1. Report Industry Investment Rating No information about the industry investment rating is provided in the report. 2. Core View of the Report The report aims to address the core issues in interest rate research by combining "longitudinal prediction" of liquidity and "horizontal pricing" of interest rates Through two technical routes - interest rate swap pricing and floating - rate bond spread analysis, it quantifies the implied interest - rate cut expectations in current market transactions, and based on the current market consensus, it assesses potential bond market expectations and investment opportunities if policy easing occurs [6][11][13] 3. Summary by Relevant Catalog 3.1 From the Core Issues of Fundamentals to Interest Rate Pricing Traditional liquidity analysis has limitations such as qualitative speculation, over - focus on history, and over - emphasis on the future Effective interest rate research needs to combine "longitudinal prediction" and "horizontal pricing", and the report uses two technical routes to analyze implied interest - rate cut expectations in market transactions to provide a basis for judging future bond market trends and investment opportunities [12][13] 3.2 Interest Rate Swap Pricing 3.2.1 How to Observe Implied Interest - Rate Cut Expectations through Interest Rate Swaps? The market's expectation of policy rate cuts can be approximated as the expectation of a decline in the future funding rate center Interest rate swaps, such as 1Y FR007, can provide a fair market indicator The spread between 1Y FR007 and the current FR007 is an effective proxy variable for measuring interest - rate cut expectations Since 2024, the evolution of interest - rate cut expectations can be divided into four stages: in 2024H1, expectations were flat; in 2024H2, expectations rapidly increased; from February to March 2025, expectations were revised; from Q2 2025 to the present, expectations gradually cleared [14][15] 3.2.2 Is the Interest - Rate Cut Expectation Predicted by Interest Rate Swaps Reliable? Interest rate swaps have two advantages: they truly reflect market consensus as the prices are formed by real - money transactions, and active trading ensures pricing efficiency However, differences in investor structure and trading motivation between the interest rate swap market and the cash bond market may lead to short - term pricing deviations [19][20] 3.3 Floating - Rate Pricing The report selects floating - rate bonds linked to DR007 as research objects and uses the spread between the floating - rate bond's yield to maturity and the benchmark interest rate as the core observation indicator Since last December, the spread trend can be divided into three stages: from December last year to January this year, the spread converged rapidly; from February to March this year, the spread widened significantly; from Q2 this year to the present, the spread remained high and continued to rise, indicating a significant reversal of the market's easing expectations compared to the beginning of the year [21][25][27] 3.4 Summary Through cross - verification of the two technical routes, the current market's interest - rate cut expectations have basically cleared, and the current pricing may even imply a marginal tightening of policies If an interest - rate cut signal is released or an actual cut occurs in the fourth quarter, it may form an expectation gap with the current low market consensus, which is beneficial to the bond market However, interest rate trends are affected by multiple factors and need further analysis [28]