一、行情回顾与市场背景 2024年9月24日，国新办举行关于金融支持经济高质量发展的新闻发布会，央行、金融监管总局、证监会联合宣布了一系列重磅金融政策。两 天后，中央政治局会议定调：要努力提振资本市场，大力引导中长期资金入市。这些政策信号彻底改变了市场预期。 去年9月24日，A股市场在政策组合拳的推动下启动了一轮波澜壮阔的牛市行情。 转眼一年过去，核心指数涨幅惊人：创业板指涨幅为 97.21%，上证指数上涨34.60%，深证成指上涨58.33%，两市日均成交量达到1.66万亿元。 在这一特殊时点，私募基金作为市场重要参与者， 其业绩表现尤为引人关注，不同策略、不同规模的私募机构上演了一场精彩的业绩竞争。 图1：市场主流宽基指数近一年收益表现情况 数据来源：私募排排网，截至日期为2024年9月24日至2025年9月24日 "924行情"先经历了快速上涨，随后高位横盘震荡数月，其中伴随今年2月科技行情以及4月中美对等关税事件的巨幅冲击，在6月继续向上突 破。8月13日，沪指突破去年10月8日的高点3674点，创下近4年新高。结构性机会层出不穷。北证50指数飙升逾160%，成为市场最亮眼的风景 线。科技主线强势领跑 ...

分析师：蔡梦苑 登记编号：S0890521120001 分析师：周佳卉 登记编号：S0890525040001 投资要点 监管和行业动态： 1、9月24日，国内第二批14只科创债ETF集体上市，标志着科创债ETF市场 显著扩容。理财公司已成为科创债ETF的重要投资主体，兴银理财、招银理财等机构旗下多只 产品现身多家科创债ETF的前十大持有人名单。2、随着权益市场逐步回暖，理财公司正以"产 品端扩容+投研端深化"的"双管齐下"策略，积极把握市场机遇。多家银行理财子公司一方面加 大含权类理财产品发行力度，另一方面提升对上市公司的调研频次与深度 。 同业创新动态： 1、建信理财于9月23日成功发行首只结构性理财产品"私行精选福星黄金鲨鱼 鳍固收类封闭式产品2025年第1期"，产品募集规模接近上限，获得个人投资者广泛认可。2、9 月25日，奇瑞汽车正式在港交所挂牌上市，为年内港股市场规模最大的车企IPO，中邮理财获配 基石投资份额2000万美元。 收益率表现： 上周（2025.9.22-2025.9.28，下同）现金管理类产品近7日年化收益率录得 1.30%，环比上升1BP；同期货币型基金近7日年化收益率报1.22% ...

1. Report Industry Investment Rating No information provided in the content. 2. Core Viewpoints of the Report - The bond market may break through its downward space in the fourth quarter. After experiencing multiple "stress tests" in the third quarter, the bond market has shown strong resilience. With the improvement of the bond market's adaptability to the strengthening of the equity market and the decline of the excessive trading of long - term bonds, a more rational pricing logic may dominate the market again, and the stable allocation demand will become the "ballast stone" for the interest rate to decline. The interest rate is expected to be in a "moderate" downward state [8][46]. 3. Summaries Based on Relevant Catalogs 3.1 Can the Bond Market Break Through the Sideways Trend in the Fourth Quarter? 3.1.1 The Bond Market Fluctuated Widely in September, with Bulls and Bears in a Fierce Battle and a Wavy Uptrend - The valuation yield of the 10 - year treasury bond has basically completed the anchoring to the "new bond". The spread between the new bond (250016) and the old bond (250011) is basically stable at 5 - 8BP, and the yield - to - maturity compensation due to value - added tax is about 2.8% - 4.5% [1][11]. - The capital interest rate fluctuated significantly due to the cross - quarter effect, and the central level increased to some extent. The increase in the central level of the capital interest rate led to an upward trend in the bond market interest rate and a compression of the Carry space, resulting in bond market selling pressure [1][14]. - The bond cashing demand of the bank's OCI account is one of the factors pressuring the bond market. From September 1st to 26th, joint - stock banks, city commercial banks, and rural commercial banks were the main sellers in the bond market [2][18]. - Regulatory policy adjustments and the increasing expectation of restarting treasury bond trading also drove the bond market trend. The "new rule" led to a rapid correction in the bond market in early September, while the increasing expectation of the central bank restarting treasury bond trading supported the rebound in mid - September [2][21]. 3.1.2 The Bond Market May Break Through the Downward Space in the Fourth Quarter - The "see - saw" effect between stocks and bonds weakened in September. If the equity market turns into a slow - bull pattern in the fourth quarter, the suppression on the bond market from the equity market may ease [3][23]. - The price level is still in the repair stage, with PPI bottoming out and rising, but CPI has not shown signs of recovery. If the economic recovery slope is lower than expected or Sino - US economic and trade relations deteriorate unexpectedly, there is still a possibility of another interest rate cut this year [5][28]. - From the supply side, the fourth quarter is usually the "off - season" for government bond supply, but attention should be paid to the possible advance issuance of the special bonds for replacing hidden debts in 2026. Even if the supply pressure increases, the impact on the market may be relatively controllable, and the central bank may use open - market operations for hedging [6][33]. - From the demand side, even if the "new rule" is implemented in the fourth quarter, its impact on the bond market is likely to be short - term and frictional, not a trend - based decline in demand. The demand from core bond - market allocators such as wealth management and insurance remains strong [7][40]. 3.2 Important Matters - The net MLF injection was 300 billion yuan in September. On September 25th, the central bank conducted a 600 - billion - yuan MLF operation, with a maturity scale of 300 billion yuan in September [48]. 3.3 Money Market 3.3.1 Open - Market Operations and Capital Interest Rate Trends - From September 22nd to 26th, the central bank injected a total of 2.4674 trillion yuan through reverse repurchase operations, with a maturity of 1.8268 trillion yuan, and the net injection was 640.6 billion yuan. It is expected that 516.6 billion yuan of base money will be recalled from September 29th to 30th [50]. - The inter - bank liquidity was tight first and then loose last week, mainly due to the central bank's protection of liquidity. As of September 26th, R001, R007, DR001, and DR007 changed by - 16.49BP, 3.78BP, - 14.62BP, and 2.17BP respectively compared with September 19th [54]. 3.3.2 Certificate of Deposit Interest Rate Trends and Repurchase Transaction Situations - In the primary market, commercial banks' inter - bank certificates of deposit showed a net outflow, with a net financing scale of - 188.79 billion yuan last week. The issuing scale of state - owned banks was the largest, but they also had the largest net outflow [59][63]. - The issuing interest rate of inter - bank certificates of deposit increased last week. In the secondary market, the yields of inter - bank certificates of deposit at all maturities showed an upward trend [64][67]. 3.4 Bond Market - In the primary market, the supply of interest - rate bonds was relatively small last week. The total actual issuance was 60.834 billion yuan, with a maturity of 9.2 billion yuan and a net financing of 51.634 billion yuan [68]. - In the secondary market, the bond market sentiment was relatively weak last week, showing an upward trend in the shock, and the curve shape became steeper. The average daily turnover rates of the 10 - year treasury bond and 10 - year CDB bond active bonds decreased, and the liquidity premium of the 10 - year treasury bond active bond increased [68][77]. 3.5 Institutional Behavior Tracking - The institutional leverage ratio increased seasonally in August but was at a seasonal low year - on - year. The average daily trading volume of inter - bank pledged repurchase decreased last week, with an average of about 7.27 trillion yuan [94][99]. - In the cash bond market, state - owned banks increased their purchases of treasury bonds within 5 years and 5 - 10 years; rural commercial banks continued to sell but with a reduced intensity; insurance institutions continued to increase their holdings of treasury bonds and local bonds over 10 years; securities firms and funds sold significantly [104]. - The current average cost of major trading desks for adding positions in 10 - year treasury bonds is around 1.85% [107]. 3.6 High - Frequency Data Tracking - Last week, the settlement prices of rebar and wire rod futures decreased, while those of cathode copper, cement, and glass increased. The CCFI index decreased, and the BDI index increased [117]. - In terms of food prices, the pork wholesale price decreased, and the vegetable wholesale price increased. The settlement prices of Brent and WTI crude oil futures increased [117]. - The central parity rate of the US dollar against the RMB was 7.12 last week [117].

据中基协最新披露的数据，截至8月末，我国公募基金总规模突破36万亿元大关，年内第5次创下历史新 高。 分产品类型来看，受益于8月权益市场的热度以及增量资金的踊跃，担纲规模增长主力的为主动权益类 基金，其中股票基金净值环比增幅高达12.76%。从历史数据来看，单月实现两位数增长亦实属罕见， 美股、港股市场的升温也带动QDII基金规模的上扬。 权益资产份额的增长源于发行端的上新与二级市场的加购。若以基金成立日为口径，数据显示，8月新 成立基金合计发行份额1020亿份，其中，股票型基金发行份额472亿份；混合型基金发行份额约为 143.57亿份，权益基金新发份额占整体发行的一半之多。 此外，股基与混基份额此消彼长的背后，也反映出ETF的强势突围。8月份，国内ETF规模已达5.07万亿 元，而距离上一次站上4万亿关口仅历时4个月，ETF规模持续上涨也是二级市场"加购"的真实写照。 债基整体规模回撤 此外，股债跷跷板效应再度演绎，8月内债基无论是份额还是净值规模均有小幅下滑。 公募基金规模续创新高 据中基协数据，截至2025年8月底，我国境内公募基金管理机构共164家，其中基金管理公司149家，取 得公募资格的资产管理 ...

Core Viewpoint - The bond market is experiencing intensified volatility and challenges, with banks facing difficulties in bond investments and adjusting their strategies accordingly [1][3][4]. Group 1: Market Conditions - The bond market is currently in a state of wide fluctuations, with the ten-year government bond yield oscillating between 1.85% and 1.9%, reflecting increased volatility [3]. - After the implementation of new tax regulations on bond interest, the attractiveness of bonds has decreased, leading to a potential reallocation of assets towards equities and other investments [2]. - In August, the trading volume of bonds declined significantly, with state-owned banks trading approximately 3.568 trillion yuan and joint-stock banks trading about 11.232 trillion yuan, marking a drop from previous months [2]. Group 2: Bank Performance - In the first half of the year, over 80% of A-share listed banks reported positive growth in investment income, with an average increase exceeding 45%, primarily driven by the realization of bond floating profits [5][6]. - Notably, the China Construction Bank achieved an investment income of 27.912 billion yuan, with a year-on-year growth exceeding 200%, significantly contributing to its revenue [6]. - However, many banks are experiencing a decline in non-interest income due to the challenging market conditions, with some reporting negative growth [4]. Group 3: Investment Strategies - Banks are adjusting their investment strategies in response to the volatile bond market, focusing on wave trading and increasing the use of derivative instruments for hedging [9][10]. - The Postal Savings Bank has adopted a more flexible asset-liability strategy, actively expanding its balance sheet to capture income opportunities amid market fluctuations [9]. - The overall sentiment among bank executives is cautious regarding the sustainability of investment income growth in the second half of the year [3][4].

据中基协最新披露的数据，截至8月末，我国公募基金总规模突破36万亿元大关，年内第5次创下历史新 高。 分产品类型来看，受益于8月权益市场的热度以及增量资金的踊跃，担纲规模增长主力的为主动权益类 基金，其中股票基金净值环比增幅高达12.76%。从历史数据来看，单月实现两位数增长亦实属罕见， 美股、港股市场的升温也带动QDII基金规模的上扬。 此外，股债跷跷板效应再度演绎，8月内债基无论是份额还是净值规模均有小幅下滑。 据中基协数据，截至2025年8月底，我国境内公募基金管理机构共164家，其中基金管理公司149家，取 得公募资格的资产管理机构15家。以上机构管理的公募基金资产净值合计36.25万亿元，较上个月增超 1.17亿份。 值得一提的是，这是我国公募基金总规模首次突破36万亿元，为年内第5次创新高，也是自2024年初以 来第11次创下历史新高。 某公募人士认为，8月A股市场整体表现稳健，为公募产品发行创造了良好的市场氛围。且公募基金展 现出较强赚钱效应，提振了投资者的参与热情，带动资金持续流入。 权益基金大放异彩 行情方面，8月沪指累计上涨7.97%，为近11个月最佳表现；深证成指涨15.32%，创业板指 ...

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The report maintains the view that the medium - term general direction of the treasury bond futures market is oscillating with a bearish bias [4]. 3. Summary by Directory 3.1. Weekly Focus and Market Tracking - Treasury bond futures contracts have been in a continuous weekly correction, with the ultra - long - end performing weakly. Before the National Day holiday, some profit - taking sales led to a decrease in the stock market's risk appetite and a rebound in the bond market [4][5]. - The treasury bond futures market showed an oscillating and relatively strong trend this week. Policy coordination and liquidity expectations dominated market sentiment. Long - term varieties were more active but their prices were under pressure, while short - term varieties were relatively stable [5]. - The central bank restarted the 14 - day reverse repurchase operation and adjusted its tender method, releasing a signal of liquidity support. However, the policy coordination effect weakened the supply shock. The new regulations on public fund sales increased the short - bond redemption pressure, and there were differences in the market's expectations for additional loose - money policies. Combined with the "stock - bond seesaw" effect, the bond market was under short - term pressure [5]. - The risk appetite has significantly decreased in recent trading days, but the bond market has not improved. In terms of the net long - position changes, private funds slightly reduced their positions, while wealth management subsidiaries and foreign capital slightly increased their positions, showing a divergence between speculative and allocation funds [5]. - Based on the initial information of the September EPMI, the macro - economic monthly环比 situation has warmed up, but the overall growth performance in the third quarter was relatively weak. There is still room for policy deployment, and inflation环比 has marginally improved. Policies to guide long - term funds into the market are in the ascendant [5]. - The treasury bond futures market shows a differentiated feature of short - term stability and intensified long - term fluctuations, with a significant change in the yield curve shape. The trading volume of the 30 - year treasury bond futures has significantly increased, indicating increased long - term selling pressure and intensified long - short game [9]. 3.2. Liquidity Monitoring and Curve Tracking No specific content provided other than the title and source information [12][13]. 3.3. Seat Analysis - In terms of the daily changes in the net long - position of different institutional types: private funds decreased by 6.67%, foreign capital decreased by 0.51%, and wealth management subsidiaries decreased by 1.51%. In terms of weekly changes: private funds decreased by 5.46%, foreign capital increased by 14.04%, and wealth management subsidiaries increased by 13.74% [14].

据中基协最新披露的数据，截至8月末，我国公募基金总规模突破36万亿元大关，年内第五次创下历史 新高。 分产品类型来看，受益于8月权益市场的欢腾以及增量资金的踊跃，担纲规模增长主力的为主动权益类 基金，其中股票基金净值环比增幅高达12.76%，从历史数据来看，单月实现两位数增长亦实属罕见， 美国、中国香港市场的升温也带动QDII规模的上扬。 此外，股债"跷跷板"效应再度演绎，8月内债基无论是份额还是净值规模均有小幅下滑。 公募基金规模续创新高 据中基协数据，截至2025年8月底，我国境内公募基金管理机构共164家，其中基金管理公司149家，取 得公募资格的资产管理机构15家。以上机构管理的公募基金资产净值合计36.25万亿元，较上个月增超 1.17亿份。 值得一提的是，这是我国公募基金总规模首次突破36万亿元，为年内第五次创新高，也是自2024年初以 来第十一次创下历史新高。 权益基金大放异彩 行情方面，8月沪指累计上涨7.97%，为近11个月最佳表现；深证成指涨15.32%，创业板指涨24.13%。 因此在股票市场大幅升温的环境下，主动权益规模实现了跃升，在各类型产品中，成为贡献整体规模的 中坚力量。 具体来 ...

Core Insights - The public fund market in China reached a record high of 36 trillion yuan in August 2025, marking a growth of 1.18 trillion yuan from July, with a growth rate of 3.36% [1][2] Fund Categories Summary - **Equity Funds**: The scale reached 5.55 trillion yuan in August, increasing by 628.07 billion yuan from June, with a growth rate of 12.76%. The number of shares increased by 79.67 billion from July, a growth of 2.32% [2][3] - **Mixed Funds**: The scale was 4.16 trillion yuan in August, with an increase of 332.70 billion yuan, representing a growth rate of 8.69%. However, the number of shares decreased by 45.01 billion from July, a decline of 1.50% [2][3] - **Money Market Funds**: The scale reached 14.81 trillion yuan, with an increase of 196.35 billion yuan, reflecting a growth rate of 1.34%. The number of shares increased by 190.42 billion from July, a growth of 1.30% [2][3] - **Bond Funds**: The scale was 7.21 trillion yuan, with a decrease of 28.51 billion yuan, representing a decline of 0.39%. The number of shares decreased by 95.15 billion from July, a decline of 1.62% [2][3] - **Cross-Border Funds (QDII)**: The scale reached 797.32 billion yuan, increasing by 67.27 billion yuan, with a growth rate of 9.21%. The number of shares increased by 51.65 billion from July, a growth of 8.64% [2][3] Market Trends - The mixed fund category experienced significant net redemptions, totaling 450 billion yuan in August and 370 billion yuan in July, indicating a total net redemption of 820 billion yuan over two months [3][4] - The bond market saw a notable shift, with net redemptions of bond funds reaching 951 billion yuan in August, a decrease from 1.944 trillion yuan in July, as funds moved towards equity markets [5] - Non-bank deposits in China showed significant growth, with an increase of 5.87 trillion yuan in the first eight months of 2025, accounting for 28.63% of the total increase in RMB deposits during the same period [6][7]

Report Industry Investment Rating No relevant content provided. Core View of the Report The current bond market is intertwined with multiple factors. The economic data in August indicates that the pattern of "strong supply and weak demand" may continue, and the economic growth in the third quarter is under pressure. Coupled with the increasing expectation of the central bank restarting bond purchases, it provides some support for the current bond market. However, in the absence of incremental positive factors, the market is sensitive to negative news. The uncertainty of the new regulations on public bond funds continues to disrupt the market, and bearish sentiment still dominates. There are also differences in the market's expectations for loose monetary policies. It is expected that Treasury bond futures will continue to show a weak and volatile pattern in the short term. For strategies, it is recommended to wait and see for unilateral operations, and at the same time, pay attention to the trading opportunities of long - term term spreads brought about by the steepening of the yield curve [102]. Summary According to the Table of Contents 1. Market Review - **Weekly Data of Treasury Bond Futures**: The main contracts of Treasury bond futures all declined this week. The TL2512 (30 - year) contract fell 0.53%, the T2512 (10 - year) contract fell 0.14%, the TF2512 (5 - year) contract fell 0.13%, and the TS2512 (2 - year) contract fell 0.02%. The trading volumes of the TS, TF, T, and TL main contracts all decreased. The open interests of the TF, T, and TL main contracts increased, while that of the TS main contract decreased [11][15][21][29]. - **Price Changes of Deliverable Bonds**: The prices of the top two cheapest - to - deliver (CTD) bonds for each contract term also changed. For example, the price of 210005.IB (18y) for the 30 - year contract decreased by 1.18 [12]. 2. News Review and Analysis - **Domestic Policy News**: On September 19, the central bank adjusted the 14 - day reverse repurchase operation in the open market. On September 22, the loan prime rate (LPR) remained unchanged. On September 24, the central bank planned to conduct a 6000 - billion - yuan medium - term lending facility (MLF) operation, with a net MLF injection of 3000 billion yuan this month. Also on September 24, nine departments including the Ministry of Commerce issued 13 measures to support service exports. On September 25, the scale of China's public funds exceeded 36 trillion yuan for the first time [32][33]. - **Overseas News**: On September 25, the US announced that the annualized final value of real GDP in the second quarter increased by 3.8% quarter - on - quarter. The US President Trump announced that starting from October 1, the US will impose a new round of high - tariff policies on multiple categories of imported products [33][34]. 3. Chart Analysis - **Spread Changes** - **Yield Spreads**: The spread between 10 - year and 5 - year Treasury bond yields narrowed slightly, while the spread between 10 - year and 1 - year Treasury bond yields widened slightly. The spread between the TF and TS main contracts widened slightly, and the spread between the T and TF main contracts narrowed slightly. The inter - term spread of the 10 - year contract narrowed, while that of the 30 - year contract widened. The inter - term spread of the 5 - year contract narrowed, and that of the 2 - year contract widened [42][48][52][59]. - **Changes in Main Contract Positions**: The net long positions of the top 20 holders of the T Treasury bond futures main contract increased significantly [66]. - **Interest Rate Changes** - **Shibor and Treasury Bond Yields**: Overnight and 2 - week Shibor rates decreased, while 1 - week and 1 - month Shibor rates increased. The DR007 weighted average rate rebounded to around 1.53%. The yields of Treasury bond cash bonds weakened across the board, with the yields of 1 - 7 - year maturities rising by 1.8 - 4bp, and the 10 - year and 30 - year yields rising by about 0.9bp and 0.4bp to 1.80% and 2.22% respectively [70]. - **Sino - US Treasury Bond Yield Spreads**: The spread between 10 - year Sino - US Treasury bond yields widened slightly, and the spread between 30 - year Sino - US Treasury bond yields narrowed slightly [74]. - **Central Bank's Open - Market Operations**: This week, the central bank conducted 24674 billion yuan in reverse repurchases and 6000 billion yuan in MLF injections in the open market. With 18268 billion yuan in reverse repurchases and 3000 billion yuan in MLF maturing, the net injection was 9406 billion yuan. The DR007 weighted average rate rebounded to around 1.53% [79]. - **Bond Issuance and Maturity**: This week, the total bond issuance was 14184.42 billion yuan, and the total repayment amount was 16612.56 billion yuan, resulting in a net financing of - 2428.14 billion yuan [83]. - **Market Sentiment** - **Exchange Rate**: The central parity rate of the RMB against the US dollar was 7.1152, with a cumulative depreciation of 21 basis points this week. The spread between the offshore and onshore RMB strengthened [86]. - **US Treasury Bond Yields and Volatility Index**: The yield of 10 - year US Treasury bonds fluctuated upwards, and the VIX index increased [92]. - **A - Share Risk Premium**: The yield of 10 - year Treasury bonds increased, and the A - share risk premium decreased slightly [98]. 4. Market Outlook and Strategy - **Domestic Fundamental Situation**: In August, the growth rates of industrial added value, social retail sales, and exports declined compared with previous values. The scale of fixed - asset investment continued to shrink, and the unemployment rate increased seasonally. In terms of financial data, the growth rate of social financing slowed down slightly in August, and the support of government bonds for social financing weakened. Although new loans turned positive, the credit growth rate continued to weaken, and overall demand remained weak. Since July, the economic recovery has continued to slow down [101]. - **Overseas Situation**: The US economic growth momentum is stronger than expected. The annualized quarterly rate of real GDP in the second quarter was revised up to 3.8%. The labor market remains resilient, and inflation is still sticky. Market expectations for multiple interest rate cuts by the Fed this year have cooled [101]. - **Market Outlook and Strategy Suggestion**: It is expected that Treasury bond futures will continue to show a weak and volatile pattern in the short term. For unilateral operations, it is recommended to wait and see. At the same time, pay attention to the trading opportunities of long - term term spreads brought about by the steepening of the yield curve [102].