Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report - The upward space for the bond market is relatively limited. The redemption of funds is a short - term shock, and the bond - allocation behavior of wealth management products remains stable with a controllable redemption pressure. Also, current interest rate levels have reached the desired points of left - side institutions, which can reduce the risk of a significant rise in interest rates. However, the hot stock market suppresses the bond market due to the stock - bond seesaw effect. Institutions with stable liability ends can look for allocation opportunities and buy on the dips, while those with unstable liability ends need to wait for further long - buying opportunities [2][20]. 3. Summary by Related Catalogs 3.1 Recent Institutional Behavior Changes - **Trading Disk**: Funds faced a significant increase in redemption this week, with a net cash - bond selling volume exceeding 200 billion yuan. The selling was mainly concentrated from Monday to Wednesday and weakened later. Rural financial institutions continued their left - side trading strategy, actively entering the market on price increases [11][12]. - **Allocation Disk**: Although wealth management products have been redeeming funds in the past two weeks, their bond allocation did not shrink significantly. They increased their positions in credit bonds and secondary - tier perpetual bonds after getting more liquidity from fund redemptions. Insurance companies' motivation for bond allocation increased significantly when the yield of 30 - year treasury bonds rose above 1.9% - 1.95%, and their net bond - buying volume returned to a high level this week [16][19]. 3.2 Institutional Bond Custody No specific analysis content provided, only relevant charts are presented [22]. 3.3 Institutional Fund Tracking - **Fund Price**: Liquidity slightly eased this week. R007 closed at 1.48%, remaining basically unchanged from last week, DR007 closed at 1.47%, down 1BP from last week, and the 6 - month state - owned and joint - stock bank bill transfer discount rate closed at 0.64%, down 4BP from last week [3][29]. - **Financing Situation**: The balance of inter - bank pledged reverse repurchase this week was 1,160.634 billion yuan, a 1.8% decrease from last week. Fund companies and wealth management products had net financings of - 79.74 billion yuan and - 75.84 billion yuan respectively [32]. 3.4 Quantitative Tracking of Institutional Behavior - **Fund Duration**: The duration of top - performing interest - rate bond funds and general interest - rate bond funds this week were 6.71 and 5.52 respectively, down 0.11 and 0.26 from last week [42]. - **"Asset Shortage" Index**: The "asset shortage" index decreased [4]. - **Institutional Behavior Trading Signals**: Signals for secondary - tier capital bonds, ultra - long treasury bonds, and 10 - year local bonds are presented through various indicators, but no specific analysis is provided [52][55][58]. - **Institutional Leverage**: The overall market leverage ratio was 107.1% this week, a 0.2 - percentage - point decrease from last week. Among them, the leverage ratio of insurance institutions was 117.6%, up 0.5 percentage points; that of funds was 101.8%, down 1.0 percentage points; and that of securities firms was 211.9%, up 8.3 percentage points [60]. - **Bank Self - operation Comparison Table**: Data on nominal yields, tax costs, and yields after considering tax and risk capital for various assets such as general loans, 10 - year treasury bonds, and 10 - year AAA - rated local bonds are presented [64]. 3.5 Asset Management Product Data Tracking - **Funds**: Relevant charts show the weekly establishment scale of various types of funds and the annualized yield distribution of funds in 2025, but no specific analysis is provided [66]. - **Wealth Management Products**: The overall market's wealth management product break - even rate increased slightly this week, reaching 1.7% [67]. 3.6 Treasury Bond Futures Trend Tracking No specific analysis content provided, only relevant charts are presented [73]. 3.7 General Asset Management Pattern The scale changes of various asset management sectors such as private funds, securities firm asset management, and public funds from 2017 to 2025 are presented through a chart [78].

证券研究报告 晨会 hyzqdatemark 2025 年 08 月 24 日 投资要点： 资料来源：聚源，华源证券研究所，截至2025年08月22日 华源晨会精粹 20250824 固定收益 债市可能与股市逐步脱钩——债市短评：近期债市回调或源于债基及券商 自营系统性主动降久期，与经济基本面无关，7 月经济数据大幅走弱，信贷则罕见地 负增长。由于券商自营及债基等倾向于看股做债，7 月以来 A 股强势走势使得债市 出现一定的回调。2010 年以来，只有基本面驱动的股票牛市才会带来债熊，资金驱 动的股票牛市没有债熊。股市对债市资金的分流有限，银行自营债券投资增速显著 上升。当前我们为何阶段性坚定看多债市？1）央行持续宽松，资金利率有望保持低 位，债券正 carry 明显。2）年内经济下行压力或加大。3）央行可能重启国债买入。 4）银行负债成本持续下行，信贷需求弱，支撑银行加大债券配置力度。5）年内政 府债券净发行高峰已过。券商自营及债基降久期后，债市或迎来一波不错的行情。 当不少非银机构债券投资久期降下去后，或迎来新行情的起点。当前，我们明确看 多债市，未来半年预计 10Y 国债收益率重回 1.65%左右，5Y ...

Group 1 - The trading activity of 30-year Treasury futures has significantly declined due to dual impacts of capital migration and supply pressure, with a notable drop in trading volume since mid-July [1] - The overall bond market remains under pressure, particularly in the ultra-long Treasury futures segment, despite a potential for a short-term rebound if stock market sentiment cools or interest rate cut expectations rise [1] - Analysts suggest that a new round of opportunities in the bond market may be emerging, driven by economic downturn pressures and a potential shift in monetary policy [2] Group 2 - The company bond ETF (511030) has shown a year-to-date increase of 1.01%, with a recent trading volume of 18.03 billion yuan and a turnover rate of 8.07% [3] - The latest scale of the company bond ETF has reached 22.351 billion yuan, with recent inflows and outflows remaining balanced [4] - The company bond ETF has demonstrated strong historical performance, with a maximum monthly return of 1.22% and a 100% probability of profit over a three-year holding period [4][6] Group 3 - The management fee for the company bond ETF is set at 0.15%, while the custody fee is 0.05% [5] - The tracking error for the company bond ETF this year is reported at 0.013%, indicating a close alignment with the underlying index [6]

Summary of Key Points from Conference Call Industry Overview - The discussion primarily revolves around the bond market and its current dynamics, with a focus on the impact of economic conditions and monetary policy on bond yields and investment strategies [1][3][20]. Core Insights and Arguments - **Market Sentiment Shift**: There has been a recent shift in sentiment among buyers in the bond market, moving from bullish to bearish due to concerns over rising prices, stock market volatility, and bank redemptions of bond funds. However, some institutions have reduced duration to one year, potentially signaling the start of a new market trend [1][3]. - **Net Selling of Long-Duration Bonds**: From July 21 to August 15, broker proprietary trading and bond funds net sold 250 billion and 260 billion respectively in interest rate bonds, with over 100 billion in bonds with a maturity of over 20 years, indicating a significant reduction in duration by market participants [1][4]. - **Increased Demand from Specific Institutions**: While brokers and funds sold long-duration bonds, rural commercial banks and insurance companies, particularly large life insurance firms, emerged as major buyers, indicating a perceived value in long-duration bonds [1][5]. - **Stock Market Dynamics**: The stock market's recent rise is characterized as a "chip game," with little correlation to the economic fundamentals. The CSI 2000 index is significantly overvalued compared to 30-year government bonds, suggesting that the stock market's rise is primarily driven by retail investor activity rather than corporate performance [1][6]. - **Economic Downturn Risks**: There are increasing concerns about economic pressures in the second half of the year, with July data showing a decline in consumption and investment, alongside export challenges. This may lead to potential monetary easing measures such as rate cuts [1][7][10]. - **Future Economic Outlook**: The economic outlook remains pessimistic, with expectations of a decline in the 10-year government bond yield to 1.5% due to reduced consumer subsidies, declining exports, and a weak real estate market [1][7][20]. - **Impact of Monetary Policy**: The bond market is expected to benefit from a continuation of loose monetary policy, with a potential resumption of government bond purchases by the central bank, a decline in bank funding costs, and a peak in government bond issuance already passed [1][11][20]. - **Growth in Wealth Management Products**: The scale of bank wealth management products has seen significant growth, with an increase of over 2 trillion in July, creating substantial demand for credit bonds and potentially driving a new wave in the bond market [2][13]. Other Important Considerations - **Bank Funding Costs and Bond Yields**: Bank funding costs are projected to decrease to around 1.6% by the fourth quarter, enhancing the attractiveness of 10-year government bonds, which currently yield approximately 1.7% [1][12]. - **Credit Market Dynamics**: The growth in wealth management products is expected to lead to increased demand for credit bonds, despite some concerns about net asset value fluctuations [1][13]. - **International Trade Factors**: Ongoing trade tensions and international negotiations, particularly between the U.S. and Russia, introduce uncertainties that could impact China's economic and financial landscape [1][17][18]. This summary encapsulates the key points discussed in the conference call, highlighting the current state of the bond market, economic outlook, and the implications of monetary policy and market dynamics.

Group 1 - As of August 14, the net inflow of bond ETFs in 2023 reached 300.308 billion yuan, with a total scale exceeding 536.342 billion yuan, reflecting an increase of 18.384 billion yuan since early August, a growth rate of 3.55% [1] - In the second half of the year, the net inflow of funds amounted to 121.401 billion yuan, indicating strong investor interest in bond ETFs [1] - Among the 18 new bond ETFs established this year, 8 credit bond ETFs have quickly surpassed 100 billion yuan in scale since their launch, taking less than six months [1] Group 2 - The 5-10 year government bond ETF (511020) was quoted at 117.13 yuan as of August 14, with a cumulative increase of 4.00% over the past year [3] - The trading volume for the 5-10 year government bond ETF was active, with a turnover rate of 35.51% and a transaction value of 527 million yuan [3] - The latest scale of the 5-10 year government bond ETF reached 1.484 billion yuan [3] Group 3 - The yield spread for the 10-year government bonds is currently around 2 basis points, indicating limited excess value for these bonds in the short term [4] - The 30-year government bond yield spread is approximately 5 basis points, with new issuance expected to influence investor focus on pricing [4] - The 5-10 year government bond ETF closely tracks the China Securities 5-10 Year Government Bond Active Index, which reflects the overall performance of selected government bonds with maturities of 5, 7, and 10 years [4]

Group 1 - The company bond ETF (511030) has a latest quote of 106.2 yuan as of August 14, 2025, with a year-to-date increase of 1.04% [1] - The trading liquidity of the company bond ETF is active, with an intraday turnover of 12.2% and a transaction volume of 2.725 billion yuan, while the average daily transaction volume over the past week is 2.032 billion yuan [1] - The latest scale of the company bond ETF has reached 22.353 billion yuan, with a net value increase of 13.50% over the past five years [1] Group 2 - Recent adjustments in the bond market are attributed to systematic duration reduction by bond funds and brokerage proprietary trading, rather than redemptions or economic fundamentals [1] - The strong performance of the stock market previously led to heightened economic recovery expectations among investors, but current credit demand remains low, and prices are stable, making economic recovery challenging [1] - The central bank is expected to maintain a loose monetary policy, with the DR001 weighted average remaining slightly above 1.3%, indicating intentional actions by the central bank [1]

Group 1 - The core viewpoint of the report indicates that the bond market is experiencing a period of volatility without a clear trend, necessitating a focus on structural opportunities within the market [2][5] - On August 8, 2025, the implementation of VAT adjustments coincided with the issuance of nine new local government bonds, with overall results exceeding expectations [3][4] - The tax burden impact on self-operated and asset management institutions is estimated to be around 10 basis points (BP) and 5 BP respectively, with the theoretical yield spread between new and old bonds calculated at approximately 10 BP [3][4] Group 2 - The report highlights that the actual yield spread between new and old bonds was lower than the theoretical estimate, ranging from 4 to 7 BP, indicating a pricing adjustment reflecting a 3% VAT [3][4] - The report emphasizes the importance of liquidity and relative value in bond selection, suggesting a focus on long-term bonds with greater volatility and capital gain potential [5] - The adjustment in the curve compilation scheme implies that new bond valuations will carry more weight, potentially affecting institutions with high holdings of inactive old bonds [4]

Group 1: Report Industry Investment Rating - Not provided in the content Group 2: Core Viewpoints of the Report - The bond market continued its recovery this week, with most interest rates declining to varying degrees, especially short - term and credit interest rates. The short - term interest rate's further downward breakthrough momentum is weak, and the bond market may experience short - term phased oscillations, with the subsequent interest rate more likely to break through downward [1][4] - Although other markets and some policies have short - term impacts on the bond market, the continuous loosening of funds provides protection, and the overall pattern of asset shortage in the bond market remains unchanged [2][3][4] Group 3: Summary by Related Content Bond Market Current Situation - This week, the bond market continued its recovery, with short - term and credit interest rates declining more significantly. The 1 - year AAA certificate of deposit rate dropped 1.8bps to 1.62%, and the 1 - year and 5 - year AAA - secondary capital bonds decreased by 2.7bps and 0.7bps respectively. The 10 - year Treasury bond rate fell 1.7bps to 1.69%, while the 30 - year Treasury bond rate rose slightly by 1.1bps to 1.96%. The 10 - year Treasury bond rate has recovered most of its decline from the impact of the stock and commodity markets [1][8] Factors Restraining the Downward Breakthrough of Interest Rates - Other markets still suppress the bond market sentiment. The recent strong performance of the stock market affects the bond market sentiment, especially long - term bonds. The 30 - year Treasury bond has been weak recently due to this factor [2][9] - Institutional caution and the implementation of some growth - stabilizing policies will short - term constrain the bullish forces. In the second quarter of this year, the duration of funds increased significantly, and high positions made institutions operate more cautiously. The relaxation of purchase restrictions in Beijing may also affect the downward force of interest rates [2][11] Factors Protecting the Bond Market - The continuous loosening of funds provides market protection, making it difficult for interest rates to rise significantly. The overnight interest rate is around 1.3%, and R007 is around 1.4%, protecting the overall market. During the market recovery since July 29, short - term interest rates have declined more significantly [3][11] - In the future, funds will remain loose. Financing demand may continue to slow down, government bond supply will decrease, and fund supply is sufficient. The central bank has stated that it will maintain ample liquidity [3][12] Future Outlook for the Bond Market - The bond market may experience short - term phased oscillations. As the fundamentals and asset supply - demand change, the interest rate is more likely to break through downward. From the fundamental perspective, low interest rates are needed to boost domestic demand, and from the asset supply - demand perspective, the decrease in asset supply and continuous loosening of funds will increase the pressure of asset shortage [4][13] - After the phased cooling of the stock and commodity markets, the 10 - year and 30 - year Treasury bonds may oscillate when approaching the pre - adjustment levels of 1.65% and 1.85%. Subsequently, as the fundamentals change and the asset shortage evolves, the interest rate may break through downward, more likely near or in the fourth quarter [4][18]

Group 1 - The core viewpoint of the articles indicates a downward trend in the yields of major term government bonds, with the 10-year government bond yield returning to 1.69% and a generally loose funding environment as the overnight rate is below 1.3% [1][5] - The closing prices of government bond futures mostly increased, with the 30-year main contract rising by 0.03% to 119.380 yuan, the 10-year main contract up by 0.05% to 108.615 yuan, and the 5-year main contract also up by 0.05% to 105.830 yuan [1][3] - The interbank major interest rate bond yields decreased across the board, with the 10-year government bond active coupon yield down by 0.7 basis points to 1.69% and the 30-year government bond yield down by 0.45 basis points to 1.914% [1][2] Group 2 - The auction results for government bonds showed a weighted interest rate of 1.585% for a 3-year bond and 1.715% for a 7-year bond, with full bid-to-cover ratios of 3.27 and 5.36 respectively [3] - The trading market for non-financial credit bonds saw significant movements, with the top five gainers including bonds from companies like 德达 and 文蓝, while the top five losers included bonds from 万科 and 梁山 [4] - The central bank conducted a reverse repurchase operation of 160.7 billion yuan at a rate of 1.40%, with a net withdrawal of 122.5 billion yuan for the day [5][6]

Group 1 - Henan issued 7-year general local bonds with a scale of 14.29449 billion, an issuance rate of 1.7300%, and a marginal multiple of 1.58 times, with an expected multiple of 2.26 [1] - Henan also issued 10-year ordinary special local bonds with a scale of 3.653 billion, an issuance rate of 1.7600%, and a marginal multiple of 1.29 times, with an expected multiple of 2.20 [1] - Agricultural Development Bank issued 392-day bonds with a scale of 15 billion, an issuance rate of 1.3900%, and a bidding multiple of 1.91 times, with a marginal multiple of 2.40 times [1] Group 2 - Shaanxi issued 10-year general local bonds with a scale of 6.50512 billion, an issuance rate of 1.7900%, and a marginal multiple of 2.66 times, with an expected multiple of 1.92 [1] - Shaanxi also issued 15-year ordinary special local bonds with a scale of 5.77238 billion, an issuance rate of 2.0100%, and a marginal multiple of 2.61 times, with an expected multiple of 2.06 [1] - The bond market is experiencing a decoupling from the stock market, with expectations for the 10Y national bond to return to around 1.65% after a rapid adjustment [3] Group 3 - As of August 6, 2025, the 5-10 year national bond active index increased by 0.03%, with the national bond ETF for 5-10 years showing a recent price of 117.31 yuan [3] - The national bond ETF for 5-10 years has seen a near 1-week cumulative increase of 0.25% [3] - The national bond ETF for 5-10 years has a latest scale of 1.488 billion [3] Group 4 - The national bond ETF for 5-10 years has seen a net value increase of 21.13% over the past 5 years [4] - The highest single-month return since inception for the national bond ETF for 5-10 years was 2.58%, with the longest consecutive months of increase being 10 months [4] - The management fee rate for the national bond ETF for 5-10 years is 0.15%, and the custody fee rate is 0.05% [4]