证券研究报告 | 固定收益定期 gszqdatemark 2025 09 14 年 月 日 固定收益定期 超涨已消化，静待债复归 本周债券利率再度上升。本周各期限利率再度显著攀升。10 年国债和 30 年国债活跃券 250011.IB 和 2500002.IB 分别较上周上升 2.5bps 和 5.5bps 至 1.79%和 2.08%，期间 10 年国债活跃券一度 突破 1.8%的关键点位。而存单和信用利率同样有所上升，1 年 AAA 存单利率上升 1.1bps 至 1.68%， 3 年和 5 年 AAA-二级资本债利率大幅飙升 10.0bps 和 9.7bps 至 2.02%和 2.14%。 今年前三个季度，整体债市震荡调整，难以获得稳定的投资收益。过程中虽然有基本面变化、大行 抛券，以及 3 季度以来反内卷政策推升商品价格，股市持续走强以及近期公募费率新规等影响。 但大的背景却是年初的利率超涨一定程度上透支了后续空间。 目前来看，尚无足够证据说明利率趋势转变，但从广谱利率下行速度来看，年初确实存在一定程 度的超涨。从资本回报率角度来看，利率依然处于下行趋势中。2010 年以来，企业回报率处于趋 势性的下 ...

Group 1: Report Industry Investment Rating - No information provided Group 2: Core Viewpoints of the Report - The bond market may gradually recover in an oscillatory and progressive manner as the correlation between stocks and bonds weakens and commodity pressure eases, but other markets, seasonal factors, and regulatory policies may cause oscillations during the recovery process. It is recommended to adopt a dumbbell - shaped operation, and long - term bond rates may decline more smoothly in the second half of the fourth quarter, with rates expected to hit new lows this year [4][6][18] Group 3: Summary by Relevant Content Bond Market Performance This Week - This week, both long - term and short - term bonds remained oscillating. The active bonds of 10 - year and 30 - year treasury bonds, 250011.IB and 2500002.IB, changed by - 1.25bps and 0.95bps respectively compared with last week, reaching 1.77% and 2.03%. After the month - end, the capital price remained loose, and the 1 - year AAA certificate of deposit stayed at around 1.67%. Credit interest rates declined slightly, with the 3 - year and 5 - year AAA - secondary capital bonds falling by 1.7bps and 1.9bps respectively compared with last week, reaching 1.92% and 2.05% [1][9] Weakening Impact of the Stock and Commodity Markets on the Bond Market - The impact of the stock and commodity markets on the bond market has gradually weakened. The 10 - day moving correlation coefficient between the daily interest rate change of the 30 - year active bond and the increase of the Shanghai Composite Index dropped from around 0.8 in late July to around 0.15 currently. On one hand, it is due to the change in bond institutional positions; on the other hand, the relative cost - effectiveness of bonds compared with stocks has gradually increased. Since the end of July, the commodity price index has continued to decline, and the Nanhua Industrial Product Price Index on September 4th has cumulatively dropped by 6.3% compared with the high on July 25th [2][10] Factors Protecting the Bond Market - The loose capital and banks' under - allocation are the main protections for the bond market. The fundamentals are still under pressure, the demand is not strong, and the financing demand is insufficient, so the loose capital situation remains unchanged. The future asset supply will further decline, and the net financing of government bonds in the next 4 months may significantly decrease compared with the same period last year. For banks, the deposit growth rate is rising while the credit growth rate is slowing down, so banks need to increase bond allocation to make up for the gap, and they may have a high willingness to increase allocation [3][10] Reasons for the Oscillatory and Progressive Recovery of the Bond Market - Other markets still impact the bond market. Although the seesaw effect between stocks and bonds has weakened, non - banks still hold a relatively high position in long - term bonds, and a significant rise in the stock market may lead to institutional selling and short - term bond market fluctuations. Seasonal factors may restrict the downward speed of interest rates. September is often a period of interest rate adjustment, and October is an oscillatory period. The new regulations on public fund redemption fees may reduce institutional willingness to invest in bond funds, and the redemption behavior may bring short - term adjustment pressure to the market [4][14][17]

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - The bond market's repair period will continue. In the first stage, interest rates will return to the pre - adjustment level. Whether they can break through new lows depends on the performance of other markets and fundamental pressures. It is expected that the 10 - year and 30 - year treasury bonds may return to around 1.65% and 1.85% in the short term. If other markets have moderate growth and demand continues to slow, interest rates may hit new lows [7][22]. Summary by Relevant Catalogs Bond Market Repair Situation - This week, the bond market started a repair rally as expected, with yields across all tenors generally declining. The yields of 10 - year and 30 - year treasury bonds dropped by 2.7bps and 2.3bps to 1.71% and 1.95% respectively. The repair of credit bonds was more significant, with the yields of 3 - year and 5 - year secondary capital bonds falling by 7.8bps and 6.4bps to 1.85% and 1.95% respectively. The yield of 1 - year AAA certificates of deposit also dropped by 3.6bps to 1.64% [1][9]. - The direct trigger for the bond market repair was the cooling of supply contraction expectations and the correction in commodities and the stock market. The Politburo meeting's mild stance on over - capacity governance led to a 3.8% decline in the Nanhua Industrial Products Index this week, and the stock market also adjusted, reducing risk appetite [1][9]. Fundamental Factors Affecting the Bond Market - Fundamentally, there is an increasing downward pressure. The manufacturing PMI in July was 49.3%, down 0.4 percentage points from the previous month, with a larger seasonal decline than in previous years. The new orders index dropped 0.8 percentage points to 49.4%. The service and construction PMIs also weakened, falling 0.1 and 2.2 percentage points to 50.0% and 50.6% respectively [2][10]. - Without sufficient demand, price increases are mostly structural, and terminal prices are unlikely to rise significantly. Rising upstream prices cannot be effectively transmitted to the mid - and downstream sectors, and the cost is often passed on to the mid - and downstream industries, compressing their profits. Supply contraction also reduces investment and financing demand, not directly pushing up interest rates [2][15]. Bond Market's Own Conditions - The overall asset shortage situation persists. In terms of capital demand, there is a slowdown pressure. The bill rate has weakened significantly, with the 6 - month state - owned bill re - discount rate reaching a new low of 0.4% this week, indicating weak credit demand. Government bond supply will also decrease, with the remaining net financing of government bonds in the next five months expected to be 4.26 trillion yuan, a year - on - year decrease [3][16]. - In terms of capital supply, it remains abundant. The scales of bank deposits, insurance assets, wealth management products, and bond funds are all steadily increasing. The central bank has stated that it will maintain ample liquidity, and the current loose money situation is expected to continue [3][16]. Impact of Treasury Tax Rate Adjustment - The adjustment of the treasury tax rate is mostly a one - time impact, increasing the tax burden on financial institutions such as banks. It benefits old bonds and is negative for financial bonds and new bonds. The new - old bond yield spread may widen by 5.6 - 10.8bps, and the estimated total tax increase is 31.55 billion yuan, mainly borne by banks. Public funds may gain a 3.08% tax advantage in interest income in the short term, but future tax adjustments for public funds need further observation [4][18]. Market Volatility and Fragility - Although the overall situation is favorable for the bond market, market volatility and fragility are increasing. As coupon rates decline, the proportion of trading positions is rising, and market institutions are extending durations to increase capital gains. In the second quarter, the average durations of medium - and long - term interest - rate bond funds and medium - and long - term credit - bond funds increased significantly by 0.81 years and 0.94 years respectively, the largest single - quarter increase on record [5][19].

Group 1: Report Industry Investment Rating No relevant content Group 2: Core Viewpoints of the Report - The bond market adjusted significantly this week, but the short - term impact factors are temporary, and the bond market is expected to enter a repair phase. The short - term interest rate adjustment ceiling is clear, and the 10 - year and 30 - year Treasury bond yields may return to around 1.65% and 1.85% respectively. The bond interest rate is expected to hit a new low in the second half of the year [1][5][19] Group 3: Summary by Related Contents Bond Market Adjustment This Week - The bond market adjusted significantly this week, with long - term bonds adjusting more notably. The yields of 10 - year and 30 - year Treasury bonds rose by 6.7bps and 8.4bps to 1.73% and 1.97% respectively. The yields of Tier 2 capital bonds of 3 - year and 5 - year AAA - also increased significantly, and the 1 - year AAA certificate of deposit rate rose by 5.8bps to 1.675% [1][9] - The sharp decline in the bond market this week is due to multiple factors: the expectation of anti - involution policies pushed up commodity prices and the stock market; the central bank withdrew funds in the first four days of this week, and seasonal factors tightened the funds; the bond market adjustment may have led to the net value retracement of some asset management products, resulting in a negative feedback effect of redemptions [1][9] Short - term Nature of Impact Factors - Commodity prices tumbled on the night of Friday after a continuous rise last week. With strengthened regulatory control, the subsequent commodity price rally is expected to cool down, reducing the pressure on the bond market. The current price increase is more based on expectations, and its sustainability is to be observed [2][12] - The central bank's operation on Friday strengthened the protection of liquidity, and funds will not tighten in a trending manner. The central bank's net injection of 8018 billion yuan on Friday and the statement of the deputy governor indicate that the central bank will maintain liquidity stability, which helps to form an adjustment ceiling for the bond market, limiting the continuous adjustment space of the bond market [3][13] Unchanged Bond Market Trend - The bond market is still in an asset shortage pattern, and broad - spectrum interest rates are declining. The supply of assets will decrease in the next five months, while the allocation power is steadily increasing. The reduction of insurance reservation interest rates will further increase the allocation demand for long - term bonds [4][14] - The demand side is not strong, and the export demand may slow down in the second half of the year. The real estate market is weak, and investment and consumption growth rates have slowed down. The impact of anti - involution policies on supply also needs attention. Fundamental changes are the key to determining the interest rate trend [5][19] Bond Market Outlook - After the short - term shock, the bond market will enter a repair phase. The interest rate is expected to return to the previous level in the first stage, and whether it can break through the previous low later depends on the fundamentals and the pressure of asset shortage. The bond interest rate is expected to hit a new low in the second half of the year [5][19]