固收定期报告：利率监管与海外双重冲击之后？

Report Industry Investment Rating Not provided in the content. Core Views - The bond market remained volatile in September. Regulatory disturbances occurred in the first half, and the better-than-expected China-US negotiations in the second half. The current financial market's interbank idle circulation is not severe, so there's no need for large-scale financial supervision. The central bank maintains a supportive stance, so the pattern of a ceiling on interest rates won't change. The 10-year Treasury bond at 1.8% and the 5-year at 1.6% have allocation value. It's recommended to seize the left-side opportunity, hold old 10-year Treasury bonds and 2 - 3-year medium to high-grade credit bonds in the short term, and gradually switch to 25T6 later [3]. - Under weak fundamentals, strict financial supervision is likely, but the regulatory risk in this round is limited compared to history. The current idle circulation problem in the financial market is not prominent, and the central bank's "anti-idle circulation" in the Q2 2025 monetary policy report mainly refers to the "enterprise - finance" level. The possibility of a systematic adjustment in the bond market is limited [3]. - The China-US phone call has a complex impact on the stock market. In the short term, it's more beneficial. For the bond market, the implementation of the negotiation results may delay the use of aggregate monetary policy tools in Q4. Considering the 10-year Treasury bond interest rate ceiling of about 1.9% in Q1 and the 10bp interest rate cut in May, the current 1.8% 10-year Treasury bond has significant allocation value [3]. - From September 15th to 19th, funds were slightly tight, and yields generally rose. The progress of China-US negotiations, poor Treasury bond issuance results, and Shanghai's property tax adjustment were negative factors, while the weak economic data in October was positive. The 10-year Treasury bond yield rose 1.19BP to 1.88%, and the 10-year CDB bond yield fell 0.93BP to 2.02% [3]. - As of September 14th, the wealth management scale increased slightly, and the duration decreased. The public fund duration decreased to 2.30, and the divergence degree decreased, with a slight increase in market consensus [3]. Summary by Directory 1. Whether to Worry about Strict Regulatory Risks - In a weak economic environment, financial institutions may engage in regulatory arbitrage due to profit - seeking motives under loose monetary conditions. However, the current financial market's idle circulation is not serious, and the central bank maintains a supportive attitude, so the bond market may adjust, but the pattern of a ceiling on interest rates remains [7][15]. 1.1 2013: On - balance - sheet Interbank Expansion and the Money Crunch - In the first half of 2013, the macro - background was weak fundamentals, loose monetary policy, and strong expectations of stimulus policies. Banks had a strong motivation for business expansion, leading to significant growth in interbank liabilities and a surge in wealth management business. The tightening of monetary policy and financial supervision had a significant impact on the bond market [16][21][25]. 1.2 2016: Liability - side Driven Capital Out of the Balance Sheet - In 2016, the economic downturn led to weak real - sector financing demand. Banks faced pressure on the liability side and used active liability management and asset - side allocation to form inter - bank chains. The financial de - leveraging starting from October 2016 and the subsequent tightening of fundamentals, inter - bank supervision, and monetary policy had a large impact on the bond market [28][35][38]. 2. How to View This Round of the Head - of - State Phone Call - Analyzing Trump's social media posts after the two phone calls, this round of the phone call achieved more results. It's expected that the scope of trade restrictions may be narrowed, and the fentanyl tariff may be reduced. For the stock market, it's more beneficial in the short term, but it may reduce the possibility of large - scale domestic incremental policies. For the bond market, it may delay the use of aggregate monetary policy tools in Q4, and the 1.8% 10 - year Treasury bond has allocation value [39][41][44]. 3. The Decline of the Bond Market Slows Down - From September 15th to 19th, the central bank's open - market operations were net injections, and funds were slightly tight. Bond yields generally rose, with the 10 - year Treasury bond yield rising 1.19bp to 1.88% and the 10 - year CDB bond yield falling 0.93bp to 2.02%. Different factors affected the bond market on each trading day [46][50][51]. 4. The Wealth Management Scale Increases Slightly - As of September 14th, the wealth management's existing scale reached 31.07 trillion yuan, with a week - on - week increase of 238.2 billion yuan. The new - issued wealth management scale from September 8th to 14th was 207.76 billion yuan. In September, the scale of fixed - income products increased, and the net - breaking rate decreased slightly [52][54][57]. 5. Duration - From September 15th to 19th, the public fund duration decreased by 0.02 to 2.30 compared to September 12th, with a weekly average of 2.39. The duration divergence degree decreased, and market consensus increased slightly [61].