证券研究报告 固收定期报告 hyzqdatemark 2025 年 08 月 24 日 ——利率周报（2025.8.18-2025.8.24） 投资要点： 联系人 mahe@huayuanstock.com 国内债市回调，美国 9 月降息概率上升 报告核心观点：1-7 月全国一般公共预算收入同比仅微增 0.1%，税收收入同比 -0.3%，反映经济修复动能偏弱；财政支出同比+3.4%，社保就业支出高增 9.8%， 显示政策托底力度加大。LPR 连续四个月按兵不动（1 年期 3.0%、5 年期 3.5%）， 叠加美联储释放 9 月降息信号，国内资金利率有望保持低位，资金面或持续宽松。 本周中观数据显示消费与交运延续复苏，但地产链持续低迷，工业品价格分化。债 市调整主因"股债跷跷板"效应及机构行为扰动，随着债基及券商自营持仓的超长 债转移到险资等配置盘上，后续股市对债市的扰动或将明显减弱，债市预计将逐步 回归基本面、资金面定价。 证券分析师 廖志明 SAC：S1350524100002 liaozhiming@huayuanstock.com 马赫 请务必仔细阅读正文之后的评级说明和重要声明 宏观要闻：25 年 1 ...

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]