Report Industry Investment Rating No relevant content provided. Core Viewpoints - Recent risk preference recovery has suppressed the bond market, and the Fed's interest rate cut expectations and rising global trade uncertainty have increased the uncertainty of foreign capital inflows [3]. - Overall, the bond market fluctuates between stable growth and easing expectations, and short - term attention should be paid to policy signals at the end of the month [3]. Summary by Directory I. Interest Rate Pricing Tracking Indicators - Price indicators: China's CPI (monthly) has a 0.40% month - on - month increase and 0.00% year - on - year change; China's PPI (monthly) has a - 0.20% month - on - month decrease and - 3.60% year - on - year change [9]. - Monthly economic indicators: Social financing scale is 431.26 trillion yuan, with a month - on - month increase of 1.04 trillion yuan (+0.24%); M2 year - on - year is 8.80%, with a month - on - month increase of 0.50% (+6.02%); Manufacturing PMI is 49.40%, with a month - on - month increase of 0.10% (+0.20%) [9]. - Daily economic indicators: The US dollar index is 97.76, with a day - on - day increase of 0.31 (+0.32%); The US dollar against the offshore RMB is 7.1187, with a day - on - day decrease of 0.012 (-0.17%); SHIBOR 7 - day is 1.47, with a day - on - day increase of 0.03 (+2.02%); DR007 is 1.48, with a day - on - day increase of 0.03 (+1.83%); R007 is 1.51, with a day - on - day decrease of 0.05 (-3.26%); The 3 - month inter - bank certificate of deposit (AAA) is 1.57, with a day - on - day increase of 0.01 (+0.51%); The AA - AAA credit spread (1Y) is 0.09, with a day - on - day increase of 0.00 (+0.51%) [10]. II. Overview of the Treasury Bond and Treasury Bond Futures Market - On September 9, 2025, the closing prices of TS, TF, T, and TL were 102.38 yuan, 105.57 yuan, 107.78 yuan, and 115.72 yuan respectively, with price changes of - 0.02%, - 0.01%, - 0.06%, and - 0.22% [3]. - The average net basis spreads of TS, TF, T, and TL were - 0.014 yuan, 0.003 yuan, 0.212 yuan, and - 0.172 yuan respectively [3]. III. Overview of the Money Market Fundamentals - In July 2025, the year - on - year growth rates of M1 and M2 rebounded to 5.6% and 8.8% respectively, and the gap narrowed to 3.2%, indicating abundant liquidity and increased activity of corporate current funds, but weak credit derivative efficiency, continuous contraction of long - term loans of residents and enterprises, and insufficient investment and consumption demand [2]. - On September 9, 2025, the central bank conducted a 247 - billion - yuan 7 - day reverse repurchase operation at a fixed interest rate of 1.4% [2]. - The main term repurchase rates of 1D, 7D, 14D, and 1M were 1.419%, 1.467%, 1.500%, and 1.522% respectively, and the repurchase rates have recently rebounded [2]. IV. Spread Overview - The report provides multiple spread - related figures, including the inter - period spread trends of various treasury bond futures varieties and the term spread between spot bonds and cross - variety spreads of futures [31][35][36]. V. Two - Year Treasury Bond Futures - The report presents figures related to the implied interest rate of the two - year treasury bond futures main contract and the treasury bond maturity yield, the IRR of the TS main contract and the capital interest rate, and the three - year basis spread and net basis spread trends of the TS main contract [38][41][48]. VI. Five - Year Treasury Bond Futures - The report provides figures on the implied interest rate of the five - year treasury bond futures main contract and the treasury bond maturity yield, the IRR of the TF main contract and the capital interest rate, and the three - year basis spread and net basis spread trends of the TF main contract [50][54]. VII. Ten - Year Treasury Bond Futures - The report includes figures on the implied yield of the ten - year treasury bond futures main contract and the treasury bond maturity yield, the IRR of the T main contract and the capital interest rate, and the three - year basis spread and net basis spread trends of the T main contract [57][60][58]. VIII. Thirty - Year Treasury Bond Futures - The report shows figures related to the implied yield of the thirty - year treasury bond futures main contract and the treasury bond maturity yield, the IRR of the TL main contract and the capital interest rate, and the three - year basis spread and net basis spread trends of the TL main contract [64][70]. Strategies - Unilateral: As the repurchase rate rebounds and the treasury bond futures price fluctuates, it is recommended to short at high levels for the 2512 contract [4]. - Arbitrage: Pay attention to the decline of the 2512 basis spread [4]. - Hedging: There is medium - term adjustment pressure, and short - side investors can moderately hedge with far - month contracts [4].

Group 1: Open Market Operations - The central bank announced a reverse repurchase operation of 229.1 billion yuan for 7 days at a fixed rate of 1.40% on September 3, with a total bid amount of 229.1 billion yuan and a successful bid amount of 229.1 billion yuan. On the same day, 379.9 billion yuan of reverse repos matured, resulting in a net withdrawal of 150.8 billion yuan [1]. Group 2: Funding Conditions - Continuous net withdrawals by the central bank do not hinder the gradual easing of the interbank funding market at the beginning of the month. The overnight repurchase rate for deposit-taking institutions slightly decreased, remaining around 1.31%. The overnight quotes in the anonymous click (X-repo) system stayed unchanged at 1.30%, with supply around 100 billion yuan. Non-bank institutions borrowed overnight using certificates of deposit and credit bonds as collateral, with the latest quotes around 1.4%, slightly down from the previous day, while the 7-day rate concentrated around 1.45% [3]. Group 3: Interbank Certificates of Deposit - The latest transaction rate for one-year interbank certificates of deposit among major banks is around 1.66%, remaining basically unchanged from the previous day [8]. Group 4: Bond Market Overview - The yields on major interbank bonds mostly declined. The yields for various government bonds are as follows: - 1Y: 1.3650% - 2Y: 1.3775% - 5Y: 1.5860% - 10Y: 1.7500% - 30Y: 1.9990% [10]. Group 5: Recent Treasury Auctions - The Ministry of Finance's weighted average yields for 63-day, 91-day, and 182-day treasury bonds were 1.2018%, 1.2352%, and 1.3101%, respectively, with bid-to-cover ratios of 3.08, 2.84, and 2.36 [15]. Group 6: Global Macro Insights - According to the latest forecast from South Korea's Ministry of Strategy and Finance, the debt-to-GDP ratio is expected to rise from 49.1% this year to 51.6% by 2026, and further to 58% by 2029. The ministry warns that without structural reforms, a fiscal crisis may occur [17].

Report Title - "The Arduous Waiting Period: A New Balance in the Bond Market under the Asset Allocation Mainline - Outlook for the Bond Market in September 2025" [1] Report Date - September 3, 2025 [2] Report Industry Investment Rating - Not provided Core Viewpoints - Since 2022, the transmission from broad credit to the fundamentals seems to be weakening. The stock - bond seesaw effect since 2025 may be driven by new logic: anti - involution has reversed the macro narrative since 2024, and the rise of the stock market and the improvement of expectations reinforce each other [5][108][165] - The stock - bond seesaw is just an appearance. The deeper reason is that in a low - interest - rate environment, residents' asset allocation behavior has changed substantially. Deposits and pure bonds have entered a low - return range, and funds are seeking more cost - effective alternative assets, increasing the demand for stock - bond hybrid products [8][113][165] - In 2025, the supply of long - duration government bonds has increased more significantly, leading to an imbalance between supply and demand and a steeper term spread [8][132][165] - Currently, the core issue is the lack of continuous buying power from allocation players, and trading players are mainly engaged in speculation [7][165] Summary by Directory 1. Analysis of the Bond Market Trend from January to Date and Its Macroeconomic Logic - **2025 Q1**: Tight funds and prominent bank liability pressure led to a bond market correction [16] - **2025 Q2**: Repeated tariff expectations, along with potential reserve requirement ratio and interest rate cuts, caused yields to decline rapidly to a low level and then fluctuate [18] - **2025 July - August**: Anti - involution expectations, the stock - bond seesaw effect, and fund diversion led to a bond market correction. In August, the term spread of treasury bonds expanded, and the duration strategy began to collapse. The credit spreads of secondary perpetual bonds and medium - term notes first increased and then decreased [20][22][27] - **Summary**: Since the beginning of the year, long - term interest rates have repeatedly attempted to break through previous lows but failed, and the interest rate bottom has been rising (the bond YTM has shown an arc - bottom pattern since the beginning of the year) [4][39][48] 2. Understanding the Deviation among Funds, Certificates of Deposit (CDs), and the Bond Market - **6 - 8 months**: Overall, funds were loose to support bond issuance, stabilize the economy, and hedge the impact of the stock market on the bond market. After the double cuts in May, the central bank's medium - and long - term liquidity net injection from January to August 2025 totaled 3.98 trillion yuan, significantly exceeding historical levels [52][55][100] - **September**: Both medium - and long - term liquidity and CD maturities are high. The first ten days may be an important window to observe the central bank's attitude. The central bank may conduct 3 - month outright reverse repurchases to hedge [68][98][100] - **Deviation since July**: Funds have been loose, but CD prices have remained rigid. The CD price has a seasonal pattern of bottoming out and rising in the third quarter. Rising stock market trading activity, increased net supply of government bonds, and other factors have contributed to this situation [69][88][95] - **CD Pressure Relief**: Focus on whether the central bank conducts 3 - month outright reverse repurchases in early September. Consider whether there will be another double cut around the beginning of the fourth quarter to relieve economic and bank liability pressure [98][100] 3. Revisiting Deposit Transfer and Fund Diversion Effects - **Traditional Logic of the Stock - Bond Seesaw**: In most periods, stocks and bonds show a seesaw relationship. The driving logic is the transmission from broad money to broad credit, with expectations of fundamental improvement leading to a rising stock market, rising interest rates, and narrowing credit spreads [103] - **Resident Wealth Transfer**: It is a stock logic. In a low - interest - rate environment, residents are re - allocating assets. The main destinations of deposit diversion in recent years are likely wealth management and insurance. Residents' direct entry into the stock market may still be in the early stage [109][113][120] - **Stock and Bond Financing Comparison**: In 2024, the supply and demand of stocks were weak, while in 2025, supply increased marginally, but demand increased more significantly. In 2024, the supply of bonds was large and demand was strong, but in 2025, supply continued to increase significantly while demand weakened [132][135][139] - **Role of Allocation Players**: Insurance companies have a weaker preference for the bond market and are more interested in high - dividend assets. They are waiting for better prices in the bond market. Rural commercial banks' bond - buying power has weakened, and the bond investment scale of some accounts has shrunk [140][147][154] - **Role of Trading Players**: Since July 2025, wealth management products have been the main buyers during the bond market adjustment, indicating that the liability side of wealth management may still be stable. Pure bond funds have performed poorly this year and have faced continuous redemption pressure [155][159][163] 4. How Much Risk Has the Bond Market Released? - **Adjustment since July**: The adjustment of long - term interest rates is due to the impact of anti - involution expectations on the bond market and the stock - bond re - balance caused by fund diversion. The widening of the term spread is essentially a correction of pessimistic expectations [12] - **Future Risks to Watch**: Expectations of rising inflation, instability of the liability side of wealth management and funds, and the impact of redemptions [12] - **Indicators to Monitor**: The trend of CDs, the entry strength of allocation players, and the performance of credit spreads. The bond market is still under pressure, and a cautious view is maintained. In September, the bond market may continue to be in an arduous waiting period, and attention should be paid to the structural widening pressure of credit spreads [11][12][100]

Investment Rating - The report does not explicitly provide an investment rating for the industry [3]. Core Insights - The new trust registration regulations are expected to impact approximately 1.82 trillion yuan of non-standard financial products, as the new standards will restrict the pre-registration of trust plans with a single financing party [4][11]. - The recent half-year reports from banks reveal a divergence in performance within the wealth management sector, with some institutions experiencing a growth rate of up to 17% in their existing product scales [4][12]. - The cash management products recorded a 7-day annualized yield of 1.31%, remaining stable compared to the previous week, while money market funds saw a slight decline to 1.19% [5][13]. - The overall bond market remains in a fluctuating state, with short-term rates supported by the central bank's liquidity measures, while long-term rates face pressure from external factors such as U.S. Federal Reserve interest rate expectations [5][16]. - The bank wealth management product's net loss rate decreased to 2.11%, down by 0.94 percentage points, indicating a slight improvement in the market sentiment [6][21]. Summary by Sections Regulatory and Industry Dynamics - The implementation of new trust registration standards is set to affect the structure of wealth management products, pushing banks to shift from a "one-to-one" non-standard channel model to a "composite investment" approach for better risk diversification [4][11]. - The performance of wealth management businesses is becoming increasingly polarized, with banks that have established wealth management subsidiaries showing positive growth, while those without are facing contraction [4][12]. Yield Performance - Cash management products maintained a 7-day annualized yield of 1.31%, while money market funds decreased slightly to 1.19%, resulting in a yield differential of 0.13% [5][13]. - Various fixed-income products have shown a rebound in annualized yields, reflecting the ongoing adjustments in the bond market [5][16]. Net Loss Rate Tracking - The net loss rate for bank wealth management products is currently at 2.11%, indicating a decrease and suggesting a potential stabilization in the market [6][21].

Report Industry Investment Rating No relevant content provided. Core View of the Report The bond market is suppressed by the rising risk appetite driven by the strong stock market. The expectation of the Fed's interest rate cut and the increasing global trade uncertainty add to the uncertainty of foreign capital inflows. Overall, the bond market fluctuates between the expectations of stable growth and monetary easing. Short - term attention should be paid to the policy signals at the end of the month [1][3]. Summary According to the Directory I. Interest Rate Pricing Tracking Indicators - China's CPI (monthly) has a 0.40% month - on - month increase and 0.00% year - on - year change; China's PPI (monthly) has a - 0.20% month - on - month decrease and - 3.60% year - on - year change [9]. - Social financing scale is 431.26 trillion yuan, with a month - on - month increase of 1.04 trillion yuan (+0.24%); M2 year - on - year is 8.80%, with a month - on - month increase of 0.50% (+6.02%); Manufacturing PMI is 49.40%, with a month - on - month increase of 0.10% (+0.20%) [9]. - The US dollar index is 98.32, with a day - on - day increase of 0.63 (+0.64%); The US dollar against the offshore RMB is 7.1402, with a day - on - day increase of 0.012 (+0.17%); SHIBOR 7 - day is 1.43, with a day - on - day decrease of 0.01 (-0.49%); DR007 is 1.44, with a day - on - day decrease of 0.01 (-0.55%); R007 is 1.67, with a day - on - day decrease of 0.26 (-13.67%); The inter - bank certificate of deposit (AAA) 3M is 1.55, with a day - on - day increase of 0.01 (+0.36%); AA - AAA credit spread (1Y) is 0.09, with a day - on - day increase of 0.00 (+0.36%) [9]. II. Overview of the Treasury Bond and Treasury Bond Futures Market - Relevant figures include the closing price trend of the main continuous contracts of treasury bond futures, the price change rate of each treasury bond futures variety, the precipitation funds trend of each treasury bond futures variety, the position ratio of each treasury bond futures variety, the net position ratio of the top 20 in each treasury bond futures variety, the long - short position ratio of the top 20 in each treasury bond futures variety, the spread between the state - owned development bonds and treasury bonds, and the issuance of treasury bonds [12][13][21]. III. Overview of the Money Market Funding Situation - Relevant figures include the Shibor interest rate trend, the maturity yield trend of inter - bank certificates of deposit (AAA), the trading statistics of inter - bank pledged repurchase, and the issuance of local bonds [24][30]. IV. Spread Overview - Relevant figures include the inter - period spread trend of each treasury bond futures variety, the term spread of spot bonds and the cross - variety spread of futures (4*TS - T), (2*TS - TF), (2*TF - T), (3*T - TL), (2*TS - 3*TF + T) [27][32][33]. V. Two - Year Treasury Bond Futures - Relevant figures include the implied interest rate of the main contract of two - year treasury bond futures and the maturity yield of treasury bonds, the IRR of the TS main contract and the funding rate, the three - year basis trend of the TS main contract, and the three - year net basis trend of the TS main contract [35][38][45]. VI. Five - Year Treasury Bond Futures - Relevant figures include the implied interest rate of the main contract of five - year treasury bond futures and the maturity yield of treasury bonds, the IRR of the TF main contract and the funding rate, the three - year basis trend of the TF main contract, and the three - year net basis trend of the TF main contract [47][53]. VII. Ten - Year Treasury Bond Futures - Relevant figures include the implied yield of the main contract of ten - year treasury bond futures and the maturity yield of treasury bonds, the IRR of the T main contract and the funding rate, the three - year basis trend of the T main contract, and the three - year net basis trend of the T main contract [54][55][58]. VIII. Thirty - Year Treasury Bond Futures - Relevant figures include the three - year basis trend of the TL main contract and the three - year net basis trend of the TL main contract [62].

Report Overview - Report Title: Treasury Bond Daily Report - Date: September 3, 2025 - Industry: Treasury Bond 1. Report Industry Investment Rating No relevant content provided. 2. Report's Core View - In August, there were no significant changes in the bond market's fundamentals and policies, and the stock - bond seesaw was the main reason for the bond market adjustment. In September, the factors suppressing the bond market may ease, but incremental positive factors are still limited. The bond market has become gradually insensitive to the stock market since late August, and as the fastest - growing phase of the stock market may have passed, the stock market's suppression on the bond market may further ease. However, from a calendar effect perspective, the bond market has performed poorly in September since 2019, mainly due to government bond issuance peaks and the intensification of broad - credit policies. This year, the supply - side disturbance is weaker than in previous years, but the risk lies in the possible further intensification of broad - credit policies, and it is still difficult for broad - monetary policies to be implemented. Overall, the suppression of the bond market may ease, but it still lacks a breakthrough, and investors need to be patient and wait for better allocation value [11][12]. 3. Summary by Directory 3.1 Market Review and Operation Suggestions - **Market Performance** - The A - share market adjusted, but the bond market sentiment remained cautious. Treasury bond futures fluctuated downward and closed lower across the board. The yields of major inter - bank interest - rate bonds changed within a narrow range, mostly within 1bp. By 16:30, the yield of the 10 - year active treasury bond 250011 was reported at 1.768%, down 0.05bp [8][9]. - At the beginning of the month, the central bank continued to withdraw funds, and the money market tightened marginally. There were 4058 billion yuan of reverse repurchases due, and the central bank conducted 2557 billion yuan of reverse repurchase operations, resulting in a net withdrawal of 1501 billion yuan. The inter - bank money market sentiment index rose slightly, short - term money market rates mostly changed within a narrow range, the weighted overnight rate of inter - bank deposits fluctuated around 1.31%, the 7 - day rate fell about 0.8bp to 1.44%, medium - and long - term funds remained stable, and the 1 - year AAA certificate of deposit rate remained around 1.63% [10]. - **Conclusion** - The bond market's fundamentals and policies in August did not change significantly, and the stock - bond seesaw was the main reason for the bond market adjustment. In September, the factors suppressing the bond market may ease, but there are still limited incremental positive factors. The suppression of the stock market on the bond market may further ease, but from a calendar effect perspective, the bond market has performed poorly in September since 2019. This year, the supply - side disturbance is weaker than in previous years, but the risk lies in the possible further intensification of broad - credit policies, and broad - monetary policies are still difficult to implement. Overall, the bond market suppression may ease, but it still lacks a breakthrough, and investors need to be patient [11][12]. 3.2 Industry News - As of the end of July this year, the bond market custody balance reached 190.4 trillion yuan, breaking through the 190 - trillion - yuan mark for the first time, setting a new historical high, which is a significant sign of the in - depth development of China's financial market and releases three positive signals: continuous increase in the direct financing scale of the real economy, more diversified asset allocation of financial institutions, and further enrichment of residents' asset allocation methods [13]. - The Implementation Plan for the Fiscal Interest Subsidy Policy for Personal Consumption Loans was officially implemented on September 1. Participating pilot banks and other institutions officially accepted subsidy application. Some bank executives were optimistic about the impact of the consumption credit subsidy policy during the interim results season, and credit card installment business is not within the scope of subsidy [13]. - Many banks announced that the commercial personal housing loan interest rates in Shanghai no longer distinguish between first - home and second - home loans. After the adjustment, the minimum interest rate for new first - home loans in Shanghai is 3.05%, and the minimum interest rate for new second - home loans is 3.09%. Second - home mortgage loans with an interest rate higher than 3.36% can be lowered to 3.36% [13]. - The inter - bank lending center and the Shanghai Clearing House optimized the clearing mechanism for general repurchase transactions in the inter - bank bond market. The scope of participants was expanded to legal entities of deposit - taking financial institutions, and the scope of eligible collateral bonds was expanded to include non - financial corporate debt financing instruments issued by state - owned enterprise - managed industrial companies and high - quality private enterprises, as well as bonds issued by high - quality international development institutions [14]. - With the central bank maintaining a relatively loose attitude towards liquidity, market institutions expect that with the acceleration of fiscal expenditures, liquidity in September is expected to remain reasonably abundant, and fluctuations may mainly occur during periods of concentrated government bond issuance, if the stock market strengthens and causes increased concerns in the bond market, and in the last week of the quarter [14]. 3.3 Data Overview - **Treasury Bond Futures Market** - The report provides trading data for various treasury bond futures contracts on September 2, including opening price, closing price, settlement price, price change, percentage change, trading volume, open interest, and change in open interest [6]. - It also mentions the inter - term spreads of the main treasury bond futures contracts and the inter - variety spreads among 2 - year, 30 - year, 10 - year, and 5 - year contracts, as well as the trends of the main treasury bond futures contracts [16][20]. - **Money Market** - The report shows the term - structure changes and trends of SHIBOR, as well as the changes in the weighted inter - bank pledged repurchase rate and the inter - bank deposit pledged repurchase rate [30][34]. - **Derivatives Market** - The report presents the Shibor3M interest - rate swap fixing curve (mean) and the FR007 interest - rate swap fixing curve (mean) [36].

Group 1: Open Market Operations - The central bank announced a 7-day reverse repurchase operation of 255.7 billion yuan at a fixed rate of 1.40% on September 2, with a total bid amount of 255.7 billion yuan and a successful bid amount of 255.7 billion yuan [1] - On the same day, 405.8 billion yuan of reverse repos matured, resulting in a net withdrawal of 150.1 billion yuan [1] Group 2: Funding Conditions - The central bank's reverse repos continued to net withdraw, maintaining an overall balanced funding condition in the interbank market, with overnight repurchase rates for deposit institutions slightly rising to around 1.31% [3] - The latest overnight financing rate in the U.S. was reported at 4.34% [3] Group 3: Interbank Certificates of Deposit - The latest transaction rate for one-year interbank certificates of deposit was approximately 1.66%, showing a slight decrease from the previous day [10] Group 4: Bond Market Overview - The yields on major interbank bonds mostly declined, with the 30-year main contract down by 0.18%, the 10-year down by 0.03%, the 5-year down by 0.02%, and the 2-year down by 0.02% [14] Group 5: Government Debt Issuance - The Ministry of Finance announced the issuance of 20 billion yuan in 63-day and 30 billion yuan in 91-day discount treasury bonds on September 3 [19] - Agricultural Development Bank will issue up to 32.5 billion yuan in financial bonds on the same day [19] Group 6: Global Macro Insights - The Deputy Governor of the Bank of Japan commented on the appropriateness of recent Japanese government bond yield movements, suggesting that a predictable reduction in bond purchases is suitable [17] - The European Central Bank's Executive Board member stated there is no reason for further rate cuts, indicating that rates are already moderately accommodative [18]

1. Report Industry Investment Rating - There is no information provided regarding the report industry investment rating. 2. Core Viewpoints of the Report - The capital market is a crucial hub in the macro - economy, connecting monetary policy, financial markets, and the real economy. Analyzing the capital market helps reflect the financing environment, assist in pricing regulation, and provide early - warning of risks [4]. - The capital market is a key driver of the bond market's trend. Its tightness, structural changes, and related policies affect the bond market from aspects such as supply - demand, yield, and investor expectations. Different capital environments require corresponding adjustments to bond market investment strategies [5]. - This year, China's economy has shown a moderate recovery. Monetary policy has maintained a moderately loose tone but with dynamic adjustments. The bond market has shown high volatility along with the capital market and multiple factors. In the future, official statements indicate a caring attitude towards the capital market, and liquidity is expected to remain reasonably abundant to support the bond market, but the scope for further loosening may be limited [5]. 3. Summary According to the Table of Contents 3.1 What is the Capital Market? - The capital market is a key link in the macro - economic system, comprehensively reflecting the total supply - demand relationship of funds. It can be understood from narrow and broad perspectives, and the two are linked through the "finance - real economy" cycle [10]. - The capital market reflects the transmission effect of monetary policy from the financial system to the real economy, forms the pricing basis for assets, is an important indicator for observing the real - economy financing environment, and affects market risk preference and systemic risks [14][15]. 3.2 Capital Market Analysis Framework 3.2.1 Supply and Demand Perspective - Supply involves policy - driven liquidity injection and credit creation. The central bank injects base money into the banking system through policy tools, and the banking system creates broad money through credit creation [19][20][23]. - Demand is related to various economic entities. The financing activities of the private sector, financial markets, and the government jointly determine the total scale and structural characteristics of capital demand [24]. 3.2.2 Policy Perspective - Monetary policy is the core driver of capital supply and demand. Its goals determine the direction of capital market changes, and a variety of policy tools precisely regulate the total amount and structure of capital to achieve dynamic balance [26]. - The transmission effect of monetary policy on the capital market can be understood from the supply and demand sides. On the supply side, it affects the total amount of bank - system funds and credit creation; on the demand side, it affects the real - economy's financing demand and expectations [31]. 3.2.3 Tracking Indicators - Quantity indicators focus on the total amount of circulating funds in the market, including base money scale, broad money supply, social financing scale, and bank - system liquidity level [32]. - Price indicators reflect changes in capital supply - demand and costs, mainly tracking different interest rates. The differences between different interest rates can also convey structural signals [41][42]. - Quantity and price indicators are inter - related, and special time points, affected by seasonal and policy factors, are also important dimensions for analyzing capital supply - demand changes [48][49]. 3.3 Capital Market and Bond Market 3.3.1 How the Capital Market Affects the Bond Market - The tightness of the capital market directly affects the supply - demand and pricing of the bond market; structural changes in the capital market cause differentiation within the bond market; and related regulatory policies affect market expectations of the bond market [54]. - Historically, the cyclical fluctuations of the bond market have been closely related to changes in the capital market. For example, in 2013, a tightened capital market triggered bond - market risks; in 2016, financial de - leveraging led to a downward adjustment in the bond market [55]. 3.3.2 Bond Market Strategies Adjusted According to Capital Tightness - In a loose capital environment, long - term interest - rate bonds and high - grade credit bonds can be increased, and leverage can be moderately added; in a tight capital environment, the duration should be shortened, and leverage should be reduced [57]. 3.4 Summary and Outlook 3.4.1 Fluctuations in the Bond Market and Capital Market Due to Multiple Factors - The capital market has evolved from a tight - balance to a moderately loose state. The bond market has shown high volatility this year, with downward adjustments in the early stage, a shock - recovery in the middle, and increased fluctuations in the policy observation period [64][72][73]. 3.4.2 Expected Reasonable and Abundant Liquidity - Official statements indicate a caring attitude towards the capital market, and liquidity is expected to remain reasonably abundant to support the bond market. However, the scope for further loosening of the capital market may be limited [77].

Core Viewpoint - The 30-year Treasury ETF (511090) has reached a record high in both scale and shares, indicating strong investor interest and liquidity in the bond market despite potential challenges ahead [4][5]. Group 1: Market Performance - As of September 2, 2025, the 30-year Treasury ETF has increased by 0.10%, with the latest price at 120.74 yuan [4]. - The average daily trading volume for the ETF has been 10.593 billion yuan over the past week, with a total trading volume of 5.62 billion yuan on September 2 [4]. - The ETF's latest scale has reached 30.182 billion yuan, marking a new high since its inception [4]. Group 2: Fund Inflows and Investor Sentiment - The 30-year Treasury ETF has seen a net inflow of 252 million yuan recently, with a total of 1.352 billion yuan net inflow over the last five trading days [4]. - Analysts suggest that while the bond market may face headwinds, there are still investment opportunities available [5]. Group 3: Economic Outlook - The macroeconomic policy is shifting towards a "fiscal-led, monetary-supported" framework, which may lead to increased volatility in the bond market [5]. - The bond market is expected to enter a phase of central oscillation with increasing volatility, influenced by future fiscal measures and inflation fluctuations [5]. Group 4: Index Tracking - The 30-year Treasury ETF closely tracks the China Bond 30-Year Treasury Index, which consists of publicly issued 30-year treasury bonds [5].

Report Industry Investment Rating - The report does not explicitly provide an investment rating for the industry. Core Viewpoints - In August, the three major PMI indices showed marginal improvements, but the manufacturing PMI remained below the boom-bust line. The overall expansion of enterprise production and business activities accelerated slightly, and the endogenous economic momentum continued to improve. However, the manufacturing PMI still needed continuous repair, and there was a risk of increased economic downward pressure in the second half of the year. Short-term bond markets might be suppressed by sentiment, but the bond market was expected to rise in September [2]. Summary by Related Content Manufacturing PMI - In August, the manufacturing PMI rose 0.1 pct month-on-month to 49.4%, staying below the boom-bust line for five consecutive months. The production and demand-related indices improved, and the price indices continued to rise, though the marginal increase weakened. The PMI of consumer goods industries decreased by 0.3 pct to 49.2%. The new export orders index and the import index were 47.2% and 48.0% respectively, up 0.1 pct and 0.2 pct month-on-month, indicating a possible improvement in foreign trade [2]. - The business climate of different types of enterprises continued to diverge. The PMIs of large and small enterprises increased by 0.5 pct and 0.2 pct respectively, reaching 50.8% and 46.6%. The small enterprises had been in the contraction range for 16 consecutive months. The PMI of medium-sized enterprises dropped 0.6 pct to 48.9% [2]. Non - manufacturing PMI - In August, the non-manufacturing business activity index was 50.3%, up 0.2 pct month-on-month. The non-manufacturing business climate had been at or above the critical point since January 2023, remaining relatively stable. The construction business activity index was 49.1%, down 1.5 pct month-on-month, possibly due to natural factors such as high temperatures and heavy rains. The service business activity index was 50.5%, up 0.5 pct month-on-month, reaching the highest value this year. The business activity expectation index remained at a relatively high level of 57.0%, up 0.4 pct month-on-month, indicating that enterprises were optimistic about the market outlook in September [2]. Economic Outlook and Bond Market - The economic negative cycle of "plummeting housing prices, plummeting stock markets - shrinking wealth - consumption downgrade" in the past two years might come to an end. However, there was still pressure on profit improvement, and the manufacturing PMI below the boom-bust line in August reflected growth pressure. Consumption and exports might face certain pressures in the second half of the year [2]. - The short-term bond market might be suppressed by sentiment, but the bond market was expected to rise in September. The economic downward pressure in the second half of the year might increase, and the central bank's continuous easing and banks' self - operated allocation needs provided support. After September, the net issuance of government bonds was expected to be no more than 25% of the annual plan, and the interest rate bonds might have a repair window. The report continued to be bullish on the 10Y treasury bond yield in the second half of the year, which was expected to be between 1.6% - 1.8%, and the 10Y treasury bond was considered to have high cost - effectiveness at around 1.8%. It was expected that the 10Y treasury bond yield would return to around 1.65% in the next six months, and the 5Y secondary capital bonds of state - owned and joint - stock banks would fall below 1.9% [2].