国债期货2025年10月报：债市情绪仍显低迷，关注预期变化-20250929

Report Summary 1. Investment Rating The report does not mention the industry investment rating. 2. Core Viewpoints - The domestic economic "weak reality" continues, and the economic indicators in Q4 face the unfavorable impact of the higher base after September 24 last year. The central bank's attitude of caring for liquidity remains unchanged, which supports the bond market. However, the "anti-involution" policy and the high prosperity of some technology industries, along with the easing of geopolitical disturbances and the Fed's interest rate cut, make the "strong expectation" the dominant force in the macro narrative. The potential adjustment of public bond fund redemption fees and tax policies exacerbates bond market volatility. In the short term, bond market sentiment is still sluggish, but treasury bonds have an irreplaceable role in hedging potential expectation differences [3][57]. - In terms of operations, in the short term, investors are advised to be cautious about the TL contract and hold a small amount of long positions in bond futures. The TF contract may be the best option. For arbitrage, if the market expectation is revised or extreme sentiment causes an over - adjustment in the bond market, the TL contract can be considered for flattening the curve and reverse arbitrage operations, but the timing needs to be observed [4][59]. 3. Summary by Directory 3.1 Market Trend Review - In September, the bond market performance was somewhat differentiated. The short - and medium - term bonds were generally in a volatile range, while the long - term bonds adjusted significantly under the influence of "strong expectations" and bond fund redemption pressure, and the yield curve became steeper. As of September 29, the monthly returns of the TS, TF, T, and TL main contracts were - 0.09%, - 0.03%, - 0.15%, and - 2.44% respectively. The overall weak bond market sentiment made the market valuation slightly low, and the IRR of the main contracts of bond futures at all maturities was around 1.3 - 1.4% [6]. 3.2 "Weak Reality" Continues, "Strong Expectation" Dominates the Narrative - The domestic economic data in August released in September continued to weaken marginally, with both supply and demand falling short of expectations. Investment, consumption, and foreign trade all showed different degrees of decline. The market believes that the "stall" of the investment end is a phased weakening driven by "anti - involution" and a policy choice. With the Fed's interest rate cut in September, the potential spill - over effect of overseas monetary policy and the high prosperity of domestic high - tech industries make the "strong expectation" the dominant force in the macro narrative, which is reflected in the bond yield curve [11][18][22]. 3.3 Price Repair is Differentiated, Downward Transmission Needs Observation - In August, the CPI was - 0.4% year - on - year and 0.0% month - on - month, both lower than expected. The decline in the year - on - year CPI was mainly due to weak food prices, while the month - on - month decline was more affected by seasonal factors. The core CPI reached a new high this year, but its repair momentum still needs to be improved. The PPI showed signs of bottom - up repair, but the performance of upstream production materials and downstream living materials was still differentiated. The profit of industrial enterprises increased significantly in August, but it was mainly due to the low base last year, and the improvement in demand was not obvious. In the future, the PPI may continue to rise year - on - year, but the price transmission and the base effect need to be observed [23][24][30]. 3.4 Social Financing Growth Peaked and Declined, M1 Growth Slowed - In August, new RMB loans were lower than expected, and the social financing growth showed signs of peaking. Although the real estate sales data in September showed marginal improvement, considering the high base last year and the front - loaded fiscal efforts this year, it is likely that the social financing growth has peaked this year. The slowdown in social financing affected deposit creation and money supply. The M1 growth continued to rise but is expected to have limited upward space [32][36][43]. 3.5 The Central Bank Cares for Liquidity, but Further Easing is Difficult in the Short Term - In September, the market capital tightened slightly. The central bank took measures to maintain market liquidity, but the current capital price is within the central bank's acceptable range, and further significant decline requires a significant increase in market interest rate cut expectations. The central bank's attitude towards the economic situation is more optimistic, and it emphasizes the implementation of existing policies and the prevention of capital idling [46][47][48]. 3.6 Bond Fund Fees May be Adjusted, Preventive Redemption Increases Market Volatility - In September, the CSRC revised the regulations on public bond fund sales fees, which may affect the stability of bond fund liabilities. As the quarter - end approached, preventive redemptions increased, exacerbating market volatility. If the final regulations are similar to the draft, the bond market may experience a phased over - adjustment; otherwise, the market sentiment may stabilize [55][56]. 3.7 Future Outlook - The "weak reality" of the domestic economy continues, and the bond market is supported by the central bank's liquidity care. However, the "strong expectation" dominates the macro narrative, and the potential adjustment of bond fund fees and tax policies increases market volatility. Treasury bonds can hedge potential expectation differences. In the short term, investors are advised to be cautious about the TL contract and hold a small amount of long positions in bond futures. For arbitrage, the timing needs to be observed [57][59].