2025 年 09 月 30 日 晨会纪要 研究所： 证券分析师： 余春生 S0350513090001 yucs@ghzq.com.cn [Table_Title] 晨会纪要 ——2025 年第 168 期 观点精粹: 最新报告摘要 两条技术路线下的降息预期测算--固定收益专题研究 从三个细节谈起，债券调整到位了吗？--债券研究周报 证券研究报告 1、最新报告摘要 1.1、两条技术路线下的降息预期测算--固定收益专题研究 分析师：颜子琦 S0350525090002 分析师：刘畅 S0350524090005 本篇报告解决了以下核心问题：如何通过利率互换定价与浮息债利差分析两条技术路线，量化当前市场交易中 隐含的降息预期，以弥补传统流动性分析中的不足。以及如何基于当前的市场共识，判断未来若政策宽松落地 可能带来的债市预期差与投资机会。 从资金面到利率定价的核心问题 当前对流动性的分析容易陷入定性臆测、过度聚焦历史、过度关注前瞻的问 题，而有效的利率研判必须结合"纵向预测"与"横向定价"，其中后者是当前研究的核心堵点。为解决这一 问题，本文通过利率互换定价与浮息债利差分析两条技术路线，分析当前市场交易中隐含的 ...

◇ 作者：银河证券FICC业务总部高级交易经理 彭鹏 银河证券FICC业务总部债券投资部负责人 任红博 清华大学统计与数据科学系博士研究生 徐墨姝 ◇ 本文原载《债券》2025年8月刊 摘 要 进入2025年，低波动性成为债市的典型特征，客观上限制了传统趋势交易策略的收益空间。本文从债市收益率的约束因素等方面分 析了市场低波的成因，提出量化策略交易和中性策略交易是应对低波市场、进行收益增强的可行破局之法。对于量化策略交易，通 过构建波动率因子模型，验证其在低波环境下的预测能力及盈利能力，并提出优化方向。对于中性策略交易，通过案例介绍基差、 期限利差及新老券利差等经典中性交易策略的应用方法，并基于实证说明其可以有效博取超额收益。 关键词 低波动性 量化策略 中性策略 波动率因子 2025年初，我国债市处于收益率较低阶段。在持续的资金价格走高和持有票息为负（负Carry）的压力下，债市在2—3月出现调 整，波动率上升。4月，美方单边施压制造关税摩擦，债市收益率下行，波动率随之显著降低并接近2021年下半年以来的低点，位 于10%分位数以下（见图1）。在债市进入低利率时期的同时，低波动性（以下简称"低波"）也成为市 ...

资金面整体均衡 8月，央行流动性呵护态度不改，资金面整体均衡。其中，买断式逆回购和中期借贷便利（MLF） 均增量续做，公开市场操作（OMO）投放超6万亿元，充分满足银行的资金需求，全月公开市场整体净 投放4466亿元。 具体来看，8月，央行MLF提量续做6000亿元、净投放3000亿元；买断式逆回购投放12000亿元、 净投放3000亿元；逆回购净回笼534亿元；国库现金定存净回笼1000亿元。分析人士表示，8月资金面整 体均衡，受股市影响，税期前后资金面边际收敛，但央行呵护力度不改，促进银行流动性状况改善，月 末资金面回归平稳宽松。 在此背景下，主要回购利率继续下行。交易中心数据显示，存款类机构隔夜回购利率（DR001）、 隔夜质押式回购利率（R001）月度加权均值分别环比下行4个基点、下行5个基点至1.35%和1.4%； DR007、R007月度加权均值分别环比下行4个基点、下行5个基点至1.49%和1.51%。全月DR007最低值 1.4242%、最高值1.568%、中位数1.4669%；波动幅度为14个基点，环比减少9个基点。 分阶段来看，8月初，逆回购到期量较大，无碍资金面平稳宽松，资金利率维持低位 ...

【环球网财经综合报道】9月22日，国务院新闻办公室举行"高质量完成'十四五'规划"系列主题新闻发 布会，邀请中国人民银行行长潘功胜、金融监管总局局长李云泽、中国证监会主席吴清、中国人民银行 副行长兼国家外汇局局长朱鹤新介绍"十四五"时期金融业发展成就。 中国人民银行行长潘功胜在发布会上表示，"十四五"期间我国持续推动金融供给侧结构性改革，深化金 融机构改革，发展多层次金融市场，优化金融结构；稳步推动金融业高水平双向开放，提升制度型开放 水平，在国际金融治理合作中的参与度、影响力、话语权显著提高。 对此，远东资信研究院副院长张林认为，金融供给侧结构性改革，是供给侧结构性改革由实体经济领域 延伸到金融领域的深化拓展。推动金融供给侧结构性改革，一方面需要建立健全结构合理、分工协作的 金融体系，建立多元化专业性的金融产品和服务体系，另一方面需要引导金融机构聚焦主业、避免同质 化竞争，严厉打击金融乱象、防止盲目规模扩张。 在互联互通机制方面，从沪港通起步，先后落地深港通、债券通、互换通，产品类型从股票拓展至债 券、ETF和利率互换等资产类别，2021年债券通"南向通"正式开通，跨境投资渠道不断拓宽。在自贸试 验区试点方 ...

互联互通机制也取得显著进展。从沪港通起步，先后落地深港通、债券通、互换通，产品类型从股票拓 展至债券、交易所买卖基金（ETF）和利率互换等资产类别，与此同时，债券通"南向通"正式开通， QFII与RQFII制度完成并轨，跨境投资渠道不断拓宽。值得一提的是，沪伦通机制已扩展至德国、瑞士 等欧洲主要金融市场，构建起横跨亚欧的资本市场纽带。 [ 据《中国资产管理市场（2024—2025）》报告，过去五年，信托、理财、保险资管等受托资产年均增 速达8%。 ] "十四五"收官之年，中国金融业开放已从"打开大门"升级为"重塑规则"。过去五年，负面清单不断压 缩，外资持股比例限制全面取消，沪深港通、债券通等互联互通机制持续扩容，人民币跨境使用稳步推 进，勾勒出制度型开放的清晰轨迹。 在全球经济格局深刻调整、地缘与产业变局叠加的背景下，展望"十五五"，中国金融开放如何再下一 城？ "十四五"答卷： 标志性制度突破 过去五年，"十四五"规划下的中国金融开放以制度型开放为核心，实现了从市场准入到规则对接的历史 性跨越。外资持股比例限制全面取消，沪深港通、债券通等互联互通机制不断扩容，标志着中国金融业 从"管道式开放"转向"制度型 ...

Core Insights - DR007, the 7-day repurchase rate in the interbank market, serves as a crucial indicator of market liquidity and has become a benchmark for loan rates, bond yields, and derivative pricing since its inception in 2014 [1] Group 1: Development of the Foreign Exchange Trading Center - The China Foreign Exchange Trading Center (CFETS) was established in 1994, marking the beginning of the market-oriented reform of interest rates in China [2] - CFETS has evolved into a vital infrastructure within the Chinese financial system, serving nearly 6000 institutions across over 70 countries and regions [2] - The interbank market has grown significantly, with a projected transaction volume of 261.7 trillion yuan in 2024, averaging over 10.5 trillion yuan daily [3] Group 2: Technological Advancements - The transition from manual trading to electronic trading systems has greatly enhanced market efficiency, with the latest systems capable of processing 100,000 transactions per second [3] Group 3: Bond Market and Foreign Participation - China's bond market, valued at 190 trillion yuan, ranks second globally and has attracted significant foreign investment, with over 1100 foreign institutions holding 4.23 trillion yuan in bonds [4] - The introduction of the "Northbound Trading" scheme in 2017 has streamlined access for foreign traders, allowing them to trade domestic bonds directly from Hong Kong [4][6] Group 4: Innovative Trading Mechanisms - CFETS has expanded its access mechanisms, including "Northbound Trading," "Southbound Trading," and "Swap Connect," to meet the liquidity management and risk hedging needs of foreign institutions [5] - The "Swap Connect" allows foreign investors to access the onshore interest rate swap market through familiar international electronic trading platforms, enhancing transaction efficiency [6]

Group 1 - The U.S. Treasury market has shown remarkable resilience despite various pressures, including rising debt and aggressive tariff policies, unlike other countries' bond markets which have suffered due to fiscal concerns [1] - Year-to-date, the yield on 10-year U.S. Treasuries has decreased by over 0.3 percentage points, making it the only major bond market with a decline in 10-year yields [1][3] - The volatility of the U.S. bond market has been decreasing since April, with key volatility indicators nearing their lowest levels in three years [1] Group 2 - Recent data indicates a slowdown in job growth, which has contributed to a decline in 10-year Treasury yields, falling below 4.17% for the first time since early May [3] - Concerns regarding the independence of the Federal Reserve are reflected in rising inflation swap rates, which have reached a two-year high [5] - Despite concerns about the Fed's independence, U.S. bond investors have not shown significant alarm, allowing the Trump administration to breathe easier regarding the 10-year yield target [5] Group 3 - The U.S. Treasury Secretary hinted at limiting long-term bond issuance if buyer demand weakens, while data does not support claims of foreign capital fleeing U.S. assets, indicating strong demand for U.S. Treasuries [7] - The perception of the U.S. as a safe haven persists, with 5% being seen as a ceiling for 30-year Treasury yields, despite various challenges [8] - Market participants remain skeptical about the potential political influence on the Fed, with expectations that any new appointments will not drastically alter monetary policy [9] Group 4 - There is speculation that the White House may push the Fed to resume bond purchases, particularly long-term bonds, as a means to lower borrowing costs [10] - The current balance in the U.S. bond market is fragile, and without fiscal discipline from politicians, investors may express dissatisfaction through market actions [10] - The emergence of "bond vigilantes" in Europe and Japan could soon be mirrored in the U.S. if fiscal issues are not addressed [10]

Core Viewpoint - Suzhou Mingzhi Technology Co., Ltd. has announced the initiation of foreign exchange derivative trading to mitigate foreign exchange market risks and enhance financial stability [1][2]. Group 1: Reasons and Objectives - The company aims to effectively hedge against foreign exchange market risks due to its export business, preventing adverse impacts from significant exchange rate fluctuations on its performance [2]. - The initiative is expected to improve the efficiency of foreign exchange fund utilization and reduce financial costs [2]. Group 2: Types of Transactions - The foreign exchange derivative trading will include products closely related to the company's core business, such as foreign exchange forwards, swaps, options, structured forwards, interest rate swaps, interest rate options, and currency swaps [3]. Group 3: Transaction Limits, Duration, and Authorization - The total amount for foreign exchange derivative trading is capped at $20 million, which can be rolled over within 12 months from the date of board approval [4]. - The board has authorized the chairman or designated personnel to make decisions and sign relevant documents within the approved limit [4]. Group 4: Risk Analysis and Control Measures - The company has identified risks such as exchange rate fluctuations, liquidity risks, and counterparty risks, with measures in place to mitigate these risks [4]. - A management system for foreign exchange derivative trading has been established to ensure compliance and risk control [4]. Group 5: Accounting Policies and Principles - The company will follow relevant accounting standards for the recognition and measurement of financial instruments, ensuring accurate reflection in financial statements [5]. Group 6: Supervisory Board Opinion - The supervisory board supports the foreign exchange derivative trading initiative, stating it effectively mitigates foreign exchange market risks and enhances fund utilization efficiency [6]. - The approval process complies with legal regulations and the company's articles of association, ensuring no harm to the company or shareholders [6].

Business Background - The company, Great Wall Motor Co., Ltd., is expanding its overseas operations, leading to increased foreign exchange income and expenditure, which has resulted in a growing foreign exchange risk exposure due to mismatches in currency and timing [1] - To mitigate the adverse effects of significant exchange rate fluctuations and reduce financial costs, the company plans to engage in foreign exchange hedging through derivatives based on specific business needs [1] Types of Transactions - The foreign exchange derivative transactions include but are not limited to forward foreign exchange contracts, foreign exchange swaps, currency swaps, foreign exchange options, interest rate swaps, interest rate options, and their combinations [1] Transaction Amounts and Limits - The maximum contract value held at any point during the period from board approval until the 2025 annual board meeting will not exceed RMB 20 billion or its equivalent in other currencies [2] - The estimated transaction margin and premiums will not exceed RMB 3.5 billion or its equivalent in other currencies during the same period [2] Duration and Funding Sources - The duration of the transactions will generally not exceed three years and will match the underlying transaction period [2] - The funding for these foreign exchange derivative transactions will primarily come from the company's own funds [2] Counterparties and Liquidity Arrangements - Transactions will be conducted with domestic and international financial institutions that have the qualifications and good credit for foreign exchange derivative trading [2] - The business amounts and durations will generally align with the expected income and expenditure plans to ensure liquidity [2] Risk Analysis - Market risk arises from differences between contract rates and actual rates at maturity, which can lead to trading gains or losses [3] - Liquidity risk may occur if foreign exchange derivatives are not appropriately arranged, potentially impacting the company's cash flow [3] - Performance risk is minimized by selecting counterparties with good credit and established long-term business relationships [3] Risk Control Measures - The company will only engage in simple foreign exchange derivatives closely related to its core business, adhering to prudent and safe risk management principles [4] - A strict management system for foreign exchange derivative trading has been established, detailing operational principles, approval authority, and risk management procedures [4] - Regular audits of derivative trading activities will be conducted by the internal audit department to ensure compliance and risk management [4] Feasibility Conclusion - The company aims to enhance financial stability by addressing exchange rate and interest rate risks through foreign exchange derivative transactions based on actual business needs [5]

Group 1: Conference Overview - The "2025 Asset Management Conference" was held in Shanghai, focusing on diverse asset allocation strategies in a low-interest-rate environment [1][3] - Experts from various asset management firms discussed key topics such as asset allocation strategies, stock and bond market trends, and the outlook for gold and dollar assets [3] Group 2: Low-Interest Rate Environment - The low-interest-rate environment has fundamentally altered investors' risk preferences and behavior, with the ten-year government bond yield fluctuating between 1.6% and 1.9% [4][5] - The policy support for the capital market since September 2022 has been significant, with long-term funds entering the market, enhancing market confidence [4][5] Group 3: Asset Allocation Strategies - The concept of "asset scarcity" has emerged as a major challenge, prompting innovative strategies such as "seeking returns internally" and "seeking returns externally" [7] - The focus on high-dividend assets reflects the demand for stable returns amid the ongoing asset scarcity [9] Group 4: Equity Market Insights - The equity market is characterized by structural differentiation, with technology and manufacturing sectors gaining attention [9][10] - High-dividend companies are expected to perform steadily, even if their overall returns may not be as impressive in the near term [10] Group 5: Gold and Dollar Dynamics - Gold remains a focal point for discussion, driven by long-term factors such as the weakening status of the dollar and central banks' increasing gold reserves [11][12] - The "fixed income + dollar" and "fixed income + gold" strategies have gained popularity, but caution is advised due to potential risks associated with currency exposure and market volatility [12]