Group 1 - The bond market is experiencing a limited upward space for the 10-year government bond yield, which has reached around 1.8%, with a slight rebound observed recently despite a strong stock market environment [1][6] - The central bank's liquidity provision remains focused on maintaining a balanced and relatively loose funding environment, with significant net injections through various operations in August [1][5] - The economic fundamentals show signs of improvement, but the demand side remains weak, with the manufacturing PMI still below the expansion threshold, indicating that demand-side recovery is still under observation [4][6] Group 2 - The bond market faces headwinds due to weak demand pressures, subdued financing needs, and a reasonably ample funding environment, which are key supporting factors for the bond market [2][4] - The "anti-involution" policy has led to rising industrial prices, creating expectations for future credit expansion, which continues to suppress bond market performance [2][4] - The overall liquidity is expected to remain reasonably ample, with no basis for tightening monetary policy, as the economy is still in the early stages of a wide credit cycle [5][6]

Investment Rating - The report maintains an "Accumulate" rating for the financial products industry, indicating a positive outlook for the sector in the next six months [1]. Core Insights - The report highlights that the government bond index experienced a "sideways-down-bottoming" trend in August, with expectations for a potential recovery in September [1][3]. - The macroeconomic environment shows mixed signals, with weak PMI and PPI data, but moderate consumption growth, indicating a cautious outlook for the economy [3][29]. - The report emphasizes the importance of upcoming macroeconomic data and policy decisions, particularly regarding the Federal Reserve's interest rate decisions, which could influence domestic monetary policy [40][42]. Summary by Sections 1. Market Performance Review - The government bond index displayed a "sideways-down-bottoming" pattern from August 1 to August 29, 2025, with fluctuations influenced by central bank operations and market sentiment [12][20]. - Technical analysis indicates that the risk level of the government bond index reached a low point on August 22, suggesting a potential for a rebound [25][26]. 2. Event-Driven Review 2.1. Macroeconomic Aspects - Recent macroeconomic data, including a PMI of 49.3% in July and a CPI increase of 0.4%, reflect a mixed economic outlook, with implications for bond market performance [29][30]. - The report notes that the July industrial output growth of 5.7% shows signs of slowing, which could negatively impact bond pricing [31][32]. 2.2. Policy Aspects - The report discusses recent policy announcements, including the introduction of new financial tools by the National Development and Reform Commission, which may increase bond supply and affect interest rates [35][36]. - The announcement of VAT on new bond interest income is expected to impact market dynamics, particularly for newly issued bonds [37][38]. 3. Index Outlook 3.1. Key Event Forecast - Future bond market performance will be driven by macroeconomic data, policy developments, and liquidity events, with a focus on upcoming economic indicators [40][41]. - The report anticipates that if macroeconomic data improves, it could suppress bond market demand, while weaker data may bolster bond prices [41]. 3.2. Index Trend Outlook - The report suggests that the bond market is nearing a bottom, with limited downside potential in the short term, and highlights the importance of equity market movements as a key variable for bond market performance [46][47]. - The report indicates that if equity markets experience a pullback, funds may flow back into the bond market, presenting potential investment opportunities [60]. 3.3. Related ETF Products - The report mentions the "Fuguo Zhongzhai 7-10 Year Policy Financial Bond ETF," which aims to closely track the index and has a total market value of 46.546 billion yuan as of August 29, 2025 [61][62].

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - The bond market in September may break the seasonal pattern and still present long - trading opportunities. The latest PMI data shows a marginal improvement in the fundamentals, but the effective demand remains weak. Mid - to long - term interest rates are expected to decline. The seasonal weakness in September may have been adjusted in August. The central bank is supportive of bond market liquidity, and institutional behavior signals still suggest long - trading. Currently, one can focus on the spread compression opportunity between the new 30 - year bond 25 Special 06 and 25 Special 02 [2]. - From a seasonal perspective, the bond market usually corrects in September, but the current market sentiment has improved significantly, and the number of institutions bearish on the bond market has decreased notably [3]. - Most fixed - income buyers hold a neutral view, with over 80% of them remaining neutral [3]. - The basis of the T - contract is at a historical high, and the curve can still be steepened [6]. 3. Summary According to the Directory 3.1 Seller and Buyer Markets 3.1.1 Seller Market Sentiment Index and Interest - rate Bonds - The weighted sentiment index this week is 0.1, and the unweighted index is 0.14, up 0.11 from last week. Currently, institutions generally hold a neutral - to - bullish view, with 7 bullish, 19 neutral, and 3 bearish. 24% of institutions are bullish, citing the attractiveness of the 10 - year Treasury yield around 1.8%, weak fundamentals, and expected central bank easing. 66% are neutral, concerned about the "stock - bond seesaw" effect and incomplete institutional duration adjustment. 10% are bearish, worried about stock market rallies, inflation expectations, and subsequent pro - growth policies [12]. 3.1.2 Buyer Market Sentiment Index and Interest - rate Bonds - The weighted sentiment index is 0.02, and the unweighted index is 0.03, down 0.03 from last week. Institutions generally hold a neutral - to - bullish view, with 3 bullish, 24 neutral, and 2 bearish. 10% of institutions are bullish, citing credit contraction, the improved cost - effectiveness of the bond market, and central bank support. 83% are neutral, believing that the bond market is gradually desensitized to equities. 7% are bearish, concerned that a stronger stock market may raise the interest - rate center [13]. 3.1.3 Credit Bonds - The scale of "fixed - income +" funds is expanding, which may support the demand for medium - to high - grade, medium - to short - duration non - financial credit bonds, but the current increase is limited. The stock - bond seesaw effect still exists, and a rising stock market may continue to pressure long - term bonds [18]. 3.1.4 Convertible Bonds - Institutions generally hold a neutral - to - bullish view this week, with 11 bullish and 4 neutral. 73% are bullish, believing that the logic of incremental funds driving the equity market remains valid. 27% are neutral, concerned about high valuations and increased market divergence [20]. 3.2 Treasury Futures Tracking 3.2.1 Futures Trading - Futures prices have risen across the board. As of August 29, the prices of TS/TF/T/TL contracts are 102.42 yuan, 105.52 yuan, 107.81 yuan, and 116.55 yuan respectively, up 0.10 yuan, 0.14 yuan, 0.15 yuan, and 0.57 yuan from last Friday. - Open interest has increased across the board. As of August 29, the open interest of TS/TF/T/TL contracts is 67,000 lots, 113,000 lots, 178,000 lots, and 121,000 lots respectively, up 38,948 lots, 5,654 lots, 16,595 lots, and 10,567 lots from last Friday. - Trading volume has decreased across the board. As of August 29, the 5 - day moving average trading volume of TS/TF/T/TL contracts is 84.7 billion yuan, 84.1 billion yuan, 120.6 billion yuan, and 212.2 billion yuan respectively, down 43.223 billion yuan, 29.834 billion yuan, 37.99 billion yuan, and 54.024 billion yuan from last Friday. - The trading volume - to - open - interest ratio has decreased across the board. As of August 29, the 5 - day moving average trading volume - to - open - interest ratio of TS/TF/T/TL contracts is 0.65, 0.77, 0.70, and 1.74 respectively, down 0.92, 0.62, 1.16, and 2.20 from last Friday [24][25]. 3.2.2 Spot Bond Trading - The turnover rate of 30 - year Treasury bonds has decreased. On August 29, it was 4.48%, down 0.94 percentage points from last week and 0.79 percentage points from Monday, with a weekly average of 3.99%. The weekly average turnover rate of interest - rate bonds has decreased. On August 29, it was 0.78%, down 0.10 percentage points from last week and 0.19 percentage points from Monday. The turnover rate of 10 - year China Development Bank bonds has increased. On August 29, it was 4.71%, up 0.62 percentage points from last week and down 1.03 percentage points from Monday [32][35]. 3.2.3 Basis Trading - Except for the basis of the TS main contract, which has widened, the basis of other main contracts has narrowed. As of August 29, the basis (CTD) of TS/TF/T/TL main contracts is - 0.04 yuan, 0.05 yuan, 0.44 yuan, and 0.71 yuan respectively, down 0.07 yuan, 0.02 yuan, 0.13 yuan, and 0.23 yuan from last Friday. - The net basis of all main contracts has narrowed. As of August 29, the net basis (CTD) of TS/TF/T/TL main contracts is 0.001 yuan, 0.08 yuan, 0.12 yuan, and 0.21 yuan respectively, down 0.02 yuan, 0.003 yuan, 0.09 yuan, and 0.18 yuan from last Friday. - The IRR of all main contracts has increased. As of August 29, the IRR (CTD) of TS/TF/T/TL main contracts is 1.51%, 1.25%, 1.13%, and 1.01% respectively, up 0.33%, 0.04%, 0.29%, and 0.44% from last Friday [39][42]. 3.2.4 Inter - delivery Spread and Inter - variety Spread - In terms of inter - delivery spreads, the spreads of TS and TF main futures contracts have widened, while those of T and TL main futures contracts have narrowed. As of August 29, the near - to - far spreads of TS/TF/T/TL contracts are - 0.07 yuan, 0.14 yuan, 0.24 yuan, and 0.46 yuan respectively, down 0.07 yuan, up 0.04 yuan, down 0.01 yuan, and down 0.08 yuan from last Friday. - In terms of inter - variety spreads, except for the 3*T - TL futures contract, whose spread has narrowed, the spreads of other main futures contracts have widened. As of August 29, 2*TS - TF, 2*TF - T, 4*TS - T, and 3*T - TL are 99.33 yuan, 103.21 yuan, 301.86 yuan, and 206.90 yuan respectively, up 0.06 yuan, 0.13 yuan, 0.24 yuan, and down 0.17 yuan from last Friday [49][50].

Group 1: Economic Indicators - In August, manufacturing PMI in both the US and Europe exceeded expectations, indicating economic resilience, which may lead the Federal Reserve to consider interest rate cuts, catalyzing a recovery trade [1] - Domestic PMI data for August shows stabilization in manufacturing, improvement in services, and a decline in construction [1] Group 2: Market Performance - The A-share market has accelerated since August, with the Shanghai Composite Index breaking key levels and daily trading volume reaching 30 trillion yuan multiple times [2] - The technology sector is experiencing a significant influx of funds, indicating a cycle of acceleration in both market performance and capital flow [2] Group 3: Bond Market Dynamics - The bond market showed signs of recovery in the first half of the week (August 25-29), but optimism in equity markets persisted, leading to a lack of downward momentum in the bond market [1] - The relative attractiveness of equities compared to bonds has begun to decrease as equity prices continue to rise while the bond market adjusts [1] Group 4: Commodity Insights - The expectation of financial conditions easing before the Federal Reserve's interest rate cut is beneficial for gold performance in the short term [5] - Oil demand is projected to be weak over the next 25 years, with ongoing supply releases putting downward pressure on oil prices [4]

转自：新华财经 | | | 中债国债收益率曲线(到期)$ | | | --- | --- | --- | --- | | 标准期限(年) | 8月22日 | 8月29日 | 变动BP | | 0 | 1.2711 | 1.2 | -7.11 | | 0.08 | 1. 3211 | 1. 2536 | -6. 75 | | 0. 17 | 1.35 | 1. 3508 | 0.08 | | 0. 25 | 1. 3507 | 1. 3513 | 0. 06 | | 0.5 | 1.3799 | 1. 3582 | -2. 17 | | 0. 75 | 1.3746 | 1. 3546 | -2 | | 1 | 1.3707 | 1. 3698 | -0.09 | | 2 | 1. 4341 | 1. 4042 | -2.99 | | 3 | 1.5064 | 1. 4776 | -2.88 | | 0 | 1.6324 | 1.6322 | -0. 02 | | 7 | 1.7525 | 1.732 | -2.05 | | 10 | 1. 7818 | 1. 8379 | 5.61 | | 1 5 | 1.9 ...

1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints - The adjustment of the bond market is nearing its end, and it is likely to shift from a volatile to a stronger state in September. The short - term bonds may maintain excellent performance due to the continuous loose capital situation, while the long - term and ultra - long - term bonds may see a downward space as the upward slope of the equity market slows down. The interest rate may show a "moderate downward trend" [2][77][78] - The current investment strategy remains cautiously optimistic. The upper limit of the 10 - year Treasury bond yield in this adjustment is estimated to be between 1.80% - 1.85%. In the short term, the idea of "shortening the portfolio duration + preferentially allocating old bonds" may improve the portfolio's winning rate [2][78] 3. Summary by Directory 3.1 Important Matters - From January to July, the profits of industrial enterprises above designated size decreased by 1.7% year - on - year, and the operating income increased by 2.3% year - on - year. State - owned enterprises were the main drag, while private and foreign - invested enterprises showed better profit repair [5] - The Shanghai headquarters of the central bank adjusted the pricing mechanism of commercial personal housing loan interest rates in Shanghai, no longer distinguishing between first - and second - home mortgages [6] - Trump announced the removal of Fed Governor Lisa Cook, and the legal outcome will affect the balance between the president's power over the Fed board and the central bank's independence [7] 3.2 Money Market 3.2.1 Open Market Operations and Fund Interest Rate Trends - From August 25 to 29, 2025, the central bank's net injection of funds through 7 - day reverse repurchase was 196.1 billion yuan. From September 1 to 5, 2025, 227.31 billion yuan of basic currency is expected to mature and be withdrawn [10] - After the tax payment and government bond payment peaks, with the central bank's care for liquidity, the inter - bank liquidity has become looser. As of August 29, 2025, compared with August 22, R001, R007, DR001, and DR007 changed by - 2.82BP, 3.32BP, - 8.27BP, and 4.89BP respectively [14] 3.2.2 Certificate of Deposit Interest Rate Trends and Repurchase Transaction Situations - In the primary market, commercial bank certificates of deposit continued to be in a net financing state, with a net financing scale of - 194.66 billion yuan last week. As of the 35th week of 2025, the cumulative issuance scale of certificates of deposit for the whole year has reached 22.58 trillion yuan [19] - The issuance interest rates of certificates of deposit increased last week. The average issuance interest rates of 3 - month and 1 - year certificates of deposit for state - owned banks, joint - stock banks, city commercial banks, and rural commercial banks changed to varying degrees compared with the previous week [22] - In the secondary market, most maturity certificate of deposit yields declined, and the 1Y - 3M term spread widened further [25] 3.3 Bond Market 3.3.1 Primary Market - From January to August, the net financing rhythm of local government bonds was faster than that of national bonds. As of August 29, 2025, the cumulative net financing scale of various national bonds was about 4.67 trillion yuan, and that of local bonds was about 5.75 trillion yuan [28] - Last week, national bonds were not issued, and the issuance scale of local bonds and policy - financial bonds was basically the same as the previous week. The net financing amount of interest - rate bonds was 56.268 billion yuan [27][31] - As of last week, the issuance scale of special refinancing bonds in 2025 had reached 1.94 trillion yuan, mainly in long - and ultra - long - term maturities [34] 3.3.2 Secondary Market - The stock - bond "see - saw" effect reappeared last week. The long - term interest rate was at a disadvantage, and the curve steepness increased. The 10 - year Treasury bond's second - most active bond switched to 250016, and the 10 - year CDB bond completed the bond replacement [27][37][42] - The 10 - 1 - year Treasury bond term spread widened to 46.81BP, and the 30 - 1 - year Treasury bond term spread widened to 76.77BP [44] - The 10 - year local bond - 10 - year Treasury bond yield spread and the 30 - year local bond - 30 - year Treasury bond yield spread both narrowed [49] 3.4 Institution Behavior Tracking - The scale of leveraged trading decreased last week, with a weekly average of about 7.07 trillion yuan. Funds, insurance, and securities firms were the main buyers in the bond market, while rural commercial banks were net sellers [50][57][62] - The main trading desks' current average cost of adding positions in 10 - year Treasury bonds is above 1.74% [63] - Commercial banks and insurance companies can obtain relatively higher returns by investing in local bonds [70] 3.5 High - Frequency Data Tracking - Last week, the settlement price of rebar futures decreased by 1.39% week - on - week, the settlement price of wire rod futures remained unchanged, the settlement price of cathode copper futures increased by 0.62%, the cement price index decreased by 0.74%, and the South China Glass Index increased by 0.77% [72] - The CCFI index decreased by 1.58% week - on - week, and the BDI index increased by 4.17% week - on - week [72] - The wholesale price of pork decreased by 0.80% week - on - week, and the wholesale price of vegetables increased by 2.07% week - on - week [72] - The settlement prices of Brent crude oil and WTI crude oil futures increased by 0.58% and 0.55% respectively week - on - week. The central parity rate of the US dollar against the RMB was 7.10 [72] 3.6 Market Outlook - The bond market may strengthen in September. The short - term bonds will benefit from the loose capital, and the long - term bonds may see a downward space as the equity market's upward slope slows down. The interest rate may show a moderate downward trend [77][78] - The current investment strategy is to shorten the portfolio duration and preferentially allocate old bonds, and specific trading varieties can consider 250011 and 2500002 [78]

Economic Indicators - In August, the manufacturing PMI, non-manufacturing business activity index, and comprehensive PMI output index were 49.4%, 50.3%, and 50.5%, respectively, showing a month-on-month increase of 0.1, 0.2, and 0.3 percentage points, indicating a continued expansion in the economic climate [1] Capital Market Developments - The China Securities Regulatory Commission (CSRC) held a seminar on the "14th Five-Year Plan" for the capital market, emphasizing the need for high-quality planning and implementation of the capital market to consolidate the recovery trend and enhance market attractiveness and inclusiveness [1] Precious Metals - Gold and silver prices continued to strengthen, influenced by market concerns over President Trump's attempts to challenge the independence of the Federal Reserve and expectations of a potential interest rate cut in September [2][18] - The U.S. inflation data showed a rebound, and geopolitical risks have eased, which may limit the upward movement of gold prices [18] Stock Indices - The U.S. stock indices experienced a decline, while the domestic market showed a significant increase in financing balance, indicating a potential for continued market recovery supported by loose liquidity and favorable policies [3][10] - The market is currently in a phase of "policy bottom + liquidity bottom + valuation bottom," suggesting a high probability of continued market performance, albeit with accelerated sector rotation and structural differentiation [10] Commodity Insights - The double coke futures showed weak performance, with a slight decrease in coking coal positions and stable iron water production, indicating resilient demand despite seasonal pressures [4][25] - The iron ore market remains supported by strong demand, although global shipments have recently decreased, leading to a potential supply-demand imbalance in the medium term [23] Fund Holdings - As of the end of June, the Central Huijin Investment Co. and its subsidiaries held a total of 1.28 trillion yuan in stock ETFs, marking an increase of nearly 23% compared to the end of the previous year [7]

Core Viewpoint - The bond market is experiencing low returns and high volatility, increasing the demand for tactical trading and selection skills. Investors are advised to focus on the spread compression opportunity of the new 30-year government bond [3][4]. Group 1: Bond Market Observations - The "stock-bond seesaw" effect has shown signs of desensitization, with stock and bond movements transitioning from "one rises while the other falls" to "synchronous fluctuations" [5][6]. - Institutional behavior has become more rational, with redemption pressures on fixed-income products not significantly worsening, indicating limited room for trading positions to reduce [6][7]. - Market logic is returning to fundamentals and policy expectations, with the central bank's liquidity support alleviating market sentiment [7]. Group 2: Equity Market Trends - The equity market remains in a trend-up phase, with the Shanghai Composite Index showing a "volume-based consolidation" rather than a "volume-declining downturn" [14][17]. - Short-term price pullbacks in a trend-up phase are often triggered by emotional disturbances or profit-taking, but core drivers such as policy expectations and liquidity remain unchanged [17]. - The current market structure indicates a rotation of funds between sectors, with low-valuation sectors like brokerage and real estate adjusting while growth sectors like solar and semiconductors remain active [17]. Group 3: 30-Year Government Bond Opportunities - The characteristics of bond asset returns have changed, with excess returns now relying on tactical trading strategies such as betting on rebounds and the convergence of new and old bond spreads [19][20]. - Investors are encouraged to focus on the spread compression opportunity of the new 30-year government bond, as its yield is currently at 2.135%, with a spread of 11.7 basis points compared to the active bond [20][21]. - As the new 30-year government bond gradually becomes an active bond, liquidity premiums are expected to rise, potentially leading to a "spread elimination" scenario [21].

Investment Highlights - The report identifies four phases of the A-share bull market: initiation (broad-based rally, policy support, and undervaluation), consolidation (differentiation, value blue chips), main rise (uptrend, technology growth + strategic themes), and peak (breakthrough, speculative bubbles + consumption) [4] - With macroeconomic conditions improving in July, including a rebound in M1, narrowing M2-M1 spread, and PPI bottoming out, there has been a significant influx of resident deposits into the market, supporting the main rise of A-shares [4][10] Phase Analysis 1. Preventive Savings and Bond Market Dominance - From August 2022 to August 2024, the bond market has been favored while A-shares experienced a downward trend due to economic weakness and low PPI and M1 [5][13] - The report notes a shift in resident behavior towards preventive savings, with a significant increase in prepayment of loans and a decline in market liquidity [25][27] 2. Normalization of Savings and Balance Between Stocks and Bonds - From September 2024 to June 2025, the report anticipates trading opportunities in bonds while A-shares will experience volatility as the economy stabilizes [40][41] - The normalization of savings is driven by low interest rates and an asset shortage, leading to a gradual recovery in risk appetite among residents [60][61] 3. Resident Deposits Entering the Market and A-share Main Rise - Since July 2025, the report highlights a shift towards equities while bonds adjust, with a notable increase in resident deposits entering the A-share market [73][74] - The correlation between M1 growth and A-share performance is emphasized, indicating that as M1 increases, so does the A-share index [75][77] Policy Environment - The report outlines a combination of monetary easing, fiscal support, and real estate policy adjustments aimed at stabilizing the economy and boosting market confidence [24][47] - Key policy measures include multiple rounds of interest rate cuts and adjustments to housing loan policies to stimulate the real estate market [23][51] Asset Performance - The bond market has shown a configuration advantage, with a shift towards bond-like assets such as REITs and high-dividend bank stocks as investors seek defensive positions [32][64] - The report indicates that the A-share market is currently favoring a "barbell strategy," with strong performance in both high-dividend sectors and growth-oriented stocks [71][72]

国债期货日报 | 2025-08-29 股债跷跷板效应强烈，国债期货全线收跌 市场分析 宏观面：（1）宏观政策：7月政治局会议明确提出要落实落细更加积极的财政政策和适度宽松的货币政策，依法依 规治理企业无序竞争，积极稳妥化解地方政府债务风险，严禁新增隐性债务等一些列政策指引；2025年8月1日， 财政部与税务总局发布公告称，自2025年8月8日起，对在该日及以后新发行的国债、地方政府债券和金融债券的 利息收入将恢复征收增值税。此前已发行的上述债券（包括8月8日后续发行的部分）仍享受免征增值税政策，直 至到期。（2）通胀：7月CPI同比持平。 资金面：（3）财政：2025年7月金融数据显示，M1、M2同比增速分别回升至5.6%和8.8%，剪刀差收窄至3.2%，表 明流动性充裕、企业活期资金活跃度提升，但信贷派生效率偏弱，居民与企业中长期贷款持续收缩，投资和消费 需求不足。社融存量同比仅9%，结构上主要依赖政府债券发行加杠杆托底，企业中长期融资需求依然低迷，大量 资金流向非银机构。利率品市场呈现政府债供给显著增加、机构被动增配的格局，后续走势取决于实体融资需求 修复及财政发行节奏。（4）央行：2025-08-28 ...