固定收益 | 动态跟踪 报告发布日期 2025 年 10 月 13 日 | 齐晟 | 执业证书编号：S0860521120001 | | --- | --- | | | qisheng@orientsec.com.cn | | | 010-66210535 | | 杜林 | 执业证书编号：S0860522080004 | | | dulin@orientsec.com.cn | | | 010-66210535 | | 王静颖 | 执业证书编号：S0860523080003 | | | wangjingying@orientsec.com.cn | | | 021-63326320 | | 徐沛翔 | 执业证书编号：S0860525070003 | | | xupeixiang@orientsec.com.cn | | | 021-63326320 | ⚫ 三季度债市调整主要有两个原因：通缩预期修复与监管政策变化。这两个因素在四 季度对债市的利空会减弱。 风险提示 政策变化超预期；货币政策变化超预期；经济基本面变化超预期；信用风险暴露超预 期；数据统计可能存在遗漏 有关分析师的申明，见本报告最后部分。其他重要 ...

[Table_Reporto] 2025 年 10 月 13 日 证券研究报告•固定收益定期报告 债券市场跟踪周报（10.9-10.10） 关税风波再起，债市如何演绎？ 综合来看，我们维持前期对债券市场四季度或迎来下行空间打开的观点，但仍 然建议保持谨慎乐观的态度。我们在 9月 29日的报告《四季度债市能否突破 震荡走势？》中已就关税冲击以外的其他因素综合分析指出，四季度债市已然 具备一定的缓慢下行基础，债券市场对权益市场走强的适应性提升和前期过度 交易长久期债券的风气退潮，更为理性的定价逻辑或将重新主导市场，稳固的 配置需求将成为利率下行的"压舱石"。而本次关税冲击更类似于"一次性" 的定价行为，如果特朗普政府针对中国的关税政策再度反复，长久期资产可能 也将面临潜在回调风险，建议将中美元首会晤的最终安排作为重点跟踪指标， 进而判断本轮关税政策的落地可能性。投资策略方面，我们提示应当期理性看 待加征关税的实质性影响，建议将组合久期定位在中等偏长区间，避免过度拉 长组合久期，警惕关税反复的市场回调风险；配置方面，仍然建议优选优质票 息资产作为底仓，采取"票息+套息"的收益思路，挖掘 2 年期 AA-/AA 级信 ...

晨会纪要（2025/10/13） 编辑人 崔健 022-28451618 SAC NO：S1150511010016 cuijian@bhzq.com 渤海证券研究所晨会纪要（2025.10.13） 宏观及策略研究 海外政坛动荡不稳，国内政策谋划布局——宏观经济周报 请务必阅读正文之后的声明 渤海证券股份有限公司具备证券投资咨询业务资格 1 of 7 晨会纪要（2025/10/13） 宏观及策略研究 固定收益研究 债市逆风格局难改，但形势好于三季度——利率债四季度投资策略展望 行业研究 国内节后开始复工，美国政府持续停摆——金属行业周报 关注 ESMO 数据发布及三季报业绩情况——医药生物行业 10 月投资策略展 望 证 券 研 究 报 告 晨 会 纪 要 海外政坛动荡不稳，国内政策谋划布局——宏观经济周报 周 喜（证券分析师，SAC NO：S1150511010017） 宋亦威（证券分析师，SAC NO：S1150514080001） 严佩佩（证券分析师，SAC NO：S1150520110001） 靳沛芃（研究助理，SAC NO：S1150124030005） 1、外围环境而言 美国方面，由于两党迟迟未就 ...

固定收益 | 固定收益定期 机构行为周度跟踪 证券研究报告 长假前后，机构谨慎为主 债市活力指数继续下降 截至 10 月 10 日，债市活力指数较 9 月 26 日下降 8pcts 至 0%，5D-MA 下降 18pcts 至 5%。 其中，无债市活力升温指标，降温指标包括：十年期国开债隐含税率（反 向）（滚动两年分位数持平在 0%）、10Y 国开债活跃券成交额/9-10Y 国开债 余额（滚动两年分位数由 19%降至 16%）、银行间债市杠杆率较过去 4 年同 期均值的超额水平（滚动两年分位数由 12%降至 6%）、中长期纯债基久期中 位数（滚动两年分位数由 89.0%降至 87.6%）、30Y 国债换手率（滚动两年分 位数由 24%降至 3%）。 机构买卖行为跟踪：节前基金谨慎加仓；节后交投清淡 1）买卖力度与券种选择：基金主要净买入中短债，保险转为卖出 整体来看，9/29-10/10 期间，现券市场净买入力度排序为：货基>基金> 其他产品类>保险>理财>外资银行>大行>其他，净卖出力度排序为股份 行>城商行>农村金融>券商。 券种选择上，目前各类机构主力的券种为：1）大行主力 7-10Y 利率债；2） 农 ...

[Table_A 李一爽 uthor 固定收益 ] 首席分析师 执业编号：S1500520050002 联系电话：+8618817583889 邮 箱：liyishuang@cindasc.com [Table_ReportTime] 2025 年 10 月 10 日 请阅读最后一页免责声明及信息披露 http://www.cindasc.com1 310 月债市：枕戈待旦 证券研究报告 债券研究 10 月债市：枕戈待旦 [T专题able_ReportType] 报告 日常工具的操作规模，但市场难以实时获取相关信息。在此背景下，资金 面的现实对于判断央行态度更加重要。因此，从 9 月实际的资金价格来看， 央行在既有框架内维持相对宽松的态度并未在 9 月改变。 请阅读最后一页免责声明及信息披露 http://www.cindasc.com3 [Table_ReportDate] 2025 年 10 月 10 日 信达证券股份有限公司 CINDASECURITIESCO.,LTD 北京市西城区宣武门西大街甲 127 号金 隅大厦 B 座 邮编：100031 ➢ 10 月资金面的外生扰动主要来自税期和政策工具的大量 ...

Summary of Key Points from the Conference Call Industry Overview - The conference call primarily discusses the bond market outlook for October 2025, with a focus on credit bonds and interest rate bonds [2][7][12]. Core Insights and Arguments - **Travel Data and Real Estate Sales**: Strong travel data during the National Day holiday indicates robust activity, but real estate sales were slightly weaker than the previous year, leading to a neutral impact on the bond market [2][5]. - **U.S. Economic Indicators**: The U.S. government shutdown has resulted in the absence of key non-farm payroll data, while the ADP employment report showed a decrease of 32,000 jobs, raising expectations for a potential interest rate cut by the Federal Reserve in October [2][6]. - **Monetary Policy Outlook**: The central bank is expected to maintain a supportive monetary policy stance, utilizing various tools to ensure liquidity, while being cautious of risks associated with fund idling [2][7]. - **Interest Rate Trends**: The overall low interest rate environment is leading to a decline in the profitability of pure bond assets, making it difficult for long-term rates to decrease significantly in October [2][7]. - **Credit Bond Market Performance**: The credit bond market experienced volatility in September, with a steepening yield curve and fluctuating credit spreads. A defensive strategy focusing on short-duration bonds is recommended for October [2][8][12]. Important but Overlooked Content - **Impact of Regulatory Changes**: The introduction of new public fund sales regulations in early September caused significant market disruptions, leading to a sell-off of government bonds to maintain liquidity, which resulted in a passive narrowing of credit spreads [2][10]. - **Seasonal Factors**: Concerns over institutional redemptions at the end of September led to a significant rise in credit bond yields and widening credit spreads [2][11]. - **Investment Recommendations**: - For institutions with moderate stability, focus on 2-3 year credit varieties, particularly 3-year bank subordinated capital instruments, while being cautious of liquidity risks [3][14]. - For stable institutions, consider participating in 4-5 year bank subordinated capital instruments, but be aware of potential volatility [3][14]. - Avoid excessive participation in ultra-long-term non-financial bonds due to their lower liquidity and potential for significant price adjustments [3][14].

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - In July, before the central bank's policy direction becomes clearer, the bond market is unlikely to see significant movements. However, with the injection of incremental funds from insurance, wealth management, and banks, interest rates may gradually approach previous lows, accompanied by some structural market trends. Therefore, pre - arranging for the to - be - allocated varieties of incremental funds is a dominant strategy. Good choices include ultra - long - term interest - rate bonds favored by the "cost - reduction" of insurance in July and sinking credit varieties with a maturity yield in the 2.0% - 2.2% range for betting on the growth of wealth management scale [5]. - In June and the second half of the year, aside from the uncertainty of tariffs, there are few foreseeable negative factors in June. The fundamental data is still mixed, and its indication of the interest rate direction is not strong. Even if long - term interest rates retreat, the amplitude may be relatively controllable. The smooth downward trend of long - term interest rates may occur after the cross - quarter period. High - cost - performance varieties such as ultra - long local bonds, long - term agricultural development bonds, and export - import bank bonds can be preferentially selected [41]. Summary by Directory Bond Market Performance Review - The change in the central bank's statement on reserve requirement ratio cuts and interest rate cuts in the monetary policy draft this week dampened market expectations of easing. The yields of 10 - year and 30 - year active Treasury bonds increased by 0.5 and 2.3 bps respectively, while the yield of 1 - year Treasury bonds decreased by 1.5 bps [2][11]. - In the interest - rate bond market, yields of bonds with a maturity of 5 years and below generally decreased by 3 - 4 bps, with the 1 - year Treasury bond yield breaking through the 1.40% resistance line to 1.36%. The yields of 10 - year and 30 - year Treasury bonds remained stable at 1.65% and 1.85% respectively. In the credit - bond market, the market continued the idea of spread mining, and long - term varieties became the focus. Yields of some credit - bond varieties decreased to different extents [14]. Bond Market Primary Issuance Situation - This week, 4223 billion yuan of local bonds were issued, and 508 billion yuan are scheduled to be issued from June 30 to July 4. As of June 27, 21635 billion yuan of new special bonds have been issued, an increase of 6542 billion yuan year - on - year, accounting for 49% of the 4.4 - trillion - yuan quota. 1110 billion yuan of Treasury bonds were issued this week, with a net issuance of 1110 billion yuan, including 710 billion yuan of special Treasury bonds. 1150 billion yuan of policy - financial bonds were issued this week, with a net issuance of 109 billion yuan [19]. Funds Market Situation - During the cross - quarter period, the upward pressure on funds was relatively controllable. Despite tax - period disturbances, the overnight funds remained stable, while the 7 - day interest rates rose significantly. The R007 and DR007 increased by 24 bp and 13 bp respectively compared with the previous week. The overnight and 1 - week Shibor rates closed at 1.37% and 1.67% respectively, with changes of +0.3 and +13.9 bps compared with last week. The overnight and 1 - week CNH Hibor rates closed at 2.02% and 2.06% respectively, with changes of +37.7 and +19.8 bps compared with last week [23][25]. - In the context of the tightening of the end - of - quarter funds, the overall trading volume of inter - bank pledged repurchase decreased, and the weighted issuance period of inter - bank certificates of deposit was compressed [28]. China's Bond Market Macro - environment Tracking and Outlook - In June, the manufacturing PMI was 49.7%, up 0.2 percentage points from May. The performance of major industries remained strong, with improvements in both supply and demand. The production index rose 0.3 percentage points to 51%, and the new order index was 50.2%, up 0.4 percentage points from the previous month [31]. - From January to May, the total profit of industrial enterprises above the designated size was 27204.3 billion yuan, a year - on - year decrease of 1.1%, and the profit growth rate slowed down compared with January - April. Although new - energy industries contributed significantly to profit growth, industrial product prices remained low, and there was still a large space for increasing effective demand [33]. - The US dollar index has been below 100 in the past week, and the offshore RMB has continued to appreciate. The central bank may maintain a loose tone in the second half of the year. This week, the central bank's net open - market injection was 12672 billion yuan, the second - highest single - week net injection this year [38]. China's Bond Market Weekly Summary and Outlook - The economic data in May was mixed. The GDP under the production method remained high, while the terminal demand under the expenditure method was differentiated. The annual 5% real growth target is likely to be achieved. In the future, policies may focus on structural short - board compensation and improving nominal growth [42]. - Monetary policy will continue to be loose to cooperate with fiscal bond issuance, and the liquidity is likely to remain loose. In June and the second half of the year, high - cost - performance bond varieties can be preferentially selected [40][41].

报告导读： 四季度债市或"前不弱，后不强"。 在 9 月末债市跌幅较大的情况下，虽然债市长期走弱趋势难以逆转，但跨季债市反而可能趋于平稳甚至局部修复。 过去一周内，虽然 10 年期国债利率走 稳，但债市实际上出现了全面回调。以中债到期收益率口径来看，利率债中相对高弹性的品种如 30 年国债、 10 年期国开等有回调，信用债也演绎补跌行 情，其中基金持仓较重的二永债跌幅更深。从历史规律来看，四季度债市往往呈现"先弱后强"。但 2025 年的情况可能有所不同，我们认为四季度大概率不 会有新增政策出台，债市可能是"前不弱，后不强"。 以上内容节选自国泰海通证券已发布的证券研究报告。 报告名称： 跨季前后的阶段性平台期；报告日期：2025.09.28 报告作者： 唐元懋（分析师），登记编号：S0880524040002 杜润琛（研究助理），登记编号：S0880123090079 孙越（分析师），登记编号：S0880525080004 重要提醒 本订阅号所载内容仅面向国泰海通证券研究服务签约客户。因本资料暂时无法设置访问限制，根据《证 券期货投资者适当性管理办法》的要求，若您并非国泰海通证券研究服务签约客户，为保证服务 ...

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].

Industry Investment Rating - There is no information about the industry investment rating in the provided content. Core Views - The bond market performed poorly in Q3 due to multiple factors, including policy - induced macro - narrative reversals, a decline in the bond market's profit - making effect, and regulatory - induced redemptions of bond funds. As Q4 approaches, historical experience shows that interest rates are more likely to decline in Q4. The report explores possible paths for bond market sentiment repair [6][9]. - The market has reached a consensus on a weak present but improving future for the fundamentals and continuous loosening of the capital market. Thus, poor Q4 fundamental data and loose capital cannot significantly drive down bond market interest rates [6][12]. - Central bank actions are still crucial. The deviation between the capital market and bond market interest rates is due to large government bond issuances. If the supply of interest - rate bonds increases in Q4, the central bank is expected to strengthen monetary policy. Observing changes in central bank monetary policy or a downward - guiding of inter - bank interest rates may be a path for bond market sentiment repair [6][13][16]. - Attention should be paid to the end of the withdrawal of trading funds. The bond market adjustment caused by regulatory policies on funds is more of a frictional effect. In the long run, funds are likely to return to the bond market. Monitoring regulatory rhythms, institutional responses, and the profit - taking progress of Q3 short - sellers in Q4 is advisable [6][17]. Summary by Directory 1. Bond Market Weekly View: Possible Paths for Bond Market Sentiment Repair - Q3 bond market performance was poor, affected by policies, the equity market, and regulatory factors. Institutions' behaviors changed, with insurance institutions not eager to allocate and funds having a bad experience in "bottom - fishing". Entering Q4, the report explores paths for bond market sentiment repair [9]. 2. This Week's Focus in the Fixed - Income Market: September PMI Data to be Released 2.1 Domestic PMI Data Release - This week, China will release September PMI data, and the US will release September ADP employment figures and other data [18]. 2.2 This Week's Decline in Interest - Rate Bond Issuance - The issuance scale of interest - rate bonds this week has seasonally declined to a low level, with a planned total issuance of 107.2 billion. There are no plans to issue treasury bonds and policy - financial bonds this week. 33 local bonds are planned to be issued, with a scale of 107.2 billion [21][22][23]. 3. Interest - Rate Bond Review and Outlook: High Bond Market Volatility 3.1 14 - Day Reverse Repurchase at the End of the Quarter - Near the end of the quarter, the central bank carried out 14 - day reverse repurchases. After a 30 - billion - yuan injection on Monday and no further operations in the middle of the week, a 60 - billion - yuan injection on Friday eased capital fluctuations. The net injection of open - market operations totaled 88.06 billion. Capital prices first rose and then fell. Repurchase trading volume also rose and then fell, with an average of about 7.27 trillion per week. Overnight ratios decreased. DR001 and DR007 first rose and then fell. The issuance of negotiable certificates of deposit remained at a relatively high level, with high prices. The net financing was - 17.83 billion. The 9 - month and 1 - year maturities accounted for about 44%. Secondary selling pressure was high, and last week's CD interest rates rose to a high level [27][29][35]. 3.2 Continued High Bond Market Volatility - The bond market continued to be highly volatile. At the beginning of the week, the expectation of increased monetary easing was disappointed, and multiple negative factors led to a large - scale bond market adjustment. In the second half of the week, the central bank increased the injection of medium - and long - term liquidity and 14 - day reverse repurchases, easing capital pressure and leading to bond market repair. The yields of 10Y treasury bonds and CDB active bonds changed by 0.4bp and 2bp to 1.8% and 1.96% respectively compared to last week. The yields of interest - rate bonds of various maturities mainly rose, especially those of policy - financial bonds. The 5Y Export - Import Bank bond had the largest increase, rising 4.8bp [48]. 4. High - Frequency Data: Improvement in Automobile Sales and Commodity Housing Transaction Data - On the production side, the operating rates were divided. The daily average crude steel production in early September had a year - on - year growth rate of 1.6%, turning positive from negative. - On the demand side, the year - on - year growth rates of passenger car manufacturers' wholesale and retail sales improved. The year - on - year growth rate of the commodity housing transaction area turned positive. The SCFI and CCFI composite indices changed by - 7% and - 2.9% respectively. - On the price side, crude oil prices rose, copper and aluminum prices diverged, and the settlement price of the coking coal active contract futures changed by - 0.1%. In the mid - stream, the building materials composite price index changed by 0.5%, the cement index by 2.4%, and the glass index by 3%. The output of rebar was basically flat, the inventory decreased to 4.72 million tons, and the futures price changed by - 0.6%. In the downstream consumer sector, vegetable, fruit, and pork prices changed by 2%, 1.6%, and - 0.3% respectively [55][56].