晨会纪要——2025年第168期-20250930

Group 1 - The report addresses how to quantify current market implied interest rate cut expectations through interest rate swap pricing and floating rate bond spread analysis, aiming to fill gaps in traditional liquidity analysis [3] - The analysis identifies four stages of interest rate cut expectations evolution since 2024, indicating a significant reversal in market expectations compared to the beginning of the year [4] - Current market pricing does not reflect further easing potential and may even imply a marginal tightening of policy, suggesting that if a rate cut signal is released in Q4, it could create a significant positive impact on the bond market due to the existing low market consensus [4] Group 2 - The report highlights three marginal changes in institutional behavior following the breach of interest rates, indicating a shift in market dynamics [6] - Fund managers have significantly reduced their duration, with the median duration of long-term bond funds dropping to 2.8 years, and net purchases of ultra-long government bonds turning negative since early September [7] - Banks have been actively buying 10-year government bonds, acting as a buffer during the recent bond market correction, while the trading volume of certain bonds has shown a rapid adjustment [8]