证券研究报告 固收定期报告 hyzqdatemark 2025 年 11 月 03 日 证券分析师 廖志明 SAC：S1350524100002 liaozhiming@huayuanstock.com 马赫 ——利率周报（2025.10.27-2025.11.2） 投资要点： 请务必仔细阅读正文之后的评级说明和重要声明 联系人 mahe@huayuanstock.com 制造业 PMI 回落明显，债市处于顺风期 报告核心观点：中美经贸谈判进展与美联储降息内外联动，叠加公募基金新规（征 求意见稿）出炉，多维度影响经济与市场。中美取消部分关税、暂停管制及解决 TikTok 问题，缓解出口压力，稳定外贸并刺激制造业投资，或支撑 Q4 经济。美联储 10 月 末降息 25BP 并将于 12 月结束缩表，或缓解全球流动性压力，可能收窄中美利差并 吸引外资回流，或为国内货币政策释放更大操作空间。公募基金新规推动业绩比较 基准规范管理，优化信息披露等机制，可能主要影响主动权益基金，或使机构提升 投研及风控能力，头部机构优势或持续凸显，中小机构产品或需差异化发展。 本周（10/27-11/2）市场概览： 其他要闻：中国人民 ...

Core Insights - The People's Bank of China released the financial market operation report for September 2025, indicating the status of foreign institutions in the Chinese bond market [1] Group 1: Foreign Institutions in Bond Market - As of the end of September, the custody balance of foreign institutions in the Chinese bond market reached 3.8 trillion yuan, accounting for 2.0% of the total custody balance in the market [1] - The custody balance of foreign institutions in the interbank bond market is also 3.8 trillion yuan [1] Group 2: Breakdown by Bond Type - Foreign institutions hold 2.0 trillion yuan in government bonds, representing 52.9% of their total holdings [1] - The holdings in interbank certificates of deposit amount to 0.9 trillion yuan, which is 22.8% of the total [1] - Policy bank bonds held by foreign institutions total 0.8 trillion yuan, making up 20.4% of their total holdings [1]

Core Insights - The People's Bank of China reported on the financial market operations for September 2025, highlighting significant bond issuance and market balances [1] Bond Market Issuance - In September 2025, the total bond issuance reached 81,027.8 billion yuan, with government bonds accounting for 14,904.9 billion yuan, local government bonds at 8,519.1 billion yuan, financial bonds at 11,741.0 billion yuan, corporate credit bonds at 13,407.3 billion yuan, credit asset-backed securities at 365.7 billion yuan, and interbank certificates of deposit at 31,627.8 billion yuan [1] Bond Market Custody Balances - As of the end of September, the total custody balance of the bond market was 193.1 trillion yuan, with the interbank market holding 170.5 trillion yuan and the exchange market holding 22.6 trillion yuan [1] - By bond type, the custody balances included 39.2 trillion yuan in government bonds, 53.5 trillion yuan in local government bonds, 44.1 trillion yuan in financial bonds, 34.2 trillion yuan in corporate credit bonds, 1.0 trillion yuan in credit asset-backed securities, and 20.0 trillion yuan in interbank certificates of deposit [1] - Additionally, the custody balance of commercial bank counter bonds was 2,335.9 billion yuan [1]

Group 1: Bond Market - In September, the total issuance of various bonds reached 81,027.8 billion yuan, with government bonds at 14,904.9 billion yuan, local government bonds at 8,519.1 billion yuan, financial bonds at 11,741.0 billion yuan, corporate credit bonds at 13,407.3 billion yuan, credit asset-backed securities at 365.7 billion yuan, and interbank certificates of deposit at 31,627.8 billion yuan [1] Group 2: Money Market - In September, the interbank lending market saw a transaction volume of 9.3 trillion yuan, a year-on-year increase of 21.8% and a month-on-month increase of 5.3% [1] - The bond repurchase transactions totaled 159.0 trillion yuan, reflecting a year-on-year increase of 25.6% but a month-on-month decrease of 0.6% [1] - Standard bond repurchase transactions on exchanges reached 56.9 trillion yuan, with a year-on-year increase of 39.8% and a month-on-month increase of 7.6% [1] Group 3: Stock Market - By the end of September, the Shanghai Composite Index closed at 3,882.8 points, a month-on-month increase of 24.9 points, representing a 0.6% rise [1] - The Shenzhen Component Index closed at 13,526.5 points, with a month-on-month increase of 830.4 points, reflecting a 6.5% rise [1] - In September, the average daily trading volume in the Shanghai market was 10,322.1 billion yuan, a month-on-month increase of 7.9%, while the Shenzhen market's average daily trading volume was 13,604.9 billion yuan, a month-on-month increase of 2.8% [1]

Core Viewpoint - The October PMI data indicates a slight decline below expectations, with the manufacturing PMI at 49.0, down 0.8 points month-on-month, reflecting a lack of consistent economic signals in the short term [1][5][15]. Summary by Sections PMI Data Overview - The manufacturing PMI for October is reported at 49.0, lower than the previous value of 49.8, while the service PMI is at 50.2, slightly up from 50.1. The construction PMI stands at 49.1, down from 49.3 [5][11]. - The October EPMI (Emerging Industries PMI) saw a significant increase of 7.3 points to 59.7, marking the largest historical increase for this month [5][6]. Production and Economic Signals - A notable contraction in the production sector is observed, with production, procurement, new orders, and backlog orders indices decreasing by 2.2, 2.6, 0.9, and 0.7 points respectively [8][11]. - The production index fell sharply from 51.9 in September to 49.7 in October, attributed to uncertainties in tariffs and shipping environments, leading companies to adopt a more cautious production approach [8][10]. Recent Developments in Trade - Recent negotiations between China and the U.S. in late October resulted in the cancellation of certain tariffs and a pause on additional tariffs, which may positively influence the PMI production index in November [2][10]. Construction Sector Insights - A positive signal from the October PMI series is the rebound in new orders and business activity expectations in the construction sector, with increases of 3.7 and 3.6 points respectively, reaching the highest levels since March and February [3][11]. - The National Development and Reform Commission reported that 500 billion yuan has been fully allocated to support over 2,300 projects, with a total investment of approximately 7 trillion yuan, focusing on digital economy, AI, and urban infrastructure [3][11]. Market Implications - The October PMI reflects a manufacturing PMI retreat and a decline in the construction index, indicating that the rise in infrastructure has not fully offset the decline in real estate investment, which is favorable for the bond market [4][15]. - The central bank's resumption of bond purchases suggests a potential decrease in interest rates, although the space for significant rate cuts may be limited due to the ongoing fiscal policies and rising construction orders [4][15].

Core Viewpoint - The bond market is experiencing a resurgence as the People's Bank of China (PBOC) signals a potential restart of government bond trading operations, which is seen as a pivotal moment for the market [1][4]. Group 1: Market Dynamics - Following the PBOC's announcement on October 27, bond yields fell across the board, igniting enthusiasm among market participants, particularly funds and brokerages, who began aggressively purchasing bonds [1][7]. - By October 30, the bond market continued to show a "bullish" trend, although the rate of yield decline had moderated to between 0.5 and 1.5 basis points [7]. - The market has shown signs of stabilization after previous adjustments, but the space for further rate declines is perceived to be limited, with a focus on capturing short-term trading opportunities [2][5]. Group 2: Policy Background - The PBOC's bond trading operations are part of its open market operations aimed at regulating market liquidity and enhancing the financial function of government bonds [4]. - The previous suspension of these operations was due to significant supply-demand imbalances and accumulated market risks [4][5]. - The anticipated resumption of operations is expected to help coordinate with fiscal policies and mitigate potential supply shocks from increased local government bond issuances in the upcoming quarters [5][6]. Group 3: Future Expectations - Market participants are keenly interested in the timing and methods of the PBOC's bond purchases, with expectations that the central bank will optimize its approach to minimize market disruption [11][12]. - Analysts suggest that the PBOC's bond purchases will likely focus on short-term bonds, with a potential scale of around 1 trillion yuan, maintaining a controlled impact on the market [13][14]. - The central bank's actions are viewed as necessary to inject liquidity into the market, especially as previous bond purchases are set to mature, which could otherwise lead to liquidity contraction [14].

Group 1 - As of October 29, public fund reports for the third quarter have been fully disclosed, with bond funds experiencing over 500 billion units of net redemptions, marking the highest net redemption among fund types [1][2] - The total scale of bond funds at the end of the third quarter was 10.58 trillion yuan, a slight decrease from 10.82 trillion yuan at the end of the second quarter [2] - Over 55% of bond funds recorded net redemptions, with more than 2,100 funds experiencing this trend, including 292 funds with net redemptions exceeding 1 billion units [2] Group 2 - Despite the overall negative performance of bond funds, certain convertible bond funds achieved significant returns, with some exceeding 20% in yield due to favorable equity market conditions [1][5] - The yield of bond funds was under pressure, with over 3,128 bond funds yielding less than 1%, and more than 1,000 funds recording negative returns [4][5] - The yield on government bonds increased, with 1-year, 3-year, 5-year, and 10-year government bond yields rising by 12 basis points, 20 basis points, 22 basis points, and 35 basis points respectively compared to the end of the second quarter [4] Group 3 - Looking ahead, the bond market is expected to be influenced by both bullish and bearish factors, with the central bank's operations likely to support the market [6][7] - The current economic growth level remains weak, suggesting that long-term interest rates do not have a solid foundation for sustained and significant increases [6][7] - The bond market is anticipated to return to being driven by economic fundamentals and monetary policy after the release of pressure on the liability side [6][7]

Core Viewpoint - The public fund industry experienced significant net redemptions in bond funds during the third quarter, with over 500 billion units redeemed, while convertible bond funds performed well amid rising equity assets, achieving returns exceeding 20% [1][4]. Group 1: Fund Performance - Over 55% of bond funds reported net redemptions, with more than 2,100 funds experiencing redemptions, totaling over 500 billion units [2][4]. - The total scale of bond funds decreased from 10.82 trillion yuan at the end of the second quarter to 10.58 trillion yuan by the end of the third quarter [2]. - Notable redemptions included a credit bond fund with nearly 15 billion units redeemed, reducing its scale from 22.898 billion yuan to under 8 billion yuan [2]. Group 2: Fund Inflows - Conversely, over 1,000 bond funds saw net subscriptions, with significant inflows into products like Beixin Ruifeng Ding Sheng Short-Duration Bond Fund, which grew from under 20 million yuan to 17.115 billion yuan after a net subscription of 15.055 billion units [3]. - Other funds such as Yongying Stable Enhanced Bond Fund and Zhongou Fengli Bond Fund also reported substantial net subscriptions, increasing their scales to nearly 35 billion yuan and over 30 billion yuan, respectively [3]. Group 3: Yield Disparity - The third quarter saw a significant disparity in bond fund yields, with over 3,128 bond funds yielding less than 1%, and more than 1,000 recording negative returns [4][5]. - The yield on government bonds increased, with 1-year, 3-year, 5-year, and 10-year government bonds rising by 12, 20, 22, and 35 basis points, respectively, compared to the end of the second quarter [4]. Group 4: Market Outlook - The bond market is expected to remain stable without forming a sustained bear market, as the central bank's operations are likely to support the market amid reduced selling pressure [6][7]. - The current rise in long-term interest rates is seen as a normal reaction to changes in fundamental expectations, with no basis for a significant and sustained increase [6][7].

Core Insights - The bond market is experiencing enthusiasm among fixed income investors due to Federal Reserve easing, with municipal bonds gaining significant attention this year [1]. Group 1: Municipal Bond Market Dynamics - Municipal bonds have faced challenges such as high issuance, declining demand, narrowing credit spreads, and underperformance compared to Treasuries of similar durations [2]. - Some analysts believe that the worst is over for municipal debt, indicating potential opportunities, particularly highlighted by the 30-year muni/Treasury ratio [3]. Group 2: Muni/Treasury Ratio Analysis - The 30-year muni/Treasury (M/T) ratio typically ranges from 80% to 90%, with values above 100% indicating favorable conditions for municipal bonds. Currently, the ratio is approaching 90%-95%, suggesting good value for investors willing to accept some interest rate risk [4]. Group 3: Active Management of MNBD - The ALPS Intermediate Municipal Bond ETF (MNBD) benefits from active management, providing flexibility in a market where passive funds are prevalent. This is particularly advantageous as the muni yield curve has flattened following the Fed's rate reduction [5]. - Experienced municipal bond portfolio managers see attractive values in the market, suggesting that volatility can present compelling investment opportunities, especially in underappreciated segments [6]. Group 4: Performance of MNBD - MNBD has outperformed the largest ETF in its category this year, indicating its potential to join successful active muni ETFs that have performed well across various interest rate cycles [6]. - Historical performance shows that active muni funds have fared well during periods of market volatility, with better volatility-adjusted results compared to peers over five- and ten-year periods [7].

Group 1 - The core viewpoint of the article emphasizes the importance of monitoring the timing and implementation of the People's Bank of China's (PBOC) resumption of government bond trading, as it reflects a reasonable yield point from a short-term central bank perspective [4][13] - The article discusses the potential impact of the PBOC's actions on liquidity management, particularly in relation to the scale of re-lending during the period of government bond purchases [4][14] - It highlights the significance of banks' government bond purchases during the PBOC's operations, indicating that increased purchases could positively affect overall liquidity, while reduced purchases may have a limited impact [4][15] Group 2 - The article presents two considerations regarding the provision of liquidity to non-bank institutions, noting the correlation between non-bank deposits and equity market transaction volumes [6][19] - It suggests that the reduction in volatility of equity assets this year has improved their risk-adjusted returns, enhancing the attractiveness of equity asset allocation [6][21] Group 3 - The article outlines three thoughts on future monetary policy, indicating that the necessity for a short-term reserve requirement ratio (RRR) cut is low due to the current economic context [7][24] - It also states that the probability of a short-term policy interest rate cut is low, as it could accelerate the outflow of household deposits into financial markets [7][26] - The possibility of a reduction in the five-year Loan Prime Rate (LPR) is noted, as it could help lower household debt costs and improve the downward trend in housing prices [7][26] Group 4 - The article analyzes the impact of current policies on capital markets, stating that the strength of the equity market this year is attributed to reduced volatility and drawdown [8][27] - It mentions that the PBOC's resumption of government bond trading sets a framework for short-term interest rates, but the actual rates will still depend on supply and demand dynamics [8][27] - Historical experience suggests that a simultaneous bull market in both stocks and bonds requires sustained liquidity injections from the central bank, with the potential for rapid asset price increases due to shifts in non-bank deposits [8][30]