2025 年 09 月 30 日 晨会纪要 研究所： 证券分析师： 余春生 S0350513090001 yucs@ghzq.com.cn [Table_Title] 晨会纪要 ——2025 年第 168 期 观点精粹: 最新报告摘要 两条技术路线下的降息预期测算--固定收益专题研究 从三个细节谈起，债券调整到位了吗？--债券研究周报 证券研究报告 1、最新报告摘要 1.1、两条技术路线下的降息预期测算--固定收益专题研究 分析师：颜子琦 S0350525090002 分析师：刘畅 S0350524090005 本篇报告解决了以下核心问题：如何通过利率互换定价与浮息债利差分析两条技术路线，量化当前市场交易中 隐含的降息预期，以弥补传统流动性分析中的不足。以及如何基于当前的市场共识，判断未来若政策宽松落地 可能带来的债市预期差与投资机会。 从资金面到利率定价的核心问题 当前对流动性的分析容易陷入定性臆测、过度聚焦历史、过度关注前瞻的问 题，而有效的利率研判必须结合"纵向预测"与"横向定价"，其中后者是当前研究的核心堵点。为解决这一 问题，本文通过利率互换定价与浮息债利差分析两条技术路线，分析当前市场交易中隐含的 ...

2025 年 09 月 29 日 固定收益专题研究 研究所： 证券分析师： 颜子琦 S0350525090002 yanzq@ghzq.com.cn 证券分析师： 刘畅 S0350524090005 liuc06@ghzq.com.cn [Table_Title] 两条技术路线下的降息预期测算 固收利率新论 相关报告 畅》——2025-08-19 《债券研究周报：理财破局低利率，如何影响债市 *靳毅，刘畅》——2025-08-12 最近一年走势 本篇报告解决了以下核心问题：如何通过利率互换定价与浮息债利差分 析两条技术路线，量化当前市场交易中隐含的降息预期，以弥补传统流 动性分析中的不足。以及如何基于当前的市场共识，判断未来若政策宽 松落地可能带来的债市预期差与投资机会。 国海证券研究所 请务必阅读正文后免责条款部分 《债券研究周报：存款搬家进行时，对债市影响几 何*靳毅，刘畅》——2025-09-02 《债券研究周报：交易承压，配置入场*靳毅，刘 畅》——2025-08-26 《债券研究周报：如何解读 Q2 货政报告*靳毅，刘 《债券研究周报：赎回缓释后，机构行为的新变量 *靳毅，刘畅》——2025-08- ...

Summary of Key Points from Conference Call Records Industry Overview - The records primarily focus on the bond market, specifically the trends and expectations for the fourth quarter of 2025 and the performance of various financial instruments including government bonds and local government bonds. Core Insights and Arguments 1. **Market Trends**: The bond market is expected to exhibit a "weak before strong" pattern in the fourth quarter, contrasting with historical trends. The market is anticipated to be relatively stable in October, with limited speculative opportunities due to weak positioning [1][2][3]. 2. **October Performance**: October 2025 is projected to show some recovery from previous declines, driven by adjustments in market sentiment and the release of prior pressures. This recovery is not expected to be as weak as in previous years [4][5]. 3. **Policy Changes**: There is a notable shift in policy consistency and proactivity in 2025 compared to previous years. The government is unlikely to announce significant new bond issuance in October, which may lead to lower interest rates in the short term [5][6]. 4. **Central Bank Actions**: The central bank and major banks are actively buying government bonds to stabilize the market. This strategy aims to prevent significant declines in market indices, although it has limited effects on other bond types [6][7]. 5. **Market Reactions**: Recent market declines were attributed to the introduction of new fund fee regulations, which may have been overestimated in their impact. The insurance and wealth management sectors remain stable, mitigating potential risks from credit loans and government bonds [7][8]. 6. **Investment Strategies**: Insurance institutions are increasingly purchasing local government bonds, viewing them as attractive investments due to their yield. This trend indicates a shift towards securing current yield levels rather than capital gains [8][9]. 7. **Long-term Bonds**: There is a divergence in market expectations for local government bonds versus 30-year government bonds. Local bonds are favored for their higher yields, while long-term bonds face skepticism due to their volatility [10][11]. 8. **Credit Bonds Sentiment**: The sentiment towards credit bonds is cautious, influenced by policy uncertainties and new fund redemption fee regulations. The market is expected to stabilize once these uncertainties are resolved [14][15]. Additional Important Content 1. **ETF Market Dynamics**: The second batch of STAR Market ETFs has seen rapid expansion, with significant inflows and a total scale reaching 2,474 billion yuan. However, some products still lack sufficient scale, indicating potential for further growth [12][13]. 2. **Future of Convertible Bonds**: The convertible bond market is showing resilience, with recommendations to focus on high-quality options that exhibit strong anti-drawdown characteristics. The issuance of convertible bonds is expected to normalize, with a focus on technology and undervalued sectors [16][18]. 3. **Investment Opportunities**: There are recommendations for strategic investments in sectors such as AI computing, consumer electronics, and low-valuation sectors like banking and chemicals, which have recently attracted significant capital inflows [18]. This summary encapsulates the key points and insights from the conference call records, providing a comprehensive overview of the current state and future expectations of the bond market and related financial instruments.

证券研究报告 | 行业定期报告 2025 年 09 月 25 日 招商证券 | 总量的视野 电话会议纪要（20250921） 研究部/总量研究 【宏观-罗丹】8 月经济数据解读 【策略-田登位】十一前后融资盘的规律和 A 股股价表现 【固收-朱蕾】继续防守策略，关注中短信用 【银行-文雪阳】银行债市存量浮盈 【资配-江雨航】招商系列大类资产配置指数解析与复盘 ❑ 【宏观-罗丹】8 月经济数据解读 推荐（维持） 相关报告 | 罗丹 | S1090524070004 | | --- | --- | | luodan7@cmschina.com.cn | | | 田登位 | S1090524080002 | | tiandengwei@cmschina.com.cn | | | 朱蕾 | S1090524100001 | | zhulei1@cmschina.com.cn | | | 文雪阳 | S1090524110001 | | wenxueyang@cmschina.com.cn | | | 江雨航 | S1090525070014 | jiangyuhang1@cmschina.com.cn 敬请阅读末页的 ...

Summary of Key Points from Conference Call Records Industry Overview - The records focus on the Chinese credit market and its implications for the economy, particularly in relation to the banking sector and real estate market [1][2][3]. Core Insights and Arguments - **Declining Credit Demand**: China's credit demand has shifted from insufficient supply to low demand, with new loans expected to be less than 17 trillion yuan in 2025, down from 23 trillion yuan in 2022, indicating a decline in both credit growth and volume, posing challenges to economic growth [1][3]. - **Weak Personal Loans**: In August, personal loans increased by only 30.3 billion yuan, reflecting a continued downturn in the real estate market, with second-hand home prices in Beijing dropping nearly 10% over the past quarter [1][5]. - **Manufacturing Sector Struggles**: The manufacturing industry faces overcapacity, leading to weak credit demand from enterprises. The gap between corporate deposits and loans has widened to over 60 trillion yuan, indicating that state-owned enterprises are borrowing heavily while market-oriented firms show insufficient financing needs [1][6]. - **Banking Sector Manipulations**: Banks are manipulating credit data through bill discounting and short-term loans to meet scale assessments, but these measures do not fundamentally address the underlying issue of weak credit demand [1][7]. - **Deleveraging Trends**: There is a clear trend of households actively deleveraging, with increased savings and reduced borrowing. The ratio of personal loans to deposits has significantly decreased, indicating low consumer willingness to spend [1][8][10]. Additional Important Insights - **Future Loan Projections**: The anticipated decline in new loans and social financing growth rates, projected to fall from 9.0% to around 8.0% by year-end, reflects weak investment demand and ongoing challenges in the real estate and manufacturing sectors [3][10]. - **Investment Outlook**: The outlook for long-term bonds remains positive, with a target yield of around 1.75% for ten-year government bonds, suggesting potential value for investors [3][12][18]. - **Market Sentiment**: Institutional attitudes towards ultra-long credit bonds are cautious, with a noted decline in net purchases by insurance and wealth management sectors, although there is still a strategy to accumulate on dips [17][19]. - **Economic Predictions**: The overall trend for the bond market in 2025 is expected to be volatile, with no clear directional movement, necessitating a careful approach to investment strategies [20][21]. Conclusion - The records highlight significant challenges in the Chinese credit market, with declining demand impacting both personal and corporate borrowing. The banking sector's response through data manipulation and the ongoing trend of deleveraging among households are critical factors to monitor. The investment outlook for bonds remains cautiously optimistic, with specific strategies recommended for conservative investors.

Group 1 - The report highlights that consumer spending has weakened since peaking in May-June 2025, with retail sales growth for January to July 2025 at 4.8%, down 0.2 percentage points from the previous period, significantly impacted by the restaurant sector, which saw a growth rate of 3.8% [2][3] - Industrial value-added growth for July 2025 was 6.3%, a decline of 0.1 percentage points from June, with production in "anti-involution" sectors like automotive and photovoltaic experiencing notable decreases [3][4] - Fixed asset investment growth has accelerated its decline, with a cumulative year-on-year growth rate of 1.6% in July 2025, down 1.2 percentage points from June, driven by weak performance in real estate, infrastructure, and manufacturing sectors [3][5] Group 2 - The bond market has shown a weakening in pricing based on fundamentals, with the yield curve flattening, indicating pessimistic expectations for the economy despite weak demand in the real sector [3] - The report anticipates that the 10-year government bond yield will range between 1.65% and 1.80% in August and September 2025, with conditions for further yield declines being more stringent [3] - The report notes that August is a peak supply month for government bonds, and if market adjustments worsen, there is a possibility that the central bank may restart bond purchases [3]

Group 1: CPI Analysis - July CPI year-on-year is 0%, better than the expected -0.1%, indicating stability compared to last year [1] - Month-on-month CPI decreased by 0.1%, weaker than seasonal trends, with food prices showing significant weakness [1] - Core CPI increased by 0.8% year-on-year, the highest in 1.5 years, driven by demand recovery and the end of commodity subsidies [1] Group 2: PPI Analysis - July PPI year-on-year is -3.6%, below the expected -3.4%, consistent with the previous value [2] - Month-on-month PPI decreased by 0.2%, showing a slight improvement of 0.2 percentage points from the previous month [2] - Specific industries like oil extraction and processing showed positive month-on-month changes, while non-metallic mining and manufacturing declined [2] Group 3: Macro Economic Outlook - The low CPI and PPI indicate that overall inflation remains low, allowing for a moderately loose monetary policy [3] - The bond market is expected to see a gradual upward correction in convertible bond valuations due to increased demand for fixed income [3] - The issuance pace of local government special bonds may accelerate, creating temporary supply pressure, but strong demand from long-term stable funds remains [3]

Report Summary 1. Report Industry Investment Rating The document does not mention the industry investment rating. 2. Core Viewpoints - Through multiple - dimensional calculations such as treasury bond futures trends, new local bond issuance pricing, and historical experience of China Development Bank bond implicit tax rates, the possible tax rate space after the new bond interest VAT regulation may be significantly lower than 6% [3][38]. - To cooperate with the transition period at the initial stage of the implementation of the new VAT regulation, monetary policy is expected to remain loose in the short - term [3][38]. - The bond market may still be supported in the short - term, but the odds space is limited, and it may face headwinds in the medium - term [4][39]. 3. Summary by Relevant Catalogs 3.1 Treasury Bond Futures Tax Rate Trading Perspective - The implicit trading VAT rate of treasury bond futures may be between 0.9% - 3.1%. After the new VAT regulation was announced on August 1, 2025, the price changes of TS/TF/T 2063 contracts largely reflected the impact of the new regulation, considering the third - quarter treasury bond issuance plan and futures contract maturity dates [10][14]. 3.2 Latest Local Bond Issuance Pricing Perspective - The implicit VAT rate of local bond issuance pricing may be between 0.9% - 3.2%. Based on the yield levels of tax - free old bonds in the same region and similar maturities as a benchmark, the implicit VAT rate of the new local bonds issued on August 8, 2025, was estimated [18][23]. 3.3 China Development Bank Bond Historical Experience Perspective - From the historical experience of China Development Bank bonds, the subsequent implicit VAT rate may be between 0.7% - 3.1%. Although China Development Bank bonds are subject to a 25% income tax on interest income, the implicit tax rate is often much lower than 25% due to trading advantages, and has mostly been between 3% - 13% in recent years [27][29]. 3.4 Monetary Policy Outlook - **Static Calculation**: From a static perspective, assuming that VAT is fully borne by investors, the new VAT regulation may bring about 230 billion yuan in fiscal revenue in a stable state. The average annual new fiscal revenue is about 2.71 billion yuan [32][34]. - **Need for Monetary Policy Coordination**: From a dynamic perspective, while the fiscal revenue increases due to VAT, the interest - payment cost also rises to some extent. Therefore, to reduce fiscal costs and enhance tax effects, monetary policy is expected to remain loose in the short - term [37]. - **Bond Market Outlook**: August - October may be a volatile period for the bond market. The short - to medium - term bonds may perform steadily, and the yield curve may steepen. The 10 - year treasury bond around 1.7% may not be cost - effective. The pressure in August may not be significant, but the transition between the third and fourth quarters may be a risk window [6][40].

Core Viewpoint - The Ministry of Finance and the State Taxation Administration announced the resumption of VAT on interest income from newly issued government bonds, local government bonds, and financial bonds starting from August 8, 2025, which has led to mixed reactions in the bond market [1][2]. Group 1: Market Reactions - The bond futures market showed strong performance, reflecting intense speculation among investors regarding the announcement [1]. - Analysts noted that the demand for existing bonds increased post-announcement, but expectations for a significant decline in interest rates in the short term should be tempered [1]. - The potential widening of the yield spread between new and old bonds could be around 10 basis points due to the VAT implications, although uncertainties remain [1]. Group 2: Impact on Bond Market - The resumption of VAT is expected to narrow the yield spread between credit bonds and interest rate bonds by 30 to 50 basis points, as the tax-exempt advantage of interest rate bonds diminishes [1]. - New government bonds may see an increase in issuance rates by 5 to 10 basis points to compensate for the tax burden, while the attractiveness of existing bonds may rise [1]. - Different tax rates applicable to various financial institutions could lead to differentiated investment behaviors, potentially attracting bank funds into interest rate bonds through broader fund products [1]. Group 3: Future Considerations - Post-August 8, attention will be on the auction results of newly issued government bonds and other influencing factors such as real estate policy adjustments and inflation stabilization [2]. - The macroeconomic environment and market sentiment are expected to stabilize following recent negotiations and meetings, with a focus on domestic fundamentals and liquidity changes [2]. - The weak performance of government bond futures in July was attributed to significant sell-offs triggered by rising stock and commodity markets rather than fundamental changes [2].

Report Industry Investment Rating No relevant content provided. Core Viewpoints - The central bank's continuous net investment maintains loose market liquidity, and the term spread further widens, reflecting a certain expectation of short - term liquidity loosening. - Amid complex overseas situations and domestic stock market fluctuations, the bond market still has short - term repair momentum. In the medium and long term, supported by a weak economic fundamental and loose policies, the foundation for a bond market bull market remains. - In the short term, the bond market will continue to fluctuate due to the game between loose capital and supply disturbances. The market's focus is gradually shifting to the Politburo meeting in July and the evolution of Sino - US trade relations. Future policy stances and external disturbances will dominate the market direction [2][3][4]. Summary by Directory 1. Interest Rate Pricing Tracking Indicators - **Price Indicators**: China's CPI (monthly) decreased by 0.20% month - on - month and 0.10% year - on - year; China's PPI (monthly) decreased by 0.40% month - on - month and 3.30% year - on - year [9]. - **Monthly Economic Indicators**: Social financing scale reached 426.16 trillion yuan, with an increase of 2.16 trillion yuan (0.51%) month - on - month; M2 year - on - year growth rate was 7.90%, a decrease of 0.10% (1.25%) month - on - month; Manufacturing PMI was 49.70%, an increase of 0.20% (0.40%) month - on - month [9]. - **Daily Economic Indicators**: The US dollar index was 97.54, up 0.56 (0.58%) day - on - day; The offshore US dollar - to - RMB exchange rate was 7.1710, up 0.012 (0.16%) day - on - day; SHIBOR 7 - day was 1.46, up 0.04 (2.46%) day - on - day; DR007 was 1.47, up 0.04 (3.08%) day - on - day; R007 was 1.64, down 0.12 (6.66%) day - on - day; The yield of 3 - month AAA - rated inter - bank certificates of deposit was 1.52, up 0.00 (0.13%) day - on - day; The 1 - year AA - AAA credit spread was 0.06, down 0.01 (0.13%) day - on - day [9]. 2. Overview of the Treasury Bond and Treasury Bond Futures Market - The report provides figures on the closing price trends of the main continuous contracts of treasury bond futures, the price change rates of various treasury bond futures varieties, the maturity yield trends of treasury bonds of various terms, the valuation changes of treasury bonds of various terms in the past day, the precipitation funds trends of various treasury bond futures varieties, the position - holding ratios of various treasury bond futures varieties, the net position - holding ratios (top 20) of various treasury bond futures varieties, the long - short position - holding ratios (top 20) of various treasury bond futures varieties, and the trading - to - position ratios of various treasury bond futures varieties [12][16][18][19][22]. 3. Overview of the Money Market Capital Situation - The report presents figures on the bond lending turnover and the total position - holding volume of treasury bond futures, the spread between China Development Bank bonds and treasury bonds, the treasury bond issuance situation, the Shibor interest rate trend, the maturity yield trend of AAA - rated inter - bank certificates of deposit, the inter - bank pledged repurchase transaction statistics, and the local government bond issuance situation [28][30][32][35]. 4. Spread Overview - The report includes figures on the inter - term spread trends of various treasury bond futures varieties, the spread between the spot - bond term spread and the futures cross - variety spread (4*TS - T), (2*TS - TF), (2*TF - T), (3*T - TL), and the spread between the spot - bond spread and the futures spread (2*TS - 3*TF + T) [39][40][41][42]. 5. Two - Year Treasury Bond Futures - The report provides figures on the implied interest rate of the TS main contract and the treasury bond maturity yield, the IRR of the TS main contract and the capital interest rate, the three - year basis trend of the TS main contract, and the three - year net basis trend of the TS main contract [44][48][55]. 6. Five - Year Treasury Bond Futures - The report offers figures on the implied interest rate of the TF main contract and the treasury bond maturity yield, the IRR of the TF main contract and the capital interest rate, the three - year basis trend of the TF main contract, and the three - year net basis trend of the TF main contract [54][57]. 7. Ten - Year Treasury Bond Futures - The report shows figures on the implied interest rate of the T main contract and the treasury bond maturity yield, the IRR of the T main contract and the capital interest rate, the three - year basis trend of the T main contract, and the three - year net basis trend of the T main contract [62][65]. 8. Thirty - Year Treasury Bond Futures - The report presents figures on the implied interest rate of the TL main contract and the treasury bond maturity yield, the IRR of the TL main contract and the capital interest rate, the three - year basis trend of the TL main contract, and the three - year net basis trend of the TL main contract [71][74][77]. Strategies - **Unilateral Strategy**: With the decline of repurchase interest rates and the fluctuating prices of treasury bond futures, the 2509 contract is neutral. - **Arbitrage Strategy**: Pay attention to the widening of the basis. - **Hedging Strategy**: There is medium - term adjustment pressure. Short - position holders can use far - month contracts for appropriate hedging [4].