大类资产配置顺序：股票>大宗>债券>货币。 宏观要闻回顾 资产表现回顾 节后 A 股小幅调整。本周沪深 300 指数下跌 0.51%，沪深 300 股指期货上 涨 1.49%；焦煤期货本周上涨 2.42%，铁矿石主力合约本周下跌 0.38%； 股份制银行理财预期收益率收于 1.85%，余额宝 7 天年化收益率下跌 4BP 至 1.05%；十年国债收益率下行 2BP 至 1.85%，活跃十年国债期货本周上 涨 0.26%。 宏观经济 | 证券研究报告 — 总量周报 2025 年 10 月 13 日 宏观和大类资产配置周报 关注二十届四中全会召开 本期观点（2025.10.12） | 宏观经济 | | 本期观点 | 观点变化 | | --- | --- | --- | --- | | 一个月内 | = | 关注国内稳增长政策的落地情况 | 不变 | | 三个月内 | = | 关注中美经贸磋商进展及其释放的重要信息 | 不变 | | 一年内 | = | 地缘关系仍有较大不确定性 | 不变 | | 大类资产 | | 本期观点 | 观点变化 | | 股票 | + | 关注"增量"政策落实情况 | 超配 | | 债券 | ...

Core Viewpoint - The bond market has experienced significant volatility since July, with rising yields and a clear downward trend, influenced by the upward movement in equity and commodity markets [1][2] Group 1: Market Trends - The 10-year government bond yield has risen over 5 basis points, while the 30-year yield has increased by more than 8 basis points, surpassing 1.9% [1] - The bond market adjustment is attributed to the strong performance of equity and commodity markets, driven by supportive fiscal and monetary policies [1] - The yield spread between 10-year and 1-year government bonds remains at a historical low of 20 basis points, indicating a crowded and fragile trading structure [1] Group 2: Economic Outlook - The macroeconomic fundamentals of the bond market remain stable, with structural issues in the Chinese economy still needing resolution [2] - The real estate market is stabilizing, but the overall economic growth rate is declining, suggesting a prolonged period of asset scarcity [2] - The expectation of continued accommodative monetary policy, including potential rate cuts, supports the bond market's fundamentals [2] Group 3: Investment Considerations - The dividend yield of the CSI All Share Index has dropped to around 2%, narrowing the gap with the 10-year government bond yield, which enhances the attractiveness of bonds [2] - The estimated reasonable pricing for the 10-year government bond is between 1.8% and 1.9%, based on the anticipated spread with policy rates [2] - A breakthrough above the 1.9% yield level may require effective demand-side stimulus policies to be implemented [2]

Summary of Key Points from the Conference Call Industry Overview - The conference call primarily discusses the bond market, focusing on the current state and future outlook of government bonds, particularly the 10-year and 30-year bonds, as well as the impact of value-added tax (VAT) on these bonds [1][5][14]. Core Insights and Arguments 1. **Market Stability and Adjustment** - There are signs of over-adjustment in the short-term bond market, with indicators showing a demand for stabilization. The rapid adjustment, floating losses for funds, and strong short-seller forces are key manifestations of this over-adjustment [1][4]. 2. **Attractiveness of Long-term Bonds** - Long-term government bonds subject to VAT are attractive in the current market environment, with strong demand from institutional investors. These bonds offer advantages in yield and tax treatment compared to other risk-free assets of similar duration [1][5]. 3. **Influencing Factors on Bond Market** - The recent bond market is influenced by the equity market's rise, economic fundamentals, and monetary policy. If the equity market's rise is driven solely by risk appetite, the bond market's interest rates will gradually become less responsive after adjustments [1][6]. 4. **Interest Rate Predictions** - Most interest rate prediction models are pessimistic about the bond market's future, with expectations that the 10-year government bond yield may break 1.8%, with a high point projected at 1.85% [1][8]. 5. **Investment Strategy Recommendations** - Short-term investment strategies should focus on a rebound approach, avoiding chasing yields during interest rate declines. A hold strategy is recommended for bond portfolios, with caution against increasing duration [1][9][10]. 6. **Bond Curve Dynamics** - The current curve shape is slightly bear steep, with long-term rates relatively weaker than short-term rates. In a bear steep environment, a bullet strategy is suggested, while a barbell strategy is recommended for dynamic investment to quickly adjust duration [1][11]. 7. **Specific Bond Recommendations** - The newly issued 10-year and 30-year bonds are highlighted as having the potential to become mainstay bonds. The 10-year bond (250,215) is noted for its value, while the new 30-year special government bond (25 特 6) is expected to have a significant issuance scale [2][12][15]. 8. **Impact of VAT on Bond Trading** - The introduction of VAT on government bonds is not expected to significantly alter market behavior. Investors will still consider after-tax returns when trading bonds, but the VAT will not deter trading activity [14]. 9. **Long-term vs. Short-term Bond Strategies** - Investors are advised to consider the differences in volatility and yield spreads when choosing between 10-year and 30-year bonds. The 30-year bonds may present greater opportunities in a rebound market, while the 10-year bonds are more suited for defensive strategies [20][21]. Other Important Considerations - The bond market's future trajectory will be influenced by government debt issuance and central bank policies, particularly in the fourth quarter, which may lead to fluctuations in liquidity [8][9]. - The potential for the new 30-year special government bond (25 特 6) to become a mainstay bond is emphasized, with its issuance scale expected to be significant compared to existing bonds [15][17]. This summary encapsulates the key points discussed in the conference call, providing insights into the current state and future outlook of the bond market, along with strategic recommendations for investors.

Core Viewpoint - The recent trading data for the ten-year government bond indicates a low level of financing activity, with net selling observed over the last three trading days [1] Financing Activity - On August 21, the ten-year government bond (511260) had a financing buy amount of 0.20 billion, ranking 1087th in the market [1] - The financing repayment amount on the same day was 2.59 billion, resulting in a net sell of 239.19 million [1] - Over the last three trading days (August 19-21), the financing buy amounts were 1.51 billion, 0.20 billion, and 0.20 billion respectively [1] Securities Lending - On August 21, there were no shares sold or net sold in the securities lending market for the ten-year government bond [1]

Macro Economic Overview - The report indicates that the next important time point may be in the late third quarter of 2025, with a suggested asset allocation order of stocks > commodities > bonds > currency [2][4] - In the first half of 2025, China's actual GDP grew by 5.3% year-on-year, laying a good foundation for achieving the annual target of 5.0% [2][4] - Economic data from July shows signs of growth pressure, including weakened external demand due to increased tariffs from the US and sluggish domestic consumption [2][4] Asset Performance - The A-share market saw an increase, with the CSI 300 index rising by 2.37% and the CSI 300 stock index futures up by 2.83% [11][12] - Commodity futures showed mixed results, with coking coal futures up by 0.33% and iron ore down by 1.65% [11][12] - The yield on ten-year government bonds rose by 6 basis points to 1.75%, while active ten-year government bond futures fell by 0.26% [11][12] Policy Insights - The report emphasizes the importance of expanding domestic demand in the second half of the year, suggesting that policies should be implemented to enhance efficiency and release domestic demand [2][4] - It is noted that the fiscal policy may have room for further adjustments within the year, particularly in light of external pressures easing due to potential interest rate cuts by the Federal Reserve [2][4] Sector Performance - The report highlights that the TMT sector has shown significant growth, with the ChiNext index leading with an 8.58% increase, followed by the Shenzhen Component Index at 4.55% [35][36] - The report also notes that the banking sector has faced declines, with a drop of 3.22% [35][36] Financial Data - In July, new social financing amounted to 1.13 trillion yuan, while new RMB loans decreased by 500 million yuan, indicating weak financing demand in the real economy [4][17] - The M2 money supply grew by 8.8% year-on-year, reflecting a relatively strong liquidity environment despite weak economic indicators [4][17]

Group 1 - The ten-year government bond (511260) had a financing buy amount of 0.18 billion yuan on August 15, ranking 1022nd in the two markets [1] - The financing repayment amount for the same bond on that day was 0.50 billion yuan, resulting in a net sell of 32.11 million yuan [1] - Over the last three trading days (August 13-15), the financing buy amounts for the ten-year government bond were 0.13 billion yuan, 0.23 billion yuan, and 0.18 billion yuan respectively [1] Group 2 - On the same day, the bond had a securities lending sell amount of 0.00 thousand shares, with a net sell of 0.00 thousand shares [2]

8月7日，沪深两融数据显示，十年国债(511260)获融资买入额0.11亿元，居两市第1232位，当日融资偿 还额0.43亿元，净卖出3239.33万元。 最近三个交易日，5日-7日，十年国债(511260)分别获融资买入0.70亿元、0.08亿元、0.11亿元。 融券方面，当日融券卖出0.00万股，净卖出0.00万股。 来源：金融界 ...

融券方面，当日融券卖出0.00万股，净卖出0.00万股。 来源：金融界 7月31日，沪深两融数据显示，十年国债(511260)获融资买入额0.15亿元，居两市第1114位，当日融资偿 还额0.93亿元，净卖出7780.48万元。 最近三个交易日，29日-31日，十年国债(511260)分别获融资买入1.92亿元、0.08亿元、0.15亿元。 ...

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints - The recent bond market correction was beyond investors' expectations, with the 10-year Treasury bond yield rising from 1.66% to 1.74%. After analyzing the influencing factors, investors don't need to worry too much. Key points to focus on include the central bank's continued intention to support funds, whether the redemption pressure peak on July 24 has passed, and whether commodity prices drive subsequent PPI to rise significantly and form inflationary pressure. In the short term, the supply pressure of government bonds in the second half of the year has decreased compared to the first half, the fundamentals are not bearish for the bond market, the possibility of unexpectedly incremental policies in the July Politburo meeting is low, the curve steepening from an institutional behavior perspective will continue, and investors' bullish sentiment remains [2][6]. 3. Summary by Related Catalogs Analysis of Bond Market Correction Factors - **Redemption Tide**: On July 24, the redemption intensity of pure bond funds was significantly stronger than that in February this year, second only to the redemption tide in October last year, and roughly equivalent to that in August last year. From July 23 - 24, funds sold a large amount of bonds, and the selling volume corresponded to the redemption index without excessive selling. If subsequent redemption indicators stabilize, the bond market correction will be relatively controllable [4]. - **Fund Tightening and Treasury Bond Issuance**: Although there was a net withdrawal in the central bank's open - market operations from Monday to Wednesday this week, the funding rate DR007 remained below 1.50%, and the amount of funds provided by the banking system was maintained at 4 trillion yuan. On July 24, the funding tightened, but on July 25, the central bank conducted 7893 billion yuan of 7D reverse repurchases (net investment of 6018 billion yuan), indicating its clear intention to support liquidity. Investors don't need to worry too much about fund tightening and primary issuance [4]. - **Impact of Commodity Market Rally on Bond Market**: The rally in the commodity market has suppressed bond market sentiment. Although historically, PPI and the 10 - year Treasury bond yield have a high correlation, there have been some divergences. For the current market, real estate investment remains under pressure, the funding rate is maintained about 10bp above the OMO, and whether PPI can turn positive and continue to rise is uncertain. The current commodity price increase lacks strong demand - side support and is difficult to effectively transmit to CPI and form comprehensive inflationary pressure [4][5].

Core Viewpoint - The article discusses the current market dynamics, particularly focusing on the bond market and the impact of upcoming US-China trade talks on market sentiment and interest rates [1][3]. Group 1: Market Dynamics - The People's Bank of China conducted a 150.5 billion yuan 7-day reverse repurchase operation, with 520.1 billion yuan of reverse repos maturing today, resulting in a net withdrawal of 36.96 billion yuan [2]. - The funding environment is tightening, with slight increases in funding rates; DR001 is around 1.37% and DR007 is approximately 1.48% [2]. - The stock market and commodities showed strong performance in the morning, with the Shanghai Composite Index breaking through 3600 points, but experienced a pullback in the afternoon as funding conditions tightened [3]. Group 2: Interest Rates and Bond Market - The 10-year government bond yield opened at 1.692% and quickly rose to around 1.705%, peaking at 1.719% before retreating to 1.695% by the end of the day [3]. - The article highlights a significant shift in sentiment among bond investors, with a noted increase in fund redemptions and a tightening of the funding environment, leading to a rise in interest rates [3][4]. Group 3: Investor Sentiment - There is criticism directed at investors who focus solely on pure bonds while the stock market has seen significant gains, indicating a disconnect between market performance and investment strategies [4]. - The article suggests that many investors are overly reliant on emotional market trends rather than fundamental analysis, leading to poor investment decisions [4][5].