[Table_Reporto] 2025 年 10 月 13 日 证券研究报告•固定收益定期报告 债券市场跟踪周报（10.9-10.10） 关税风波再起，债市如何演绎？ 综合来看，我们维持前期对债券市场四季度或迎来下行空间打开的观点，但仍 然建议保持谨慎乐观的态度。我们在 9月 29日的报告《四季度债市能否突破 震荡走势？》中已就关税冲击以外的其他因素综合分析指出，四季度债市已然 具备一定的缓慢下行基础，债券市场对权益市场走强的适应性提升和前期过度 交易长久期债券的风气退潮，更为理性的定价逻辑或将重新主导市场，稳固的 配置需求将成为利率下行的"压舱石"。而本次关税冲击更类似于"一次性" 的定价行为，如果特朗普政府针对中国的关税政策再度反复，长久期资产可能 也将面临潜在回调风险，建议将中美元首会晤的最终安排作为重点跟踪指标， 进而判断本轮关税政策的落地可能性。投资策略方面，我们提示应当期理性看 待加征关税的实质性影响，建议将组合久期定位在中等偏长区间，避免过度拉 长组合久期，警惕关税反复的市场回调风险；配置方面，仍然建议优选优质票 息资产作为底仓，采取"票息+套息"的收益思路，挖掘 2 年期 AA-/AA 级信 ...

摘要 西南证券研究院 [Table_Author] 分析师：杨杰峰 执业证号：S1250523060001 电话：18190773632 邮箱：yangjf@swsc.com.cn 分析师：叶昱宏 执业证号：S1250525070010 电话：18223492691 邮箱：yeyuh@swsc.com.cn 相关研究 请务必阅读正文后的重要声明部分 [Table_ReportInfo] 2025 年 10 月 13 日 证券研究报告•固定收益定期报告 债券 ETF 周度跟踪（9.29-10.10） 资金大幅流入信用债类 ETF S 各类债券 ETF资金净流入情况：资金流向分化，信用债类 ETF受资金青睐。 本期（2025/9/29-10/10）利率债类 ETF、信用债类 ETF、可转债类 ETF净流 入资金分别-5.69亿元、96.19亿元、-24.52亿元，债券 ETF市场合计净流入 金额 65.98亿元。市场偏好科创债 ETF、短融 ETF。科创债 ETF（+50.13亿 元）、短融 ETF（+45.28 亿元）净流入资金大幅领先，可转债类 ETF、政金 债类 ETF、国债类 ETF 净流入资金为负。 各 ...

[Table_ReportInfo] 2025 年 10 月 12 日 证券研究报告•市场投资策略 美对华征收 100%关税解读 西南观点 [Table_Summary] 1. 宏观观点 叶凡 S1250520060001 请务必阅读正文后的重要声明部分 1 请务必阅读正文后的重要声明部分 2 2025 年 10 月 10 日，美国总统特朗普宣布，美国将从 11 月 1 日起对从中国进口的商品 征收 100%的新关税，此税率为在现有已支付关税基础上额外增加的部分。特朗普还称， 将在同一天对"所有关键软件"实施出口管制。若该关税落地，中美贸易摩擦将再度升 级。 今年上半年，中国企业加快抢出口，同时也加快拓展非美地区客户。以美元计价，1-8 月我国出口同比增长 4.6%，延续正增长，进口同比增长 2.5%。其中，对美直接出口同 比下降 15.5%，而对东盟、欧盟、日本等出口保持正增长，分别同比增长 14.6%、7.5% 和 4.7%。若 100%关税落地，中国出口压力将进一步增大，但对非美地区的出口或形成 一定缓冲垫，减轻对国内经济的冲击。 从该事件的起因来看，9 月中旬中美在西班牙马德里举行会谈，达成了基本框架 ...

Core Insights - The report presents two industry rotation models: one based on similar expected return differentials and another based on changes in analyst expectations, both aimed at identifying investment opportunities in various sectors [11][22]. Group 1: Similar Expected Return Differential Model - The latest configuration suggests focusing on sectors such as coal, communication, basic chemicals, automotive, real estate, and machinery [21]. - In September 2025, the model achieved a monthly return of +4.56%, outperforming the equal-weighted industry index by +3.66% [21]. - The historical backtest from December 2016 to September 2025 shows that the model has a mean Information Coefficient (IC) of 0.09, indicating strong selection ability [14][15]. Group 2: Analyst Expectation Change Model - The latest configuration highlights sectors including non-bank financials, non-ferrous metals, agriculture, communication, steel, and computers [33]. - In September 2025, the model recorded a monthly return of +1.03%, with an excess return of +0.13% over the equal-weighted industry index [33]. - The historical backtest from December 2016 to September 2025 indicates a mean IC of 0.06, demonstrating significant industry selection capability [23][24]. Group 3: ETF Portfolio Construction - The recommended ETF portfolio for October 2025 includes sectors such as non-bank financials, non-ferrous metals, communication, basic chemicals, and automotive [35]. - Specific ETFs listed include the Huabao CSI All-Share Securities Company ETF and the Southern CSI Non-Ferrous Metals ETF, among others, with significant fund shares [35].

- The GAN_GRU factor is based on the GAN_GRU model, which utilizes a Generative Adversarial Network (GAN) for processing volume-price time series features and then uses a GRU model for time series feature encoding to derive the stock selection factor[4][13][14] - The GAN_GRU model includes two GRU layers (GRU(128, 128)) followed by an MLP (256, 64, 64), with the final output prediction return (pRet) used as the stock selection factor[22] - The GAN model consists of a generator and a discriminator. The generator aims to generate data that appears real, while the discriminator aims to distinguish between real and generated data. The generator's loss function is $L_{G} = -\mathbb{E}_{z\sim P_{z}(z)}[\log(D(G(z)))]$[23][24][25] - The discriminator's loss function is $L_{D} = -\mathbb{E}_{x\sim P_{data}(x)}[\log D(x)] - \mathbb{E}_{z\sim P_{z}(z)}[\log(1-D(G(z)))]$[27][28][29] - The GAN_GRU model's training process involves alternating training of the generator and discriminator until convergence[30] - The GAN_GRU factor's performance from January 2019 to September 2025 shows an IC mean of 0.1136, an annualized excess return of 22.58%, and a recent IC of 0.1053 as of September 28, 2025[41][42] - The GAN_GRU factor's IC mean for the past year is 0.0982, with the highest IC values in the coal, building materials, social services, non-bank finance, and food & beverage industries[42][44] - The top-performing long portfolios in September 2025, based on the GAN_GRU factor, include sectors like building materials, steel, social services, coal, and non-bank finance, with excess returns of 5.78%, 5.13%, 1.91%, 1.55%, and 1.21%, respectively[45] - Over the past year, the top-performing long portfolios based on the GAN_GRU factor include home appliances, building materials, food & beverage, utilities, and textiles & apparel, with average monthly excess returns of 5.04%, 4.96%, 3.92%, 3.53%, and 3.10%, respectively[46] - The top stocks in each industry based on the GAN_GRU factor as of September 28, 2025, include companies like Baolaite, Yutaiwei-U, Cangge Mining, Tuowei Information, Hengtong Co., Angang Co., and others[49][50]

1. Report Industry Investment Rating No information provided in the content. 2. Core Viewpoints of the Report - The bond market may break through its downward space in the fourth quarter. After experiencing multiple "stress tests" in the third quarter, the bond market has shown strong resilience. With the improvement of the bond market's adaptability to the strengthening of the equity market and the decline of the excessive trading of long - term bonds, a more rational pricing logic may dominate the market again, and the stable allocation demand will become the "ballast stone" for the interest rate to decline. The interest rate is expected to be in a "moderate" downward state [8][46]. 3. Summaries Based on Relevant Catalogs 3.1 Can the Bond Market Break Through the Sideways Trend in the Fourth Quarter? 3.1.1 The Bond Market Fluctuated Widely in September, with Bulls and Bears in a Fierce Battle and a Wavy Uptrend - The valuation yield of the 10 - year treasury bond has basically completed the anchoring to the "new bond". The spread between the new bond (250016) and the old bond (250011) is basically stable at 5 - 8BP, and the yield - to - maturity compensation due to value - added tax is about 2.8% - 4.5% [1][11]. - The capital interest rate fluctuated significantly due to the cross - quarter effect, and the central level increased to some extent. The increase in the central level of the capital interest rate led to an upward trend in the bond market interest rate and a compression of the Carry space, resulting in bond market selling pressure [1][14]. - The bond cashing demand of the bank's OCI account is one of the factors pressuring the bond market. From September 1st to 26th, joint - stock banks, city commercial banks, and rural commercial banks were the main sellers in the bond market [2][18]. - Regulatory policy adjustments and the increasing expectation of restarting treasury bond trading also drove the bond market trend. The "new rule" led to a rapid correction in the bond market in early September, while the increasing expectation of the central bank restarting treasury bond trading supported the rebound in mid - September [2][21]. 3.1.2 The Bond Market May Break Through the Downward Space in the Fourth Quarter - The "see - saw" effect between stocks and bonds weakened in September. If the equity market turns into a slow - bull pattern in the fourth quarter, the suppression on the bond market from the equity market may ease [3][23]. - The price level is still in the repair stage, with PPI bottoming out and rising, but CPI has not shown signs of recovery. If the economic recovery slope is lower than expected or Sino - US economic and trade relations deteriorate unexpectedly, there is still a possibility of another interest rate cut this year [5][28]. - From the supply side, the fourth quarter is usually the "off - season" for government bond supply, but attention should be paid to the possible advance issuance of the special bonds for replacing hidden debts in 2026. Even if the supply pressure increases, the impact on the market may be relatively controllable, and the central bank may use open - market operations for hedging [6][33]. - From the demand side, even if the "new rule" is implemented in the fourth quarter, its impact on the bond market is likely to be short - term and frictional, not a trend - based decline in demand. The demand from core bond - market allocators such as wealth management and insurance remains strong [7][40]. 3.2 Important Matters - The net MLF injection was 300 billion yuan in September. On September 25th, the central bank conducted a 600 - billion - yuan MLF operation, with a maturity scale of 300 billion yuan in September [48]. 3.3 Money Market 3.3.1 Open - Market Operations and Capital Interest Rate Trends - From September 22nd to 26th, the central bank injected a total of 2.4674 trillion yuan through reverse repurchase operations, with a maturity of 1.8268 trillion yuan, and the net injection was 640.6 billion yuan. It is expected that 516.6 billion yuan of base money will be recalled from September 29th to 30th [50]. - The inter - bank liquidity was tight first and then loose last week, mainly due to the central bank's protection of liquidity. As of September 26th, R001, R007, DR001, and DR007 changed by - 16.49BP, 3.78BP, - 14.62BP, and 2.17BP respectively compared with September 19th [54]. 3.3.2 Certificate of Deposit Interest Rate Trends and Repurchase Transaction Situations - In the primary market, commercial banks' inter - bank certificates of deposit showed a net outflow, with a net financing scale of - 188.79 billion yuan last week. The issuing scale of state - owned banks was the largest, but they also had the largest net outflow [59][63]. - The issuing interest rate of inter - bank certificates of deposit increased last week. In the secondary market, the yields of inter - bank certificates of deposit at all maturities showed an upward trend [64][67]. 3.4 Bond Market - In the primary market, the supply of interest - rate bonds was relatively small last week. The total actual issuance was 60.834 billion yuan, with a maturity of 9.2 billion yuan and a net financing of 51.634 billion yuan [68]. - In the secondary market, the bond market sentiment was relatively weak last week, showing an upward trend in the shock, and the curve shape became steeper. The average daily turnover rates of the 10 - year treasury bond and 10 - year CDB bond active bonds decreased, and the liquidity premium of the 10 - year treasury bond active bond increased [68][77]. 3.5 Institutional Behavior Tracking - The institutional leverage ratio increased seasonally in August but was at a seasonal low year - on - year. The average daily trading volume of inter - bank pledged repurchase decreased last week, with an average of about 7.27 trillion yuan [94][99]. - In the cash bond market, state - owned banks increased their purchases of treasury bonds within 5 years and 5 - 10 years; rural commercial banks continued to sell but with a reduced intensity; insurance institutions continued to increase their holdings of treasury bonds and local bonds over 10 years; securities firms and funds sold significantly [104]. - The current average cost of major trading desks for adding positions in 10 - year treasury bonds is around 1.85% [107]. 3.6 High - Frequency Data Tracking - Last week, the settlement prices of rebar and wire rod futures decreased, while those of cathode copper, cement, and glass increased. The CCFI index decreased, and the BDI index increased [117]. - In terms of food prices, the pork wholesale price decreased, and the vegetable wholesale price increased. The settlement prices of Brent and WTI crude oil futures increased [117]. - The central parity rate of the US dollar against the RMB was 7.12 last week [117].

Report Industry Investment Rating No relevant content provided. Core Viewpoints - The listing of the second batch of Science and Technology Innovation Bond ETFs led to a sharp increase in the share of credit - bond ETFs, while other types of bond ETFs faced different challenges. The performance of existing ETFs was under pressure, possibly due to the diversion of funds by new - issued ETFs, and the net value of bond ETFs adjusted due to the upward pressure on bond market yields [2][4][9]. Summary by Directory 1.1 各类债券 ETF 份额走势 - The listing of the second batch of 14 Science and Technology Innovation Bond ETFs on September 24, 2025, led to a significant increase in the share of credit - bond ETFs. Other types of bond ETFs, such as treasury - bond, policy - financial - bond, local - bond, and convertible - bond ETFs, either had small changes or declines in share. As of September 26, 2025, the shares of treasury - bond, policy - financial - bond, local - bond, credit - bond, and convertible - bond ETFs were 684.71 million, 443.12 million, 80.18 million, 6869.38 million, and 5310.15 million respectively, with a total of 13387.53 million shares for bond - type ETFs. Compared with September 19, 2025, the changes were 12.28 million, - 17.61 million, no change, 1193.45 million, and - 78.70 million respectively, with a total change of 1109.42 million shares [2][4][9]. 1.2 主要债券 ETF 份额及净值走势 - The performance of existing major bond ETFs was under pressure, possibly because the market focused more on new - issued Science and Technology Innovation Bond ETFs, causing a siphon effect on funds. As of September 26, 2025, the shares of selected major bond ETFs (30 - year treasury - bond ETF, policy - financial - bond ETF, 5 - year local - bond ETF, urban - investment - bond ETF, and convertible - bond ETF) changed by - 0.14 million, - 17.72 million, no change, 0.10 million, and - 11.80 million respectively compared with September 19, 2025. - Due to the upward pressure on bond market yields, the net value of major bond ETFs adjusted. As of September 26, 2025, the net values of 30 - year treasury - bond ETF, policy - financial - bond ETF, 5 - year local - bond ETF, urban - investment - bond ETF, and convertible - bond ETF changed by - 0.48%, - 0.17%, - 0.03%, - 0.13%, and 0.88% respectively compared with September 19, 2025 [12][15]. 1.3 做市信用债 ETF 份额及净值走势 - The share of 8 existing market - making credit - bond ETFs continued to flow out. As of September 26, 2025, the share changes compared with September 19, 2025 were - 2.00 million, - 5.20 million, - 0.30 million, no change, - 3.00 million, 3.10 million, no change, and - 2.30 million respectively. - The net - value decline of 8 credit - bond ETFs narrowed marginally. As of September 26, 2025, the net - value changes compared with September 19, 2025 were - 0.24%, - 0.24%, - 0.26%, - 0.20%, - 0.34%, - 0.32%, - 0.34%, and - 0.32% respectively. - Last week, the repeated inclusion of individual bonds in the PCF list of credit - bond ETFs was 24 Zhongmei K2. The product of the excess - return change and the corresponding duration of each expanded bond was the highest for 24 Jingtou K6 (1.93%) and the lowest for 24 Zhongmei K2 (- 0.25%) [19][20][22]. 1.4 科创债 ETF 份额及净值走势 - On September 24, 2025, the second batch of 14 Science and Technology Innovation Bond ETFs were officially listed, with a total issuance scale of 40.786 billion yuan. The ETFs tracking the CSI AAA Science and Technology Innovation Bond, SSE AAA Science and Technology Innovation Bond, and Shenzhen AAA Science and Technology Innovation Bond indexes were 10, 3, and 1 respectively. - The net - purchase scale of the second - batch Science and Technology Innovation Bond ETFs showed differentiation. Since the listing on the 24th, the market activity of the second - batch products was significantly higher than that of the first - batch products. The three - day average turnover rates of the first and second batches were 26.0% and 66.7% respectively, and the total net - purchase shares were 72 million and 690 million respectively. The top three products with the most net - purchase inflows last week were Science and Technology Innovation Bond ETF Industrial Bank, Science and Technology Innovation Bond ETF ICBC, and Science and Technology Innovation Bond ETF Huatai - PineBridge, with net - purchase amounts of 10.2 billion, 8.48 billion, and 8.11 billion yuan respectively. - The products corresponding to the CSI AAA Science and Technology Innovation Bond index performed relatively better. In terms of premium and discount, in the first 3 working days after listing, the overall performance of the second - batch Science and Technology Innovation Bond ETFs was better than that of the first - batch products, with a three - day average premium - discount rate of - 0.02%, 0.15bp higher than that of the first batch. - The share increase of Science and Technology Innovation Bond ETFs came from new - issued funds. As of September 26, 2025, the top three products in terms of share were Science and Technology Innovation Bond ETF Harvest, Science and Technology Innovation Bond ETF Penghua, and Science and Technology Innovation Bond ETF China Merchants, with shares of 198.23 million, 191.38 million, and 184.67 million respectively, and the share changes compared with September 19, 2025 were - 0.38 million, 17.60 million, and 39.05 million respectively. As of September 26, the cumulative share of new - issued products was 1296.6 million. - The net values of the second - batch products were generally in the forefront. As of September 26, 2025, the top three products in terms of net value among 24 Science and Technology Innovation Bond ETFs were Science and Technology Innovation Bond ETF Yongying, Science and Technology Innovation Bond ETF Yin Hua, and Science and Technology Innovation Bond ETF Taikang, with net values of 0.9988, 0.9984, and 0.9983 respectively [25][26][28]. 1.5 部分债券 ETF 净流入情况 - In terms of weekly inflows, the top three bond ETFs with the highest cumulative inflows this week were Treasury - bond ETF Dongcai, Benchmark Treasury - bond ETF, and National - Development - Bond ETF, with inflows of 8.98 million, 8.42 million, and 0.17 million yuan respectively. - In terms of monthly inflows, the top three bond ETFs with the highest cumulative inflows this month were Urban - investment - bond ETF, 30 - year Treasury - bond ETF, and Benchmark Treasury - bond ETF, with inflows of 84.65 million, 15.31 million, and 14.37 million yuan respectively. - In terms of cumulative inflows in trading days, the top three bond ETFs with the highest cumulative inflows in the past 10 trading days were Treasury - bond ETF Dongcai (9.59 million yuan), Benchmark Treasury - bond ETF (6.02 million yuan), and Urban - investment - bond ETF (4.58 million yuan); the top three in the past 20 trading days were Urban - investment - bond ETF (84.65 million yuan), 30 - year Treasury - bond ETF (15.31 million yuan), and Benchmark Treasury - bond ETF (14.37 million yuan) [5][30].

Domestic Developments - The steel industry has set a target for an average annual growth of around 4% in value added for 2025-2026, as outlined in the "Steel Industry Stabilization and Growth Work Plan" issued on September 22[6] - The financial sector has achieved significant growth, with total assets of the banking industry reaching approximately 470 trillion yuan, ranking first globally, and the stock and bond markets ranking second[9] - The service trade policy aims to enhance quality and expand capacity, focusing on five key areas including capital utilization and international market expansion, with service exports growing by 15.3% year-on-year from January to July 2025[14] International Developments - U.S. President Trump announced a new fee of $100,000 for H-1B visa applications, which may hinder the recruitment of tech talent[15] - The Eurozone's composite PMI rose to 51.2 in September, the highest in 16 months, indicating economic expansion, although concerns about growth sustainability remain due to weak new orders[17] - Freeport-McMoRan announced a supply contract entered into "force majeure" status due to a significant landslide at its Grasberg mine, which may reduce copper production by approximately 35% in 2026[21] Commodity Prices - Brent crude oil prices increased by 1.57% week-on-week, while iron ore and cathode copper prices rose by 0.48% and 0.12%, respectively[23] - Rebar prices increased by 0.32%, cement prices rose by 1.85%, and thermal coal prices went up by 1.69% week-on-week[28] - Real estate sales in 30 major cities increased by 19.73% week-on-week, with first-tier cities seeing a 21.50% increase[38]

Group 1 - The core investment philosophy of the fund manager emphasizes "value investment + absolute return," focusing on valuation, cash flow, and fundamental certainty to achieve long-term stable returns [1][14] - The fund adopts a "core + satellite" allocation framework, avoiding trends and focusing on undervalued assets, with a balanced sector allocation to mitigate risks [1][14] - The fund manager has a strong track record, with a total return of 10.71% since taking over the fund, ranking in the top 28.96% among peers [2][23] Group 2 - The fund's asset allocation primarily consists of high-grade credit bonds, with a significant portion (50%-87%) allocated to credit bonds, and a recent increase in interest rate bonds to 21.33% [3][35] - The equity allocation remains below 20%, with an average historical stock position of 13.14%, focusing on large-cap, undervalued, and high-quality stocks [2][40] - The fund's industry allocation is heavily weighted towards electricity and public utilities, maintaining a proportion of 17.84%-28.06% from Q4 2023 to Q2 2025 [2][48] Group 3 - The fund has demonstrated strong performance in controlling drawdowns, with a maximum drawdown of -1.29%, significantly better than the peer average [2][24] - The probability of making a profit after holding the fund for three months is 92.41%, indicating a high success rate for investors [2][29] - The fund manager employs a dynamic stock selection strategy, focusing on large-cap stocks with low valuations and high quality, while maintaining a balanced growth style [2][40]

Investment Rating - The report assigns a "Buy" rating to the company with a target price of 15.40 CNY for the next six months, based on a current price of 12.11 CNY [1]. Core Insights - The report highlights the company's focus on expanding its new energy vehicle (NEV) offerings, alongside its globalization and smart technology initiatives, which are expected to create new growth opportunities [1][8]. Financial Performance Summary - In the first half of 2025, the company achieved a revenue of 72.69 billion CNY, a year-on-year decrease of 5.3%, while the net profit attributable to the parent company was 2.29 billion CNY, down 19.1% year-on-year [6][22]. - The company’s sales volume increased by 1.6% to 1.355 million units, marking the highest level for the same period in eight years [6][22]. - The gross margin improved to 14.6%, up 0.8 percentage points year-on-year, indicating enhanced profitability in core operations [6][22]. Business Analysis - The company’s NEV sales reached 452,000 units in the first half of 2025, representing a 49.1% year-on-year increase, outperforming the industry average [6][22]. - The company plans to launch 35 new smart NEV models over the next three years, establishing a strong product pipeline for long-term growth [6][22]. - The traditional fuel vehicle segment remains stable, with key models maintaining market leadership, while overseas sales grew by 5.1% to 299,000 units in the first half of 2025 [6][22]. Profit Forecast and Investment Recommendations - The report forecasts EPS of 0.77 CNY, 0.95 CNY, and 1.12 CNY for 2025, 2026, and 2027, respectively [6][68]. - Given the anticipated rapid growth in NEV sales and the expansion of overseas markets, the report assigns a 20x PE ratio for 2025, leading to a target price of 15.40 CNY [6][68].