文｜明明 赵诣 丘远航 9月债市高位偏弱波动，曲线呈现熊陡。伴随10月召开二十届四中全会，市场的关注点可能仍然维持在未来政策方向，以及"十五五"规 划对于下一阶段经济发展方向的确立。此外，10月流动性缺口可能季节性走阔，央行节前公告买断式逆回购释放了一定宽松信号，当 前收益率曲线较为平坦，我们判断先牛陡后牛平的概率更大。 ▍9月债市复盘：债市高位偏弱波动，曲线呈现熊陡。 月初财政部与中国人民银行联合工作组第二次组长会议引发货币财政协同及国债买卖工具重启猜想，利率短暂下行。随后，证监会发 布基金销售费用管理规定征求意见稿，利率快速回升。8月基本面数据低于预期，尤其是投资增速回落，令债市边际企稳。下旬监管消 息频出，市场持续走跌，临近月末大行买债力度加大，市场企稳反弹。海外方面，美联储重启降息周期，但我国央行表述稳健，政策 未跟进，月末市场回归平稳。 登录新浪财经APP 搜索【信披】查看更多考评等级 炒股就看金麒麟分析师研报，权威，专业，及时，全面，助您挖掘潜力主题机会！ ▍信用利差大幅上行，二级债利差上行，城投债利差上涨较多。 ▍基本面：阶段性脱离经济基本面，情绪主导行情。 回顾9月市场走势，9月公布的各项基本 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - Last week, the bond market continued to adjust, with credit bond sentiment generally pessimistic and the adjustment amplitude greater than that of interest rates. The overall decline of credit bonds has exceeded the previous round of adjustment at the end of July, and some maturities have even exceeded the bear - flat stage at the end of February this year. Coupon assets have a certain cost - effectiveness [2][5][10][33]. - Currently, there are some opportunities to participate in 2 - 5 - year bank secondary capital bonds after adjustment. The sinking of weak - quality urban investment bonds with maturities of 1 - 3 years can continue to be participated in, and the riding income of varieties with a yield of more than 2.2% and a maturity of about 3 years is quite considerable. For ultra - long - term bonds, the yield has a certain cost - effectiveness after adjustment, but only allocation - type institutions are recommended to participate moderately [5][33]. - The second batch of science - innovation ETFs was listed last week, with enthusiastic subscription sentiment, which may become a marginal stabilizing force for the credit market. However, the boosting effect on the bond market is currently limited [30]. 3. Summary by Relevant Catalog 3.1 Bond Market Adjustment - In the first half of last week, the stock - bond "see - saw" effect was still evident, and the news of fund fee adjustment made the market sentiment sluggish, with yields rising continuously. The 10Y Treasury bond interest rate exceeded the phased top point of 1.80%. In the second half of the week, the expectation of the central bank restarting bond purchases increased, and yields recovered somewhat, but overall, it closed down for the whole week [2][10]. - Credit bonds weakened in sync with interest rates, and the decline of most maturities of credit bonds exceeded that of interest rates. The anti - decline attribute of credit bonds was weak in this long - lasting bear market [2][10]. - From September 8th to September 12th, 2025, the yields of 1Y, 2Y, 3Y, 4Y, and 5Y Treasury bonds increased by 0.4BP, 2.1BP, 1.0BP, 0.5BP, and 0.2BP respectively, while the yields of the same - maturity AAA medium - term notes increased by 3.8BP, 4.8BP, 6.2BP, 3.1BP, and 2.5BP respectively, and the yields of AA + medium - term notes increased by 4.8BP, 5.8BP, 6.2BP, 7.1BP, and 3.5BP respectively [10]. - The market of ultra - long - term credit bonds weakened synchronously, with the decline mostly exceeding that of the same - maturity interest - rate bonds. The yields of AAA/AA + 10Y medium - term notes increased by 8.53BP and 7.53BP respectively, the yields of AAA/AA + 10Y urban investment bonds increased by 6.36BP and 5.35BP respectively, the yield of AAA - 10Y bank secondary capital bonds increased by 10.61BP, while the yield of 10Y Treasury bonds increased by 4.10BP [12][13]. 3.2 Performance of Secondary Perpetual (Er Yong) Bonds - The market of secondary perpetual bonds weakened synchronously, and the "volatility amplifier" feature was very obvious. The decline of 1Y - 5Y was significantly higher than that of ordinary credit bonds, and the decline of the ultra - long - term part was also higher than that of ultra - long - term credit bonds [3][16]. - From the perspective of the curve term structure, the parts within 1 year and over 7 years were relatively flat, and the curve steepened the most from 2 to 6 years. The yields of 1 - 5 years, 7 years, and 10 years of AAA - bank secondary capital bonds increased by 6.09BP, 8.75BP, 9.97BP, 10.32BP, 9.71BP, 8.81BP, and 10.61BP respectively [16]. - Currently, the part of the curve with a maturity of 3 years and above is still 32BP - 42BP away from the lowest yield point since 2025. Compared with the sharp decline at the end of July, the yield points of maturities over 2 years have reached new highs, and the adjustment amplitude is higher than that of the sharp decline at the end of July. The yields of maturities over 4 years have even exceeded the bear - flat position at the end of February this year [3][16]. - In terms of active trading, the sentiment was the most pessimistic in the first half of the week and improved marginally in the second half, but overall, the short - selling force was stronger. From September 8th to September 12th, the low - valuation trading proportion of secondary perpetual bonds was 0.00%, 0.00%, 0.00%, 27.50%, 100.00% respectively; the average trading duration was 0.66 years, 0.65 years, 0.57 years, 3.67 years, 6.54 years respectively [17]. 3.3 Ultra - long - term Credit Bonds - The institutional selling market of ultra - long - term credit bonds strengthened for 4 consecutive days and only improved on Friday. Institutions were more eager to sell ultra - long - term credit bonds last week. The discount amplitude of ultra - long - term credit bonds was not small, and there were also transactions with a discount of more than 4BP. About 25% of the discount trading amplitudes were over 4BP last week [4][21]. - The market's willingness to buy ultra - long - term credit bonds was very weak. High - activity trading was mainly concentrated in some short - term real - estate and financial defective individual bonds, as well as weak - quality urban investment bonds. About 35% of the trading amplitudes below the valuation were over 4BP last week, mainly real - estate bonds such as Vanke and Longfor, and there were also central - enterprise bonds like AVIC Industry Finance, all of which were short - term. In addition, many weak - quality urban investment bonds, such as AA(2), AA, AA - with maturities of 2 - 5 years, also had relatively large trading amplitudes below the valuation [4][25]. 3.4 Institutional Behavior - Public funds significantly sold secondary perpetual bonds last week. They reduced their holdings of credit bonds overall, with a net selling scale of 26.2 billion yuan, mainly selling bonds with maturities of 3 - 5 years. They significantly reduced their holdings of secondary perpetual bonds, with a total net selling of 64.3 billion yuan of bank secondary capital bonds [4][27]. - Allocation - type institutions had strong buying power after the adjustment. Wealth management, insurance, and other types of institutions net - bought 14.3 billion, 15.3 billion, and 29.2 billion yuan of bank secondary capital bonds respectively. In addition, insurance and wealth management institutions net - bought 12.8 billion and 20.9 billion yuan of credit bonds respectively, mainly bonds with maturities within 3 years [4][27]. 3.5 Impact of Science - innovation ETFs - The second batch of science - innovation ETFs was listed last week, with enthusiastic subscription sentiment. On September 12th, the second batch of 14 science - innovation bond ETFs started to raise funds, and most products had good subscription situations. It is expected that the raised funds can exceed 40 billion yuan, and the product scale is expected to continue to grow this week, pushing up the valuation of component bonds [30]. - However, the boosting effect of the second batch of science - innovation ETFs on the bond market is currently limited. The performance of listed credit ETF products was average last week. The weekly -环比 scale of credit benchmark - making ETF products has shrunk for 4 consecutive weeks since the market adjustment in the second week of August, and the weekly -环比 scale of science - innovation ETF products last week was significantly weaker than that in August. The unit net values of the above two types of credit bond ETFs were still in the red last week [30].

1. Report Industry Investment Rating No information about the report industry investment rating is provided in the content. 2. Core Viewpoints of the Report - Since May 2025, the high - valuation transactions of Shenzhen Metro's long - term bonds in the secondary market have been active, with yields rising by over 20bp at one point. This is mainly due to concerns that Shenzhen Metro's frequent support for Vanke may lead to significant losses in equity investment and drag down its creditworthiness [2][12]. - Real estate - related public opinions may disrupt the valuation of urban investment bonds. After the market digests the impact, the credit spreads usually compress. For example, the public opinions related to Guangzhou Urban Construction Investment Group Co., Ltd. and Evergrande and Cedar Industries have affected its bond spreads [2][30]. - The trading of Shenzhen Metro's long - term bonds has stabilized. Given its strong regional economic and financial strength, relatively low credit risk, and higher static yields compared to other municipal subway platforms, there is an opportunity for its long - term bond valuation to recover. Investors with stable liability ends can gradually participate [3][42]. 3. Summary According to the Directory 3.1 Long - term Bonds with High - valuation Transactions are Active, and Yields Rise by Over 20bp at One Point - From May to June 2025, the number of high - valuation transactions of Shenzhen Metro's bonds in the secondary market reached a record high. In May 2025, there were 65 high - valuation transactions out of 133 total transactions, and as of June 20, there were 144 high - valuation transactions out of 259 total transactions [12]. - Structurally, the high - valuation amplitude of long - term bonds is larger. From April to May 2025, the average deviation of bonds within 5 years from the valuation was within 1bp, while for those over 10 years, it was 2.1bp and 10.86bp respectively [15]. - The average transaction price and term of Shenzhen Metro's bonds have increased rapidly in the past month. From May 20 to June 17, 2025, the average transaction price rose from 1.69% to 2.42%, and the average transaction term increased from 0.9 years to 10.58 years [19]. - Frequent high - valuation transactions have caused the yields of Shenzhen Metro's long - term bonds to rise by over 20bp. Compared with the beginning of the year, the yields of 5 - year, 10 - year, 15 - year, and 20 - year sample bonds have risen by 11bp, 18bp, 18bp, and 13bp respectively [22]. - The reason for the rise in yields is that some institutional investors are worried that Shenzhen Metro's frequent support for Vanke may lead to significant losses in equity investment and drag down its creditworthiness. In 2025, Shenzhen Metro plans to provide about 15 billion yuan in loans to Vanke, and in April 2025, it announced a net profit loss of 33.5 billion yuan, mainly due to losses in its long - term equity investment in Vanke [25]. 3.2 Real Estate Public Opinions May Disrupt the Valuation of Urban Investment Bonds, and Spreads Usually Compress after Market Digestion - The real estate industry accounts for a relatively high proportion of Guangdong's GDP. From 2022, many Guangdong - based private real estate enterprises have defaulted on their debts, and some urban investment platforms have been involved in real - estate - related public opinions [30]. - For example, Guangzhou Urban Construction Investment Group Co., Ltd. has public opinions related to Evergrande and Cedar Industries. In 2020 - 2021, it paid 10 billion yuan to acquire 4.8072% of Evergrande's equity, and in 2022, its subsidiary's investment in Cedar Industries' debt financing plan defaulted with an amount of 6 billion yuan. The public opinions have affected the spreads of its sample bonds [34]. - Real - estate - related public opinions can cause the credit spreads of urban investment bonds to widen rapidly, and if there are no new public opinions, the impact may last for 2 - 3 months. After the market digests the impact, the spreads usually narrow quickly, and the market's pricing of public opinions will become less sensitive [42]. 3.3 Transactions are Stabilizing, and Attention Should be Paid to the Valuation Recovery Opportunity of Shenzhen Metro's Long - term Bonds - Shenzhen Metro is wholly - owned by the Shenzhen State - owned Assets Supervision and Administration Commission. Its business has strong public welfare attributes, and the region has strong economic and financial strength. The support from its shareholders is potentially strong. Its support for Vanke is within an acceptable range, and its bond maturities are relatively dispersed, with relatively low credit risk [42]. - Since March 2025, the yields of Shenzhen Metro's short - term bonds have declined, while those of long - term bonds have risen, resulting in a significant widening of the term spread. After more than two months of adjustment, the trading of long - term bonds has stabilized [49]. - From a static yield perspective, Shenzhen Metro's bonds have higher yields compared to other municipal subway platforms. Its current yield curve is steeper than in early May, with higher riding returns. The long - term yields of urban investment bonds with an implied rating of AAA are at the lowest quantiles since 2021, while the yields of Shenzhen Metro's 8 - 10 - year bonds are 2.35%, indicating good value [56][62].

1. Report Industry Investment Rating - No information provided regarding the industry investment rating [1] 2. Core Viewpoints of the Report - In the past two weeks, interest - rate bonds fluctuated downward. Institutions continued to explore credit - bond spreads, with long - duration bonds becoming the focus. The 10 - year credit spread has significantly compressed. The trading sentiment of credit bonds is quite extreme. Considering the usual significant decline in wealth - management scale in the last week of June, credit bonds may experience short - term fluctuations. Accounts with unstable liability ends are not advised to chase the rising market but can make arrangements during adjustments. Accounts that have already invested in long - duration credit bonds earlier do not need to rush to take profits as there is still some allocation demand in July. Additionally, there is still room for the spread of long - duration credit bonds to compress [1][3] 3. Summary According to Related Catalogs 3.1 City Investment Bonds - Net financing remains weak. From June 1 - 22, 2025, city investment bonds issued 3781 billion yuan, matured 3767 billion yuan, and only achieved a net financing of 14 billion yuan, a year - on - year decrease of 791 billion yuan. The primary issuance sentiment declined, with the proportion of full - field multiples above 3 times dropping by 14 percentage points to 62%. The proportion of issuances with a term of over 3 years further increased to 45% [31] - Short - end issuance rates continued to reach new lows. In June, the issuance rates of city investment bonds continued to decline. The rates for bonds with a term of less than 1 year, 1 - 3 years, and 3 - 5 years decreased by 10bp, 7bp, and 15bp respectively compared to May, reaching 1.76%, 2.19%, and 2.51% [33] - In the secondary market, long - end bonds performed strongly, with yields of many terms reaching new lows. From June 16 - 20, yields of city investment bonds across all terms declined. The decline in medium - and short - end yields was limited, mostly within 3bp, while most long - end bonds with a term of over 5 years declined by more than 5bp, and credit spreads also compressed [36] - From the broker transaction data, bonds of all terms were traded at a discount to valuation, with long - term bonds over 5 years performing the best. The daily transactions of city investment bonds were still active, with daily transactions often exceeding 800, and the average discount to valuation per trading day was around 2bp. The average discount to valuation of long - term bonds over 5 years was 2.8bp [41] 3.2 Industrial Bonds - In June, the issuance and net - financing scale of industrial bonds increased significantly year - on - year. From June 1 - 22, industrial bonds issued 6187 billion yuan, a year - on - year increase of 1345 billion yuan, and achieved a net financing of 3050 billion yuan, a year - on - year increase of 1425 billion yuan. The comprehensive, public - utility, and non - bank financial industries had relatively large net - financing scales [43] - The issuance sentiment weakened. The proportion of full - field multiples above 3 times decreased from 38% to 30%, while the proportion of 2 - 3 times increased from 24% to 30% [43] - The proportion of medium - and long - term issuances increased. Since June, the proportion of industrial bonds with a term of less than 1 year decreased from 40% in May to 31%, while the proportions of 1 - 3 years, 3 - 5 years (including 5 years but excluding 3 years), and over 5 years increased to 40%, 18%, and 12% respectively [43] - From the broker transactions, the buying sentiment of industrial bonds was high. The TKN proportion remained at 79%, and the proportion of discount - to - valuation transactions increased from 65% to 66%. The transaction duration lengthened, with the proportion of transactions over 5 years increasing by 5 percentage points to 19% [45] 3.3 Bank Capital Bonds - In the primary market, from June 16 - 22, 2025, Xi'an Bank and Qingdao Rural Commercial Bank each issued a 20 - billion - yuan 5 + 5 - year secondary capital bond. The issuance rate of Xi'an Bank was 2.30%. Minsheng Bank issued a 300 - billion - yuan 5 + N - year perpetual bond with an issuance rate of 2.30% [48] - In the secondary market, yields of bank capital bonds declined across the board, and spreads showed differentiation. 10 - year secondary capital bonds and medium - and long - term perpetual bonds performed better. Specifically, yields of 1 - 5 - year secondary capital bonds generally declined by 2 - 4bp, with credit spreads fluctuating narrowly. The 10 - year secondary capital bond yield declined by 5bp, and the spread narrowed by 2bp. Bank perpetual bonds outperformed secondary capital bonds, with most credit spreads narrowing by 0 - 4bp [48] - From the broker transactions, from June 16 - 20, the number of bank capital bond transactions increased significantly month - on - month, and the trading sentiment was good. The TKN proportion was above 68%. The proportions of discount - to - valuation transactions of secondary capital bonds and perpetual bonds increased by 2 and 1 percentage points respectively to 70% and 77%. In terms of the term structure, state - owned bank transactions were still concentrated in long - duration bonds with good liquidity. The proportion of 4 - 5 - year secondary capital bond transactions of state - owned banks increased by 3 percentage points to 54%, while that of perpetual bonds decreased by 4 percentage points to 60%. Joint - stock bank transactions reduced the duration [51] - Regarding TLAC bonds, by subtracting the average yields of 3 + 1, 5 + 1, and 10 + 1 TLAC bonds from the yields to maturity of 3Y, 5Y, and 10Y AAA - secondary capital bonds, the spreads of secondary capital bonds over TLAC bonds were obtained. As of June 20, 2025, the spreads of 3Y, 5Y, and 10Y secondary capital bonds over TLAC bonds were 3.5bp, 7.5bp, and 4.8bp respectively, indicating that the 10 - year TLAC bond was more cost - effective at present [54] - For commercial financial bonds, taking the 3Y AAA commercial financial bond as an example, since 2021, its spread has mostly fluctuated between 10 - 30bp, with a stable spread center at 20bp. As of June 20, the credit spread of the 3Y AAA commercial financial bond was 14bp, at a relatively low level compared to the spread center [58]

Core Viewpoint - The article discusses the impact of tariff measures on the bond market, highlighting a rapid decline in interest rates and the subsequent stabilization, while emphasizing the need to monitor external demand shocks and government debt issuance in May [1][2][3]. Group 1: Bond Market Overview - In April, following the implementation of tariff measures by the Trump administration, the stock market experienced a significant drop, leading to a rapid decline in long-term bond yields [2]. - The 10-year government bond yield remained stable around 1.65% during the latter part of April, reflecting market adjustments to external demand shocks and monetary policy expectations [2][3]. - The issuance of special government bonds has been confirmed, with net financing for government bonds in May expected to be around 623.4 billion, indicating a moderate level of financing activity [4]. Group 2: Liquidity and Monetary Policy - The liquidity gap in May is projected to be around 1500 billion, which is considered manageable, suggesting a continuation of a loose monetary environment [5]. - Despite the tariff-induced uncertainties, the central bank has not implemented significant monetary easing measures, maintaining a stance of "appropriate looseness" in monetary policy [6][7]. - The article anticipates that the central bank may prioritize a reserve requirement ratio cut in the second quarter, depending on external economic conditions [7]. Group 3: Credit Market Dynamics - In April, credit bond yields decreased, particularly in short-term bonds, with credit spreads for one-year bonds narrowing by up to 14 basis points [9]. - The article notes a shift in the yield curve, with the potential for long-term credit bonds to experience upward adjustments in yields [9][10]. - The analysis suggests that selecting 3-5 year credit bonds could yield higher returns, with estimated riding yields of 0.4% to 2% depending on the holding period [10]. Group 4: Interest Rate Trends - Recent trends indicate a decline in overnight funding rates, with the 7-day moving average of DR001 dropping to 1.65%, reflecting a 30 basis point decrease from previous highs [11]. - The article emphasizes the need for a supportive monetary environment to stimulate domestic demand, with expectations for short- to medium-term government bond yields to benefit from this liquidity [11][12]. - The current yield curve is described as relatively flat, with a higher probability of a steepening trend in the near future [12].

Group 1 - The credit market is experiencing structural weakness, with credit bond yields fluctuating alongside interest rates. Mid to long-term credits (3-4 years) are performing relatively well, while ultra-long credits are declining due to strong liquidity demands from institutions [1][12][38] - The buying power for ultra-long credit bonds is weakening, despite similar buying intensity compared to historical data. This is attributed to redemption disturbances leading to selling pressure, which is not sufficiently countered by returning buying power [2][19][24] - The low coupon rates of ultra-long credits (below 2.4%-2.5%) limit capital gain potential, making it difficult to engage in capital gain speculation. The ability to withstand price fluctuations is also low, with a tolerance of only 5 basis points [3][23][25] Group 2 - Short-term credits are actively traded, benefiting from their defensive characteristics and certainty. However, there is a scarcity of selling pressure due to institutions' reluctance to part with their holdings [4][31] - The 3-5 year segment of the credit curve remains steep, presenting opportunities for investors to capture yield through duration extension strategies [5][33] - The overall credit market is expected to compress spreads in the second quarter, supported by demand for wealth management products and allocation forces. Short-term credits will depend on the funding side, while long-term credits will gradually develop [6][35] Group 3 - In the primary market, the issuance of ultra-long bonds has increased, with a total issuance of 4,212 billion yuan and a net financing of 814 billion yuan. The weighted average issuance rate for credit bonds is 2.07%, remaining stable compared to the previous week [38][41] - The effective subscription multiple for credit bonds has decreased to 0.90 times, indicating weakened subscription sentiment, particularly in the short-term segment [38][42] - The ultra-long credit bonds issued during the week totaled 303 billion yuan, with some issuers offering coupon rates above 2.8% [46]