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].

Core Viewpoint - The People's Bank of China (PBOC) is actively managing liquidity through reverse repos and is expected to continue this strategy in September to ensure short-term market liquidity remains ample [1][2]. Group 1: Market Operations - On September 1, the PBOC conducted a reverse repo operation of 182.7 billion yuan at a fixed rate of 1.4%, resulting in a net withdrawal of 105.7 billion yuan due to 288.4 billion yuan of reverse repos maturing on the same day [1]. - A significant amount of reverse repos is set to mature in September, totaling approximately 1.9847 trillion yuan from September 2 to September 5, along with 1 trillion yuan of 3-month reverse repos maturing on September 5 [1]. - The PBOC has been increasing its MLF and reverse repo operations for three consecutive months, indicating a commitment to maintaining liquidity in the market [2]. Group 2: Economic Analysis - According to analysts, September's liquidity may be affected by a high volume of maturing funds and government bond issuances, alongside a notable amount of interbank certificates of deposit maturing, which is around 3.5 trillion yuan [1][2]. - The PBOC is expected to reinforce reverse repo operations to ensure sufficient liquidity in the short term, while also potentially increasing MLF and reverse repo volumes to counteract medium to long-term liquidity tightening [2]. Group 3: Future Expectations - Analysts predict that the PBOC may resume government bond trading in the fourth quarter, especially as the yield on 10-year government bonds has risen to around 1.8%, and there is an expectation of moderate growth-supporting policies being implemented [3].

Group 1 - The central bank maintains a relatively loose liquidity stance, with expectations for September liquidity to remain reasonably ample due to accelerated fiscal spending [1] - In September, there is a significant liquidity gap, with 1.6 trillion yuan of medium- and long-term liquidity maturing, including 1 trillion yuan of 3-month reverse repos, 300 billion yuan of 6-month reverse repos, and 300 billion yuan of 1-year MLF [1] - Government bond net financing is approximately 1.43 trillion yuan, and tax payments are expected to be around 1.1 trillion yuan, indicating a tighter liquidity environment compared to August [1] Group 2 - Seasonal disturbances in liquidity are expected to increase in September, with heightened demand for liquidity at the end of the month due to banks and businesses preparing for holidays [2] - Fiscal spending typically accelerates in the last month of the quarter, which may provide some support to the liquidity environment, particularly in the final days of September [2] - The initial liquidity disturbance in September is primarily due to a large amount of public market maturities, but a self-adjusting loosening of liquidity is anticipated, supported by fiscal spending [2] Group 3 - The strong performance of the capital markets is a key factor to monitor in September, with non-seasonal factors potentially amplifying liquidity fluctuations [3] - The equity market's strength and increased market risk appetite may drive funds to reallocate across various assets, while the characteristics of credit issuance at the end of the quarter may be more pronounced this year [3] - The central bank's monetary policy remains loose, but there is an increased uncertainty in the liquidity environment due to the emphasis on preventing fund diversion and the removal of certain statements regarding government bond trading [3]

Investment Rating - The report maintains an "Overweight" rating for the steel and non-ferrous metals sectors [5] Core Insights - The London gold spot price has reached a historical high of 3447 USD/oz, indicating strong liquidity in the market [1][11] - The steel sector's profitability is expected to recover to historical average levels due to government policies aimed at phasing out outdated production capacity [4] Liquidity Analysis - The BCI small and medium enterprise financing environment index for August 2025 is at 46.37, up 0.61% month-on-month [1][19] - The M1 and M2 growth rate difference was -3.2 percentage points in July 2025, showing a month-on-month increase of 0.5 percentage points [1][19] - The total liabilities of the Federal Reserve are reported at 6.56 trillion USD, down 0.23% [11] Infrastructure and Real Estate Chain - The average daily crude steel production of key enterprises increased by 1.98% in mid-August [1][40] - The national average capacity utilization rate for blast furnaces is at 90.02%, down 0.23 percentage points [40] - The national real estate new construction area for January to July 2025 has a year-on-year decrease of 19.40% [22] Industrial Products Chain - The operating rate for semi-steel tires is at 72.77%, down 0.36 percentage points [2] - The price of electrolytic aluminum is 20,720 CNY/ton, with a month-on-month decrease of 0.14% [2] - The price of molybdenum concentrate is at 4,505 CNY/ton, up 0.90% [2] Price Relationships - The price ratio of medium-thick plates to rebar is at a relatively high level, with the rebar and iron ore price ratio at 4.08 [3] - The price difference between rebar used in real estate and that used in infrastructure is 150 CNY/ton, up 15.38% from last week [3] Export Chain - The new export orders PMI for China in July 2025 is at 47.10%, down 0.6 percentage points [3] - The CCFI composite index for container shipping rates is at 1156.32 points, down 1.58% [3] Valuation Metrics - The CSI 300 index increased by 2.71%, with the industrial metals sector performing best at +6.95% [4] - The PB ratio for the steel sector relative to the CSI 300 is currently at 0.53, with a historical high of 0.82 [4] Investment Recommendations - The report suggests that the steel sector's profitability is likely to recover, and the PB ratio is expected to improve accordingly [4]

Group 1 - The article discusses the relationship between liquidity and financial market pricing, emphasizing that liquidity is the ability of an asset to be quickly converted into cash, influenced by factors such as money supply, tradable assets, and risk appetite [1][2][3] - Liquidity is categorized into narrow liquidity (money in the financial system) and broad liquidity (money in the real economy), with narrow liquidity affecting opportunity costs and market valuations, while broad liquidity impacts credit expansion and corporate profitability [2][3] - The article identifies key indicators to observe liquidity conditions, including the difference between the central bank's monetary policy sentiment index and loan demand index, the difference between the enterprise financing environment index and investment outlook index, and the difference between social financing growth and nominal GDP growth [3][4][5] Group 2 - The article notes that liquidity-driven phases have occurred during specific periods, such as mid-2014 to mid-2015, early 2019 to Q1 2020, and Q2 to Q4 of 2021, with a projected liquidity-driven phase starting after May 2025 [5] - Factors that could alter the liquidity-driven logic include changes in money supply or broadening the avenues for money allocation, such as improved corporate profitability and investment demand [5][6] - The article highlights that a favorable scenario would be when broad liquidity can support the asset pricing expansion driven by narrow liquidity, transitioning from a liquidity-driven phase to a profitability-driven phase [6] Group 3 - The article reports increased volatility in major asset classes, with U.S. stocks, gold, and the Chinese yuan experiencing fluctuations, while the domestic stock market continues to outperform globally [6][7] - The article indicates that the U.S. stock market is showing signs of volatility, with the VIX index rising, while the Chinese stock market narrative is becoming more concentrated, with a significant reduction in the number of positive-return sectors [8][12] - The article discusses the performance of commodities, noting that oil prices have risen due to geopolitical uncertainties, while gold prices have also increased amid external risk aversion [9][10] Group 4 - The article mentions that the U.S. Federal Reserve's interest rate expectations and concerns about its independence are influencing U.S. Treasury yields, with a slight decline in 10-year Treasury yields [10][11] - The article highlights the appreciation of the Chinese yuan against the U.S. dollar, with both onshore and offshore yuan showing significant gains [11][12] - The article discusses the performance of the A-share market, noting a decline in market breadth and a concentration of returns among fewer stocks, indicating a shift in market dynamics [12][13] Group 5 - The article outlines the recent U.S. court ruling regarding tariffs imposed by the Trump administration, which may impact future trade policies and economic conditions [16][17][18] - The article emphasizes the resilience of U.S. consumer spending, with upward revisions to GDP growth and personal consumption expenditures, indicating a robust economic backdrop [19][20] - The article discusses the Federal Reserve's dovish stance, with expectations for interest rate cuts in the near future, reflecting concerns about labor market risks and inflation [21][22] Group 6 - The article highlights the expected economic indicators for August, including GDP growth and PPI trends, suggesting a mixed economic outlook with potential for slight improvements in inflation metrics [22][23][24] - The article notes that August's fiscal spending and central bank interventions are expected to lead to a loosening of narrow liquidity conditions, with social financing growth projected to decline [26][27] - The article discusses improvements in funding availability for construction projects, particularly in central and eastern regions of China, indicating a potential boost in infrastructure investment [28][29]

Report Information - Report Title: "Research on Major Asset Classes Isn't Complicated: The Second Lesson from a Decade of Research" [1] - Report Date: August 29, 2025 [1] - Analyst: Liu Yu [5] Report Industry Investment Rating - Not mentioned in the report. Core Viewpoints - Different major asset classes have unique risk - return characteristics, and these characteristics change over time. Therefore, investors should regularly re - evaluate these features, select high - quality assets, and aim for beta returns by avoiding frequent timing and trading [2][13] - The pricing of stocks, bonds, and gold can be unified within a framework of liquidity, risk preference, and institutional behavior. Understanding these factors helps in analyzing asset price trends and making investment decisions [3] Summary by Directory 1. What is a Good Asset? - Asset characteristics can be evaluated using the risk - return ratio, which combines return and volatility. Assets with high returns and low volatility are considered good assets [11][12] - Historically, gold has shown an upward trend, and the domestic bond market has been in a long - term bull market since 2018, both providing good holding experiences. The domestic stock market is range - bound, making timing crucial for investors [12] - In 2025 from January to July, due to factors such as US tariff policies and the entry of market - stabilizing funds, the risk - return ratios of various assets changed significantly. Gold's ratio increased, domestic equities improved, and pure - bond indices deteriorated [2][12] 2. The Unified Framework for Major Asset Classes - Asset price movements have three phases: rising, falling, and sideways. The key to research and investment is to find the inflection points between these phases. The pricing of stocks, bonds, and gold can be unified under the framework of liquidity, risk preference, and institutional behavior [3][16] - Liquidity refers to the ease of obtaining funds in the market. Loose monetary policies usually lead to more funds flowing into the capital market, driving up asset prices [3][17] - Risk preference reflects investors' expectations and confidence in the future. It is influenced by economic fundamentals and policy expectations, and has a significant impact on asset pricing [18][19] - Institutional behavior affects the market in two ways: strengthening short - term trends and having a structural impact on specific sectors [4][20] 3. Equities: Risk Preference is Key - Stock market pricing can be simply measured by the price - earnings ratio, and risk preference is a crucial factor. High risk preference leads to more optimistic pricing, while low risk preference can cause prices to fall [21] - The balance of margin trading can be used to measure market risk preference. An increase in the balance indicates rising risk preference, and vice versa [21] - The driving factors for risk preference in the stock market include corporate earnings and policy expectations. Different driving factors require different investment strategies [26][31] 4. Bonds: Monetary Policy is the Lifeline - The main ways to obtain returns in the bond market are through coupon payments, leverage, and duration. Monetary policy and the money market are vital for the bond market [33][35] - The net lending scale of the banking system can be used to judge the stability of the money market. Policy changes and institutional behavior can also have a significant impact on the bond market [35][40] 5. Gold: De - dollarization is the Main Line - Gold is globally priced. Its price is affected by global liquidity, risk preference, and institutional behavior, especially the gold - buying behavior of central banks [46] - Historically, gold was negatively correlated with the real US dollar interest rate. However, since 2020, the relationship has become positive, indicating a change in the pricing logic due to the de - dollarization process [46][50] - As the de - dollarization trend continues, central banks' increased gold purchases support the price of gold, and gold is expected to benefit from this trend [50][52]