Group 1 - The core viewpoint indicates a significant decline in bond futures prices across various maturities, with the 30-year bond futures dropping by 2.7% and the 10-year bond futures down by 0.4% since September [1] - The equity market's strength is exerting pressure on the bond market, leading to a noticeable "see-saw" effect between stocks and bonds, as liquidity shifts from the bond market to equities [1] - Economic data from August shows weakness, with the official manufacturing PMI improving but still below the growth line, indicating economic pressure [1] Group 2 - The article highlights the importance of responding to potential liquidity tightening risks, suggesting strategies for hedging in such scenarios [2] - Historical research indicates that the basis is significantly influenced by funding rates, with tightening conditions favoring long positions in bond futures [2] - The article recommends participating in interest rate flattening strategies and prioritizing the "short TS long T" arbitrage strategy, as the net basis showed a pattern of first expanding and then contracting in September [2]

交易咨询资格号： 证监许可[2012]112 2025 年 9 月 26 日 | | [Table_Finance] | | | | | | --- | --- | --- | --- | --- | --- | | 联系人：王竣冬 | 2025/9/26 | | 基于基本面研判 | | | | 期货从业资格：F3024685 | 趋势空头 | 震荡偏空 | 震 荡 | 震荡偏多 | 趋势多头 | | 交易咨询从业证书号：Z0013759 | | 锌 | 上证50股指期货 | 沥青 | | | | | 液化石油气 | 原油 | 三十债 | | | 研究咨询电话： | | 氧化铝 | 中证500股指期货 | 十债 | | | | | 鸡蛋 | 中证1000指数期货 | 工业硅 | | | 0531-81678626 | | 纯碱 | 沪深300股指期货 | 二债 | | | | | | 尿素 | 五债 | | | 客服电话： | | | 铝 | 对二甲苯 | | | | | | 烧碱 | 乙二醇 | | | 400-618-6767 | | | 多晶硅 | 短纤 | | | | | | 棉纱 | PTA | | ...

首席 点 评 ： 公募基金规模首破 36 万亿 中基协发布数据显示，我国公募基金规模首次突破 36 万亿元大关，截至 8 月底达到 36.25 万亿元，单 月猛增 1.18 万亿元。股债跷跷板效应下，债券基金规模小幅下降 285 亿元。商务部发布公告，决定将 扁平地球管理公司等 3 家美国实体列入出口管制管控名单，决定对墨西哥相关涉华限制措施启动贸易投 资壁垒调查。美国第二季度 GDP 增速上修至 3.8% ，创近两年新高， PCE 物价指数 2.6% ，显示出通胀 压力比之前评估的更为顽固。美国上周首申人数大幅回落至 21.8 万人，为 7 月以来最低。市场对 10 月 降息预期有所降温。美股三大指数三连跌， 2 年期美债收益率回升，黄金、原油价格上涨 。 重点品种： 股指、原油、玻璃 原油： SC 夜盘小幅上涨。俄将在年底前对柴油出口实施部分禁令，并延长目前对汽油出口的禁令。在 乌克兰加强了对众多炼油厂的无人机袭击之后，俄几个地区正面临某些等级燃料的短缺。周四美国劳工 部报告称，上周首次申领失业救济人数减少 1.4 万人至 21.8 万人，预估为 23.3 万人。首次申请失业救 济的 4 周移动均值为 2 ...

Group 1 - The bond futures market continued to decline overall, with a slight rebound in the afternoon, as the 30-year main contract rose by 0.11% while the 10-year, 5-year, and 2-year contracts fell by 0.01% each [1] - As of 4:30 PM, the yields on major interbank government bonds showed mixed results, with the 10-year government bond yield decreasing by 0.75 basis points to 1.8075%, while the 30-year bond yield remained unchanged at 2.114% [1][2] - Recent adjustments in the bond market are attributed to multiple factors, including unmet policy expectations and increased short-term redemption costs for bond funds due to new public fund fee regulations [3] Group 2 - The recent bond market adjustments have led to a rise in the yields of the 10-year and 30-year government bonds, reaching previous highs, indicating a potential shift in market dynamics [2][3] - Analysts suggest that the current market volatility may define future trading ranges, with the possibility of a rebound in the short term, while the medium to long-term outlook remains uncertain [3] - Investment strategies recommended include cautious trading for short-term funds and gradual allocation for long-term investments, focusing on high-quality short to medium-duration bonds [3]

资金面整体均衡 8月，央行流动性呵护态度不改，资金面整体均衡。其中，买断式逆回购和中期借贷便利（MLF） 均增量续做，公开市场操作（OMO）投放超6万亿元，充分满足银行的资金需求，全月公开市场整体净 投放4466亿元。 具体来看，8月，央行MLF提量续做6000亿元、净投放3000亿元；买断式逆回购投放12000亿元、 净投放3000亿元；逆回购净回笼534亿元；国库现金定存净回笼1000亿元。分析人士表示，8月资金面整 体均衡，受股市影响，税期前后资金面边际收敛，但央行呵护力度不改，促进银行流动性状况改善，月 末资金面回归平稳宽松。 在此背景下，主要回购利率继续下行。交易中心数据显示，存款类机构隔夜回购利率（DR001）、 隔夜质押式回购利率（R001）月度加权均值分别环比下行4个基点、下行5个基点至1.35%和1.4%； DR007、R007月度加权均值分别环比下行4个基点、下行5个基点至1.49%和1.51%。全月DR007最低值 1.4242%、最高值1.568%、中位数1.4669%；波动幅度为14个基点，环比减少9个基点。 分阶段来看，8月初，逆回购到期量较大，无碍资金面平稳宽松，资金利率维持低位 ...

Investment Rating - The report does not explicitly provide an investment rating for the industry Core Insights - The report highlights a significant trend in the banking wealth management sector, with companies increasingly focusing on index-based products to enhance their offerings and meet market demands [4][11] - The collaboration between financial institutions, such as the partnership between Huaxia Wealth and Huaxia Fund, aims to create a robust index ecosystem to support high-quality development in asset management [13][14] - The report notes the successful IPO of Hesai Technology, marking a significant event in the market, with postal wealth management participating in this investment [15][16] - The introduction of the Shanghai Sci-Tech Financial Theme Wealth Management Product by Puyin Wealth Management reflects a strategic move to align with national innovation policies and support local tech enterprises [18] Summary by Sections 1. Regulatory and Industry Dynamics - Wealth management companies are actively launching index-based products, with an increase in both the number and issuance of such products in the market [4][11] - The core motivation for this shift includes reducing active management risks, enhancing strategy transparency, and meeting customized client demands through self-constructed indices [12] 2. Peer Innovation Dynamics - Huaxia Wealth and Huaxia Fund have signed a memorandum to deepen cooperation in the index business, aiming to build a market-influential index ecosystem [13][14] - Puyin Wealth Management has launched a new product focused on technology finance, raising 220 million yuan to support quality tech enterprises in Shanghai [18] 3. Yield Performance - Cash management products recorded a 7-day annualized yield of 1.29%, remaining stable compared to the previous week, while money market funds saw a slight increase to 1.19% [19][20] - The report indicates a general recovery in annualized yields for fixed-income products across various maturities [23][27] 4. Net Value Tracking - The net value ratio of banking wealth management products decreased to 2.04%, down by 0.61 percentage points, indicating a positive trend in credit spreads [29][32]

Key Insights - The expectation of a Federal Reserve interest rate cut has significantly increased, with market predictions exceeding 90% probability, driven by weak economic data, particularly in the labor market [8][9] - The credit bond market is experiencing a cooling trend, with issuance down to 13,127.58 billion yuan in August, a decrease of 1,349.78 billion yuan from the previous month, and net financing dropping to 543.99 billion yuan [10][49] - The monthly rolling default rate in the bond market is at 0.17%, with one new defaulting entity, Shenzhen Zhongzhuang, indicating ongoing credit risks [21][24] Market Review - The manufacturing PMI in August slightly improved to 49.4, indicating a weak recovery in the economy, while liquidity remains generally ample with the central bank injecting 1,466 billion yuan [10][36] - The average issuance rate for credit bonds has mostly increased, with the 3-year AAA corporate bond rate rising by 16 basis points, reflecting higher borrowing costs across various sectors [49][50] - The secondary market saw most bond yields rise, with the 10-year government bond yield increasing by 13 basis points to 1.84% [12][30] Credit Risk and Regulatory Environment - The ongoing high-pressure regulatory environment for implicit debt emphasizes the need to prevent "disposal risk" [11][12] - Five entities, including those in the real estate sector, have extended their bonds due to operational performance declines and cash flow issues, highlighting the challenges faced by these industries [24][25] - Credit spreads for short-term notes have generally widened, with most sectors experiencing increased issuance costs [30][51]

Report Summary 1. Investment Rating No investment rating is provided in the report. 2. Core View The report suggests that Treasury bond futures are expected to trade in a low - level range in the short term, with both upward and downward pressures. There is potential for medium - to long - term interest rate cuts, but the possibility of an immediate full - scale rate cut is low [1][5]. 3. Summary by Section 3.1 Variety View Reference - Financial Futures Stock Index Sector - For the TL2512 variety, the short - term view is "sideways", the medium - term view is "sideways", the intraday view is "sideways - bullish", and the overall view is "sideways". The core logic is that there are still medium - to long - term expectations of interest rate cuts, but the possibility of a short - term full - scale rate cut is low [1]. 3.2 Main Variety Price and Market Driving Logic - Financial Futures Stock Index Sector - The varieties include TL, T, TF, and TS. The intraday view is "sideways - bullish", the medium - term view is "sideways", and the reference view is "sideways". - The core logic is that Treasury bond futures fluctuated and rose yesterday. Although the September LPR remained unchanged, there is still potential for medium - to long - term interest rate cuts. The weak credit data in August, the marginal slowdown in consumption growth, and the weak inflation data have increased the expectation of macro - policies to stabilize demand in the fourth quarter. With the Fed's rate cut in September and two more expected cuts this year, there is still an expectation of monetary easing in the future, providing strong support for Treasury bond futures in the medium - to long - term. - However, the upward momentum of Treasury bond futures is insufficient. Firstly, there is no high need for an immediate full - scale rate cut, which needs to be coordinated with fiscal policies. Secondly, the stock - bond seesaw effect suppresses the demand for Treasury bonds [5].

证券研究报告 | 固定收益定期 gszqdatemark 2025 09 22 年 月 日 固定收益定期 超长债，风险还是机会？ 近期随着债市的持续调整，超长债下跌明显，期限利差显著拉大。近期 30-10 年 国债期限利差的显著拉大，从 7 月初 21bps 左右上升至目前 30bps 以上，上升至 2024 年以来的最高位。随着债市压力持续，以及市场对资本利得希望的降低，对 超长债出现持续看弱的声音。那么超长债是否不再具备投资价值，当前位置，是风 险还是机会呢？ 当前超长债期限利差走阔背后，有风险偏好、供给和资金等多方面原因。股市上 升提升风险偏好，是超长债利差走阔的原因之一。今年 7 月以来，市场风险偏好 抬升，A 股明显走强。股债跷跷板效应下，市场对债券的投资热情下滑，如债券基 金份额出现回落。随着债券市场情绪走弱，债券收益率也随之明显调整。风险偏好 提升导致 30 年-10 年国债利差走阔。供给端冲击可能是另一个原因。从此前经验 来看，供给冲击预期之下，超长债利差往往有所拉大。今年 5 月以来超长期特别 国债开始加速发行，除 6 月净融资额为 1920 亿元外，其余月份均超过 2000 亿元， 显著超 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Since July, the "stock - bond seesaw" and "trading bonds based on stocks" have become key factors affecting the market, and the short - term trading logic of the bond market has shifted from fundamental and capital - based pricing to the "asset reallocation" logic under changing risk preferences [11][12]. - The evolution of the "stock - bond seesaw" can be divided into four stages: expected - driven, asset - end rebalancing, liability - end driven, and full risk - preference enhancement. The impact on the bond market deepens gradually in these stages [13][14][15]. - Currently, the market is in the second stage (asset - end rebalancing), and there are no obvious signs of moving to the third stage. The linkage between stocks and bonds is likely to remain in the second stage this year. For the bond market, it is necessary to pay attention to the stock market performance, central bank's monetary policy response, the final implementation of the new regulations on public fund sales, and the entry timing of allocation funds [6][60]. 3. Summary by Relevant Catalogs 3.1. Stock - Bond Linkage: Four - Stage Deduction of the "Seesaw" - In specific market stages, the "asset reallocation" logic driven by institutional behavior and capital flow may become the core factor leading the bond market trend. Understanding factors such as the liability characteristics, investment strategies, and regulatory constraints of different institutions is crucial for accurately grasping the micro - structure of the bond market and predicting market fluctuations [12]. 3.2. First Stage: Expected - Driven, Initial Appearance of the "Stock - Bond Seesaw" - This stage stems from marginal changes in the macro - economic environment, policy orientation, or market risk preferences, which first affect investors' expectations, leading to an initial pattern of rising stocks and falling bonds. Although there is no obvious capital migration, expectations are reflected in asset prices, and the market tilts towards equity assets. The direct impact on the bond market is relatively small [13][21]. - In July 2025, the stock market recovered significantly, with the Shanghai Composite Index rising 3.3% to 3573 points, the CSI 300 Index rising 3.4% to 4076 points, and the ChiNext Index soaring 8.4%. The bond market sentiment was under pressure, and the yields of 1Y, 5Y, 10Y, and 30Y treasury bonds increased by 4BP, 6BP, 6BP, and 9BP respectively [21][22]. - Transaction - oriented institutions (such as funds) took defensive actions, reducing bond duration and long - positions in interest - rate bonds. Allocation - oriented institutions (such as insurance and rural commercial banks) were relatively stable, with insurance continuing to increase bond holdings and rural commercial banks turning from net sellers to net buyers [24]. 3.3. Second Stage: Asset - End Rebalancing, Intra - institutional Capital Migration - As the upward trend of the stock market is confirmed and the bond market is expected to be under pressure, stock and bond assets switch characteristics. Investors may reduce bond allocation, and capital shifts from fixed - income assets to equity assets, increasing bond market volatility [14][30]. - Banks increased the issuance of equity - containing products. In July 2025, the new issuance scale of "fixed - income +" products was 40.92 billion yuan, accounting for 65% of the total issuance scale, and the proportion rose to 71% in August [31]. - Funds increased the layout of the "fixed - income +" strategy. Since 2025, the performance of "fixed - income +" funds has been better than that of pure - bond funds. The share of equity funds has increased, while that of bond funds has decreased [34][35]. - Insurance funds increased the proportion of equity allocation. Policy support and the need to meet liability costs drove insurance funds to invest more in equity assets. As of Q2 2025, the balance of insurance funds in use exceeded 36 trillion yuan, with about 4.74 trillion yuan invested in stocks and securities investment funds [40][41]. 3.4. Third Stage: Liability - End Driven, Cross - institutional Capital Migration - When the "stock - bond seesaw" effect intensifies, capital migrates across institutions and products. Investor redemptions force institutions to sell bond assets passively, potentially forming a negative feedback loop and exerting significant selling pressure on the bond market [5][45]. - In some periods from August to September 2025, there were signs of the third stage, but the overall impact was controllable. On August 18, the A - share market rose, and bond - type funds were mainly redeemed by wealth management, trust, futures, and securities firms. On September 9, due to the public fund fee reform and market news, investors redeemed bond funds, and bond yields rose rapidly [45][46]. - The redemption of bond funds by wealth management and bank self - operation may lead to a negative feedback loop in the bond market. Wealth management first redeems bond funds, then bond funds sell bonds, which further drives down bond prices and triggers more redemptions [47][48]. 3.5. Fourth Stage: Full Risk - Preference Enhancement, "Reversal after Reaching the Extreme" - When the "stock - bond seesaw" effect reaches its extreme, there is a large - scale migration of capital from low - risk to high - risk assets. This is a systematic asset allocation rebalancing led by individual investors, causing bond yields to rise significantly and deviate from fundamental pricing [6][53]. - Residents' deposits "move" to non - bank financial institutions, and capital continuously flows from fixed - income products to the equity market, which may lead to long - term and deep adjustments in the bond market [54][56]. - The market in 2015 is an example of the fourth - stage deduction. During the bull market in May - June 2015, a large amount of capital flowed into the stock market, and the bond market experienced significant adjustments and capital outflows. After the stock market crash, capital flowed back to the bond market [57].