Group 1 - The core viewpoint of the article highlights the weakening of the dividend style in the market, with the cash flow ETF (159399) seeing over 1% increase as funds are being bought on dips, indicating a trend of investors seeking safety in dividend assets amid market volatility [1] - Since December, the cash flow ETF has attracted over 4.6 billion yuan in inflows over the past 10 days, bringing its total size to over 4.5 billion yuan, reflecting a strong interest in dividend stocks as a defensive strategy [1] - Historical data suggests that dividend styles tend to yield significant excess returns in December, January, and April, as investors often turn to dividend stocks for risk aversion before year-end and during performance reporting periods [1] Group 2 - The cash flow ETF (159399) has been consistently distributing dividends for 9 months since its launch, with evaluations conducted monthly, presenting an opportunity for interested investors [2]

Report Industry Investment Rating No relevant content provided. Core Viewpoints - The bond market fluctuates between stable growth and easing expectations, influenced by the stock market, the Fed's interest - rate cut expectations, and global trade uncertainties. Short - term attention should be paid to the policy signals at the end of the month [3]. - Due to the rising repo rate and the oscillating Treasury bond futures prices, the 2512 contract is rated as neutral. Attention should be paid to the decline of the 2512 basis. For hedging, considering the medium - term adjustment pressure, short - position holders can moderately hedge with far - month contracts [4]. Summary by Directory I. Interest Rate Pricing Tracking Indicators - Price indicators: China's monthly CPI increased by 0.2% month - on - month and 0.2% year - on - year; monthly PPI increased by 0.1% month - on - month and decreased by 2.1% year - on - year [9]. - Monthly economic indicators: Social financing scale reached 437.08 trillion yuan, with a month - on - month increase of 3.42 trillion yuan (+0.79%); M2 year - on - year growth was 8.4%, down 0.4% (-4.55%); manufacturing PMI was 49%, down 0.8% (-1.61%) [10]. - Daily economic indicators: The US dollar index was 99.48, down 0.14 (-0.14%); the offshore US dollar - to - RMB exchange rate was 7.1238, up 0.003 (+0.05%); SHIBOR 7 - day was 1.50, up 0.02 (+1.56%); DR007 was 1.51, up 0.01 (+0.89%); R007 was 1.51, down 0.02 (-1.24%); the 3 - month inter - bank certificate of deposit (AAA) was 1.58, up 0.01 (+0.40%); the AA - AAA credit spread (1Y) was 0.08, up 0.00 (+0.40%) [10]. II. Treasury Bonds and Treasury Bond Futures Market Overview - Multiple figures are provided to show the situation of the Treasury bond futures market, including the closing price trend, price change rate, precipitation of funds, position ratio, net position ratio, long - short position ratio, spread between national development bonds and Treasury bonds, and Treasury bond issuance [13][16][19][22]. III. Money Market Funding Situation - Multiple figures are provided to show the money market situation, including the Shibor interest rate trend, the yield - to - maturity trend of inter - bank certificates of deposit (AAA), the trading statistics of inter - bank pledged repurchase, and local bond issuance [28][33][34]. IV. Spread Overview - Multiple figures are provided to show various spread situations, such as the inter - term spread trend of Treasury bond futures and the spread between spot bond term spreads and futures cross - variety spreads [33][38][43]. V. Two - Year Treasury Bond Futures - Multiple figures are provided to show the situation of two - year Treasury bond futures, including the implied interest rate and Treasury bond yield - to - maturity of the main contract, the IRR and funding rate of the TS main contract, and the three - year basis and net basis trends of the TS main contract [40][45][52]. VI. Five - Year Treasury Bond Futures - Multiple figures are provided to show the situation of five - year Treasury bond futures, including the implied interest rate and Treasury bond yield - to - maturity of the main contract, the IRR and funding rate of the TF main contract, and the three - year basis and net basis trends of the TF main contract [54][58]. VII. Ten - Year Treasury Bond Futures - Multiple figures are provided to show the situation of ten - year Treasury bond futures, including the implied yield and Treasury bond yield - to - maturity of the main contract, the IRR and funding rate of the T main contract, and the three - year basis and net basis trends of the T main contract [61][63]. VIII. Thirty - Year Treasury Bond Futures - Multiple figures are provided to show the situation of thirty - year Treasury bond futures, including the implied yield and Treasury bond yield - to - maturity of the main contract, the IRR and funding rate of the TL main contract, and the three - year basis and net basis trends of the TL main contract [68][73].

Report Information - Report Name: Treasury Bond Daily Report [1] - Date: September 19, 2025 [2] - Research Team: Macro Finance Team [4] - Researchers: He Zhuoqiao, Huang Wenxin, Nie Jiayi [3] Industry Investment Rating - Not provided in the report Core Viewpoints - The Fed cut interest rates as expected, but China is unlikely to follow suit in the short term. Expectations for the central bank to restart bond purchases have also cooled. Due to tax period disturbances, treasury bond futures adjusted across the board [8]. - Yields of major term interest rate bonds in the inter - bank market rose across the board, with medium - and long - term increases mostly around 2bp. By 16:30 pm, the yield of the 10 - year treasury bond active bond 250011 reported 1.7825%, up 1.95bp [9]. - Affected by the tax period, the central bank returned to net investment in the open market, and the money market tightened further. There were 292 billion yuan of reverse repurchase maturities, and the central bank conducted 487 billion yuan of reverse repurchase operations, achieving a net investment of 195 billion yuan. Short - term money rates rose across the board [10]. - The national economic activities in August showed weakening, with consumption slowing down and the decline in the real estate market expanding again. The infrastructure investment on the policy side also slowed down significantly, dragging down the overall investment. However, the overall data showed marginal weakening rather than a stall. It is not necessary for China's monetary policy to implement easing following the Fed in September. Policy may focus more on fiscal and credit easing and real estate policies, which will bring disturbances to the bond market. The suppression of the bond market by the stock market may ease, but the bond market still lacks a breakthrough [11][12]. Summary by Directory 1. Market Review and Operation Suggestions - **Market Conditions**: Treasury bond futures adjusted across the board due to the Fed's rate cut, the cooling of expectations for the central bank to buy bonds, and tax period disturbances [8]. - **Interest Rate Bonds**: Yields of major term interest rate bonds in the inter - bank market rose, with the 10 - year treasury bond active bond 250011 yield up 1.95bp to 1.7825% [9]. - **Money Market**: The central bank conducted net investment in the open market, and short - term money rates rose. The overnight weighted rate of inter - bank deposits rose about 2.6bp to 1.5127%, and the 7 - day rate rose 1.62bp to 1.5566%. The 1 - year AAA certificate of deposit rate fell to 1.59% [10]. - **Conclusion**: The national economic data in August showed weakening, but it is not necessary for China to follow the Fed's easing in September. Policy may focus on fiscal and credit easing and real estate. The bond market suppression may ease, but it still lacks a breakthrough. The short - end may be more resilient than the long - end [11][12]. 2. Industry News - **Fed Rate Cut**: The Fed cut interest rates by 25 basis points to 4.00% - 4.25%, the first rate cut this year. FOMC statement pointed out employment risks, economic slowdown, and rising inflation. The dot - plot showed different expectations for further rate cuts. The probability of a rate cut in October is over 90% [13]. - **Fiscal Revenue**: From January to August, the national general public budget revenue was 14.82 trillion yuan, a year - on - year increase of 0.3%. Tax revenue was 12.11 trillion yuan, with the cumulative growth rate turning positive for the first time this year [14]. - **HKMA Rate Cut**: The Hong Kong Monetary Authority cut the benchmark interest rate by 25 basis points to 4.50% [15]. 3. Data Overview - **Treasury Bond Futures**: Data on multiple treasury bond futures contracts including TL, T, TF, and TS were provided, including settlement prices, opening prices, closing prices, price changes, trading volumes, open interests, and position changes [6]. - **Money Market**: Information on SHIBOR, bank - to - bank pledged repurchase weighted rates, and other money market indicators was mentioned, but specific data was mainly in the form of figures [31][33]. - **Derivatives Market**: Information on Shibor3M and FR007 interest rate swap fixed - rate curves was provided, mainly in the form of figures [36].

Market Overview - On June 12, the equity market showed sideways fluctuations with major indices experiencing minor changes: Shanghai Composite Index increased by 0.01%, while the CSI 300 decreased by 0.06%[2] - The bond market saw a general upward trend in yields due to tightening liquidity, with the 10-year government bond yield rising by 0.3 basis points to 1.65%[4] Commodity Performance - Gold prices continued to rise, with London gold increasing from $3,360 to $3,380 per ounce, and New York gold rising from $3,380 to over $3,408 per ounce[3] - Domestic commodities showed weakness, with coking coal, rebar, and iron ore prices falling by 2.79%, 0.70%, and 0.21% respectively[3] Liquidity and Monetary Policy - The central bank continued to withdraw liquidity, with a net withdrawal of 72 billion yuan on June 12, totaling a net withdrawal of 1,402 billion yuan from June 9 to 12[4] - Overnight rates increased slightly, with R001 and R007 rising to 1.43% and 1.58% respectively, indicating a cautious market sentiment[4] Equity Market Trends - The overall trading volume in the A-share market was 1.30 trillion yuan, an increase of 169 billion yuan from the previous day[7] - Small-cap stocks outperformed, with the CSI 2000 and the Wind Micro-cap Index rising by 0.26% and 1.36% respectively, indicating a shift towards smaller market capitalizations[8] Sector Highlights - The technology sector showed mixed results, with the STAR 50 index down by 0.30% while the STAR 100 and STAR 200 indices rose by 0.44% and 0.38% respectively[9] - The healthcare sector saw the Wind Innovation Drug Index increase by 2.32%, reflecting strong performance from leading pharmaceutical companies[9] Investment Strategy - The current market environment suggests a cautious approach, with a focus on sectors that are undervalued and have strong logical support for investment[11] - The TMT sector's crowdedness has increased since late May, indicating potential for a rebound, but requires further narrative strengthening to sustain growth[11]