今天分享的是：2025混沌时刻 报告共计：20页 2025年9月债市：多空博弈激烈，市场处于"混沌时刻" 2025年9月中旬，国内债市迎来了多空力量激烈争夺定价权的关键阶段，整体呈现出"混沌时刻"的特征。以10年期国债为代表的 核心品种，利率运行箱体界限愈发清晰，当利率上行至1.80%时，多头买入力量显著增强；而当利率下行至1.75%时，空头势力 开始占据优势，多空双方围绕关键点位展开反复博弈。 当前市场交易主要聚焦两大核心逻辑：一是央行是否会重启买债操作，二是公募债基赎回费规则能否优化。从央行买债相关线 索来看，9月以来部分大型银行在中长久期利率债配置上出现明显动作，不仅净买入7-10年国债93亿元（此前已连续8个月净卖 出该品种），还同期净买入3-5年国债843亿元、7-10年政金债259亿元，二级买债偏好逐步向长久期品种倾斜。不过，类似的买 债行为在今年5-6月也曾出现，当时大行时隔多月重新在二级市场配置短债，市场一度猜想6月可能成为央行重启买债的起点， 事后却证实这只是银行内部止盈后再投资的需求，因此当前大行的操作能否与央行政策关联，仍缺乏明确结论。 公募债基赎回费优化问题同样备受关注。参考过往新规落 ...

Report Industry Investment Rating - Not provided Core Viewpoints - The mid - term top of the 10 - year Treasury bond at 1.75% may be challenged but remains relatively reliable. After returning to the narrow fluctuation range, the 1.65% fluctuation center position is still valid. The view that "the winning probability of the long - end yield decline has not substantially decreased, and the odds have increased during the adjustment" is maintained. In the second half of the year, with the reduction of government bond issuance after August, the re - brewing of policy rate cuts, and the realization of fundamental pressure, there is still a possibility of opening up the downward space for interest rates [2][10]. - Most institutions have a "short - term bearish, long - term bullish" expectation for the bond market, but there are differences in the specific short - term trends. The demand - side policy pattern remains unchanged, and most institutions' expectations of "high in the front and low in the back" for the fundamentals, the judgment of the upcoming reduction of supply pressure, and the long - term bullish view on the bond market remain unchanged. However, the bond market has short - term concerns, and institutions do not have high expectations for the downward space of yields [2][11]. - The marginal improvement of inflation seems imminent, but it still takes time to reverse the trend. The PPI in July may not fully reflect the impact of the increase in commodity prices. There may be more support for prices in August, but the inflation data in August is crucial [3][12]. - The impact of tax policy changes is still being implemented. The new - old bond spread of 10 - year local bonds is about 6BP, and the issuance of 3 - year Treasury new bonds is the first observation window for the new - old bond spread [3][14]. - Liquidity is loose, which is the moat of the current bond market. Monetary policy operations may bring "surprises". The market has a neutral expectation of the current monetary policy easing, and in the context of low market expectations and trading sentiment, there is a higher possibility of "surprises" in monetary policy operations [3][17]. - The existence of expected differences is the best time for trading desks to layout. In the context of low yields and low volatility, it is difficult to operate the market following the trend. The short - term expected differences are a suitable layout opportunity [4][19]. Summary by Relevant Catalogs 1. Expected Differences are Layout Opportunities - The 10 - year Treasury bond's 1.75% top is a signal that interest rates may break through the low - volatility range. The market's short - term expected differences are a good time to layout bond market investments [4][19]. - The inflation improvement in August is crucial. The PPI in July may not fully reflect the impact of commodity price increases, and 8 - month inflation data can verify the improvement of prices [3][12]. - The impact of tax policy changes continues. The new - old bond spread of 10 - year local bonds is about 6BP, and the 3 - year Treasury new bond issuance is an important observation window [3][14]. - Liquidity is loose, and monetary policy operations may bring "surprises". The market has a neutral expectation of monetary policy easing, and the central bank's operations are more likely to exceed expectations [3][17].

Core Viewpoint - The recent 30-year U.S. Treasury bond auction revealed weak market demand, raising concerns about the overall interest in U.S. debt securities [1][2] Group 1: Auction Results - The U.S. Treasury issued $25 billion in long-term bonds with a winning yield of 4.813%, exceeding pre-auction market yields by over 2 basis points, indicating investors' demand for higher returns [1] - Following the auction results, the 30-year Treasury yield rose to 4.829%, reflecting investor disappointment and a decline in bond prices [1] - This marks the third consecutive weak auction this week, following lackluster demand in the 3-year and 10-year bond auctions [1] Group 2: Investor Participation - Primary dealers, seen as market "backstop buyers," subscribed to 17.5% of the issuance, the highest since August 2024, indicating they are taking on more of the subscription when other investors show less interest [2] - Indirect bidders, including foreign central banks, accounted for 59.5% of the auction, below the average of over 61% from the past three auctions [2] - Direct bidders, such as domestic pension funds, subscribed to 23%, slightly below recent averages [2] Group 3: Market Sentiment - The limited interest in the 30-year Treasury bonds is not surprising, as previous auctions in February, March, and May also faced weak demand due to the higher interest rate risk associated with long maturities [2] - The overall trend of weak demand across different maturities suggests that investors are dissatisfied with current Treasury yields, believing that fair value should be higher [2] - This situation poses challenges for the new administration, which is more focused on controlling federal borrowing costs, as weak demand may force the Treasury to issue bonds at higher rates, increasing government debt interest burdens [2]

美国财政部：下周将标售580亿美元3年期国债、420亿美元10年期国债和250亿美元30年期国债， ...

Core Viewpoint - The short-duration bond market is experiencing significant volatility, challenging the perception of these bonds as low-risk assets, prompting fund managers to reconsider their defensive strategies in light of uncertain liquidity conditions [2][3][10] Group 1: Market Dynamics - Following the Spring Festival, there has been a noticeable increase in investor risk appetite, leading to pressure on bond fund managers who typically rely on short-duration bonds as a defensive strategy [3][4] - Despite expectations that short-duration bonds would perform well in a tightening liquidity environment, they have shown greater volatility than long-duration bonds, contradicting traditional investment logic [4][5] - Since early 2025, the yield on China's 3-year government bonds has fluctuated significantly, rising from 1.3052% to a peak of 1.6926% before settling at 1.5100%, indicating a challenging environment for bond investors [4][6] Group 2: Factors Influencing Short-Duration Bonds - The persistent pressure on short-duration bonds is attributed to high funding rates and the negative carry effect, which has led institutions to reduce their leverage and holdings in these bonds [6][7] - The overall liquidity in the market has remained tight, with the DR001 rate hovering between 1.4% and 1.5%, reflecting cautious expectations regarding short-term liquidity [6][7] - The market has seen a significant reduction in the volume of pledged repo transactions, indicating a contraction in overall market leverage since February [7][8] Group 3: Investor Sentiment and Strategy - Investors have reported increased volatility in short-term financial products, contrasting with previous experiences of stable returns, leading to a sense of unease among them [9][10] - The shift from a defensive to a more volatile investment landscape serves as a reminder for fund managers and investors to remain vigilant and adaptable in their strategies, especially in uncertain macroeconomic conditions [10]

Group 1 - The first issuance of a 50-year special government bond in 2023 had a weighted average winning rate of 2.1%, which is higher than the yield of similar maturity bonds in the interbank market and up by approximately 19 basis points from the low point in February [2][3] - The Ministry of Finance issued a total of 390 billion yuan in government bonds on May 23, with a cumulative issuance of 4.69 trillion yuan in the first four months of this year, exceeding the same period last year by over 1 trillion yuan [2][7] - The issuance of the 50-year special government bond was met with weak demand, as indicated by the higher winning rate compared to the secondary market, suggesting a lack of strong market sentiment [3][5] Group 2 - Following the announcement of the bidding results, long-term bond yields in the secondary market rose significantly, with the 24 special government bond yield increasing to 2.07% before settling at 2.055% [4] - The market experienced a "first suppress then rise" pattern due to supply shocks from government bonds, with the 10-year bond weighted rate at 1.67% aligning with expectations, while the 50-year bond's rate was 7 basis points higher than the secondary market [5][8] - The central bank's actions, including a 500 billion yuan MLF operation, indicate a focus on maintaining liquidity in the face of increased government bond supply [8][9] Group 3 - The issuance of government bonds has surged this year, with a total of 10.56 trillion yuan in interest rate bonds issued in the first four months, marking an increase of 3.31 trillion yuan compared to the same period last year [7] - The government plans to issue 1.3 trillion yuan in super long-term special government bonds this year, an increase of 300 billion yuan from last year, alongside 500 billion yuan in special bonds to support state-owned banks [7][9] - Analysts suggest that the market's focus will shift to the balance of supply and demand, with the central bank's stance on monetary policy being crucial for maintaining a stable funding environment [6][8]

Group 1 - The U.S. bond market is currently influenced by uncertainties surrounding trade policies, leading to a re-evaluation of risk by investors [1][3] - The 10-year Treasury yield has returned to levels seen a month ago, indicating a "mean reversion" that masks deeper market anxieties related to trade negotiations [3][4] - The recent comments from President Trump regarding tariffs on foreign films have added complexity to the already tense trade discussions, making it difficult for the market to establish a coherent narrative [3][4] Group 2 - The market is experiencing a chain reaction due to policy uncertainties, as evidenced by the decline in U.S. stock indices, ending a nine-day streak of gains for the S&P 500 and Dow Jones [3][4] - The Federal Reserve's upcoming two-day meeting is anticipated to maintain short-term interest rates in the 4.25%-4.5% range, but there is a notable expectation for a rate cut by December, reflecting a tension between market expectations and reality [3][4] - The long-end yield movements suggest a shift in market logic, as the 10-year Treasury yield is becoming a reflection of trade policies, fiscal deficits, and geopolitical tensions rather than being directly controlled by the Federal Reserve [4][5] Group 3 - The upcoming supply of U.S. Treasuries, including $42 billion in 10-year notes and $25 billion in 30-year notes, will test market resilience amid growing concerns about the sustainability of U.S. fiscal policies and geopolitical risks [4][5] - The uncertainty surrounding tariff policies is seen as a "preventive tax" on global capital flows, exacerbated by the Federal Reserve's inaction, leading to market pain during this policy vacuum [5] - The ongoing tensions in global trade and financial pricing mechanisms are creating a fragile balance that could be disrupted, posing challenges for modern financial markets in the face of de-globalization [5]