PMI 回升 主要观点 ❖ 下周即将公布的海外重点经济数据 美国： 4 月耐用品订单初值（5/27），5 月咨商局消费者信心指数（5/27），5 月 FOMC 会议纪要（5/29），4 月份个人收入和支出数据（5/30），5 月密歇根大学 消费者信心指数和 1 年期通胀预期终值（5/30）、4 月批发库存环比初值（5/30）。 欧元区：5 月消费者信心指数终值（5/27），4 月 M3 货币供应同比（5/30）。 日本：4 月失业率（5/30），5 月东京 CPI 数据（5/30）,4 月工业产值初值（5/30）， 4 月零售数据（5/30）。 ❖ 本周海外重要经济数据和事件回顾 美国：1）5 月制造业 PMI 好于预期，标普制造业 PMI 初值 52.3，预期 49.9， 前值 50.2；标普服务业 PMI 初值 52.3，预期 51，前值 50.8。2）4 月二手房销 售低于预期，新房销售好于预期，成屋销售折年数 400 万套，预期 410 万套， 前值 402 万套。新屋销售 74.3 万套，预期 69.5 万 ...

大势研判：从布局黄金坑到震荡判断，当下重结构、轻方向。行至当下，我们 依然认为指数层面短期或维持区间震荡的格局，上下空间有限：1）向下看国 家队资金托底，无论是去年 924 市场底部、抑或是今年 4 月关税冲击市场回 调，国家队资金均通过大力增持 ETF 稳定股市；2）向上看基本面和政策都仍 需等待，一方面是外部关税事件对于出口和外需影响的不确定性仍在，另一方 面国内在价格低位运行的基础上，4 月经济数据显示基本面修复持续性和力度 仍需观测；政策来看，货币方面降准降息落地、财政方面地方新增专项债发行 进度达 34%已高于去年 5 月末 30%，但如此前 5/9《走出黄金坑——策略周聚 焦》所述，当下政策更多是既有工具的加速使用，更大力度的刺激及创新型工 具的推出可能要等待 7 月政治局会议。综上所述，后续市场表现更应注重结构 配置、轻方向。 策略研究 证 券 研 究 报 告 【策略周报】 杠铃依旧：旧红利与新成长 ——策略周聚焦 ❖ 从布局黄金坑到震荡判断，当下重结构、轻方向 ❖ 旧红利与新故事 25 年至今行情：杠铃领涨的背后，大盘成长弹性有限。从今年以来单风格指 数表现来看，明显表现为小市值、低估值占优； ...

Investment Rating - The report maintains a positive investment sentiment for the automotive sector, with an optimistic outlook for annual sales growth, projecting a retail growth rate of 5.2% and a wholesale growth rate of 8.4% for the year [2][3]. Core Insights - The automotive industry is experiencing a recovery in sales, particularly in April, with a year-on-year increase in wholesale sales of 11.0% and a month-on-month decrease of 10.0%. The report anticipates that sales levels will remain strong, especially for high-end brands priced above 200,000 yuan, with a forecasted wholesale growth rate of 31% for new energy passenger vehicles [2][4]. - The report highlights the strong performance of new energy vehicle manufacturers, with BYD delivering 380,089 units in April, a year-on-year increase of 21%, and other new players like Leap Motor and Xpeng showing significant growth [4][20]. - Traditional automakers like Geely and SAIC also showed notable sales increases, with Geely's sales up by 53% year-on-year in April [4][24]. Data Tracking - In April, the wholesale sales of passenger vehicles reached 2.22 million units, with a year-on-year growth of 11.0% and a month-on-month decline of 10.0%. The export sales for the same month were 430,000 units, reflecting a year-on-year increase of 0.4% and a month-on-month increase of 5.0% [4][24]. - The average discount rate in early May was 7.2%, slightly down from the previous month, with an average discount amount of 10,613 yuan [4][25]. - The report recommends key companies in the automotive sector, including JAC Motors, Li Auto, Geely, and BYD, highlighting their competitive advantages and potential for upward price elasticity [5][6]. Industry News - The report notes that as of late April, the national inventory of passenger vehicles reached 3.5 million units, indicating a slight increase in inventory pressure compared to previous years [31]. - Recent collaborations, such as the strategic partnership between Dongfeng Motor Group and Huawei, aim to enhance smart vehicle technologies and digital transformation within the automotive sector [31][32]. - The report also mentions the overall market performance, with the automotive sector index rising by 1.80% in the latest week, ranking third among 29 sectors [8][33].

证 券 研 究 报 告 银行业周报（20250519-20250525） 商业银行一季度经营仍有承压，息差降幅同 推荐（维持） 比收窄 分银行类型来看，商业银行内部表现分化，国有行表现较好，城商行有所改善， 股份行和农商行则经营继续承压。1）国有行主要靠量增维持净利润正增长。 1Q25国有行净利润同比+0.09%。我们推算1Q25国有行贷款同比增速环比+3bp 至 9.29%，贷款增量占比同比+4pct 至 61%。1Q25 净息差环比下降 11bp（1Q24 为-15bp)；2）股份行规模增速放缓，利润增速转负：1Q25 股份行净利润同比 -4.5%，主要是贷款增速放缓（1Q25 贷款同比增速环比-0.28pct 至 4.06%）， 息差同比降幅收窄；3）城商行量价均有改善，利润增速降幅较 24 年收窄： 1Q25 城商行净利润同比-6.68%，增速较 24 年末+6.45pct。一方面是规模加快 扩张，1Q25 贷款增速环比+0.29pct 至 7.98%；另一方面是息差表现较优，1Q25 环比仅下降 1bp 至 1.37%（1Q24 息差降幅为 12bp）；4）农商行息差同比降幅 有所收窄，净利润降幅也 ...

证 券 研 究 报 告 钢铁行业周报（20250519-20250523） 推荐（维持） 原料价格回落，钢厂盈利率持续修复 ❑ 行业观点：需求显现淡季特征，钢材价格走弱 事件一：截至 5 月 23 日，五大品种螺纹钢、线材、热轧、冷轧、中板价格分 别报收 3280 元/吨、3617 元/吨、3295 元/吨、3731 元/吨、3521 元/吨，周环比 分别变化-1.50%、-1.09%、-0.75%、-0.97%、-0.52%。本周五大品种产量 872.44 万吨，周环比上升 4.09 万吨。247 家钢铁企业日均铁水 243.6 万吨，周环比下 降 1.17 万吨，高炉产能利用率 91.32%，周环比下降 0.44 个百分点，高炉开工 率 83.69%，周环比下降 0.46 个百分点。短流程企业，电炉产能利用率 59.5%， 周环比上升 2.93 个百分点，电炉开工率 77.18%，周环比上升 1.98 个百分点。 库存方面，本周钢材总库存 1398.54 万吨，周环比下降 32.12 万吨。其中社会 库存环比下降 33.11 万吨至 960.56 万吨；钢厂库存环比增加 0.99 万吨至 437.98 万 ...

Investment Rating - The report maintains a "Recommendation" rating for the company, indicating an expectation to outperform the benchmark index by 10%-20% over the next six months [10][20]. Core Insights - The company experienced a slight decline in revenue but significantly improved its AI capabilities. In Q1 2025, total revenue was 1.228 billion yuan, a year-on-year decrease of 5.53%, while net profit attributable to shareholders was 30 million yuan, a year-on-year increase of 390.89%. For 2024, total revenue was 6.203 billion yuan, down 4.93%, with a net profit of 250 million yuan, up 116.19% [2][3]. Financial Performance Summary - **Revenue and Profitability**: The company reported a total revenue of 6.240 billion yuan for 2024, with a year-on-year decline of 4.9%. The net profit attributable to shareholders was 251 million yuan, reflecting a growth of 116.2% [5]. - **Earnings Per Share (EPS)**: The projected EPS for 2025, 2026, and 2027 are 0.27 yuan, 0.39 yuan, and 0.53 yuan respectively, with corresponding price-to-earnings (P/E) ratios of 54, 38, and 28 [5][10]. - **Target Price**: The target price is set at 16.2 yuan, compared to the current price of 13.88 yuan [6]. Business Development Summary - **Digital Cost Business**: In 2024, revenue from this segment was 4.986 billion yuan, a decrease of 3.55%. The business is evolving from single-tool applications to comprehensive cost management solutions, increasing coverage from 53.78% to 79.25% [10]. - **Digital Construction Business**: This segment generated 787 million yuan in revenue for 2024, down 8.71%. The company made advancements in smart construction technologies [10]. - **Digital Design Business**: Revenue increased by 3.28% to 90 million yuan in 2024, with a growing number of application projects [10]. AI and International Expansion - The company has enhanced its AI capabilities, launching new AI-driven products and platforms. In 2024, overseas revenue reached 203 million yuan, a year-on-year increase of 5.07% [10]. Employee Incentives - A new stock option incentive plan was introduced, covering 485 employees with a target net profit of 563 million yuan for 2025, aiming for a 30% growth in 2026 [10]. Future Projections - Revenue forecasts for 2025, 2026, and 2027 are 6.443 billion yuan, 6.710 billion yuan, and 6.980 billion yuan respectively, with net profits projected at 448 million yuan, 646 million yuan, and 871 million yuan [10].

证 券 研 究 报 告 有色金属行业周报（20250519-20250523） 几内亚撤销矿权被列为战略储备区，支撑矿 推荐（维持） 石价格上行 ❑ 一、工业金属 ❑ 1、行业观点：几内亚将撤销矿权列为战略储备区，支撑铝土矿价格 事件：几内亚时间 5 月 20 日晚，在几内亚国家电视台上宣读的命令中，过渡 当局决定将几个采矿权归类为战略储备区，包括特许权、工业和半工业开采许 可证，以及铝土矿、铁、金、钻石和石墨的勘探许可证。根据几内亚政府发言 人表示，失去许可证的企业(若有意愿)未来在矿业特许权投放市场时仍可参与 竞标，但需满足相关条件。 观点：我们认为战略储备区内矿石短期复产较难，考虑涉及在产矿山约影响年 化产量接近 4000 万吨，停产后或造成 2025 年几内亚地区铝土矿到中国的增 量从停产前的 3600 万吨下降为 1300 万吨左右，国内铝土矿年化供需处于平 衡点附近。根据 ALD 数据，本周主流成交价格上涨至 74-75 美元/干吨，考虑 几内亚发运到中国需要 1-2 月时间，当前暂未影响到实际的矿石供应，但考虑 到几内亚地区雨季即将来临，停产企业为几内亚主要的现货商之一，未来几个 月矿石现货市场 ...

Investment Rating - The report maintains a "Recommendation" rating for the computer industry, expecting the industry index to outperform the benchmark index by more than 5% in the next 3-6 months [45]. Core Insights - The penetration rate of advanced driving assistance systems (ADAS) is expected to accelerate, enhancing the competitiveness of automotive manufacturers. By 2025, the penetration rate of L2 and above intelligent driving functions in China is projected to reach 62%, with high-speed NOA at 10.8% and urban NOA at 9.9% [8][20]. - The global layout of Robotaxi is accelerating, with significant progress in commercialization. Baidu's Robotaxi service, "萝卜快跑," achieved 1.4 million rides in Q1 2025, a 75% year-on-year increase, and plans to expand internationally [9][23]. - Automotive manufacturers are focusing on the iterative upgrade of intelligent driving assistance technologies, with several companies launching new models equipped with advanced sensors and computing platforms [10][29]. Summary by Sections Industry Weekly Viewpoint - The computer sector index decreased by 3.00% from May 19 to May 23, underperforming the ChiNext index by 2.12 percentage points [13]. Market Performance Review - The overall A-share market experienced a net outflow of 2,763.76 billion yuan, with the computer sector seeing a net outflow of 306.98 billion yuan during the same period [15]. Advanced Driving Assistance Systems (ADAS) - The competition in the ADAS market is intensifying, with a shift from price competition to enhancing product value and technological content. The focus is on rapid product launches and widespread coverage across different vehicle brands and models [19]. Robotaxi Commercialization - The report highlights the rapid expansion of Robotaxi services, with significant international deployments and partnerships, indicating a shift towards large-scale operations in the sector [27]. Investment Recommendations - The report suggests focusing on companies such as Horizon Robotics, SUTENG, Desay SV, and others, as the intelligent driving industry enters a new phase of "technology + regulation + commercialization" [34].

Quantitative Models and Construction Methods 1. Model Name: Heston Model - **Model Construction Idea**: The Heston model is used to calculate the implied volatility of near-month at-the-money options, serving as a market fear index. Implied volatility reflects market participants' expectations of future volatility [7]. - **Model Construction Process**: The Heston model is a stochastic volatility model where the variance of the asset price follows a mean-reverting square-root process. The model is defined by the following equations: $ dS_t = \mu S_t dt + \sqrt{v_t} S_t dW_t^1 $ $ dv_t = \kappa (\theta - v_t) dt + \sigma \sqrt{v_t} dW_t^2 $ Here: - \( S_t \): Asset price - \( v_t \): Variance process - \( \mu \): Drift rate of the asset price - \( \kappa \): Rate of mean reversion - \( \theta \): Long-term variance - \( \sigma \): Volatility of volatility - \( W_t^1, W_t^2 \): Two Wiener processes with correlation \( \rho \) [7]. --- Quantitative Factors and Construction Methods 1. Factor Name: Multi-Long-Short Ratio Scissor Difference - **Factor Construction Idea**: This factor is based on the number of stocks with bullish and bearish signals within an industry index. The scissor difference ratio is used to construct an industry timing strategy [15]. - **Factor Construction Process**: - Define the number of stocks with bullish signals as \( N_{bull} \) and bearish signals as \( N_{bear} \). - If \( N_{bull} = 0 \), set the bullish count to 0. Similarly, if \( N_{bear} = 0 \), set the bearish count to 0. - The scissor difference is calculated as \( N_{bull} - N_{bear} \), and the ratio is \( \frac{N_{bull} - N_{bear}}{N_{bull} + N_{bear}} \) [15]. - **Factor Evaluation**: The backtesting results show that this factor outperforms the respective industry indices in all cases, indicating excellent historical performance [15]. --- Backtesting Results of Models and Factors 1. Heston Model - **Implied Volatility Results**: - SSE 50: 13.48% (+1.11% WoW) - SSE 500: 16.97% (+0.72% WoW) - CSI 1000: 21.37% (+1.76% WoW) - CSI 300: 13.25% (-0.12% WoW) [9]. 2. Multi-Long-Short Ratio Scissor Difference - **Industry Timing Strategy Results**: - The timing model outperformed the respective industry indices in 100% of cases [15]. - **Specific Industry Examples**: - Retail Trade: Strategy Annualized Return 19.5%, Max Drawdown -43.39%, Index Annualized Return -1.49%, Max Drawdown -77.37% - Home Appliances: Strategy Annualized Return 16.27%, Max Drawdown -38.25%, Index Annualized Return 11.06%, Max Drawdown -48.96% - Comprehensive: Strategy Annualized Return 24.05%, Max Drawdown -40.81%, Index Annualized Return 0.11%, Max Drawdown -81.18% [16][18].