Report Information - Research Team: Guanyi'an Futures Research Center Macro Team [1] - Report Date: September 5, 2025 [1] Global Asset Market Performance 10 - Year Treasury Yields of Major Economies - On September 4, 2025, yields varied widely across countries, e.g., the US was 4.162%, Japan 3.589%, and China 1.806% [2] - Recent changes showed mixed trends, with some yields rising and others falling over different time - frames (latest, one - week, one - month, one - year) [2] 2 - Year Treasury Yields of Major Economies - Yields on September 4, 2025, such as the US at 3.660%, the UK at 3.944%, and Germany at 1.961% [2] - Changes over different periods also showed a mix of increases and decreases [2] Dollar Exchange Rates Against Major Emerging Economies' Currencies - On September 4, 2025, exchange rates were as follows: Brazil 5.447, South Africa zar 17.779, etc. [2] - Exchange rates had different percentage changes over various time - spans, with some appreciating and others depreciating [2] Performance of Major Economies' Stock Indices - On September 4, 2025, indices like the S&P 500 was 6502.080, the Nikkei was 42580.270, etc. [2] - Indices showed different trends in terms of daily, weekly, monthly, and yearly changes [2] Credit Bond Indices - Different credit bond indices (US investment - grade, Eurozone investment - grade, etc.) had varying percentage changes over different time periods [2][3] Stock Index Futures Trading Data Index Performance - Closing prices on September 4, 2025: A - share was 3765.88, CSI 300 was 4365.21, etc. [4] - All indices had negative percentage changes on that day, e.g., A - share - 1.25%, CSI 300 - 2.12% [4] Valuation - PE (TTM) values and their环比 changes were provided for several indices, such as CSI 300 (13.85, - 0.16) and S&P 500 (27.06, 0.28) [4] Risk Premium - Risk premium values and their环比 changes were given for some indices, e.g., S&P 500 (- 0.47, 0.01) and Germany's DAX (2.38, - 0.01) [4] Fund Flows - Latest and 5 - day average fund flow values were negative for most segments, e.g., A - shares (- 1326.31, - 1317.62) [4] Trading Volume - Latest trading volume and环比 changes were presented for different markets, e.g., Shanghai and Shenzhen stock markets (25442.57, 1801.71) [4] Basis and Spread of Main Contracts - Basis and spread percentages were provided for IF, IH, and IC contracts, e.g., IF (- 15.81, - 0.36%) [4] Treasury Futures Trading Data Futures Closing Prices and Changes - Closing prices on September 4, 2025, for T00 was 108.350, TF00 was 105.815, etc. [5] - All had positive percentage changes, e.g., T00 0.15%, TF00 0.09% [5] Money Market Interest Rates - Interest rates for R001, R007, and SHIBOR - 3M were 1.3577%, 1.4622%, and 1.5500% respectively, with R001 having a - 10.00 BP daily change [5]

Report Date - The report is dated September 4, 2025 [1] Global Asset Market Performance Bond Yields - On September 3, 2025, the 10 - year bond yields of major economies varied, with the US at 4.218, UK at 4.747, etc. The latest changes, weekly, monthly, and yearly changes also differed across countries. For example, the US 10 - year bond yield had a latest change of - 0.044, a weekly change of - 0.017, a monthly change of - 0.011, and a yearly change of 0.401 [2] - The 2 - year bond yields of some major economies also showed different values and changes on September 3, 2025. For instance, the UK 2 - year bond yield was 3.956, with a latest change of - 0.021, a weekly change of - 0.003, a monthly change of 0.140 [2] Exchange Rates - The exchange rates of the US dollar against major emerging - economy currencies had various changes. For example, against the Brazilian real, the exchange rate on September 3, 2025, was 5.451, with a latest change of - 0.26%, a weekly change of 0.61%, a monthly change of - 0.23%, and a yearly change of - 0.80% [2] - The on - shore and off - shore RMB, RMB mid - price, and 12 - month NDF also had their own changes in rates [2] Stock Indices - Stock indices of major economies had different closing prices and changes on September 3, 2025. The S&P 500 closed at 6448.260, with a latest change of 0.51%, a weekly change of - 0.51%, a monthly change of 1.63%, and a yearly change of 14.80% [2] Credit Bond Indices - Credit bond indices of different regions and types (investment - grade and high - yield) had different changes in the latest, weekly, monthly, and yearly periods. For example, the US investment - grade credit bond index had a latest change of 0.44%, a weekly change of 0.06%, a monthly change of 0.33%, and a yearly change of 3.50% [2][3] Futures Trading Data Stock Index Futures - For A - shares, the closing price was 3813.56 with a decline of 1.16%. The closing prices, changes, valuations, risk premiums, fund flows, trading volumes, and basis spreads of other indices like the CSI 300, SSE 50, ChiNext, and CSI 500 were also presented [4] Treasury Bond Futures - Treasury bond futures T00, TF00, T01, and TF01 had closing prices of 108.290, 105.790, 108.160, and 105.725 respectively, with corresponding changes in percentages [5] Money Market - The capital interest rates of R001, R007, and SHIBOR - 3M were 1.3543%, 1.4644%, and 1.5500% respectively, with daily changes in basis points [5]

Core Insights - The offshore (CNH) and onshore (CNY) RMB appreciated against the USD in August, with the average daily price difference increasing by 18 basis points (BP) to 80 BP compared to the previous month [1][3] - The CFETS RMB exchange rate index and indices referencing the BIS and SDR currency baskets decreased by 0.20%, 0.13%, and 0.28% respectively from the end of the previous month [1][3] Offshore RMB Foreign Exchange Market - On August 29, the CNH/USD exchange rate closed at 7.1221, appreciating by 1.23% from the end of the previous month, while the CNY/USD exchange rate closed at 7.1330, appreciating by 0.84% [3] - The average daily swap point difference between CNH and CNY increased by 24 BP to 89 BP [4] Offshore RMB Bond Market - In August, 110 offshore RMB bonds were issued, with a total issuance amount of 1640.87 billion, representing an increase of 178.2% from the previous month [5] Offshore RMB Money Market - As of the end of August, the CNH HIBOR rates for overnight, 7-day, 3-month, and 1-year periods rose by 51 BP, 29 BP, 2 BP, and 10 BP respectively compared to the end of the previous month [6] - The average interest rate spread between offshore and onshore borrowing rates remained stable for overnight and 7-day periods, while the 3-month and 1-year periods saw an increase of 1 BP [6] Dynamics of Foreign Institutions in Domestic Interbank Market - As of the end of August, the total number of foreign institutions participating in the domestic interbank foreign exchange market reached 236, an increase of 3 from the previous month [7] - The number of foreign institutions and their products in the domestic interbank currency market increased by 15 to a total of 5755 [7] Trading Volume in Domestic Interbank Market - In August, the total trading volume of foreign institutions in the domestic interbank foreign exchange market was 37336.51 billion, a decrease of 6.9% [8] - The trading volume in the domestic interbank bond market for foreign institutions totaled 11573.91 billion, a decrease of 21.2% [8]

Core Viewpoint - The overall fluctuation range of the US dollar remains limited to recent levels as the market awaits two key data releases [1] Group 1 - The first key data is the non-farm payrolls report to be released on Friday [1] - The second key data is the preliminary benchmark revision data from the US Bureau of Labor Statistics, scheduled for release next Wednesday [1]

Group 1 - The focus in the foreign exchange market remains on the US dollar and Federal Reserve policy expectations, with the dollar index closing at approximately 97.85 after a decline of about 2.2% in August [1] - Market consensus indicates a high probability of a Federal Reserve rate cut in September, estimated at around 87%, primarily due to lackluster PCE data [1] - The uncertainty surrounding Trump-related policies and discussions about the independence of the Federal Reserve are putting short-term pressure on the dollar [1] Group 2 - The euro and pound have shown relative strength against the dollar, while the yen has potential for mid-term appreciation due to ongoing international risk aversion, although unclear policy signals from the Bank of Japan limit its strength [1] - The Canadian dollar is under pressure due to poor economic data, with a 1.6% annual decline in Q2 GDP and a 27% drop in exports, leading to expectations of significant rate cuts by the Bank of Canada [1] - In contrast, the Australian dollar is performing more optimistically, supported by a rebound in risk appetite and strong domestic data, particularly in credit and CPI, which has reduced rate cut expectations [3] Group 3 - The futures market shows a predominance of net short positions in the euro, pound, yen, and Canadian dollar, while the Australian and New Zealand dollars are net long [3] - Notably, there was a directional shift in Australian dollar positions last week, with significant changes exceeding 20% in the holdings of the pound, yen, and New Zealand dollar [3] - A US multinational company has implemented a risk management strategy by purchasing two-month European-style call options on the Canadian dollar to hedge against potential appreciation, effectively stabilizing procurement costs and controlling exchange rate risk [3]

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Core Viewpoint - The recent data from Japan indicates a surprising drop in unemployment and sustained high inflation indicators in Tokyo, strengthening market expectations for the Bank of Japan to continue raising interest rates in the coming months, which may support the yen against the dollar [1] Group 1: Economic Indicators - Japan's unemployment rate has unexpectedly decreased, while inflation indicators in the Tokyo region remain elevated [1] - These economic factors are likely to bolster the yen, providing upward support against the dollar [1] Group 2: Market Dynamics - The foreign exchange market has been primarily influenced by the re-evaluation of interest rate expectations from the Federal Reserve, which has dominated the fluctuations of the USD/JPY pair [1] - Despite positive domestic fundamentals for the yen, the ability to break through recent consolidation levels will largely depend on upcoming U.S. economic data and Federal Reserve policy signals [1] Group 3: Technical Analysis - The USD/JPY pair is currently trading in a high-level consolidation range, positioned above the 20-day and 50-day moving averages, but short-term momentum is weakening [1] - A breakout above 148.20 could lead to a test of the previous high at 149.00, while a drop below the support level of 146.80 may result in a decline towards 145.50 [1]

Summary of Key Points from the Conference Call Industry Overview - The discussion revolves around the Chinese currency, Renminbi (RMB), and its exchange rate dynamics against the US dollar, particularly focusing on the implications of recent monetary policy adjustments by the People's Bank of China (PBOC) [2][3][5]. Core Insights and Arguments 1. **PBOC's Policy Adjustments**: The PBOC has raised the RMB's central parity rate by over 1,000 basis points to stabilize market expectations and prevent significant fluctuations in the exchange rate [2][3]. 2. **Stability in US-China Negotiations**: The PBOC aims to avoid large-scale depreciation or appreciation of the RMB to maintain stability during critical negotiations with the US, particularly ahead of the APEC meeting [2][3]. 3. **Market Reactions**: The market has responded to the PBOC's guidance, with the spot exchange rate aligning with the central parity, allowing exporters time to hedge against risks [2][3][4]. 4. **Carry Trade Resurgence**: A new wave of carry trades has emerged in the RMB market, driven by low volatility and favorable interest rate differentials, further supporting RMB appreciation [4][6]. 5. **Future Exchange Rate Trends**: The RMB's future trajectory will depend on the central parity adjustments. If it falls below 7.10, it may signal accelerated appreciation, although the process is expected to be gradual [5][12]. 6. **Impact of Exporters**: Exporters play a crucial role in the foreign exchange market, holding approximately $421.1 billion in pending settlements, which could influence RMB appreciation if they convert their dollar holdings [8][9][11]. 7. **Risk Management by Exporters**: Exporters have become more cautious in managing foreign exchange risks, with 30% of their pending settlements hedged against currency fluctuations, a significant improvement from previous years [10][11]. 8. **Potential for Exchange Rate Peaks**: If the spot exchange rate drops below 7.10, it could trigger a wave of conversions from dollars to RMB, leading to further appreciation [11][12]. 9. **Long-term Outlook**: The RMB is expected to appreciate gradually over the next few months, with market expectations aligning with a long-term upward trend against the backdrop of a depreciating dollar [12][13]. 10. **Cross-Border Capital Flows**: The RMB's appreciation may attract cross-border capital back into Chinese financial assets, despite short-term volatility [14][18]. Other Important but Overlooked Content - **Volatility Trends**: Recent increases in volatility (3.5% to 4%) could lead to forced unwinding of carry trades, potentially pushing the RMB higher [7][16]. - **Market Sentiment**: The sentiment around the RMB's appreciation is influenced by broader market conditions, including the performance of the US dollar and the PBOC's ongoing policy adjustments [5][17]. - **Technical Factors**: Technical aspects such as settlement and carry trades will also play a role in shaping the RMB's future exchange rate movements [5][12].

Report Overview - The report provides a snapshot of the global asset market performance on September 1, 2025, including government bond yields, exchange rates, stock indices, and futures trading data [2] Global Asset Market Performance Government Bond Yields - **10 - year government bond yields**: In the US, it was 4.230 on August 29, 2025, with a latest change of 0.025, a one - week change of - 0.025, a one - month change of 0.012, and a one - year change of 0.428. Different countries showed various trends in yield changes over different time frames [2] - **2 - year government bond yields**: For example, the US 2 - year yield was 3.590 on August 29, 2025, with a latest change of - 0.020, a one - week change of - 0.150, a one - month change of - 0.080, and a one - year change of - 0.470 [2] Exchange Rates - **Dollar against major emerging economies' currencies**: Against the Brazilian real, the exchange rate was 5.430 on August 29, 2025, with a latest change of 0.28%, a one - week change of 0.07%, a one - month change of - 2.03%, and a one - year change of - 1.08% [2] - **Renminbi**: The on - shore RMB was 7.131 on August 29, 2025, with a latest change of 0.00%, a one - week change of - 0.51%, a one - month change of - 0.87%, and a one - year change of - 0.01% [2] Stock Indices - **Major economies' stock indices**: The S&P 500 was at 6460.260 on August 29, 2025, with a latest change of - 0.64%, a one - week change of - 0.10%, a one - month change of 3.56%, and a one - year change of 14.93% [2] - **Asian stock indices**: The Hang Seng Index was 25077.620 on August 29, 2025, with a latest change of 0.32%, a one - week change of - 1.03%, a one - month change of 2.33%, and a one - year change of 44.20% [2] Credit Bond Indices - **Investment - grade and high - yield bond indices**: The US investment - grade credit bond index was 3463.740 on August 29, 2025, with a latest change of - 0.25%, a one - week change of - 0.08%, a one - month change of 0.35%, and a one - year change of 3.38% [2] Futures Trading Data Stock Index Futures - **Index performance**: The A - share index closed at 3857.93 with a 0.37% increase. The CSI 300 closed at 4496.76 with a 0.74% increase [3] - **Fund flow**: The latest A - share fund flow was - 952.48, and the 5 - day average was - 1067.85 [3] - **Trading volume**: The latest trading volume of the two Shanghai and Shenzhen stock markets was 27982.97, with a month - on - month change of - 1725.06 [3] Treasury Bond Futures - **Closing prices and changes**: The T00 treasury bond futures closed at 108.050 with a - 0.15% change, and the TF00 closed at 105.665 with a - 0.04% change [4] - **Funding rates**: The R001 funding rate was 1.4184% with a daily change of - 14.00 BP, and the R007 was 1.5171% with a - 4.00 BP change [4]

Core Viewpoint - The recent strengthening of the Renminbi (RMB) against the US dollar is driven by a weakening US dollar index and expectations of interest rate cuts by the Federal Reserve, leading to a convergence of interest rate differentials between China and the US [1][2] Group 1: Currency Market Dynamics - The offshore RMB/USD exchange rate recently surpassed 7.12, marking a significant increase, while the onshore RMB middle rate has reached a nearly 10-month high [1] - The Federal Reserve's dovish stance, particularly comments from Chairman Powell, has contributed to a decline in the US dollar index and US Treasury yields, supporting non-USD currencies including the RMB [1][2] Group 2: Market Supply and Demand Factors - Despite seasonal increases in demand for foreign exchange due to corporate dividend payouts, the RMB has remained stable, with a slight increase in the settlement rate for enterprises and individuals in July [1] - A significant drop in demand for foreign exchange is expected after September, coinciding with a peak in RMB settlement in the fourth quarter, which will support a stronger RMB [1] Group 3: International Capital Flows - The trend of "de-dollarization" is becoming increasingly important, with Asian bond investors diversifying their investments away from USD assets, which is positively impacting the RMB [2] - The performance of emerging market equities this year is linked to international capital reallocating towards RMB assets, creating a positive feedback loop between the securities and foreign exchange markets [2] Group 4: Future Outlook - Forward exchange rates indicate market optimism regarding the RMB's strength against the USD through the end of the year, reflecting expectations of continued appreciation [2] - The central bank's consistent policy of allowing market forces to determine exchange rates suggests that the RMB/USD exchange rate is likely to maintain a strong and stable trend in the near future, enhancing the international appeal of RMB assets [2]