9月固定收益月报：把握调整后的结构性机会-20250831

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - The current economic fundamentals are still favorable for the bond market, but the subsequent continuous implementation of growth - stabilizing policies will marginally be negative for the bond market [1][9]. - The central bank is expected to continue to support liquidity, keeping the overall capital situation stable, but it will also prevent capital idling [1][11]. - Some banks may have a need to raise the price of inter - bank certificates of deposit (CDs), and the capital movement of non - bank institutions may slow down marginally [2][13]. - The bond market is difficult to break out of the volatile trend. It is recommended to control the duration, seize the allocation and trading opportunities after adjustments, and focus on structural opportunities such as taxable bonds and new - old bonds [2][22]. 3. Summary According to the Table of Contents 3.1 9 - Month Bond Market Outlook: Seize Structural Opportunities after Adjustments - Fundamentals and Policies: The current economic situation has difficulties and challenges, which are favorable for the bond market. However, the subsequent continuous implementation of growth - stabilizing policies such as "anti - involution", major infrastructure projects, and fertility subsidies will be marginally negative for the bond market [9]. - Liquidity: The central bank is expected to continue to support liquidity to maintain stable capital prices and prevent financial market risks. It may also provide long - term funds and take other measures, but will prevent capital idling [11]. - Inter - bank CDs: In September, banks' demand for supplementing liabilities through CDs increases, but the issuance demand may be weaker than the seasonal level. The price increase of CDs may be structural [13]. - Non - bank Institutions' Capital Movement: The risk premium of equities relative to treasury bonds has decreased, reducing the marginal attractiveness to insurance funds. The long - term and ultra - long - term treasury bond yields have higher cost - effectiveness compared to lending rates, increasing the marginal attractiveness to bank funds [16]. - Investment Strategy: The bond market is likely to remain volatile. It is recommended to control the duration, allocate medium - and short - term credit bonds, and seize opportunities after adjustments. Taxable bonds and new - old bonds have certain investment opportunities [22]. 3.2 August Bond Market Review 3.2.1 Bond Market Trend Review - First Week: The 10Y treasury bond rate dropped 2bp to 1.69%. The market digested the impact of VAT adjustment, and the demand for old bonds increased. The capital was loose, and the issuance results of the first batch of taxed local bonds were better than expected [24]. - Second Week: The 10Y treasury bond rate rose 6bp to 1.75%. The market risk appetite increased, the equity market rose, and the bond market sentiment was under pressure [25]. - Third Week: The 10Y treasury bond rate rose 4bp to 1.78%. The stock - bond seesaw effect continued, and the bond market basically continued to decline. After the MLF was over - renewed, the capital pressure eased [26]. - Fourth Week: The 10Y treasury bond rate rose 6bp to 1.84%. The equity market was strong at the end of the month, the bond market yield fluctuated widely, and the curve steepened [27]. 3.2.2 Capital Situation - The central bank net - injected 5466 billion yuan through four major tools. The capital situation in August was reasonably abundant. The average monthly values of R001, R007, DR001, and DR007 decreased. The 3M inter - bank CD issuance rate fluctuated upward, and the 3M national - share bank bill rate changed in a complex way [28][31]. 3.2.3 Secondary Market Trends - In August, the bond market showed a bear - steep trend. Except for the 1y treasury bond rate, other key - term treasury bond rates rose. Most key - term treasury bond spreads widened [37]. 3.2.4 Bond Market Sentiment - In August, the inter - bank leverage ratio and bond fund duration both decreased. The turnover rate of ultra - long bonds decreased, and the spreads of 50Y - 30Y and 20Y - 30Y treasury bonds narrowed [49]. 3.2.5 Bond Supply - In August, the net financing of interest - rate bonds increased compared to July but decreased compared to the same period last year. The net financing of treasury bonds and policy - financial bonds increased, while that of local government bonds decreased. The net repayment of inter - bank CDs slightly expanded [56][64]. 3.3 Economic Data - In July, the decline in industrial enterprise profits continued to narrow. Since August, new - home sales and freight rates have been weak, while movie consumption has been relatively strong. Industrial production has weakened marginally [68]. 3.4 Overseas Bond Market - The US core inflation reached a new high since February. The Fed officials released signals of interest - rate cuts. In August, US bonds, as well as the bond markets in South Korea and Singapore, rose [78][79]. 3.5 Major Asset Performance - In August, the CSI 300 index strengthened significantly. The performance of major assets was: CSI 1000 > CSI 300 > Convertible Bonds > Shanghai Gold > Shanghai Copper > Chinese - funded US Dollar Bonds > China Bonds > US Dollar > Rebar > Live Pigs > Crude Oil [82]. 3.6 Policy Review - August 28: The "Opinions on Promoting High - Quality Urban Development" was released, aiming to achieve important progress in building modern people - centered cities by 2030 and basically complete the construction by 2035 [86]. - August 27: The Ministry of Commerce will introduce policies to expand service consumption in the next month, focusing on policy promotion, key areas, and consumption scenarios [89]. - August 26: The "Opinions on Deeply Implementing the 'Artificial Intelligence +' Initiative" was issued, setting goals for the development of artificial intelligence from 2027 to 2035 [90]. - August 25: Shanghai optimized and adjusted real - estate policies, including housing purchase restrictions, housing provident fund policies, and mortgage loan interest - rate mechanisms [91]. - August 22: The State Council emphasized the effectiveness of large - scale equipment renewal and consumer goods trade - in policies and the development of the sports industry [92]. - August 20: The "Guiding Opinions on Regulating the Construction and Operation of Existing Government - Social Capital Cooperation Projects" was issued to ensure the construction of ongoing projects and the stable operation of existing projects [93]. - August 19: The People's Bank of China Shanghai Head Office called for greater efforts in financial reform and innovation and the implementation of monetary policies [94].