Bigger mind, Bigger fortune 智慧创造财富 2025 四季度国债展望 | 2025 年 9 月 等待政策重心的回摆时刻 核心观点: 风险资产与监管扰动是三季度债市多次回落的主因,换一个角 度来说,这也意味着基本面以及流动性的核心驱动没有改变, 从债市的底层框架来说，当前并不存在周期逆转的风险。 经过回顾后,我们有几点心得体会: 《南华期货 2025 年国债下半年展 望: 三端共振, 帆随心动》 《股债:从晓晓板转向共振 -- 8 月 经济数据的启发》 1 ) 除了以公募收费新规为代表的监管影响仍未平息，其余在三 季度对债市造成明显冲击的利空均已落地或脱敏。 2）我们认为监管层面的扰动可能接近尾声。 3）外部不确定性在降低。 四季度展望: 三季度的利空扰动大多与基本面和流动性层面无关,并且已经 充分反应在了当前的定价中,因此我们没有理由对四季度继续 悲观。尽管没有更多的降息降准操作,但整个三季度内央行在 流动性层面的支持是一如既往的。另一方面，8 月基本面数据全 面走弱,宏观政策托底的必要性大幅提升,我们认为这可能会 引发货币政策重心向"稳增长"回摆。而从最新央行三季度货 币政策执行例 ...

Core Viewpoint - The recent adjustment in the bond market is expected to be supported by domestic monetary easing following the Federal Reserve's interest rate cut, which may enhance the bond market's performance in the fourth quarter [1][5]. Group 1: Interest Rate Changes - The Federal Reserve cut the federal funds rate by 25 basis points, from a target range of 4.25%-4.5% to 4.00%-4.25%, marking its first rate cut in nine months [2]. - Domestic banks are likely to follow suit with interest rate cuts, with predictions of a 10 basis points reduction in policy rates and a potential 20 basis points cut in the LPR for loans over five years [3][5]. Group 2: Currency and Export Dynamics - The weakening of the US dollar, which fell from around 100 points in late July to approximately 97 points by September 18, has led to a passive appreciation of the RMB, enhancing the willingness of export enterprises to settle in RMB [2]. - The RMB exchange rate has appreciated significantly, breaking the 7.2 mark and reaching around 7.1, which may pose risks to export competitiveness and necessitate measures to stabilize the currency [3]. Group 3: Bond Market Outlook - With the expectation of further monetary easing, institutions are optimistic about the bond market in the fourth quarter, predicting that the yield on 10-year government bonds may return to around 1.65% [5]. - After three months of adjustment, the bond market shows signs of stabilization, with expectations for a new downward trend in interest rates as the fourth quarter approaches [6].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - After the Fed restarts rate cuts, the probability of the domestic central bank "following suit" to cut rates increases, with a higher probability of implementation after the end of October. After three consecutive months of adjustment, the current bond market has shown initial signs of stabilization. In the fourth quarter, bond market interest rates may start a new round of smooth decline. Investors are advised to defend and counterattack, and enter the market at around 1.8% of the 10-year Treasury bond [1][4]. 3. Summary by Relevant Catalogs 3.1 Bond Market Weekly Observation - From September 15 - 19, 2025, the expectation of the central bank's monetary easing strengthened, and the 10-year Treasury bond interest rate showed an "N" shape. The impact of the equity market on the bond market has gradually weakened, and investors' expectation of the central bank's loose monetary policy has strengthened [11]. 3.2 External Constraints Weaken: "Room for Maneuver" Opens - On September 18, the Fed cut the federal benchmark interest rate by 25 basis points to the 4.0% - 4.25% range, the first rate cut since late 2024. Since mid-July 2025, the narrowing of the Sino-US interest rate spread and the weakening of the US dollar have reduced the risk of capital outflows, improved the domestic liquidity environment, and opened up room for the central bank to cut rates. However, it is necessary to prevent the side effect of "rapid RMB appreciation → decline in export competitiveness" [12][16]. 3.3 Internal Constraints Remain: Low Bank Interest Margin + Rising Real Interest Rate - Currently, rate cuts still face the dual constraints of "low bank net interest margin + rising real interest rate". As of June 2025, the net interest margin of commercial banks has dropped to a historical low. A significant rate cut may lead to higher real interest rates, which will inhibit consumption and investment to some extent [20]. 3.4 Rate Cuts Are Approaching: Higher Probability After the End of October - After the Fed's rate cut, the probability of the domestic central bank cutting rates increases, but the pace, magnitude, and method will be "domestically oriented", with a higher probability of implementation after the end of October. If the GDP and credit data in the third quarter continue to weaken and the Fed cuts rates again in October, it may be a better time for the central bank to cut rates comprehensively [27][28]. 3.5 Bond Market Asset Performance No specific content analysis provided in the text, only some data chart descriptions. 3.6 High-Frequency Entity Tracking: Food Prices Differentiate, Energy Costs Rise - **Price-related**: This week, the Nanhua Agricultural Products Index declined slightly, international crude oil prices rose, vegetable and meat prices mostly declined, and fruit prices rose [45]. - **Industry-related**: This week, the Nanhua Industrial Products Index rose, glass and coking coal prices increased, and the blast furnace operating rate and petroleum asphalt operating rate showed differentiation [51]. - **Investment and Real Estate-related**: This week, investment and real estate-related data remained weak, with a decline in the land transaction area in 100 large and medium-sized cities and a slight increase in the commercial housing transaction area in 30 large and medium-sized cities. The decline of the second-hand housing listing price index slowed down, and the cumulative increase in the housing completion area increased but was still lower than the same period in previous years [59]. - **Travel and Consumption-related**: This week, travel and consumption data recovered seasonally, with an increase in the subway passenger volume in first-tier cities, a decline in movie box office revenue, a 3.5% increase in passenger car retail sales compared with the same period last month, and a slight increase in the number of domestic flights [67].

Report Information - Report Title: Treasury Bond Futures Daily Report - Date: 2025/09/19 - Analyst: Xu Chenxi (Investment Consulting License No.: Z0001908) - Investment Consulting Business Qualification: CSRC License [2011]1290 [1] Investment Rating - Not provided Core View - The market should focus on the central bank's attitude. Currently, there is no clear right - hand side opportunity with high certainty in the market, and no definite negative news. The market fluctuates with sentiment and requires policy to set the tone. The operation idea is to buy on dips and take partial profits. The decline provides an opportunity for long - side left - hand side intervention, and attention should be paid to controlling positions and widening the buying intervals [2][4] Key Points from Different Sections 1.盘面点评 - On Friday, treasury bond futures fluctuated narrowly in the morning, fell sharply in the afternoon, and rebounded slightly at the end of the session, with all varieties closing down. The yields of medium - and long - term bonds rose significantly in the afternoon. The open - market reverse repurchase was 35.43 billion yuan, with a net injection of 12.43 billion yuan. The money market eased, and DR001 fell to 1.46% [2] 2.日内消息 - The weighted winning bid yields of the 10 - year and 30 - year treasury bonds issued by the Ministry of Finance were 1.8321% and 2.1725% respectively, with the full - field multiples of 3.23 and 3.34, and the marginal multiples of 13.73 and 93.35 respectively [3] 3.行情研判 - Although the money market eased and the stock market fluctuated with shrinking volume today, the bond market did not benefit. After the primary issuance results were announced at noon, the yield of the 30 - year treasury bond reopening was higher than the secondary market, which quickly deteriorated market sentiment and led to a sharp decline in the bond market in the afternoon [4] 4.国债期货日度数据 | Contract | 2025 - 09 - 19 | 2025 - 09 - 18 | Today's Change | | --- | --- | --- | --- | | TS2512 | 102.358 | 102.414 | - 0.056 | | TF2512 | 105.63 | 105.815 | - 0.185 | | T2512 | 107.755 | 108.065 | - 0.31 | | TL2512 | 114.88 | 115.68 | - 0.8 | | TS基差（CTD) | - 0.0347 | - 0.0528 | 0.0181 | | TF基差（CTD) | - 0.0542 | - 0.002 | - 0.0522 | | T基差（CTD) | 0.019 | 0.3044 | - 0.2854 | | TL基差（CTD） | 0.4458 | 0.5636 | - 0.1178 | | TS合约持仓(手） | 75499 | 76633 | - 1134 | | TF合约持仓(手） | 148476 | 150650 | - 2174 | | T合约持仓(手） | 249865 | 249992 | - 127 | | TL合约持仓(手） | 169501 | 169140 | 361 | | TS主力成交（手） | 35797 | 34264 | 1533 | | TF主力成交（手） | 92239 | 64176 | 28063 | | T主力成交（手） | 140197 | 93558 | 46639 | | TL主力成交（手） | 179539 | 129045 | 50494 | [5]

Summary of Key Points from the Conference Call Industry Overview - The conference call primarily discusses the bond market, focusing on interest rate trends and investment strategies in the context of current market conditions [1][4][5]. Core Insights and Arguments - **Interest Rate Predictions**: The bond market shows signs of stabilization, but overall sentiment remains weak. The interest rate prediction model indicates a high probability (approximately 85%) of rising rates in the future, suggesting that current rebounds should be viewed as trading opportunities rather than a signal to chase gains [1][5][6]. - **10-Year Government Bond Yield**: It is anticipated that the yield on 10-year government bonds may rise by 20-30 basis points (BP) from the bottom, potentially reaching a high of around 1.85%-1.9% [1][5]. - **Market Sentiment**: A systemic decline in bond rates requires a significant reversal in sentiment, which is currently unlikely in the short term. The bond market is expected to remain volatile but not enter a bear market [1][6]. - **September Funding Pressure**: There is an expected increase in funding pressure in mid to late September due to a large volume of maturing certificates of deposit (CDs), although the tax period's impact is relatively minor [7][8]. - **Investment Strategy**: A "barbell" strategy is recommended for constructing bond portfolios, allowing for flexibility in adjusting long and short positions. It is advised to avoid large holdings in credit bonds with maturities over five years, while small positions in six-year subordinated capital bonds are acceptable [10][11]. Additional Important Insights - **Short-Term Instruments**: For short-term investments, the value of CDs is currently high, with rates close to 1.7%. It is suggested to prefer CDs over high-grade short-term credit bonds [9][8]. - **Local Government Bonds**: Investment strategies for local government bonds include focusing on long-term products with high issuance rates and considering arbitrage opportunities between primary and secondary markets [13][14]. - **Floating Rate Bonds**: For floating rate bonds with maturities of three years or less, attention should be given to specific bonds like 25 Longfa 7,809, while waiting for better pricing on 250,214 [19][20]. - **Arbitrage Opportunities**: There are potential arbitrage opportunities in the pricing of government bonds, particularly between 7-year and 10-year contracts, which could yield risk-free profits [21]. This summary encapsulates the key points discussed in the conference call, providing insights into the current state of the bond market and strategic recommendations for investors.

Market Overview - The bond market showed signs of recovery on September 11, with the main government bond futures rising in the afternoon and most closing higher, while interbank bond yields initially increased before declining [1][2] - The People's Bank of China (PBOC) conducted a net injection of 79.4 billion yuan in the open market, with most funding rates continuing to rise [1][5] Bond Futures and Yields - The closing prices for government bond futures showed mixed results: the 30-year main contract fell by 0.11% to 114.740, while the 10-year contract rose by 0.07% to 107.580 [2] - Interbank yields for major bonds fluctuated, with the 10-year government bond yield decreasing by 0.75 basis points to 1.8075% [2] International Bond Markets - In North America, U.S. Treasury yields fell across the board, with the 10-year yield down by 4.21 basis points to 4.047% [3] - In Asia, Japanese bond yields generally increased, while in the Eurozone, yields for 10-year bonds in France, Germany, and Italy also declined [3] Primary Market Activity - The China Export-Import Bank's 1-year and 3-year financial bonds had bid yields of 1.3556% and 1.7377%, respectively, with bid-to-cover ratios of 2.21 and 1.99 [4] - Jilin Province's local bonds saw bid-to-cover ratios exceeding 21 times, indicating strong demand [4] Funding Conditions - The PBOC announced a 7-day reverse repo operation with a fixed rate of 1.40%, resulting in a net injection of 79.4 billion yuan for the day [5] - Short-term Shibor rates mostly increased, with the overnight rate down by 5.6 basis points to 1.369% [5] Institutional Insights - Huatai Securities noted that the recent bond market adjustment has fundamental backing, but institutional behavior has a more direct impact, suggesting potential opportunities for trading [6] - Long-term forecasts indicate that the bond market may continue to experience weak fluctuations, with expectations of a return to a 1.6% yield for the 10-year government bond by year-end [6]

Group 1: Investment Strategies and Market Trends - Growth style remains in trend, driven by liquidity, with a focus on "deep digging Alpha, waiting for Beta" investment strategy [2] - The Chinese asset market is facing a new value reassessment, with significant growth potential in high-end manufacturing compared to overseas counterparts [2] - The rise of AI and innovation in pharmaceuticals are key investment themes, with a focus on domestic capabilities and applications [3][4] Group 2: Sector Focus - The innovative pharmaceutical sector is gaining attention, with expectations of greater market capitalization growth compared to previous cycles, driven by efficient R&D and clinical innovations [4] - New consumption trends are reshaping the consumer market, emphasizing the importance of product innovation and consumer-centric approaches [5] Group 3: Bond Market Outlook - The bond market is transitioning to a typical oscillating market, influenced by macroeconomic policy shifts, with a three-step outlook for the second half of the year [6] - Current yields on 10-year and 30-year government bonds are seen as having high cost-performance ratios, suggesting a gradual accumulation strategy [6]

Market Overview - The bond market showed consolidation on August 29, with long-term bonds slightly recovering, while the main contracts of government bond futures experienced mixed results [1] - The interbank bond yields generally fell by about 1 basis point, indicating a shift towards a more accommodative liquidity environment with a net injection of 421.7 billion yuan in the open market [1][5] Bond Futures Performance - The closing prices for government bond futures showed an increase for most contracts, with the 30-year main contract rising by 0.01% to 116.550, while the 10-year main contract remained unchanged at 107.810 [2] - The yields on major interbank bonds decreased slightly, with the 30-year special government bond yield falling by 0.75 basis points to 2.025% [2] International Bond Market - In North America, U.S. Treasury yields were mixed, with the 2-year yield rising by 1.64 basis points to 3.627%, while the 10-year yield fell by 3.29 basis points to 4.201% [3] - In Asia, Japanese bond yields continued to decline, with the 10-year yield down by 2.5 basis points to 1.595% [3] - In the Eurozone, yields on 10-year bonds from France, Germany, Italy, and Spain all decreased, indicating a general trend of falling yields across major European markets [3] Primary Market - The China Export-Import Bank issued 2-year and 3-year financial bonds with yields of 1.66% and 1.7948%, respectively, showing strong demand with bid-to-cover ratios of 2.01 and 2.23 [4] Liquidity Conditions - The central bank conducted a reverse repurchase operation of 782.9 billion yuan at a fixed rate of 1.40%, resulting in a net injection of 421.7 billion yuan for the day [5] - The Shibor rates showed mixed performance, with the overnight rate rising by 1.5 basis points to 1.331%, while the 7-day rate fell by 1.6 basis points to 1.51% [5] Institutional Insights - Citic Securities noted that the recent comments from Fed Chair Powell indicated a dovish stance, raising expectations for a potential rate cut in September [6] - Zheshang Securities highlighted a cautious outlook for the bond market in September, with a preference for medium- to short-term bonds and convertible bonds, while sentiment towards local government bonds and high-grade urban investment bonds has weakened [6][7]

Report Summary 1. Investment Rating The document does not mention the industry investment rating. 2. Core Views - Standing at the end of August and looking forward to September, investors are confused about the general direction of the bond market. The bullish sentiment has decreased, and operations have become more prudent. The capital market and the equity market are the core concerns of investors, and the preference for local bonds, high - grade urban investment bonds, and perpetual bonds has marginally weakened [1]. - Four mainstream expectations for the September bond market: concentrated expectations for the upper and lower limits of long - term treasury bond yields; decreased bullish sentiment in the bond market, more cautious operations, and an upward - moving interest rate oscillation center; changed overall expectations for the August economy, with increased expectations for reserve requirement ratio cuts and interest rate cuts; consistent preference for medium - and short - term interest - rate bonds and increased preference for convertible bonds [2]. 3. Summary by Directory 1. Investor Expectations are Divergent and Behavior is More Prudent - **Survey Overview**: A bond market questionnaire was released on August 26, 2025, and 114 valid questionnaires were received by August 28, covering various institutional and individual investors [9]. - **Long - term Treasury Bond Yield Expectations** - **10 - year Treasury Bonds**: 85% of investors think the lower limit of the 10 - year treasury bond yield is likely to be in the 1.65% - 1.75% range, and 51% think the upper limit is likely to be in the 1.80% - 1.85% range. Investors' expectations for an increase in the 10 - year treasury bond interest rate are gradually rising [11]. - **30 - year Treasury Bonds**: 41% of investors think the lower limit of the 30 - year treasury bond yield is likely to be in the 1.90% - 1.95% range, and 44% think the upper limit is likely to be in the 2.05% - 2.10% range. Investors are cautious about the potential further increase in the 30 - year treasury bond yield [13]. - **Economic Outlook for August**: Investor responses were relatively evenly distributed. 29% think the economy in August will show a "both year - on - year and month - on - month weakening" performance. Pessimistic expectations have decreased from 31% to 29% [15][17]. - **Expectations for Reserve Requirement Ratio Cuts and Interest Rate Cuts**: 42% of investors think there will be no further reserve requirement ratio cuts this year, and 46% think there will be no interest rate cuts. Most investors tend to postpone potential reserve requirement ratio cuts and interest rate cuts to a more distant policy window [20]. - **Impact of the Equity Market on the Bond Market**: 70% of investors think the recent strengthening of the equity market will strengthen the stock - bond seesaw effect and suppress the bond market. However, some investors think the impact is short - term [24]. - **September Bond Market Outlook**: Investor expectations for the bond market are divergent. The proportions of investors expecting the bond market to "strengthen overall with a bull - flattened yield curve" and "weaken overall with a bear - steepened yield curve" are both 23%. The preference for the short - end has also decreased [25]. - **Bond Market Operations**: In September, most investors are neutral in practice. Holding cash and waiting is the mainstream view, with a marginal increase in the proportion of investors maintaining positions and taking profits [28]. - **Preferred Bond Types**: In August, investors maintained their positions in medium - and short - term interest - rate bonds and increased their preference for convertible bonds. The preference for local bonds, high - grade urban investment bonds, and perpetual bonds decreased slightly [30]. - **Main Bond Pricing Logic**: Monetary policy, capital market conditions, and the performance of the equity market are the core concerns of bond investors. This month, the attention to the equity market has increased significantly, while the attention to institutional behavior games and fiscal policy has decreased [32].

Core Viewpoint - The overall profit growth of major indices, including the A-share and ChiNext Composite Index, has significantly declined compared to Q1, indicating a potential downturn in corporate earnings [1] Industry Summary - Profits of industrial enterprises above designated size peaked at 9.3 trillion in 2021 and are projected to drop to 7.4 trillion in 2024, with a 1.7% year-on-year decline in profits observed in the first seven months of this year [1] - State-owned enterprises reported a revenue growth rate of -0.2% and a profit growth rate of -3.1% for the first half of 2025, reflecting a challenging economic environment [1] Market Dynamics - The current stock market bull run is primarily driven by capital inflows rather than improvements in corporate earnings, with significant institutional funds shifting from the bond market to equities [1] - Despite increased volatility in the stock market, many bond market investors maintain high expectations for equities and are patiently waiting for favorable conditions [1] Bond Market Outlook - The company maintains a bullish outlook on the bond market for the second half of the year, forecasting a 10-year government bond yield between 1.6% and 1.8%, with a potential challenge to 1.6% within the year [1] - The three to five-year capital bonds are considered to have high cost-effectiveness, with a recommendation to value yields above 2% for 30-year government bonds and five-year capital bonds [1] ETF Performance - The Ping An Company Bond ETF (511030) has shown the best performance in terms of controlling drawdown since the recent bond market adjustment, with minimal trading discounts and stable net value [1]