平安证券：2025年利率债四季报：多重挑战下，债市的机会与风险

Report Information - Report Title: [Ping An Securities] 2025 Interest Rate Bond Quarterly Report: Opportunities and Risks in the Bond Market under Multiple Challenges [1] - Release Date: September 29, 2025 [1] - Analysts: Liu Lu, Zheng Zichen [1] Industry Investment Rating - Stronger than the Market (Expected to outperform the market by more than 5% in the next 6 months) [94] Core Views - The bond market entered a headwind period in Q3 due to multiple factors, with a bearish steepening of the yield curve, a decline in the inter - bank leverage ratio, a reduction in the duration of asset management accounts, and a certain demand maintained by allocation accounts [2]. - The necessity of stabilizing growth is increasing in Q4. Policy measures may include interest rate cuts of 10BP, reserve requirement ratio cuts of 25BP, restarting bond purchases, and fiscal stimulus leading to a year - on - year increase of over 1 trillion yuan in Q4 [3]. - There are trading opportunities for bonds with maturities within 10 years in Q4, while ultra - long bonds face repricing risks [4]. Summary by Directory PART1: Domestic Bond Yields Reach New Highs - Multiple Negative Factors Lead to Q3 Bond Market Adjustment: In June, "anti - involution" drove up commodity prices; in July, the Shanghai Composite Index broke through 3400 points; in August - September, policy adjustments such as the readjustment of VAT on treasury bond interest and concerns about the cancellation of tax - exemption policies for public funds led to bond fund redemptions and rising interest rates [2][6]. - Deviation from Fundamentals and Funds, Dominated by Sentiment and Institutional Behavior: The adjustment deviated from fundamentals and funds, with stable funds and a marginal decline in fundamentals in July - August. Market sentiment and institutional behavior played a dominant role [8]. - Market Leverage Declines, Asset Management Accounts Reduce Positions, Allocation Accounts Maintain Demand: During the market adjustment, institutions tended to reduce leverage, asset management accounts reduced positions, and allocation accounts supported the market [11]. - Performance of Different Bond Types: Short - term treasury bonds were relatively resistant to decline due to large - bank purchases; credit bonds weakened as fund and wealth management demand declined; ultra - long bonds performed weakly, with increased supply exceeding demand from insurance and rural commercial banks. There was also a global resonance of rising ultra - long bond yields [2][17][19][26]. PART2: The Necessity of Stabilizing Growth Increases in Q4 - Policy Support Needed to Achieve the Annual Growth Target: To achieve the annual GDP growth target of 5%, Q4 requires stronger stabilizing - growth policies than in 2022 - 2023 but weaker than in 2024. Without additional policies, government bond net financing in Q4 is expected to be about 1 trillion less year - on - year [3][46]. - Fiscal and Monetary Policy Tools: Fiscal policy may involve policy - based development financial tools of about 500 billion yuan and the possible early issuance of 2 trillion special refinancing bonds in 2026. Monetary policy is expected to remain stable, with no obvious constraints on marginal easing [51]. - Policy Implementation Timing: Short - term bond purchases by the central bank are more likely, while reserve requirement ratio and interest rate cuts are more likely to occur at the end of the year, perhaps to align with the December Central Economic Work Conference [52]. - Central Bank Bond Purchase Maturity: Based on institutional behavior, the central bank's bond purchases may be extended to within 5 - year maturities [57]. PART3: Bond Market Strategies - Trading Opportunities for Bonds within 10 Years: Leading indicators such as social financing and M1 growth are approaching a phased peak. In terms of valuation, 10 - year treasury bonds are relatively cheap compared to listed companies' ROIC and are close to the upper limit of the interest rate corridor. The 10 - year treasury bond yield has risen by 17BP, fully pricing in the current stabilizing - growth policies but not pricing in potential monetary policy benefits [4][64][71]. - Repricing Risks for Ultra - long Bonds: Ultra - long bonds may face repricing risks. Based on calculations, the current ultra - long bond yields may have fully priced in inflation improvement. The potential risks include continuous stabilizing - growth policies and global fiscal expansion [80]. - Short - term Market Contradictions and Strategies: Short - term market contradictions lie in institutional behavior and sentiment. It is recommended to focus on short - term treasury bonds within 5 years and certificates of deposit in the short term and participate in duration - offensive bonds after negative factors are realized [87].