Report Industry Investment Rating Not provided in the document. Report Core Viewpoints - From January to July, the year-on-year growth of the national general public budget revenue was only 0.1%, and the tax revenue decreased by 0.3% year-on-year, reflecting weak economic recovery momentum. The fiscal expenditure increased by 3.4% year-on-year, with a high increase of 9.8% in social security and employment expenditure, indicating increased policy support. The LPR has remained unchanged for four consecutive months, and with the Fed signaling a possible September rate cut, domestic capital interest rates are expected to remain low, and the capital market may continue to be loose [2][4][73]. - This week's meso - level data shows that consumption and transportation continue to recover, but the real - estate chain remains sluggish, and industrial product prices are differentiated. The bond market adjustment is mainly due to the "stock - bond seesaw" effect and institutional behavior disturbances. As ultra - long bonds held by bond funds and securities firms' proprietary trading are transferred to insurance funds and other allocation players, the subsequent impact of the stock market on the bond market may be significantly weakened, and the bond market is expected to gradually return to fundamental and capital - market pricing [2][11][75]. - Short - term bond market is suppressed by sentiment, but continuous central bank easing and banks' proprietary trading allocation needs provide support. The peak of net government bond issuance this year has passed. After September, the net issuance of government bonds may not exceed 25% of the annual plan, and interest - rate bonds may see a recovery window. The report maintains that the yield of the 10Y Treasury bond will be between 1.6% - 1.8% in the second half of the year. Currently, the 10Y Treasury bond yield is close to 1.8%, with high cost - effectiveness. In the next six months, the 10Y Treasury bond yield is expected to return to around 1.65%, and the yield of the 5Y national and regional secondary capital bonds will fall below 1.9%. Investors should cherish 5Y capital bonds and 30Y Treasury bonds with yields above 2% [4][11][75]. Summary by Directory 1. Macroeconomic News - From January to July 2025, the national general public budget revenue was 13.6 trillion yuan, a year - on - year increase of 0.1%. Among them, tax revenue was 11.1 trillion yuan, a year - on - year decrease of 0.3%, and non - tax revenue was 2.5 trillion yuan, a year - on - year increase of 2%. The national general public budget expenditure was 16.1 trillion yuan, a year - on - year increase of 3.4%. Social security and employment expenditure increased by 9.8% year - on - year, and debt interest payment expenditure increased by 6.4% year - on - year [4][12]. - On August 20, the 1 - year LPR was 3.0%, and the 5 - year and above LPR was 3.5%, remaining unchanged for four consecutive months [4][15]. - On the evening of the 22nd, Fed Chairman Powell signaled a possible September rate cut at the Jackson Hole Global Central Bank Annual Meeting. Market expectations for a September rate cut soared to over 90% [4][18]. 2. Meso - level High - frequency Data 2.1 Consumption: Continuous Recovery - As of August 17, the daily average retail volume of passenger cars was 5.9 million, a year - on - year increase of 8.2%, and the daily average wholesale volume was 6.3 million, a year - on - year increase of 22.5%. As of August 22, the total box office revenue of national movies in the past 7 days was 123,676.2 million yuan, a year - on - year increase of 14.8% [19]. - As of August 15, the total retail volume of three major household appliances was 1.652 million, a year - on - year increase of 10.6%, and the total retail sales were 4.04 billion yuan, a year - on - year increase of 17.5% [21]. 2.2 Transportation: Active Logistics - As of August 17, the container throughput of ports was 6.753 million TEUs, a year - on - year increase of 8.7%. As of August 22, the average subway passenger volume in first - tier cities in the past 7 days was 4,061.8 million, a year - on - year increase of 4.1% [25]. - As of August 17, the railway freight volume was 7,966.0 million tons, a year - on - year increase of 4.2%, and the highway truck traffic volume was 5,493.0 million vehicles, a year - on - year increase of 4.6% [28]. 2.3 Industrial Operating Rates: Strong Upstream, Weak Downstream - As of August 20, the blast furnace operating rate of major steel enterprises was 77.5%, a year - on - year increase of 2.8 percentage points. As of August 21, the average asphalt operating rate was 25.0%, a year - on - year increase of 3.0 percentage points [33]. - As of August 21, the soda ash operating rate was 88.8%, a year - on - year increase of 6.5 percentage points, and the PVC operating rate was 75.6%, a year - on - year increase of 1.9 percentage points. As of August 22, the average PX operating rate was 85.2%, and the average PTA operating rate was 76.4% [36]. 2.4 Real Estate: Continued Downturn - As of August 22, the total commercial housing transaction area in 30 large - and medium - sized cities in the past 7 days was 1.541 million square meters, a year - on - year decrease of 15.1%. As of August 15, the second - hand housing transaction area in 9 sample cities was 1.433 million square meters, a year - on - year increase of 5.5% [39][42]. 2.5 Prices: Differentiated Industrial Products, Pressured Agricultural Products - As of August 22, the average wholesale price of pork was 20.1 yuan/kg, a year - on - year decrease of 27.3% and a 2.9% decrease from four weeks ago. The average wholesale price of vegetables was 4.8 yuan/kg, a year - on - year decrease of 20.9% and a 9.8% increase from four weeks ago. The average wholesale price of 6 key fruits was 6.9 yuan/kg, a year - on - year decrease of 6.3% and a 3.0% decrease from four weeks ago [43]. - As of August 22, the average price of thermal coal at northern ports was 698.0 yuan/ton, a year - on - year decrease of 15.9% and an 8.9% increase from four weeks ago. The average spot price of WTI crude oil was 62.8 US dollars/barrel, a year - on - year decrease of 15.1% and a 4.4% decrease from four weeks ago. The average spot price of rebar was 3,248.6 yuan/ton, a year - on - year increase of 3.6% and a 1.9% decrease from four weeks ago [47]. 3. Bond and Foreign Exchange Markets: Bond Market Adjustment - On August 22, overnight Shibor was 1.42%, down 1.80BP from August 18. R001, R007, DR001, DR007, IBO001, and IBO007 all showed different degrees of decline or increase compared to previous periods [54]. - On August 22, the yields of 1 - year, 5 - year, 10 - year, and 30 - year Treasury bonds were 1.38%, 1.63%, 1.78%, and 2.08% respectively, up 1.3BP, 3.8BP, 3.6BP, and 3.0BP respectively from August 15. The yields of 1 - year, 5 - year, 10 - year, and 30 - year China Development Bank bonds were 1.56%, 1.77%, 1.88%, and 2.18% respectively, up 3.7BP, 3.9BP, 2.1BP, and 3.0BP respectively from August 15 [59]. - On August 22, the yields of 1 - year, 5 - year, and 10 - year local government bonds were 1.43%, 1.74%, and 1.95% respectively, up 5.0BP, 5.0BP, and 10.6BP respectively from August 15. The yields of AAA 1 - month, 1 - year, AA+ 1 - month, and 1 - year inter - bank certificates of deposit were 1.49%, 1.67%, 1.50%, and 1.69% respectively, up 1.9BP, 2.5BP, 0.9BP, and 1.5BP respectively from August 15 [61]. - As of August 22, the ten - year Treasury bond yields of the US, Japan, the UK, and Germany were 4.3%, 1.6%, 4.7%, and 2.8% respectively, down 7BP, up 6BP, up 1BP, and up 1BP respectively from August 15 [64]. - On August 22, the central parity rate and spot exchange rate of the US dollar against the RMB were 7.13 and 7.18 respectively, down 50 and 18 pips respectively from August 15 [67]. 4. Institutional Behavior - Since the beginning of 2025, the duration of medium - and long - term pure bond funds for interest - rate bonds has shown a trend of first decreasing, then increasing, and then decreasing. On August 22, the estimated average duration was about 5.1 years, a decrease of about 0.09 years compared to last week [70]. - Since the beginning of 2025, the duration of medium - and long - term pure bond funds for credit bonds has shown a volatile trend. On August 22, the estimated median and average duration were about 2.9 years, an increase of about 0.11 years compared to last week [72]. 5. Investment Recommendations - After securities firms' proprietary trading and bond funds reduce their durations, the bond market may experience a good market. The short - term bond market is suppressed by sentiment, but central bank easing and banks' proprietary trading allocation needs provide support. The peak of net government bond issuance this year has passed. After September, the net issuance of government bonds may not exceed 25% of the annual plan, and interest - rate bonds may see a recovery window. The report maintains that the yield of the 10Y Treasury bond will be between 1.6% - 1.8% in the second half of the year. Currently, the 10Y Treasury bond yield is close to 1.8%, with high cost - effectiveness. In the next six months, the 10Y Treasury bond yield is expected to return to around 1.65%, and the yield of the 5Y national and regional secondary capital bonds will fall below 1.9%. Investors should cherish 5Y capital bonds and 30Y Treasury bonds with yields above 2% [4][11][75].

Core Viewpoint - The report provides an overview of the performance and strategy of the Baijia Baizhen Interest Rate Bond Fund for the second quarter of 2025, highlighting its focus on risk control and stable long-term returns through interest rate research and macroeconomic analysis [1][2]. Fund Overview - Fund Name: Baijia Baizhen Interest Rate Bond Fund - Fund Manager: Baijia Fund Management Co., Ltd. - Fund Custodian: Hengfeng Bank Co., Ltd. - Total Fund Shares at Period End: 1,680,776,478.59 shares [2]. Investment Strategy - The fund aims to achieve investment returns exceeding its performance benchmark while strictly controlling risks. Interest rate research is crucial for investment decisions, focusing on macroeconomic forecasts and financial market trends [2][3]. - Duration configuration is determined based on macroeconomic data and market characteristics, adjusting the portfolio's duration based on interest rate predictions [2][3]. Financial Performance - As of the end of the reporting period, the net asset value of Baijia Baizhen Interest Rate Bond A was 1.2501 RMB, with a net value growth rate of 0.36% compared to a benchmark return of 0.70% [6]. - The net asset value of Baijia Baizhen Interest Rate Bond C was 1.2496 RMB, with no reported growth rate for the period [6]. Asset Allocation - The fund's total assets included 2,022,939,906.86 RMB in bonds, representing 96.23% of total assets, with no holdings in stocks or other securities [6][7]. - The fund maintains a minimum of 80% of its assets in bond investments, with at least 80% of non-cash fund assets in interest rate bonds [4][6]. Market Conditions - The bond market was influenced by factors such as weak economic recovery, institutional allocation behavior, and liquidity conditions, leading to a general decline in bond yields during the reporting period [6]. - The yields on 10-year, 5-year, and 3-year government bonds decreased by approximately 10 basis points, 12 basis points, and 15 basis points, respectively, compared to the previous quarter [6]. Fund Management Compliance - The fund management adhered to relevant laws and regulations, ensuring compliance and protecting the interests of fund shareholders throughout the reporting period [5][11]. - No instances of unfair trading or abnormal transactions were reported during the quarter [6][11].

Core Viewpoint - The ten-year government bond ETF (511260) has seen a net inflow of over 300 million yuan in the past five days, with a current scale exceeding 15 billion yuan, indicating strong liquidity. The expectation of potential interest rate cuts in the second half of the year could lead to a downward adjustment in the ten-year bond yield, currently at 1.65%, by 10-20 basis points, making it an attractive investment option for stable coupon income and potential excess returns from future rate cuts [1][2]. Group 1 - The ten-year government bond ETF tracks the Shanghai Stock Exchange 10-year government bond index, selecting bonds with a remaining maturity of 7 to 10 years. The average duration of the current portfolio is 7.6 years. Historical performance shows a one-year return of 6.02%, a three-year return of 15.04%, a five-year return of 19.26%, and a cumulative return of 34.63% since inception [2]. - The ETF has maintained positive returns every year since its inception, indicating its potential as a resilient asset allocation tool across market cycles [2]. Group 2 - The ten-year government bond ETF offers unique advantages, including T+0 trading, allowing for same-day buying and selling, which is beneficial in a high-volatility market [3]. - The ETF has low trading fees, enhancing capital efficiency for investors [4]. - The ETF provides transparency in holdings with daily published PCF lists and allows for pledge repurchase, enabling investors to leverage their ETF holdings for other investment opportunities [5]. Group 3 - The third quarter is viewed as a favorable period for long-term bonds, with expectations of stable growth policies being less likely to be implemented before the end of the third quarter. The ten-year bond yield is anticipated to be around 1.65%, with potential adjustments based on fiscal measures in the fourth quarter [5].

Core Viewpoint - The Ten-Year Treasury ETF (511260) has seen significant net inflows, exceeding 1.1 billion yuan over the past five days and over 10 billion yuan in the last month, indicating strong investor interest and liquidity [1]. Group 1: Performance Metrics - The Ten-Year Treasury ETF tracks the Shanghai Stock Exchange 10-Year Treasury Index, with an average duration of 7.6 years. Since its inception, the ETF has consistently achieved new net asset value highs, with a one-year return of 6.02%, a three-year return of 15.04%, a five-year return of 19.26%, and a cumulative return of 34.63% [1]. - The ETF has maintained positive annual returns for seven consecutive years from 2018 to 2024, positioning it as a resilient asset for navigating market cycles [1]. Group 2: Unique Advantages - The ETF offers T+0 trading, allowing investors to buy and sell on the same day, which is advantageous in a low-interest, high-volatility environment [1]. - It features low trading fees, enhancing capital efficiency for investors [2]. - The ETF provides transparency with daily published PCF lists, allowing investors to see holdings [3]. - Investors can use the ETF for collateralized repurchase agreements, enabling them to access funds for other investments while retaining the ability to redeem the ETF later [3]. Group 3: Market Outlook - Institutions suggest that the third quarter remains a favorable period for investing in interest rate bonds. Longjiang Securities anticipates limited substantial growth policies before the end of Q3, with potential adjustments in the bond market due to ample liquidity and weak internal momentum expectations [3]. - The recommendation is to adjust allocations when the 10-year Treasury yield approaches 1.65%. If fiscal measures increase in Q4, yields may rise above 1.8%, but if economic pressures mount, monetary policy may ease, potentially lowering yields back to previous lows around 1.6% [3].

Group 1 - The ten-year government bond ETF (511260) reached a historical high last Friday, with a closing price of 136.923 and a total scale of 14.753 billion yuan [1] - The third quarter is viewed as a window period for bullish positions in interest rate bonds, with expectations of limited substantial growth policies before the end of Q3 [1] - Long-term government bonds are crucial in the bond market, being the most traded single bond type, and the ten-year government bond ETF offers three trading advantages: flexible trading, high collateral utilization, and suitability for arbitrage strategies [1] Group 2 - The ten-year government bond yield is expected to be around 1.65%, with potential increases to over 1.8% in Q4 if fiscal measures are intensified, although monetary policy may ease if the economy is under pressure [1] - The current collateral rate for the ten-year government bond ETF is approximately 94%, enhancing capital efficiency for investors [1] - The ETF is suitable for investors looking to capitalize on bond market opportunities through its trading features [1]

华润元大泓远利率债债券型证券投资基金 基金管理人：华润元大基金管理有限公司 基金托管人：杭州银行股份有限公司 送出日期：2025 年 3 月 31 日 华润元大泓远利率债 2024 年年度报告 基金管理人的董事会、董事保证本报告所载资料不存在虚假记载、误导性陈述或重大遗漏， 并对其内容的真实性、准确性和完整性承担个别及连带的法律责任。本年度报告已经三分之二以 上独立董事签字同意，并由董事长签发。 基金托管人杭州银行股份有限公司根据本基金合同规定，于 2025 年 3 月 28 日复核了本报告 中的财务指标、净值表现、利润分配情况、财务会计报告、投资组合报告等内容，保证复核内容 不存在虚假记载、误导性陈述或者重大遗漏。 基金管理人承诺以诚实信用、勤勉尽责的原则管理和运用基金资产，但不保证基金一定盈利。 基金的过往业绩并不代表其未来表现。投资有风险，投资者在作出投资决策前应仔细阅读本 基金的招募说明书及其更新。 华润元大泓远利率债 2024 年年度报告 §2 基金简介 基金名称 华润元大泓远利率债债券型证券投资基金 基金简称 华润元大泓远利率债 基金主代码 019563 基金运作方式 契约型开放式 基金合同生效日 ...