债市多种叙事切换，“TACO”交易能否重现？

1. Report Industry Investment Rating No information about the industry investment rating is provided in the report. 2. Core Viewpoints of the Report - In September, most bond varieties saw corrections, with long - end interest - rate bonds and long - end Tier 2 and perpetual bonds (referred to as "Er Yong" bonds) leading the decline, which are the heavy - position bonds preferred by funds. The "killing of funds' heavy - position bonds" in this round has a more significant curve steepening compared to the adjustment in Q4 2022 [1][5]. - Although commodity demand has weakened, inflation expectations remain strong. If PPI is transmitted to core CPI, the year - on - year core CPI in March next year may reach 1.6%, and real interest rates may decline [1][20]. - In the fourth - quarter bond market, from the EVA comparison perspective, 30Y treasury bonds have a high comparison advantage over mortgage loans, while 10Y treasury bonds are relatively neutral. Despite weak fundamentals, the necessity of interest - rate cuts may not be high from the perspective of real interest rates. Currently, the IRS - implied interest - rate cut expectation is low. Insurance bond - allocation growth may be weaker than before, and banks may redeem funds in advance, which is unfavorable to the bond - market supply - demand structure. The impact of the new round of tariff turmoil on the bond market is smaller than that in April [1][23][34]. 3. Summary by Relevant Catalogs 3.1 9 - Month Institutional Behavior Pattern: Killing Funds' Heavy - Position Bonds - Bond Market Correction in September: Interest - rate bonds' long - end correction was greater than the short - end, with the curve steepening and long - end spreads widening, while the 5Y - 3Y spread narrowed. The long - end of "Er Yong" bonds led the decline, and the credit spreads of 5 - 7Y varieties widened rapidly [5]. - Funds' Bond Preferences: Since 2024, funds have preferred to net - buy 7 - 10Y interest - rate bonds, 20 - 30Y treasury bonds, 1 - 5Y medium - term notes, and 7 - 10Y "Er Yong" bonds, except for short - term financing bonds [8]. - Comparison with Q4 2022: Both rounds showed the characteristic of "Er Yong" bonds leading the decline, but in this round, the short - end decline was small, and the curve steepening was more significant [9]. - Funds' Trading Behavior: In September, funds mainly sold "Er Yong" bonds, 10Y old policy - bank bonds, and old ultra - long treasury bonds. They had a net - selling of 16 billion yuan of cash bonds in total, with 101.5 billion yuan of other bonds (including "Er Yong" bonds) mainly sold in the 7 - 10Y and over 30Y maturities, and 55.2 billion yuan of old 20 - 30Y treasury bonds sold. At the same time, they also bought new treasury bonds of the same maturities [13]. - Funds' Selling Progress: Fund selling has accelerated, but there is still a large clearing space, and funds can still be seen in ultra - long active bonds [16]. 3.2 Commodity Demand Weakens, but Inflation Expectations Remain Strong - Commodity Market Situation: The "Golden September and Silver October" in the commodity market was not as expected. After the pre - holiday inventory - replenishment narrative ended, commodities reached the lowest point after the Politburo meeting. There was a differentiation between upstream and downstream, with the downstream dominated by the "supply - demand logic" and the upstream by the "anti - involution" logic [18]. - Inflation Expectations: According to the monthly spread of coking coal, the year - on - year PPI in 2026 was priced at 1.2% on September 30th, and it may exceed 2% in April. If PPI is transmitted to core CPI, the year - on - year core CPI in March next year may be 1.6%, and real interest rates may decline, with the effect of re - inflation similar to the interest - rate cut in 2024 [18][20]. - Travel and Consumption Improvement: During the 8 - day National Day and Mid - Autumn Festival holiday this year, the number of tourist trips increased by 16.1% year - on - year, and domestic tourism spending increased by 13.5%. The daily average number of tourist trips increased by 1.6%, and consumption increased by 1%. Since 2022, the economic cycle has been in the recovery stage, and by October 2025, the number of tourist trips (+10.4%) and tourism revenue (+3.1%) have exceeded the 2019 levels [21]. 3.3 Fourth - Quarter Bond - Market Highlights: Comparison, Institutional Behavior, and Tariff Re - trading - EVA Comparison Perspective: As of the end of September, the after - tax EVA level of 30Y treasury bonds was 2.15%. Even considering the restoration of value - added tax on interest income, it had a high comparison advantage over the existing mortgage loan rate of 1.71%, with the spread reaching the 79% historical quantile since 2015. However, the EVA spread of 10Y treasury bonds compared to general loans only recovered to the 24% historical quantile, with a relatively neutral comparison advantage [23]. - Fundamental Perspective: Economic data from July to August was weak. Investment - end sub - items declined significantly, and the previously strong social retail sales also declined. Manufacturing growth turned negative, infrastructure investment declined, and real - estate investment continued to decline. Although this may lead to expectations of interest - rate cuts, from the perspective of real interest rates, the necessity of interest - rate cuts may not be high, and currently, the IRS - implied interest - rate cut expectation is low [26][30][32]. - Institutional Behavior: Currently, the market risk preference is high. Insurance bond - allocation growth may be weaker than before, and banks may redeem funds in advance, which is unfavorable to the bond - market supply - demand structure [34]. - Tariff Turmoil: The impact of the new round of tariff turmoil on the bond market was smaller than that in April. The decline in the A - share adjustment space on Monday may not be large. Compared with April, the increments in the A - share market include a strong AI industry trend, more familiarity with the "TACO" investment model, but also the risk of high valuations [36][37][38].