文｜明明 赵诣 丘远航 9月债市高位偏弱波动，曲线呈现熊陡。伴随10月召开二十届四中全会，市场的关注点可能仍然维持在未来政策方向，以及"十五五"规 划对于下一阶段经济发展方向的确立。此外，10月流动性缺口可能季节性走阔，央行节前公告买断式逆回购释放了一定宽松信号，当 前收益率曲线较为平坦，我们判断先牛陡后牛平的概率更大。 ▍9月债市复盘：债市高位偏弱波动，曲线呈现熊陡。 月初财政部与中国人民银行联合工作组第二次组长会议引发货币财政协同及国债买卖工具重启猜想，利率短暂下行。随后，证监会发 布基金销售费用管理规定征求意见稿，利率快速回升。8月基本面数据低于预期，尤其是投资增速回落，令债市边际企稳。下旬监管消 息频出，市场持续走跌，临近月末大行买债力度加大，市场企稳反弹。海外方面，美联储重启降息周期，但我国央行表述稳健，政策 未跟进，月末市场回归平稳。 登录新浪财经APP 搜索【信披】查看更多考评等级 炒股就看金麒麟分析师研报，权威，专业，及时，全面，助您挖掘潜力主题机会！ ▍信用利差大幅上行，二级债利差上行，城投债利差上涨较多。 ▍基本面：阶段性脱离经济基本面，情绪主导行情。 回顾9月市场走势，9月公布的各项基本 ...

东吴证券晨会纪要 东吴证券晨会纪要 2025-10-09 证券研究报告 宏观策略 [Table_MacroStrategy] 宏观量化经济指数周报 20250928：9 月以来基建实物工作量边际回暖 预计货币政策或延续 9 月 26 日二次操作 14 天期逆回购的"滴灌呵护" 基调，适时呵护资金面以平抑季节性因素的影响 海外周报 20250928：国庆假期海外市场前瞻 固收周报 20250928：新能源转债配置空间再思考 建议持续关注平衡性风光储转债标的配置窗口。 固收点评 20250928：二级资本债周度数据跟踪（20250922-20250926） 一级市场发行情况：本周（20250922-20250926）银行间市场及交易所市 场无新发行二级资本债。二级市场成交情况：本周（20250922-20250926） 二级资本债周成交量合计约 2299 亿元，较上周增加 521 亿元。 固收点评 20250927：绿色债券周度数据跟踪（20250922-20250926） 一级市场发行情况：本周（20250922-20250926）银行间市场及交易所市 场共新发行绿色债券 23 只，合计发行规模约 309.74 ...

Group 1: Market Overview - The bond market is currently experiencing intense long-short battles, contrasting with the anticipated one-sided bull market in 2024, as the market has been in a wide fluctuation pattern this year [1][2] - The ten-year government bond yield has fluctuated within a range close to 40 basis points, indicating increased difficulty in bond investments for banks [1][5] - The introduction of a new tax on bond interest income has led to a decrease in the attractiveness of certain bonds, prompting a potential reallocation of assets towards equities and other assets [2][5] Group 2: Trading Volume and Performance - In August, the total trading volume of bonds by major banks decreased to approximately 14.8 trillion yuan, down from 16.49 trillion yuan in July and 15.51 trillion yuan in June [3] - The trading volume for city commercial banks and rural commercial banks also saw a decline, totaling about 15.288 trillion yuan in August, compared to 17.24 trillion yuan in July [3] Group 3: Investment Returns and Contributions - Investment returns have been a significant support for bank revenues in the first half of the year, with 35 out of 42 A-share listed banks reporting positive year-on-year growth in investment income, averaging over 45% [7][8] - Notably, the China Construction Bank achieved an investment income of 279.12 billion yuan in the first half of the year, marking a year-on-year increase of over 200% [7] - The Postal Savings Bank was the only major bank with investment income exceeding 10% of its total revenue, achieving a growth of 64.64% [8] Group 4: Strategic Adjustments - Banks are adjusting their investment strategies in response to the current volatile market, focusing on flexible asset-liability management and increasing the use of derivatives for hedging [12][13] - The strategy includes maintaining a reasonable proportion of bond investments while actively capturing market fluctuations to enhance revenue [13] - Some banks have reported a shift towards wave trading and increased use of fixed-income-like assets to navigate the challenging market conditions [12][13]

Core Viewpoint - The bond market is experiencing intense fluctuations, contrasting with the anticipated bull market in 2024, leading to increased investment difficulties for banks in 2023 [1][5]. Group 1: Market Conditions - The bond market is currently in a wide-ranging oscillation phase, with the ten-year government bond yield fluctuating within a range close to 40 basis points [1]. - After the implementation of the new tax regulations on government bond interest, the trading volume of existing bonds has seen a decline [3]. - In August, the total trading volume of bonds by major banks decreased to approximately 14.8 trillion yuan, down from 16.49 trillion yuan in July [4]. Group 2: Bank Performance and Strategies - In the first half of 2023, over 80% of A-share listed banks reported positive growth in investment income, with an average increase exceeding 45% [2][8]. - The investment income of listed banks in the first quarter and the first half of 2023 grew by 26.1% and 23.6% year-on-year, respectively [7]. - Major banks, including Construction Bank and Postal Savings Bank, saw significant increases in their investment income, with Construction Bank achieving a 200% year-on-year growth [10]. Group 3: Challenges and Adjustments - The investment difficulties have led to a negative growth in non-interest income for many banks, attributed to the divergence in market interest rates [6]. - The limited floating profit space and the need for strategic adjustments in bond trading have become apparent, with banks shifting focus to more flexible and diversified asset-liability strategies [13][14]. - The second quarter showed signs of reduced "debt selling" efforts, indicating a tightening of floating profit inventory among banks [11].

Core Viewpoint - The article discusses the current state of the bond market, the characteristics of various bond funds, and investment strategies for different types of bond funds, particularly focusing on "fixed income plus" products. Group 1: Bond Fund Characteristics - Bond funds are a common asset class with unique return and risk characteristics compared to other assets [5] - The performance of bond funds since 2012 shows that their returns and volatility are between those of money market funds and stock funds [7] - Bond funds generally have more stable returns and lower volatility compared to stock funds [8] Group 2: Risks in Bond Funds - Investors need to be aware of the "踩雷" risk, where some bond funds may drop over 10% or even 30% in a short period [10] - To mitigate this risk, investors should choose high-quality bonds like government bonds and diversify their bond holdings [10] Group 3: Types of Bond Funds - Common types of bond funds include: - Short-term pure bond funds, which have very low volatility and returns slightly higher than money market funds [12] - Long-term pure bond funds, which have higher volatility [14] - "Fixed income plus" funds, which include a mix of bonds and a small portion of stocks or convertible bonds [15][41] Group 4: Investment Strategies - The article outlines the differences between short-term and long-term bond funds, emphasizing that short-term funds are currently more suitable for investment due to lower volatility [26] - The "fixed income plus" strategy is highlighted as a way to enhance returns while managing risk through a mix of fixed income and equity [39] Group 5: Factors Influencing Bond Fund Performance - Bond fund prices are inversely related to interest rates; when rates decline, bond prices typically rise [30] - The 10-year government bond yield was around 1.89% as of September 24, 2025, indicating a low-interest environment [32] Group 6: "Fixed Income Plus" Characteristics - "Fixed income plus" products typically have three main characteristics: - They leverage the negative correlation between stocks and bonds to reduce volatility [46] - Their returns and risks are influenced by the proportion of stocks included [48] - They benefit from declining deposit rates, making them attractive in a low-rate environment [55] Group 7: Sources of Returns in "Fixed Income Plus" - Returns from "fixed income plus" products come from: - Stock performance, including earnings growth and valuation increases [59] - Bond interest income and capital gains from trading [62] - Rebalancing strategies that capitalize on market fluctuations [64] Group 8: Selection Criteria for "Fixed Income Plus" - When selecting "fixed income plus" products, investors should consider: - The ratio of stocks to bonds [67] - The type of bonds held, favoring government bonds for lower risk [69] - The style of stocks, with a preference for value stocks over growth stocks [73] - The presence of a rebalancing strategy to manage risk effectively [75] Group 9: Current Investment Climate - As of late September 2025, the stock market is rated around 4.2 stars, indicating it is not overly expensive, making "fixed income plus" products a viable investment option [77] - The article suggests that with low interest rates, "fixed income plus" products are still in a favorable investment phase [78]

近期债市情绪低落，在股市偏强震荡和资金偏紧的情况下，债市继续下跌，目前30Y国债已上行至2.1%以上，10Y国债已上行 至1.8%以上，均为年内收益率阶段性高点，配置价值已现。 信用债ETF日度跟踪显示总规模4649亿元，单日上升22.3亿元，其中基准做市ETF下降1.0亿元、科创债ETF上升39.8亿元；加权 久期中位数3.5年。流动性：整体成交金额1238亿元，平均单笔成交额295万元（基准做市74万元、科创债338万元）；换手率中 位数23.0%。估值情况：收益率中位数1.99%，贴水率中位数-16.1BP（基准做市-55.0BP、科创债-12.2BP）。 （数据来源：WIND资讯，平安基金整理，截至20250919） 平安公司债ETF（511030）产品定位短融ETF+，近一周净值回撤可控（仅10bp），周均贴水小（仅4bp），规模稳定，且是少 数几家采用中债估值的债券ETF之一，优势相对突出。本周继续关注本轮债市调整以来平安公司债ETF（511030）回撤控制排 名第一，净值相对稳健且回撤可控，可参考下表（本轮债市调整自2025年8月10日起算）： | 代码 | 同樣 | 粉肉骨称 | 托管人 | ...

Core Viewpoint - The article emphasizes the critical importance of timely and professional information in the rapidly changing bond market, highlighting that the ability to access and interpret data quickly can lead to significant investment opportunities or risk mitigation [1]. Group 1: Importance of Information in Bond Market - In the current bond market, subtle fluctuations in government bond yields and corporate bond credit spreads can create substantial profit opportunities or risks [1]. - Professional investors face challenges in selecting efficient tools amidst a plethora of financial information platforms [1]. Group 2: Evaluation Criteria for Bond Information Tools - Five key standards are essential for evaluating bond market information tools: comprehensive market data coverage, real-time timeliness and alert capabilities, in-depth analysis and strategy conversion, user-friendly tools, and cross-market perspective [3][4]. - A top-tier platform should provide real-time monitoring of market anomalies and instant analysis of policy impacts on various bond types [3][4]. Group 3: Comparison of Leading Bond Information Platforms - The article identifies five prominent bond news applications, each excelling in different areas [5]. - Wind is noted as the preferred choice for financial institutions, offering extensive historical data and unique indicators, but at a high cost [6][7]. - iFinD stands out for its intelligent strategy engine, although it has limitations in data timeliness [8][9]. - 东方财富Choice is recommended for beginners due to its free access to basic bond market data, but lacks advanced analytical tools [10]. - 智通财经 excels in rapid news updates but requires integration with other platforms for comprehensive analysis [11][12]. Group 4: Advantages of Sina Finance APP - In a 2025 evaluation, Sina Finance APP achieved the highest score due to its extensive market coverage, real-time alerts, and comprehensive analysis capabilities [13]. - The platform provides seamless monitoring of over 40 markets and detailed data on various bond types, including unique visualizations of cross-border capital flows [14]. - Its alert system can notify users of significant market movements within three seconds, enhancing trading decision-making [15]. - The platform's AI-driven features allow for efficient data processing and strategy generation, providing users with institutional-level decision-making capabilities [19][20]. Group 5: Tailored Solutions for Different Investor Needs - Investors are encouraged to choose tools based on their specific requirements, with combinations suggested for various user types [21][22][23][24]. - The article concludes that as global financial market volatility increases, the ability to process information efficiently will be crucial for professional investors [25].

Report Summary 1. Report Industry Investment Rating The document does not provide the industry investment rating. 2. Core View of the Report In August 2025, the leverage ratio of the inter - bank bond market increased slightly month - on - month and was lower than the same period in previous years. The total bond custody scale of China Central Depository & Clearing Co., Ltd. (CCDC) and Shanghai Clearing House increased. Different institutions had different investment preferences for various bonds, with commercial banks increasing their allocation of treasury bonds and policy - financial bonds, and broad - based funds increasing their holdings of local government bonds [1][2][50]. 3. Summary by Relevant Catalogs 3.1 Bank - Inter Leverage Ratio In late August, the inter - bank bond market leverage ratio was 106.88%, up 0.07 pct from the end of the previous month, and generally lower than the leverage ratio in the same period of previous years [1]. 3.2 Custody Data Overview In August 2025, the total bond custody scale of CCDC and Shanghai Clearing House was 174.54 trillion yuan, a month - on - month increase of 1.506 trillion yuan. Among them, CCDC's custody scale increased by 1.5382 trillion yuan, and Shanghai Clearing House's decreased by 32.2 billion yuan. Treasury bonds, local government bonds, policy - bank bonds, and medium - term notes contributed to the increase, while enterprise bonds, short - term financing bills, ultra - short - term financing bills, directional instruments, and inter - bank certificates of deposit contributed to the decrease [2][12]. 3.3 By Bond Type - **Interest - rate Bonds**: In August 2025, the total custody scale of major interest - rate bonds was 116.60 trillion yuan, a month - on - month increase of 1.7871 trillion yuan. Commercial banks were the main buyers, increasing their holdings by 1.2979 trillion yuan. Broad - based funds, insurance institutions, etc. also increased their holdings, while overseas institutions reduced their holdings [3][49]. - **Credit Bonds**: The total custody scale of major credit bonds was 16.06 trillion yuan, a month - on - month increase of 23 billion yuan. Commercial banks were the main buyers, increasing their holdings by 54.4 billion yuan. Broad - based funds and securities companies were the main sellers, reducing their holdings by 18.1 billion yuan and 14.8 billion yuan respectively. Insurance institutions and overseas institutions also reduced their holdings [3][49]. - **Inter - bank Certificates of Deposit**: The custody scale was 20.38 trillion yuan, a month - on - month decrease of 355.6 billion yuan. Broad - based funds and commercial banks were the main sellers [3][49]. 3.4 By Institution - **Commercial Banks**: The custody scale of major bonds was 85.29 trillion yuan, a month - on - month increase of 1.153 trillion yuan. They increased their holdings of interest - rate bonds and credit bonds by 1.2979 trillion yuan and 54.4 billion yuan respectively, and reduced their holdings of inter - bank certificates of deposit by 199.3 billion yuan [4][50]. - **Broad - based Funds**: The custody scale of major bonds was 37.38 trillion yuan, a month - on - month decrease of 172.3 billion yuan. They increased their holdings of interest - rate bonds by 120.7 billion yuan and reduced their holdings of credit bonds and inter - bank certificates of deposit by 18.1 billion yuan and 274.9 billion yuan respectively [4][50]. - **Overseas Institutions**: The custody scale of major bonds was 3.69 trillion yuan, a month - on - month decrease of 98.8 billion yuan. They reduced their holdings of interest - rate bonds, credit bonds, and inter - bank certificates of deposit by 27.5 billion yuan, 3.5 billion yuan, and 67.8 billion yuan respectively [4][54]. - **Insurance Institutions**: The custody scale of major bonds was 4.26 trillion yuan, a month - on - month increase of 43.2 billion yuan. They increased their holdings of interest - rate bonds by 49.5 billion yuan and reduced their holdings of credit bonds and inter - bank certificates of deposit by 5.9 billion yuan and 0.4 billion yuan respectively [4][54]. - **Securities Companies**: The custody scale of major bonds was 2.64 trillion yuan, a month - on - month decrease of 2 billion yuan. They increased their holdings of interest - rate bonds by 13.4 billion yuan and reduced their holdings of credit bonds and inter - bank certificates of deposit by 14.8 billion yuan and 0.6 billion yuan respectively [4][54]. - **Credit Unions**: The custody scale of major bonds was 2 trillion yuan, a month - on - month increase of 11.9 billion yuan. They increased their holdings of interest - rate bonds and credit bonds by 22.1 billion yuan and 0.7 billion yuan respectively, and reduced their holdings of inter - bank certificates of deposit by 10.8 billion yuan [5][55].

科创债ETF国泰（551800）于9月24日上市交易，标的指数聚焦科技创新领域项目，兼具科技创新成长潜力与债券资产稳健属性，享费用减免、风险分担等 多重政策支持。乘政策东风，投科创未来！ 一、科创债：金融"五篇大文章"在科技金融的具体体现 科创债是由科技创新领域相关机构发行，或者募集资金主要用于支持科技创新领域发展的信用债。 作为科技金融的关键一环，科创债是推动加快构建科技金融体制的关键一环，是资本市场做好金融"五篇大文章"的重要方式，是金融服务实体经济的重要体 现。 我国债券 ETF 正处于规模与品类双扩容的蓬勃发展阶段。近年来，在政策引导与市场需求驱动下，债券ETF产品持续扩容，管理规模稳步攀升，已成为投 资者便捷布局债券市场的重要工具。 科创债 ETF精准补上了我国债券 ETF 拼图中的重要一块。作为衔接科技创新与债券市场的特色产品，它丰富了债券 ETF 的细分赛道，使债券 ETF 体系既能 覆盖传统利率、信用债市场，又能适配国家科技创新战略导向，进一步完善了多层次债券投资工具矩阵。 | | | 信用 国债 | 政金债 | 地方债 | | | --- | --- | --- | --- | --- | ...

（编辑 张明富） 有券商分析认为，科创债的配置价值，核心逻辑在于政策强力支持下的规模快速扩张可能性、高评级发债主体主导的相对 信用安全性，以及相对利率债的票面优势，为投资者提供了有望兼具政策红利与信用安全的关注标的。 综合来看，科创债ETF投资于一篮子优质科创债券，兼顾"科技创新"和"债券"双重属性，有望让投资者能便捷分享科创企 业成长红利，投资者可关注科创债ETF银华（基金代码：159112），结合自己的风险偏好和久期管理进行配置。 本报讯 （记者王宁）作为今年公募市场的"新星"，科创债ETF备受资金青睐。9月24日，科创债ETF银华（基金代码： 159112）正式上市交易，为投资者参与科创债市场再添高效投资工具。 据悉，科创债ETF银华主要投资于中证AAA科技创新公司债指数（932160.CSI）成份券及备选成份券。从指数代表性来 看，中证AAA科创债指数样本空间覆盖沪深两所，是同类三只AAA科创债指数中样本数量最多的一只。从信用风险来看，该 指数成份券以高评级、央国企为主，信用资质整体较好。从久期特点来看，指数成份券期限分布以中短债为主，1-5年期限成 份券占比较高。 ...