Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - The short - term, medium - term, and overall view of TL2512 is 'oscillation', with an intraday view of 'oscillation on the weak side'. The core logic is that the long - and medium - term expectation of interest rate cuts still exists, but the possibility of a short - term comprehensive interest rate cut is low [1]. - For the TL, T, TF, and TS varieties, the intraday view is 'oscillation on the weak side', the medium - term view is 'oscillation', and the overall reference view is 'oscillation'. The short - term trend of treasury bond futures is mainly low - level oscillation and consolidation [5]. 3. Summary by Related Catalogs Variety Viewpoint Reference - Financial Futures Stock Index Sector - For the TL2512 variety, the short - term view is 'oscillation', the medium - term view is 'oscillation', the intraday view is 'oscillation on the weak side', and the overall view is 'oscillation'. The core logic is that the long - and medium - term expectation of interest rate cuts still exists, but the short - term possibility of a comprehensive interest rate cut is low [1]. Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - Treasury bond futures continued the oscillatory consolidation trend yesterday. The newly released credit data was weak, increasing the market's expectation of loose policies in the fourth quarter, which is beneficial to treasury bonds [5]. - Treasury bond futures are mainly affected by monetary policy expectations and the risk appetite of the stock market. In the long - term, the expectation of interest rate cuts still exists, but in the short - term, the upward momentum of treasury bond futures is not strong due to the low necessity of a comprehensive interest rate cut [5]. - In August, inflation was weak, the credit demand of the real sector was weak, and the consumption growth rate slowed down marginally. The policy side will continue to introduce policies to stabilize demand, and it is expected that monetary and fiscal policies will work together in the fourth quarter [5]. - The risk appetite of the stock market is at a high level, siphoning off bond - purchasing funds and suppressing the demand side of treasury bonds. The year - on - year increase in non - bank deposit data in July and August indicates the stock - bond seesaw effect [5]. - In the short - term, treasury bond futures will mainly be in low - level oscillatory consolidation [5].

Core Viewpoint - The A-share market has been rising since the third quarter, while the bond market is experiencing a continuous adjustment, with nearly 70% of pure bond funds showing negative returns in the past month [1][3]. Market Performance - As of September 15, the Shanghai Composite Index has increased by 12.08%, while the Shenzhen Component Index and the ChiNext Index have risen by 24.28% and 42.41%, respectively [3]. - The yield on the 10-year government bond has risen from 1.6553% on June 30 to 1.8615% by September 15, an increase of over 20 basis points [3]. Fund Performance - Among 4,329 pure bond funds, 3,015 have reported negative returns in the past month, accounting for nearly 70% [3]. - Over 22% of pure bond funds have negative returns year-to-date, with 914 funds showing losses [3]. Monetary Policy and Market Outlook - The People's Bank of China (PBOC) conducted a 280 billion yuan reverse repurchase operation at a rate of 1.4% on September 15, indicating a continued effort to support market liquidity [4]. - Analysts suggest that if the U.S. Federal Reserve announces a rate cut, it could narrow the interest rate differential between China and the U.S., potentially leading to a more accommodative monetary policy in China [5]. Diverging Opinions on Future Trends - Some analysts believe the bond market may see a rebound due to reduced selling pressure and seasonal liquidity support from the PBOC [5]. - Conversely, other experts caution that the bond market remains in a weak phase driven by fragile sentiment, making it difficult to predict future trends accurately [6][7].

Report Summary 1. Investment Rating - No investment rating for the industry is provided in the report. 2. Core View - Today, treasury bond futures continued to trade in a sideways consolidation pattern. The latest credit data was weak, increasing market expectations for easing policies in Q4, which is positive for treasury bonds. Currently, treasury bond futures are mainly influenced by monetary policy expectations and the risk appetite of the stock market. In the medium to long term, there are still expectations of interest rate cuts, but in the short term, the need for a comprehensive interest rate cut is not high, resulting in limited upward momentum for treasury bond futures. In August, inflation was weak, credit demand from the real - sector was low, and the growth rate of consumption slowed marginally. Subsequently, the policy side will continue to introduce policies to stabilize demand. It is expected that monetary and fiscal policies will work together in Q4. On the other hand, the risk appetite of the stock market is at a high level, diverting funds from bond purchases and suppressing the demand side of treasury bonds. The year - on - year increase in non - bank deposit data in July and August indicates the stock - bond seesaw effect. Overall, treasury bond futures will mainly trade in a low - level sideways consolidation pattern in the short term [3] 3. Summary by Directory 3.1 Industry News and Related Charts - To maintain ample liquidity in the banking system, the People's Bank of China will conduct a 600 - billion - yuan 6 - month term outright reverse repurchase operation on September 15. This is the second such operation this month after a 1 - trillion - yuan 3 - month term outright reverse repurchase operation on September 5. In total, the outright reverse repurchase operations in September amount to 1.6 trillion yuan, with a maturity amount of 1.3 trillion yuan, resulting in a net injection of 300 billion yuan this month, marking the fourth consecutive month of increased roll - overs. - The People's Bank of China announced on September 15 that it conducted a 280 - billion - yuan 7 - day reverse repurchase operation at a fixed interest rate, with a winning bid rate of 1.4%. There were 191.5 billion yuan of reverse repurchases maturing in the open market today, resulting in a net injection of 88.5 billion yuan. - From January to August, the national fixed - asset investment (excluding rural households) was 32.6111 trillion yuan, a year - on - year increase of 0.5%. - In August, the total retail sales of consumer goods were 3.9668 trillion yuan, a year - on - year increase of 3.4%, with the growth rate dropping 0.3 percentage points from July. After deducting price factors, the actual growth was 4.1%, and the actual growth rate accelerated by 0.2 percentage points. On a month - on - month basis, the total retail sales of consumer goods in August increased by 0.17%, with a faster month - on - month growth rate than in June and July [5]

1. Report Industry Investment Rating - The report does not explicitly state the industry investment rating. 2. Report's Core View - The bond market adjusted significantly this week. The narrowing year - on - year decline in August's CPI and the four - month consecutive rise in core CPI indicate marginal improvement in domestic demand, but food prices still drag. The narrowing year - on - year decline in PPI and the end of eight - month consecutive decline in the month - on - month data are mainly supported by policy - driven industrial product price repairs. The export growth rate in the first eight months dropped to 6.9%, and the import decline narrowed to - 1.2%, reflecting the resilience of external demand but uneven domestic demand repair. The main reasons for the bond market adjustment this week may include policy expectation disturbances and the continuous disturbance of the stock - bond seesaw effect. The short - term bond market may be suppressed by sentiment, but the report is bullish on the bond market in the long run, expecting the 10Y Treasury yield to be between 1.6% - 1.8% in the second half of the year [2][10][82]. 3. Summary by Related Catalogs 3.1 Macro News - In August, CPI decreased by 0.4% year - on - year, with the same month - on - month figure as last month, and core CPI rose to 0.9%. PPI's year - on - year decline narrowed to - 2.9%, the first narrowing since February this year, and the month - on - month change turned flat, ending eight - month consecutive decline. - In the first eight months, the total value of China's goods trade imports and exports was 29.6 trillion yuan, a year - on - year increase of 3.5%. The export growth rate dropped by 0.4 pct to 6.9%, and the import decline narrowed by 0.4 pct to - 1.2%. - At the end of August, M2 balance was 332.0 trillion yuan, a year - on - year increase of 8.8%; M1 balance was 111.2 trillion yuan, a year - on - year increase of 6%. The cumulative increase in social financing scale in the first eight months was 26.6 trillion yuan, 4.7 trillion yuan more than the same period last year. - The US CPI in August increased by 2.9% year - on - year, a new high since January, and 0.4% month - on - month, higher than expected. Core CPI increased by 3.1% year - on - year and 0.3% month - on - month in August, both in line with market expectations [12][17][19][21]. 3.2 Medium - term High - frequency Data 3.2.1 Consumption - As of September 7, the daily average retail volume of passenger car manufacturers was 4.3 million vehicles, a year - on - year decrease of 10.3%, and the daily average wholesale volume was 4.4 million vehicles, a year - on - year decrease of 5.1%. - As of September 12, the total box office revenue of national movies in the past 7 days was 35782.6 million yuan, a year - on - year increase of 41.0%. - As of August 29, the total retail volume of three major household appliances was 1.337 million units, a year - on - year decrease of 9.9%, and the total retail sales were 2.13 billion yuan, a year - on - year decrease of 33.5% [24][28]. 3.2.2 Transportation - As of September 7, the weekly container throughput of ports was 6.646 million twenty - foot equivalent units, a year - on - year increase of 13.4%. - As of September 11, the average daily subway passenger volume in first - tier cities in the past 7 days was 37.473 million person - times, a year - on - year increase of 2.0%. - As of September 7, the weekly postal express pick - up volume was 3.86 billion pieces, a year - on - year increase of 9.2%. - As of September 7, the weekly railway freight volume was 79.043 million tons, a year - on - year increase of 4.1%, and the weekly highway truck traffic volume was 5.436 million vehicles, a year - on - year decrease of 0.6% [34][36][39]. 3.2.3 Industrial Operating Rates - As of September 10, the blast furnace operating rate of major steel enterprises nationwide was 77.3%, a year - on - year increase of 1.8 pct. - As of September 11, the average asphalt operating rate was 26.0%, a year - on - year increase of 5.0 pct. - As of September 11, the soda ash operating rate was 87.5%, a year - on - year increase of 12.9 pct, and the PVC operating rate was 79.8%, a year - on - year increase of 3.8 pct. - As of September 12, the average PX operating rate was 87.0%, and the average PTA operating rate was 74.7% [42][44]. 3.2.4 Real Estate - As of September 12, the total commercial housing transaction area in 30 large and medium - sized cities in the past 7 days was 1.488 million square meters, a year - on - year increase of 6.2%. - As of September 5, the second - hand housing transaction area in 9 sample cities was 1.234 million square meters, a year - on - year decrease of 5.5% [47]. 3.2.5 Prices - As of September 12, the average weekly pork wholesale price was 19.9 yuan/kg, a year - on - year decrease of 26.3% and a 1.3% decrease compared to four weeks ago; the average vegetable wholesale price was 5.1 yuan/kg, a year - on - year decrease of 16.0% and an 8.7% increase compared to four weeks ago; the average wholesale price of 6 key fruits was 6.9 yuan/kg, a year - on - year decrease of 4.4% and a 1.0% decrease compared to four weeks ago. - As of September 12, the average weekly price of thermal coal at northern ports was 682.0 yuan/ton, a year - on - year decrease of 19.8% and a 1.0% decrease compared to four weeks ago; the average weekly WTI crude oil spot price was 62.6 US dollars/barrel, a year - on - year decrease of 7.6% and a 1.5% decrease compared to four weeks ago. - As of September 12, the average weekly spot price of rebar was 3138.0 yuan/ton, a year - on - year decrease of 1.7% and a 5.5% decrease compared to four weeks ago; the average weekly spot price of iron ore was 804.9 yuan/ton, a year - on - year increase of 14.2% and a 1.5% increase compared to four weeks ago [48][53][55]. 3.3 Bond and Foreign Exchange Markets - On September 12, overnight Shibor was 1.37%, up 1.40 BP from September 8. R001 was 1.40%, down 1.01 BP from September 8; R007 was 1.47%, down 0.53 BP from September 8. DR001 was 1.36%, up 0.76 BP from September 8; DR007 was 1.46%, up 0.52 BP from September 8. IBO001 was 1.40%, up 0.84 BP from September 8; IBO007 was 1.50%, up 0.37 BP from September 8. - Most Treasury yields rose. On September 12, the 1 - year/5 - year/10 - year/30 - year Treasury yields were 1.40%/1.61%/1.87%/2.18%, up 0.2 BP/0.3 BP/4.1 BP/7.3 BP respectively from September 5. The 1 - year/5 - year/10 - year/30 - year yields of China Development Bank bonds were 1.58%/1.82%/2.03%/2.26%, up 4.1 BP/6.3 BP/15.8 BP/6.8 BP respectively from September 5. - On September 12, the 1 - year/5 - year/10 - year yields of local government bonds were 1.54%/1.84%/2.03%, up 8.7 BP/0.5 BP/2.1 BP respectively from September 5. The yields of AAA 1 - month/1 - year and AA+ 1 - month/1 - year inter - bank certificates of deposit were 1.55%/1.68%/1.57%/1.71%, up 12.1 BP/1.1 BP/12.1 BP/0.1 BP respectively from September 5. - As of September 12, 2025, the 10 - year Treasury yields of the US, Japan, the UK, and Germany were 4.1%, 1.6%, 4.7%, and 2.8%, down 4 BP/up 3 BP/up 3 BP/down 2 BP respectively from September 5. - On September 12, the central parity rate and spot exchange rate of the US dollar against the Chinese yuan were 7.10/7.12, down 45/154 pips respectively from September 5 [58][63][65][71][74]. 3.4 Institutional Behavior - Since the beginning of 2025, the duration of medium - and long - term pure bond funds investing in interest - rate bonds has shown a trend of first decreasing, then increasing, and then decreasing. As of September 12, 2025, the estimated median duration was about 4.7 years, a decrease of about 0.1 years compared to last week (September 5). - Since the beginning of 2025, the duration of medium - and long - term pure bond funds investing in credit bonds has shown a volatile trend. In the past month, the duration has risen rapidly and then fluctuated. As of September 12, 2025, the estimated average duration was about 3.1 years, and the estimated median duration was about 3.0 years, an increase of about 0.2 years compared to last week (September 5) [77][79]. 3.5 Investment Advice - The short - term bond market may be suppressed by sentiment, but the report remains bullish on the bond market. The year - on - year growth rate of prices in August was generally lower than expected, and this may be a stage of economic growth momentum transformation and income distribution structure adjustment. The year - on - year growth rates of exports and imports in August both declined. Coupled with the strong performance of consumption policies in the first half of the year, there may be some pressure on consumption and exports in the second half of the year. It is necessary to continuously monitor the continuation of incremental policies and price improvements. The report believes that the economic downward pressure may increase in the second half of the year, the capital market will remain loose, the central bank may restart Treasury bond purchases, and the self - operating allocation demand of banks will support the decline of bond market interest rates. The recent unexpected rise of the stock market has led to a significant adjustment in the bond market, but the bond market will ultimately return to fundamental and capital - based pricing. When the stock market adjusts, bond yields may decline rapidly. The report continues to expect the 10Y Treasury yield to be between 1.6% - 1.8% in the second half of the year, and the current 10Y Treasury yield of about 1.8% is highly cost - effective [80][82].

Summary of Conference Call Records Industry Overview - The conference call primarily discusses the bond market and its relationship with macroeconomic data, focusing on the current state of the bond market and future trends. Key Points and Arguments Bond Market Sensitivity to Macroeconomic Data - The bond market has become desensitized to macroeconomic data due to strong market expectations of weak economic recovery, central bank interest rate cuts, and increased fiscal support, making short-term data fluctuations less impactful [1][3][8] - The bond market's reaction to macroeconomic indicators like GDP, CPI, and PMI has diminished, with current trading focused on future scenarios rather than present data [3][4][8] - The market is currently pricing in expectations of insufficient effective demand and unresolved deflationary pressures, leading to a consensus that short-term data will not significantly alter the outlook [3][4][8] Interest Rate Trends - Anti-involution and de-real estate policies are expected to push the interest rate center upwards by approximately 10-15 basis points annually, with the long-term bond yield potentially stabilizing around 1.5% [10][11] - The bond market is experiencing a "slow bear" phase, where liquidity premium opportunities and fiscal policy effectiveness may outweigh current macroeconomic fundamentals [11][12] Stock-Bond Interaction - There is a significant stock-bond interaction, with the Shanghai Composite Index's movements directly affecting 10-year government bond yields, averaging a 4 basis point change for every 100-point shift in the index [25] - The current market environment shows a "see-saw" effect between stocks and bonds, influenced by redemption pressures and investor behavior [5][7] Future Market Predictions - If the 10-year government bond yield approaches 1.0%, it may signal an end to the interest rate bottoming process, contingent on the successful implementation of anti-involution and de-real estate policies [13] - The bond market's future trajectory will be influenced by liquidity conditions, institutional behavior, and policy directions rather than solely macroeconomic data [7][11] Current Economic Indicators - August's social financing growth slightly declined but remains high, with government debt share increasing and M1 growth reaching a yearly high, indicating improved monetary transaction vitality [21][22] - CPI and PPI data suggest some recovery in domestic demand, but external demand remains weak, and fiscal support is still under observation [23][24] Redemption Pressures - Concerns about large-scale redemptions exist, linked to liquidity issues, which could lead to rising long-term interest rates and significant adjustments in credit bond yields [26] - Historical data shows that the bond market has experienced multiple significant declines since 2022, with a notable pattern of pre-dip "shadow declines" [27][28] Market Recovery Post-Dip - After a bond market dip, there is typically a weak sentiment initially, but recovery generally occurs within an average of 7 trading days, with cumulative recovery around 10 basis points [29] Short-Term Trading Opportunities - The upcoming week may present left-side trading opportunities, suggesting that investors should prepare to capture potential rebounds [30] Other Important Insights - The bond market's desensitization is seen as a phase that could change if multiple economic indicators show consistent strong improvement [9] - The relationship between monetary and fiscal policies is crucial, with the potential for fiscal measures to drive economic recovery if inflation remains under control [20]

Group 1 - The A-share market has been rising significantly in the second half of the year, while the bond market has experienced a substantial adjustment, with the 30-year government bond futures main contract dropping over 4% [1] - The yield on 10-year government bonds has risen, reaching as high as 1.8%, indicating a shift in the bond market dynamics [1] - Since early 2018, the yield on 10-year government bonds has decreased from nearly 4.0% to around 1.60%, a decline of nearly 240 basis points [1] Group 2 - Foreign investors remain optimistic about Chinese assets, with a report indicating that in August, foreign investment in emerging market stocks and bonds reached nearly $45 billion, the highest in nearly a year [1] - As of mid-year, the custody balance of foreign institutions in the Chinese bond market reached 4.3 trillion yuan, accounting for 2.3% of the market, with government bonds making up 49.6% of this amount [2] - Analysts suggest that the current stock market rally is expected to last for a longer duration, with funds flowing into the market being diversified, partly sourced from the bond market [2]

2018年初至今，10年期国债到期收益率从接近4.0%一路震荡下行至1.60%附近，下行幅度近240个BP。尽管期 间也出现过2020年5-7月和2022年11-12月这样的调整，但整体并未改变债券牛市格局。 下半年以来，A股持续走高，而持续数年牛市的债券市场却风云突变，大幅调整。30年期国债期货主力合约 下半年以来下跌逾4%。股债跷跷板效应显现。 最近几个月，A股市场一路高歌猛进，与之相伴的是债券市场的持续调整。上周，银行间主要利率债收益率 上行，10年期国债收益率一度站上1.8%。 在债券市场上，债券收益率与债券价格成反比：当收益率走低时，债券价格上升，债市走牛。债券价格等于 未来现金流的现值总和，收益率上升会导致现值下降。 漫画：王建明 深圳商报记者 陈燕青 外资依然看好中国资产。国际金融协会最新发布的报告显示，8月份外国投资者向新兴市场股票和债券投资组 合投入近450亿美元，创下近一年来的最高规模。具体而言，8月中国债券和股票上个月合计净流入390亿美 元，中国以外新兴市场债券吸引了132亿美元的资金流入。 外资机构对中国债券市场的配置策略正呈现明显的中长期特征。央行数据显示，截至上半年末，境外机构在 ...

Core Viewpoint - Recent fluctuations in the bond market have sparked discussions, with the China Bond Index falling by 1.11% from August 1 to September 12, and the 10-year government bond yield rising above 1.8%. Despite these short-term adjustments, the long-term outlook for the bond market remains positive due to various supportive factors [1]. Group 1: Financial Environment - A loose monetary policy environment is fostering a favorable financial backdrop for the bond market, with the People's Bank of China maintaining liquidity and stabilizing market expectations. The central bank's commitment to a moderately loose monetary policy is expected to continue providing liquidity support for the bond market [2]. Group 2: Buyer Support - The "buying power" supporting the stable operation of the bond market remains unchanged. Despite recent adjustments influenced by various factors, the demand for bond investments from residents in bank wealth management, public funds, and insurance products is increasing, leading financial institutions to enhance their bond allocations [3]. Group 3: Regulatory Support - Regulatory authorities are actively ensuring the healthy operation of the bond market, which is crucial for macroeconomic stability. The continuous improvement of bond market regulations has significantly enhanced market transparency and resilience, which will support the long-term health of the bond market [4]. Group 4: Macroeconomic Improvement - The ongoing improvement in the macroeconomic environment is expected to alleviate investor concerns regarding credit risks in the bond market. As growth stabilization policies take effect, corporate profitability and cash flow are anticipated to improve, thereby reducing the risk of credit defaults [5].

Group 1 - The bond market has experienced a decline since September, with the 10-year government bond yield surpassing 1.8% and the 30-year yield exceeding 2.1%, marking new lows in the current bond market cycle [1] - The recent regulatory changes regarding redemption fees for mutual funds have triggered a wave of redemptions, particularly affecting pure bond funds, which are primarily used by institutional investors for diversification and liquidity management [2] - The increase in redemption fees, particularly for holdings less than 7 days, is expected to significantly reduce the attractiveness of bond funds for institutions, leading to a redemption trend [2] Group 2 - The potential for further declines in the bond market appears limited, with the configuration value gradually returning as the macroeconomic fundamentals in China do not support a prolonged bear market [3] - Institutional behavior indicates that most funds redeemed from bond funds will eventually flow back into the bond market, suggesting that the impact of redemptions is more about timing rather than a fundamental shift [3] - The current yield on new 10-year government bonds is comparable to the dividend yield of the A-share market, indicating that the configuration value of bonds is becoming more apparent [3]

Core View - Today, the trends of Treasury bond futures were divergent. The 2-year Treasury bond futures oscillated and declined slightly, while the 5-year, 10-year, and 30-year Treasury bond futures oscillated and rose. Currently, Treasury bond futures are mainly affected by monetary policy expectations and the risk appetite of the stock market. In the medium and long term, there is still an expectation of interest rate cuts. However, in the short term, due to the low necessity of a comprehensive interest rate cut, the upward momentum of Treasury bond futures is not strong. The inflation data in August remained weak. Subsequently, the policy side will continue to introduce policies to stabilize demand, promoting a moderate recovery of inflation. It is expected that fiscal policy will be intensified in the fourth quarter, thus exerting supply-side pressure on Treasury bonds. The risk appetite of the stock market is at a high level, siphoning off bond-buying funds and suppressing the demand side of Treasury bonds, showing the seesaw effect between stocks and bonds. In general, Treasury bond futures will mainly undergo low-level oscillatory consolidation in the short term [2] Industry News and Related Charts - On September 12, the People's Bank of China announced that it carried out 230 billion yuan of reverse repurchase operations at a fixed interest rate through quantity tendering, with a winning bid rate of 1.4%. There were 188.3 billion yuan of reverse repurchases maturing in the open market today, resulting in a net injection of 41.7 billion yuan [4]