1. Report Industry Investment Rating No information provided in the content. 2. Core Viewpoints of the Report - The bond market may break through its downward space in the fourth quarter. After experiencing multiple "stress tests" in the third quarter, the bond market has shown strong resilience. With the improvement of the bond market's adaptability to the strengthening of the equity market and the decline of the excessive trading of long - term bonds, a more rational pricing logic may dominate the market again, and the stable allocation demand will become the "ballast stone" for the interest rate to decline. The interest rate is expected to be in a "moderate" downward state [8][46]. 3. Summaries Based on Relevant Catalogs 3.1 Can the Bond Market Break Through the Sideways Trend in the Fourth Quarter? 3.1.1 The Bond Market Fluctuated Widely in September, with Bulls and Bears in a Fierce Battle and a Wavy Uptrend - The valuation yield of the 10 - year treasury bond has basically completed the anchoring to the "new bond". The spread between the new bond (250016) and the old bond (250011) is basically stable at 5 - 8BP, and the yield - to - maturity compensation due to value - added tax is about 2.8% - 4.5% [1][11]. - The capital interest rate fluctuated significantly due to the cross - quarter effect, and the central level increased to some extent. The increase in the central level of the capital interest rate led to an upward trend in the bond market interest rate and a compression of the Carry space, resulting in bond market selling pressure [1][14]. - The bond cashing demand of the bank's OCI account is one of the factors pressuring the bond market. From September 1st to 26th, joint - stock banks, city commercial banks, and rural commercial banks were the main sellers in the bond market [2][18]. - Regulatory policy adjustments and the increasing expectation of restarting treasury bond trading also drove the bond market trend. The "new rule" led to a rapid correction in the bond market in early September, while the increasing expectation of the central bank restarting treasury bond trading supported the rebound in mid - September [2][21]. 3.1.2 The Bond Market May Break Through the Downward Space in the Fourth Quarter - The "see - saw" effect between stocks and bonds weakened in September. If the equity market turns into a slow - bull pattern in the fourth quarter, the suppression on the bond market from the equity market may ease [3][23]. - The price level is still in the repair stage, with PPI bottoming out and rising, but CPI has not shown signs of recovery. If the economic recovery slope is lower than expected or Sino - US economic and trade relations deteriorate unexpectedly, there is still a possibility of another interest rate cut this year [5][28]. - From the supply side, the fourth quarter is usually the "off - season" for government bond supply, but attention should be paid to the possible advance issuance of the special bonds for replacing hidden debts in 2026. Even if the supply pressure increases, the impact on the market may be relatively controllable, and the central bank may use open - market operations for hedging [6][33]. - From the demand side, even if the "new rule" is implemented in the fourth quarter, its impact on the bond market is likely to be short - term and frictional, not a trend - based decline in demand. The demand from core bond - market allocators such as wealth management and insurance remains strong [7][40]. 3.2 Important Matters - The net MLF injection was 300 billion yuan in September. On September 25th, the central bank conducted a 600 - billion - yuan MLF operation, with a maturity scale of 300 billion yuan in September [48]. 3.3 Money Market 3.3.1 Open - Market Operations and Capital Interest Rate Trends - From September 22nd to 26th, the central bank injected a total of 2.4674 trillion yuan through reverse repurchase operations, with a maturity of 1.8268 trillion yuan, and the net injection was 640.6 billion yuan. It is expected that 516.6 billion yuan of base money will be recalled from September 29th to 30th [50]. - The inter - bank liquidity was tight first and then loose last week, mainly due to the central bank's protection of liquidity. As of September 26th, R001, R007, DR001, and DR007 changed by - 16.49BP, 3.78BP, - 14.62BP, and 2.17BP respectively compared with September 19th [54]. 3.3.2 Certificate of Deposit Interest Rate Trends and Repurchase Transaction Situations - In the primary market, commercial banks' inter - bank certificates of deposit showed a net outflow, with a net financing scale of - 188.79 billion yuan last week. The issuing scale of state - owned banks was the largest, but they also had the largest net outflow [59][63]. - The issuing interest rate of inter - bank certificates of deposit increased last week. In the secondary market, the yields of inter - bank certificates of deposit at all maturities showed an upward trend [64][67]. 3.4 Bond Market - In the primary market, the supply of interest - rate bonds was relatively small last week. The total actual issuance was 60.834 billion yuan, with a maturity of 9.2 billion yuan and a net financing of 51.634 billion yuan [68]. - In the secondary market, the bond market sentiment was relatively weak last week, showing an upward trend in the shock, and the curve shape became steeper. The average daily turnover rates of the 10 - year treasury bond and 10 - year CDB bond active bonds decreased, and the liquidity premium of the 10 - year treasury bond active bond increased [68][77]. 3.5 Institutional Behavior Tracking - The institutional leverage ratio increased seasonally in August but was at a seasonal low year - on - year. The average daily trading volume of inter - bank pledged repurchase decreased last week, with an average of about 7.27 trillion yuan [94][99]. - In the cash bond market, state - owned banks increased their purchases of treasury bonds within 5 years and 5 - 10 years; rural commercial banks continued to sell but with a reduced intensity; insurance institutions continued to increase their holdings of treasury bonds and local bonds over 10 years; securities firms and funds sold significantly [104]. - The current average cost of major trading desks for adding positions in 10 - year treasury bonds is around 1.85% [107]. 3.6 High - Frequency Data Tracking - Last week, the settlement prices of rebar and wire rod futures decreased, while those of cathode copper, cement, and glass increased. The CCFI index decreased, and the BDI index increased [117]. - In terms of food prices, the pork wholesale price decreased, and the vegetable wholesale price increased. The settlement prices of Brent and WTI crude oil futures increased [117]. - The central parity rate of the US dollar against the RMB was 7.12 last week [117].

Report Industry Investment Rating No relevant content provided. Core Viewpoints - In the context of unchanged risk preferences, deposit "migration" follows a sequence from pure - bond wealth management products and money market funds to bond funds and equity funds. Pure - bond wealth management products are the main recipients of migrated deposits, followed by money market funds. Bond - type funds have a complex attractiveness structure, and equity funds are mostly outside the deposit migration path. As the equity market strengthens, the order of deposit outflow choices and the bank - to - bank liquidity structure change. The effectiveness of quantity - based indicators such as excess reserves decreases, while the risk of short - term shock to inter - bank liquidity increases, but the central bank's attitude towards liquidity is supportive [1][34][44]. Summary According to the Table of Contents 1 Capital Cross - market Rotation and Its Impact on Bond Market Liquidity 1.1 Cost - effectiveness as an Important Consideration for Deposit "Migration" - Due to the continuous decline in deposit interest rates, both household and corporate deposits are migrating. Households are affected by the decline in deposit interest rates, while enterprises are more affected by the ban on manual interest - supplement policies. Insurance products, pure - bond wealth management products, and bond funds have attracted migrated funds due to their yield advantages [12][15][16]. 1.2 Risk Preferences May Disturb the Direction of Deposit "Migration" - When risk preferences are stable, pure - bond wealth management products have the strongest ability to absorb migrated deposits, with a correlation coefficient of 0.87 between the spread of their yields over deposits and the difference between their scale growth rate and deposit growth rate. Money market funds rank second with a correlation of 0.64. Bond - type funds have a complex attractiveness, and equity funds are less involved in deposit migration. As the equity market strengthens, the order of deposit outflow changes, and the bank - to - bank liquidity structure becomes more complex [1][23][34]. 2 Important Matters - In August 2025, CPI was flat month - on - month and decreased by 0.4% year - on - year; PPI was flat month - on - month and decreased by 2.9% year - on - year. In August, M1 growth continued to pick up, and government bonds were the main support for social financing. The central bank will conduct a 6 - month 6000 - billion - yuan buy - out reverse repurchase operation on September 15, 2025 [55][56][59]. 3 Money Market 3.1 Open - market Operations and Fund Interest Rate Trends - From September 8 to 12, 2025, the central bank net - injected 1961 billion yuan through 7 - day reverse repurchase operations. It is expected that 13845 billion yuan of base money will be withdrawn from September 15 to 19. Bank - to - bank liquidity tightened marginally last week, and DR001 first rose and then fell [61][67]. 3.2 Certificate of Deposit Interest Rate Trends and Repurchase Transaction Volume - In the primary market, commercial banks' inter - bank certificates of deposit had a net financing scale of - 4680.1 billion yuan last week. The issuance scale of joint - stock banks was the largest, but they also had a net financing deficit. The issuance interest rate of certificates of deposit increased compared with the previous week. In the secondary market, the yields of certificates of deposit at all tenors increased due to the marginal tightening of the money market [70][74][79]. 4 Bond Market - In the primary market, the main supply of interest - rate bonds last week was still treasury bonds, with a total issuance scale of 5663.7 billion yuan and a net financing scale of 4155.9 billion yuan. The net financing rhythm of local government bonds from January to August was faster than that of treasury bonds. As of September 12, the cumulative net financing scale of special refinancing bonds in 2025 was 1.97 trillion yuan. In the secondary market, the bond market was in a weak mood last week, with the curve becoming steeper. The daily average turnover rate of active bonds increased, and the liquidity premium of 10 - year treasury bonds widened [83][90][95]. 5 Institutional Behavior Tracking - Last week, the 20 - day moving average of the daily trading volume of inter - bank pledged repurchase was 7.31 trillion yuan, and the average leverage trading scale was about 7.49 trillion yuan. In the cash bond market, state - owned banks increased their purchases of treasury bonds with a maturity of less than 5 years, rural commercial banks turned from selling to buying, insurance companies bought long - term treasury bonds and local bonds, while securities firms and funds sold bonds. In July 2025, the leverage ratio of all institutions in the inter - bank market decreased seasonally [111][119][122].

Core Insights - The report indicates a decline in the average annualized yield of selected bank wealth management products, with a one-year investment yield of 0.92% and a six-month investment yield of 0.59% over the past three months [1][2] - The comprehensive yield index for low-risk six-month investment cycle products increased slightly, while the one-year investment cycle products also saw a minor rise, indicating a slowdown in growth [2] - The weighted average yield of collective trust products decreased, with short-term and long-term products showing declines as well [2][3] Banking Wealth Management Market - The average annualized yield of selected cash management products was 1.42%, down 4 basis points from June 1, 2025, and down 185 basis points from the baseline period of April 4, 2021 [1] - The yield for low-risk six-month investment cycle products was 0.59%, up 1 basis point month-on-month, but down 21 basis points over the past six months [1] Trust Market - The weighted average yield of collective trust products fell by 11 basis points to 5.40%, with short-term products at 5.06% (down 9 basis points) and long-term products at 5.55% (down 13 basis points) [2] Public Fund Market - The average seven-day annualized yield of money market funds was 1.33%, down 2 basis points month-on-month and down 115 basis points from the peak in December 2020 [2] - Bond funds increased by 1.13%, mixed funds by 3.64%, and stock funds by 3.14% over the past six months [2] Private Fund Market - The composite strategy private funds saw a six-month increase of 4.69%, while stock strategy private funds increased by 4.17% over the same period [3]

Group 1 - The core viewpoint of the report indicates that the average annualized yield of selected cash management products in the national bank wealth management market has increased to 1.55% as of April 27, 2025, compared to a decrease of 172 basis points from the baseline period [1] - The comprehensive yield index for medium and low-risk six-month investment cycle products in the national bank wealth management market reached 115.45 points in April, reflecting a month-on-month increase of 0.21% and a growth of 15.45% from the baseline period [2] - The weighted average yield of collective trust products in the trust market decreased by 6 basis points to 5.61% in April, with short-term products dropping to 5.27% and long-term products to 5.78% [2] Group 2 - The average seven-day annualized yield of money market funds was 1.41% in April, down 3 basis points from the previous month and 107 basis points from the peak in December 2020 [2] - The bond fund yield index fell to 76.89 points in April, a decrease of 2.65 points from the previous month and a decline of 23.11 points from the December 2020 baseline [3] - The composite strategy private equity fund saw a six-month increase of 0.53%, while the stock strategy private equity fund had a six-month increase of 0.22% [3]