证券研究报告 固收定期报告 hyzqdatemark 2025 年 10 月 21 日 本周（10/13-10/19）市场概览： 证券分析师 廖志明 SAC：S1350524100002 liaozhiming@huayuanstock.com ——利率周报（2025.10.13-2025.10.19） 投资要点： 联系人 mahe@huayuanstock.com 中美将迎来新一轮经贸磋商 报告核心观点：10 月中美贸易摩擦升级导致全球风险资产波动加剧，市场对关税落 地持观望态度但冲击幅度或可控。10 月 18 日中美高层视频通话达成重启磋商共识， 叠加10月底APEC会议首脑会晤预期，市场对政策博弈的短期情绪压力或有所缓解， 但需关注中美经贸磋商结果及中国经济数据承压等潜在风险。10 月美联储或进一步 降息 25BP，中美利差倒挂明显缓解，有望打开中国货币政策进一步宽松空间。 马赫 请务必仔细阅读正文之后的评级说明和重要声明 其他要闻：2025 年 9 月末社会融资规模存量为 437.08 万亿元，同比+8.7%。前三 季度净投放现金 7619 亿元，9 月末 M2 余额 335.38 万亿元，同比+8. ...

Group 1 - The report addresses key issues such as analyzing the yield spread between new and old bonds from the perspective of 30Y, 10Y government bonds, and 10Y policy bank bonds, as well as evaluating current trading opportunities for specific bonds [5][13] - The switching of active bonds is influenced by issuance plans, with the scale determining the active status for government bonds, while policy bank bonds rely more on market institutions' behaviors and preferences [5][6] - The new and old bond yield spread exhibits a cyclical pattern of "widening-convergence," where the spread typically widens after a new bond is issued and narrows as liquidity premiums are realized and new bonds are issued [5][14] Group 2 - For 30Y government bonds, the trading focus may remain on the larger scale bond 2500002.IB, while the trading opportunity for the new bond 2500006.IB may be limited due to its yield inversion with the active bond [5][25] - In the case of 10Y government bonds, if the fund redemption fee reform is implemented, the market attention may shift towards this bond type, with the new bond 250016.IB having the potential to become an active bond [31][35] - The 10Y policy bank bonds also show a similar pattern to government bonds, with the yield spread typically widening and then converging after switching, but the opportunities depend more on market sentiment and liquidity changes due to the lack of transparent issuance plans [43][47] Group 3 - The report suggests that investors should focus on structural opportunities, particularly monitoring the transition of 250016.IB to an active bond, especially in the context of potentially increased demand for self-managed bank allocations [48]

Group 1: Report Overview - The report is the Bond Research Weekly for the 4th week of September 2025, focusing on bond market analysis from the perspective of institutional behavior [2][9] Group 2: Investment Rating - Not provided in the report Group 3: Core Viewpoints - The behavior of funds is crucial in the bond market, with their net purchases strongly correlated with interest rate trends. The instability of funds' liability side has increased due to the new sales fee regulations, and the impact of the regulations' implementation should be closely monitored [4][15] - The three institutional behavior changes (funds having nothing left to sell, brokerages closing short positions, and banks "picking up bargains") are favorable for the bond market. Future interest rates may decline due to funds repurchasing bonds, banks increasing allocations, and brokerages closing positions. Currently, interest rate products have a higher probability of success than Tier 2 and credit bonds [4][15] Group 4: Summary by Directory 1. Re - examination after Interest Rate Breakthrough 1.1 Three Changes in Institutional Behavior and Future Outlook - Funds are "sold out": Since Q3, funds have continuously reduced duration. As of September 26, 2025, the median duration of medium - and long - term bond funds (including leverage) dropped to 2.8 years, and the cumulative net purchase of ultra - long treasury bonds (over 10Y) by funds has been negative since early September [3][9] - Brokerages are closing short positions: The borrowing volume of the top three active 10Y treasury bonds remains volatile, while that of 10Y CDB bonds has decreased, indicating brokerage short - position closing before the holiday [10] - Banks are "picking up bargains": Since August, joint - stock banks have continuously bought old 10Y treasury bonds, acting as a "buffer" during the bond market correction. Recently, Tier 2 and perpetual bonds have corrected rapidly, and funds are selling Tier 2 bonds more aggressively [3][14] 1.2 Yield Curve - Treasury bond yields generally increased. On a week - on - week basis, the 1Y yield decreased by 1bp, the 3Y yield increased by 3bp, the 5Y yield changed less than 1bp, the 7Y yield increased by 1bp, the 10Y yield changed less than 1bp, the 15Y yield increased by 1.5bp, and the 30Y yield increased by 2bp. In terms of percentiles, the 1Y dropped to the 10% percentile, and others had various percentile changes [16][18] - CDB bond yields also generally increased. The 1Y yield decreased by 0.5bp, the 3Y yield increased by 2bp, the 5Y yield increased by about 2.3bp, the 7Y yield increased by 4.6bp, the 10Y yield increased by 1.1bp, the 15Y yield increased by about 4.6bp, and the 30Y yield increased by 4.9bp. Percentiles also had corresponding changes [18] 1.3 Term Spread - The spread between treasury bonds and CDB bonds (1Y - DR001, 1Y - DR007) showed a differentiated trend, and the term spread generally widened [19] 2. Bond Market Leverage and Funding Situation 2.1 Leverage Ratio - From September 22 to September 26, 2025, the leverage ratio fluctuated and decreased. As of September 26, it was about 107.06%, up 0.32pct from last Friday and down 0.04pct from Monday [23] 2.2 Repurchase Transactions - From September 22 to September 26, the average daily trading volume of pledged repurchase was about 7.3 trillion yuan, up 0.1 trillion yuan from last week. The average daily trading volume of overnight pledged repurchase was 5.55 trillion yuan, down 0.72 trillion yuan month - on - month. The average overnight trading volume ratio was 75.72%, down 11.92pct month - on - month [27][28] 2.3 Funding Situation - From September 22 to September 26, bank - based fund lending first increased and then decreased. On September 26, the net lending of large and policy banks was 4.09 trillion yuan, and joint - stock, city, and rural commercial banks had a net borrowing of 0.28 trillion yuan. The main fund borrowers were brokerages, and money market funds' lending decreased. DR007, R007, 1YFR007, and 5YFR007 all fluctuated and increased, with different changes compared to last Friday [30] 3. Duration of Medium - and Long - Term Bond Funds 3.1 Overall Duration - From September 22 to September 26, the median duration of medium - and long - term bond funds was 2.68 years (de - leveraged) and 2.79 years (including leverage). On September 26, the median duration (de - leveraged) remained unchanged from last Friday, and the median duration (including leverage) decreased by 0.01 year [41] 3.2 Duration by Bond Fund Type - As of September 26, the median duration of interest - rate bond funds (including leverage) dropped to 3.53 years, down 0.01 year from last Friday; the median duration of credit bond funds (including leverage) dropped to 2.52 years, up 0.01 year from last Friday. The de - leveraged durations also had corresponding changes [44] 4. Category Strategy Comparison - As of September 26, the Sino - US spread generally narrowed, and the implied tax rate (10Y CDB - treasury bond spread) narrowed at the short end and widened at the medium - and long - ends [48] 5. Bond Lending Balance Changes - On September 26, the lending concentration of active 10Y treasury bonds and 10Y CDB bonds increased, that of secondary active 10Y CDB bonds and active 30Y treasury bonds decreased, and that of secondary active 10Y treasury bonds remained unchanged. Except for brokerages, all other institutional lending concentrations increased [50]

Group 1 - The core viewpoint indicates that the stock market has decoupled from the bond market, with a continued bullish outlook on bonds [1] - The overall profit growth rate for all A-shares in the first half of 2025 has not improved compared to the first quarter, with revenue growth remaining sluggish [1] - Since September 24, 2024, the current stock bull market has lasted nearly one year, with the All A Index doubling in value [1] Group 2 - The bond market has seen a net issuance of 14.3 trillion yuan in the first seven months of this year, with banks increasing their bond investments significantly [1] - The stock bull market has not impacted the total deposits in the banking system, indicating a structural shift in financing needs [1] - The convertible bond index is nearing historical highs, suggesting a cautious optimism for convertible bonds, with future attention on stock market changes and approval for new convertible bond issuances [2] Group 3 - The recommendation is to cherish yields above 2% for 30-year government bonds and 5-year capital bonds, as there may be opportunities to approach 1.6% for 10-year government bonds in the coming months [2] - The recent performance of the Ping An Company Bond ETF (511030) has shown the best control over drawdowns, indicating relative stability and manageable risk [2]

Core Viewpoint - The article emphasizes that trends are accelerated by news stimuli rather than changed, indicating that current market movements are aligned with broader trends [1]. Group 1: Market Conditions - The central bank conducted a 340 billion yuan reverse repurchase operation, with 5,259 billion yuan of reverse repos maturing today, resulting in a net withdrawal of 4,919 billion yuan [2]. - The funding environment remains balanced and loose, with the DR001 rate around 1.31% and DR007 at approximately 1.42% [3]. - The interbank funding rates show a slight decline, with R001 at 1.36% (down 1 basis point) and R007 at 1.49% (up 97 basis points) [4]. Group 2: Bond Market Dynamics - The bond market sentiment is stable, with the 10-year government bond yield fluctuating around 1.64% after opening flat [5]. - Despite rumors of regulatory investigations into short-term bond funds buying long-term government bonds, market enthusiasm remains high, with the 30-year government bond becoming the most active [6]. - The 30-year government bond recorded over 1,300 transactions, while the 10-year government bonds saw over 1,000 transactions, indicating a shift in investor preference towards ultra-long bonds [6].

Group 1: Core Insights - The report indicates a significant increase in net buying of 7-10 year long-term bonds and bonds over 10 years, with weekly net buying intensity reaching the second highest and highest levels of the year respectively [1] - The overall funding market has warmed up, with both net inflow and outflow amounts rising, and an increase in the leverage ratio in the interbank bond market [2] - The secondary market shows improved activity, particularly in ultra-long bonds, with a rise in turnover rates for 30-year government bonds and an increase in average duration for medium to long-term pure bond funds [3] Group 2: Market Dynamics - In the primary market, there was a noticeable "marginal" sentiment, with an increase in the issuance of government bonds and a rise in the bid-to-cover ratio for government bonds, while the ratio for policy financial bonds decreased [2] - Major institutional behaviors indicate that funds are aggressively allocating to long-term and ultra-long-term bonds, while rural commercial banks are selling off across all maturities, particularly in the 7-10 year and over 10-year segments [3] - The scale of wealth management products in June did not show the typical seasonal decline, with a slight overall decrease in the week of June 15, while fund sizes increased significantly compared to previous months [4]

Funding Market - The large banks' lending scale rapidly increased in the first half of last week but declined after the reserve requirement ratio cut took effect [1] - The overall funding market cooled down in the past week, with net borrowing amounts turning negative for major borrowers and net lending amounts rising for major lenders [1] - The total repo balance in the interbank market increased, while the leverage ratio in the interbank bond market remained stable [1] Primary Market - The issuance heat in the primary market showed divergence, with one 10-year government bond, two 10-year policy bank bonds, and one 10-year other policy financial bond issued in the past week [1] - The bid-to-cover ratio for government bonds and policy bank bonds decreased, while it increased for other policy financial bonds [1] - The price spread between primary and secondary markets narrowed for government and policy bank bonds, while it widened for other policy financial bonds [1] Secondary Market - The overall heat in the secondary market improved, with an increase in the turnover rate of ultra-long bonds and stronger buying interest for short-term bonds [2] - The total borrowing volume of bonds increased, and the proportion of active bonds rose [2] - Major buyers increased net purchases of short and medium-term bonds while reducing net purchases of long and ultra-long bonds [2] Wealth Management and Fund Scale - Since May, the growth of wealth management scale has been weaker than historical averages, with a cumulative increase of 164.4 billion yuan as of May 18 [3] - The fund scale (net asset value) increased by 83.2 billion yuan in May, with equity and bond funds increasing by 56.1 billion yuan and 25.3 billion yuan respectively [3] - The issuance of new bond funds saw a significant rise compared to the previous week [3]