Summary of Conference Call Notes Industry Overview - The discussion primarily revolves around the **Chinese financial market**, focusing on **monetary policy**, **interest rates**, and **economic recovery**. Key Points and Arguments Monetary Policy and Interest Rates - There has been a **decline in long-term interest rates** since December 2024, with recent adjustments indicating a market reaction to anticipated interest rate cuts [2][8] - The **People's Bank of China (PBOC)** conducted a **balance sheet reduction** of **1.6 trillion yuan** in 2024, raising concerns about liquidity tightening, but overall monetary policy remains accommodative with a net liquidity injection of **400 billion yuan** [2] - The **short-term interest rates** have been rising since early 2025, indicating a tightening liquidity environment compared to 2024 [3][4] Economic Indicators and Risks - The **ten-year government bond yield** has shown a significant decline driven by interest rate cut expectations, with a noted **100 basis points** drop in implied future rate cuts [8] - A rapid decline in long-term interest rates poses **financial risks**, including potential instability in safe assets and losses in financial institution margins [9] - The **current economic environment** is characterized by **moderate inflation** and weak demand, with signs of semi-inflation emerging since September 2024 [14] Construction and Fiscal Policy - The **construction industry** is experiencing improved funding conditions, with state-owned enterprises showing moderate growth in orders and revenue [15] - Fiscal policy has been proactive, with **net financing of government bonds** reaching a peak in January 2025, indicating strong government support for economic recovery [16] Consumer Behavior - Consumer spending has shown a mixed performance, with strong growth in entertainment during the Spring Festival but a decline in retail and dining sales compared to the previous year [17] Challenges in Monetary Policy - The balance between **growth stabilization** and **risk prevention** in monetary policy is constrained by high risk premiums, with ineffective transmission to the real economy [18][19] - Traditional monetary policy has limitations in reducing risk premiums, as it primarily affects risk-free rates rather than directly influencing investor risk preferences [20] Future Outlook - There is an expectation that long-term government bond yields will stabilize as liquidity conditions shift from loose to tight, necessitating a careful approach to monetary policy [12] - The potential for more effective methods to reduce high risk premiums includes structural monetary policies and unconventional easing measures, although their effectiveness may be limited in the current Chinese context [21] Additional Important Content - The **relationship between short-term and long-term interest rates** has been affected by various factors, including market demand for safe assets and adjustments in institutional investment strategies [10][11] - The **CPI and PPI** have not yet shown a synchronized recovery, indicating that the overall economic recovery requires further observation and support [17]

Core Viewpoints - The article analyzes the current real exchange rate of the RMB from the perspectives of export demand, capital flow, and exchange rate determination theory, concluding that the RMB is currently reasonably valued and may experience short-term fluctuations within a specific range [1][5]. Group 1: Export and Trade Demand - The actual effective exchange rate indicates that the RMB has released downward pressure, supported by strong export performance and trade surpluses, with current account surpluses projected at $253 billion for 2023 and $422 billion for 2024 [2]. - Since 2024, the RMB has depreciated less against the USD compared to other non-USD currencies, and the RMB exchange rate index against a basket of currencies shows an upward trend [2]. Group 2: Capital Flow and Investment Demand - The estimated RMB exchange rate midpoints based on the China-US interest rate differential and risk premium are 7.50 and 7.35, respectively, indicating potential short-term depreciation pressure [3]. - The negative correlation between the China-US interest rate differential and the RMB exchange rate has been high at 93.2% since 2022, suggesting that the equilibrium exchange rate may range from 7.4 to 7.6 [3]. Group 3: Exchange Rate Determination Theory - The BEER (Behavioral Equilibrium Exchange Rate) model is deemed more effective for estimating the RMB's equilibrium exchange rate, which is projected to be between 7.3 and 7.4, with a central value of 7.35 [4]. - The relative purchasing power parity theory suggests a long-term appreciation potential of the RMB to around 6.8, while absolute purchasing power theory indicates a possible undervaluation of nearly 40% [4]. Group 4: Market Sentiment and Economic Indicators - The RMB exchange rate is expected to remain around the equilibrium midpoint of 7.30, with short-term fluctuations anticipated between 7.20 and 7.35, influenced by international balance of payments, market behavior, and sentiment [5]. - Recent manufacturing PMI data indicates a stable economic environment, with the manufacturing sector showing resilience and potential for recovery in PPI readings [6].

广发证券资深金工分析师 张钰东 SAC: S0260522070006 zhangyudong@gf.com.cn 广发金工安宁宁陈原文团队 摘要 最近5个交易日，科创50指数跌1.46%，创业板指跌4.87%，大盘价值跌0.65%，大盘成长跌2.63%，上证50跌1.61%，国证2000代表的小盘跌3.12%，钢铁、房 地产市场表现靠前，通信、传媒表现靠后。 风险溢价，中证全指静态PE的倒数EP减去十年期国债收益率，权益与债券资产隐含收益率对比，历史数次极端底部该数据均处在均值上两倍标准差区域，比 如2012/2018/2020年（疫情突发），2022/04/26达到4.17%，2022/10/28风险溢价再次上升到4.08%，市场迅速反弹，2024/01/19指标4.11%，自2016年以来第五 次超过4%。截至2025/02/28指标3.82%，两倍标准差边界为4.70%。 广发证券首席金工分析师 安宁宁 SAC: S0260512020003 anningning@gf.com.cn 四、市场情绪之200日长期均线之上比例 五、权益资产与债券资产风险偏好跟踪 六、融资余额 估值水平，截至2025/02 ...