Group 1 - The core viewpoint is that liquidity supports the A-share market, driven by factors such as the movement of household savings, fixed income investments, and wealth management funds entering the market [2][3] - The current A-share market is in a favorable environment with intertwined domestic and foreign policy benefits and abundant liquidity, leading to a significant improvement in market funding conditions [6] - The market is expected to experience steady upward fluctuations in the short term, with a need to closely monitor changes in policy, funding, and external markets [6] Group 2 - Investors are encouraged to actively seize structural opportunities, employing a barbell strategy that focuses on both high-growth sectors like computing chips and innovative pharmaceuticals, as well as defensive assets with high dividend yields such as banks and precious metals [4][5] - The market may enter a phase of consolidation after rapid rotations, but the medium-term positive trend remains unchanged, with liquidity driving the current rally [8] - Overall, funding is expected to continue seeking balance between technology growth and defensive sectors, indicating a significant structural market characteristic [8]

Industry Investment Rating No information provided. Core Viewpoints - Under the stock - bond seesaw, Treasury bond futures closed higher across the board. The bullish stock market has led to a callback in risk appetite, which is beneficial to the bond market. At the same time, the expectation of the Fed's interest rate cut and the increase in global trade uncertainty have added uncertainty to foreign capital inflows. Overall, the bond market fluctuates between stable growth and easing expectations, and short - term attention should be paid to policy signals at the end of the month [1][3]. Summary by Directory 1. Interest Rate Pricing Tracking Indicators - **Price indicators**: China's CPI (monthly) had a 0.40% month - on - month increase and 0.00% year - on - year change; China's PPI (monthly) had a - 0.20% month - on - month decrease and - 3.60% year - on - year change [9]. - **Monthly economic indicators**: The social financing scale was 431.26 trillion yuan, with a month - on - month increase of 1.04 trillion yuan and a growth rate of 0.24%. M2 year - on - year was 8.80%, with a month - on - month increase of 0.50% and a growth rate of 6.02%. The manufacturing PMI was 49.40%, with a month - on - month increase of 0.10% and a growth rate of 0.20% [9]. - **Daily economic indicators**: The US dollar index was 98.16, with a month - on - month decrease of 0.16 and a decline rate of 0.16%. The US dollar against the offshore RMB was 7.1442, with a month - on - month increase of 0.004 and a growth rate of 0.06%. SHIBOR 7 - day was 1.43, with a month - on - month increase of 0.00 and a growth rate of 0.14%. DR007 was 1.44, with a month - on - month increase of 0.00 and a growth rate of 0.28%. R007 was 1.67, with a month - on - month decrease of 0.26 and a decline rate of 13.67%. The inter - bank certificate of deposit (AAA) 3M was 1.55, with a month - on - month increase of 0.00 and a decline rate of 0.03%. The AA - AAA credit spread (1Y) was 0.09, with a month - on - month increase of 0.00 and a decline rate of 0.03% [9]. 2. Overview of the Treasury Bond and Treasury Bond Futures Market - Multiple charts are used to show the situation of the Treasury bond futures market, including the closing price trend of the main continuous contracts, the price change rate of each variety, the precipitation of funds, the proportion of positions held, the net position ratio of the top 20, the long - short position ratio of the top 20, the spread between national development bonds and Treasury bonds, and the issuance of Treasury bonds [11][12][15]. 3. Overview of the Money Market Fundamentals - The charts show the trading statistics of inter - bank pledged repurchase and the issuance of local government bonds [25]. 4. Spread Overview - Multiple charts show the inter - period spread trend of Treasury bond futures and the spread between the spot bond term spread and the futures cross - variety spread [28][33][34]. 5. Two - Year Treasury Bond Futures - Charts show the implied interest rate of the main contract of two - year Treasury bond futures and the Treasury bond yield to maturity, the IRR of the TS main contract and the capital interest rate, and the three - year basis and net basis trends of the TS main contract [36][39][47]. 6. Five - Year Treasury Bond Futures - Charts show the implied interest rate of the main contract of five - year Treasury bond futures and the Treasury bond yield to maturity, the IRR of the TF main contract and the capital interest rate, and the three - year basis and net basis trends of the TF main contract [49][54]. 7. Ten - Year Treasury Bond Futures - Charts show the implied yield of the main contract of ten - year Treasury bond futures and the Treasury bond yield to maturity, the IRR of the T main contract and the capital interest rate, and the three - year basis and net basis trends of the T main contract [56][57]. 8. Thirty - Year Treasury Bond Futures - Charts show the implied yield of the main contract of thirty - year Treasury bond futures and the Treasury bond yield to maturity, the IRR of the TL main contract and the capital interest rate, and the three - year basis and net basis trends of the TL main contract [63][66][69]. Strategy - **Unilateral**: As the repurchase rate falls, the price of Treasury bond futures fluctuates [4]. - **Arbitrage**: Pay attention to the decline of the 2512 basis [4]. - **Hedging**: There is an adjustment pressure in the medium term, and short - sellers can use far - month contracts for appropriate hedging [4].

Group 1 - The 30-year Treasury ETF (511090) has increased by 0.57%, with the latest price at 121.62 yuan as of September 4, 2025 [1] - The trading volume for the 30-year Treasury ETF was active, with a turnover of 15.96% and a transaction value of 4.853 billion yuan, while the average daily transaction value over the past month was 10.203 billion yuan [1] - The latest scale of the 30-year Treasury ETF reached a new high of 30.387 billion yuan, despite a recent net outflow of 79.6382 million yuan [1] Group 2 - The People's Bank of China conducted a 7-day reverse repurchase operation of 229.1 billion yuan at a fixed rate of 1.40%, with a net withdrawal of 150.8 billion yuan on that day [1] - Tianfeng Securities anticipates that the liquidity will remain reasonably ample, supported by increased fiscal spending and effective central bank measures, despite potential disturbances in mid to late September [1]

Monetary Policy Operations - The People's Bank of China conducted a 7-day reverse repurchase operation of 229.1 billion yuan, with both the bidding and winning amounts at 229.1 billion yuan, and the operation interest rate set at 1.40% [1] - On the same day, 379.9 billion yuan of 7-day reverse repos matured, resulting in a net withdrawal of 150.8 billion yuan [1] Interbank Offered Rates - The Shanghai Interbank Offered Rate (Shibor) showed mixed movements, with the overnight Shibor rising by 0.20 basis points to 1.3160%, and the 7-day Shibor also increasing by 0.20 basis points to 1.4330%. In contrast, the 14-day Shibor decreased by 0.90 basis points to 1.4860% [2][4] - The 1-month Shibor was reported at 1.5170%, up by 0.10 basis points, while the 3-month Shibor stood at 1.5500%, also up by 0.10 basis points [2] Repo Market Activity - In the interbank pledged repo market, the 7-day rates showed mixed results, with DR001 and R001 weighted average rates remaining unchanged at 1.3141% and 1.3543%, respectively, while DR007 and R007 rates increased by 0.4 basis points and 0.2 basis points to 1.4415% and 1.4644% [4] - The trading volume for DR001 and R001 increased by 6.4 billion yuan and 126.4 billion yuan, respectively, while DR007 and R007 saw decreases in trading volume by 13.3 billion yuan and 362.7 billion yuan [4] Market Liquidity - The liquidity in the market was described as generally loose, with overnight rates trading around 1.30% to 1.45% throughout the day, indicating a stable and balanced liquidity environment [8] - The issuance of interbank certificates of deposit reached 88, with a total issuance volume of 150.78 billion yuan, reflecting active trading sentiment as market rates declined [9] Private Banking Sector Growth - Several banks reported double-digit growth in the number of private banking clients and assets under management (AUM) in the first half of the year, with 15 banks collectively surpassing 1.63 million clients, an increase of nearly 150,000 clients [11] - Major state-owned banks, including ICBC, ABC, CCB, and BOC, each reported AUM exceeding 3 trillion yuan, while Industrial Bank's AUM surpassed 1 trillion yuan, marking its entry into the "trillion club" for private banking [11] Future Market Outlook - Analysts predict that the liquidity in the market will remain reasonably ample, supported by increased fiscal spending and effective central bank measures, despite potential disturbances in mid-September [11]

Core Viewpoint - The report indicates that the AI Fund Huatai Fuhua Dividend Smart Selection Mixed Fund A (021515) has shown a profit of 781,800 yuan in the first half of 2025, with a net asset value growth rate of 7.52% [3] Group 1: Fund Performance - The fund's profit for the first half of 2025 was 78.18 million yuan, with a weighted average profit per fund share of 0.0763 yuan [3] - As of September 2, the fund's unit net value was 1.132 yuan, and the fund size was 11.4554 million yuan [3][34] - The fund's net value growth rate over the past three months was 7.61%, ranking 557 out of 615 comparable funds, while the six-month growth rate was 14.23%, ranking 407 out of 615 [6] Group 2: Market Outlook - The fund management anticipates increased economic pressure in the second half of the year due to U.S. tariff policies and declining export effects, alongside real estate investment drag [3] - Despite the challenges, factors such as relatively ample liquidity, potential earnings growth for listed companies, and policy support are expected to positively impact the market [3] Group 3: Valuation Metrics - As of June 30, 2025, the fund's weighted average price-to-earnings (P/E) ratio was approximately 3.56 times, significantly lower than the industry average of 25.34 times [11] - The weighted average price-to-book (P/B) ratio was about 0.33 times, compared to the industry average of 2.34 times, and the weighted average price-to-sales (P/S) ratio was approximately 0.8 times, against an industry average of 2.09 times [11] Group 4: Growth Metrics - For the first half of 2025, the weighted revenue growth rate of the stocks held by the fund was 0.02%, and the weighted net profit growth rate was 0.05% [20] - The weighted annualized return on equity was 0.09% [20] Group 5: Fund Composition and Holdings - As of June 30, 2025, the fund had a total of 34 holders, with institutional investors holding 95.02% of the shares and individual investors holding 4.98% [37] - The fund's top holdings included Agricultural Bank of China, China Merchants Bank, China Construction Bank, and Gree Electric Appliances [42]

投资咨询业务资格：证监许可【2012】669号 中信期货研究|⾦融衍⽣品策略⽇报 2025-09-03 对冲防御为主 股指期货：筹码有松动迹象 股指期权：对冲防御为主 国债期货：继续关注股市表现 股指期货方面，昨日盘面单边下行，全A指数下跌1.48%，强势科技方 向出现全面补跌，市场量能逼近3万亿。期货层面，持仓量大幅抬升， 显示对冲避险情绪有所强化，但与此同时，周一贴水扩大的情况得到改 善，基差全面收窄，目前暂未出现非常恐慌的交易情绪。展望后市，近期 市场观点开始走向分歧，在全A指数换手率升至相对高位之后，有部分资 金担心流动性的可持续性问题，故不排除资金进行调仓换股的可能性， 由双创进入哑铃结构进行阶段性防御，故配置上建议红利+IM多单应对当 下行情。 股指期权方面，昨日权益市场震荡下探，沪指收跌0.45%。期权方 面，受到行情走弱影响，各个品种成交额大幅提升33.71%，持仓量PCR指 标回落5.56%，当月合约隐含波动率整体走强，且隐波的日内波动幅度较 大。上述指标变化显示，期权市场再现对冲避险需求。昨天推测买看涨期 权离场后，今明两日可适当少量买入看跌期权防御为主。期权端可适当止 盈止损，交易层面建 ...

Report Industry Investment Rating No relevant content provided. Core View of the Report The bond market is suppressed by the rising risk appetite driven by the strong stock market. The expectation of the Fed's interest rate cut and the increasing global trade uncertainty add to the uncertainty of foreign capital inflows. Overall, the bond market fluctuates between the expectations of stable growth and monetary easing. Short - term attention should be paid to the policy signals at the end of the month [1][3]. Summary According to the Directory I. Interest Rate Pricing Tracking Indicators - China's CPI (monthly) has a 0.40% month - on - month increase and 0.00% year - on - year change; China's PPI (monthly) has a - 0.20% month - on - month decrease and - 3.60% year - on - year change [9]. - Social financing scale is 431.26 trillion yuan, with a month - on - month increase of 1.04 trillion yuan (+0.24%); M2 year - on - year is 8.80%, with a month - on - month increase of 0.50% (+6.02%); Manufacturing PMI is 49.40%, with a month - on - month increase of 0.10% (+0.20%) [9]. - The US dollar index is 98.32, with a day - on - day increase of 0.63 (+0.64%); The US dollar against the offshore RMB is 7.1402, with a day - on - day increase of 0.012 (+0.17%); SHIBOR 7 - day is 1.43, with a day - on - day decrease of 0.01 (-0.49%); DR007 is 1.44, with a day - on - day decrease of 0.01 (-0.55%); R007 is 1.67, with a day - on - day decrease of 0.26 (-13.67%); The inter - bank certificate of deposit (AAA) 3M is 1.55, with a day - on - day increase of 0.01 (+0.36%); AA - AAA credit spread (1Y) is 0.09, with a day - on - day increase of 0.00 (+0.36%) [9]. II. Overview of the Treasury Bond and Treasury Bond Futures Market - Relevant figures include the closing price trend of the main continuous contracts of treasury bond futures, the price change rate of each treasury bond futures variety, the precipitation funds trend of each treasury bond futures variety, the position ratio of each treasury bond futures variety, the net position ratio of the top 20 in each treasury bond futures variety, the long - short position ratio of the top 20 in each treasury bond futures variety, the spread between the state - owned development bonds and treasury bonds, and the issuance of treasury bonds [12][13][21]. III. Overview of the Money Market Funding Situation - Relevant figures include the Shibor interest rate trend, the maturity yield trend of inter - bank certificates of deposit (AAA), the trading statistics of inter - bank pledged repurchase, and the issuance of local bonds [24][30]. IV. Spread Overview - Relevant figures include the inter - period spread trend of each treasury bond futures variety, the term spread of spot bonds and the cross - variety spread of futures (4*TS - T), (2*TS - TF), (2*TF - T), (3*T - TL), (2*TS - 3*TF + T) [27][32][33]. V. Two - Year Treasury Bond Futures - Relevant figures include the implied interest rate of the main contract of two - year treasury bond futures and the maturity yield of treasury bonds, the IRR of the TS main contract and the funding rate, the three - year basis trend of the TS main contract, and the three - year net basis trend of the TS main contract [35][38][45]. VI. Five - Year Treasury Bond Futures - Relevant figures include the implied interest rate of the main contract of five - year treasury bond futures and the maturity yield of treasury bonds, the IRR of the TF main contract and the funding rate, the three - year basis trend of the TF main contract, and the three - year net basis trend of the TF main contract [47][53]. VII. Ten - Year Treasury Bond Futures - Relevant figures include the implied yield of the main contract of ten - year treasury bond futures and the maturity yield of treasury bonds, the IRR of the T main contract and the funding rate, the three - year basis trend of the T main contract, and the three - year net basis trend of the T main contract [54][55][58]. VIII. Thirty - Year Treasury Bond Futures - Relevant figures include the three - year basis trend of the TL main contract and the three - year net basis trend of the TL main contract [62].

Group 1 - The liquidity gap in September is a major concern for the market, with expectations that the central bank will take action to maintain liquidity levels [1][4] - A significant amount of reverse repos will mature in early September, creating a liquidity pressure of approximately 32,731 billion yuan [2][3] - Despite the liquidity pressure, there are supporting factors such as seasonal easing and limited government bond repayment scale [2][3] Group 2 - Various factors will influence the liquidity situation in September, including long-term liquidity maturities, government bond issuance, fiscal revenue and expenditure, and credit expansion [3][4] - A total of 16,000 billion yuan in long-term liquidity is set to mature, including 10,000 billion yuan in 3-month reverse repos [3] - The government bond supply in September is expected to reach 12,800 billion yuan, which is a decrease of 1,896 billion yuan from August, potentially alleviating liquidity pressure [3] Group 3 - Experts maintain an optimistic outlook on liquidity due to a moderately loose monetary policy and the rhythm of fiscal spending [4] - Historical trends indicate that while liquidity gaps exist, the combination of monetary and fiscal policies can help maintain a favorable liquidity environment [4] - The expected central tendency of the DR001 (the overnight bond repurchase rate) is anticipated to remain slightly below the policy rate [4]

Core Views - The report indicates that the probability of a rate cut by the Federal Reserve in September has increased significantly following Powell's speech on August 22, which may also raise expectations for a rate cut by the People's Bank of China. However, due to factors such as pressure on bank net interest margins, the likelihood of a rate cut within the year is considered low, although a reserve requirement ratio (RRR) cut is anticipated [2][10] - The liquidity environment remains generally loose, with short-term interest rates showing little change. Key indicators to monitor in September include the maturity of 2.27 trillion yuan in pledged repos at the beginning of the month, a noticeable increase in the maturity of certificates of deposit starting from the second week, and the seasonal pressures at the end of the month [2][10] Government Debt Issuance - It is projected that government debt issuance in September 2025 will range from 2.11 to 2.26 trillion yuan, with net financing expected to be between 0.94 and 1.10 trillion yuan, which is lower than the 1.33 trillion yuan in August. Specifically, the issuance of treasury bonds is expected to be 1.43 trillion yuan, with net financing of 0.67 trillion yuan, while local government bonds are expected to be issued between 0.68 and 0.83 trillion yuan, with net financing of 0.27 to 0.43 trillion yuan [3][17] - The report highlights that the issuance of local government bonds has been notably diverse since August 8, with 226 bonds issued totaling 848.1 billion yuan, averaging 3.753 billion yuan per bond. The report notes that the actual issuance levels for various maturities have shown a tendency to increase, particularly for 15-year bonds, which have the highest actual spread at around 30 basis points [4][26] Local Government Debt Strategy - The report indicates that the spread between 15-year local government bonds and treasury bonds reached 31 basis points at the end of August, marking a 100% percentile level since 2024. Funds began net buying local government bonds in the last week of August, primarily focusing on the longer end of the curve, specifically 15-20 year bonds [5][58] - The report suggests that under the current treasury yield levels, 10-year local government bonds yielding over 2% and 30-year bonds yielding over 2.3% are considered high and may present investment opportunities. Specific bonds identified as having value include 25 Guangdong Bond 42, 25 Guangdong Bond 41, 25 Jiangsu Bond 42, and 25 Sichuan 56 [5][58] Money Market Rate Tracking - The report notes that the 1-year large bank negotiable certificates of deposit (NCD) rate increased from 1.63% at the beginning of August to 1.67% by the end of the month. The maturity scale of NCDs is expected to rise further to 3.55 trillion yuan in September, which is the second-highest historical level, indicating increased pressure for renewal [20][28] Open Market Operations - As of August 29, the total balance of the central bank's open market operations was 134.021 trillion yuan, with pledged repos at 22.731 trillion yuan and medium-term lending facility (MLF) at 55.500 trillion yuan. The report anticipates continued provision of medium-term liquidity support in September [11][39]

Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - The current market liquidity remains abundant, with A - share daily trading volume at a relatively high level above 2.5 trillion. The macro - level influencing factors are generally favorable, with the 8 - month China manufacturing PMI rising slightly to 49.4% and an increased expectation of a Fed rate cut in September. Strategically, short - term long positions can be tilted towards IF or IH to reduce position fluctuations and risks [7]. 3. Summary According to Relevant Catalogs Market Data of Financial Instruments - The closing price of DR001 is 1.31, down 1.73bp; DR007 is 1.45, down 7.04bp; GC001 is 1.02, down 2.00bp; GC007 is 1.44, down 2.00bp; SHBOR 3M is 1.55, down 0.10bp; LPR 5 - year is 3.50, unchanged; 1 - year treasury bond is 1.36, down 0.25bp; 5 - year treasury bond is 1.59, down 1.00bp; 10 - year treasury bond is 1.77, down 1.00bp; 10 - year US treasury bond is 4.23, up 1.00bp [4]. - The closing price of CSI 300 is 4524, up 0.60%; SSE 50 is 2981, up 0.16%; CSI 500 is 7110, up 0.94%; CSI 1000 is 7501, up 0.84%. The trading volume of IF is 144297, down 27.7%; its open interest is 276618, down 5.7%. The trading volume of IH is 54597, down 33.0%; its open interest is down 10.2%. The trading volume of IC is 126661, down 23.9%; its open interest is 235990, down 5.0%. The trading volume of IM is 251805, down 24.0%; its open interest is 375228, down 3.3% [6]. Central Bank Operations - Last week, the central bank conducted 2.2731 trillion yuan of reverse repurchase operations and 600 billion yuan of 1 - year MLF operations. With 2.077 trillion yuan of reverse repurchases, 300 billion yuan of 1 - year MLF, 400 billion yuan of 91 - day outright repurchases, and 500 billion yuan of 182 - day outright repurchases maturing, there was a net withdrawal of 403.9 billion yuan in all - caliber funds [4]. - This week, 2.2731 trillion yuan of reverse repurchases will mature in the central bank's open - market operations, with 288.4 billion, 405.8 billion, 379.9 billion, 416.1 billion, and 782.9 billion yuan maturing from Monday to Friday respectively. Additionally, 1 trillion yuan of 91 - day outright repurchases will mature on Friday [5]. Market Conditions - Yesterday, most industry sectors closed higher. The precious metals sector soared, with jewelry, biological products, energy metals, medical services, and chemical pharmaceuticals leading the gains, while insurance and aerospace sectors led the losses. The trading volume of the Shanghai and Shenzhen stock markets reached 2.75 trillion yuan, a decrease of 48.3 billion yuan from the previous trading day [6]. Futures Premium and Discount - The premium rates of IF for the current - month, next - month, current - quarter, and next - quarter contracts are 5.88%, 3.63%, 2.66%, and 2.32% respectively. The premium rates of IH are 1.09%, 0.85%, 0.14%, and - 0.12% respectively. The premium rate of IC for the current - month contract is 27.23%. The premium rates of IM for the current - month, next - month, current - quarter, and next - quarter contracts are 32.59%, 19.78%, 14.34%, and 12.31% respectively [8].