Report Overview - Report Title: Treasury Bond Monthly Report - Report Date: October 9, 2025 - Research Team: Macro Financial Research Team - Researchers: He Zhuoqiao, Huang Wenxin, Nie Jiayi [3] 1. Investment Rating - No investment rating for the industry is provided in the report. 2. Core Viewpoint - In October, the bond market may still face more negatives than positives. Although the economic data announced in September showed marginal weakness, it had limited impact on the market. With the stock market remaining strong, the impact of new public - fund regulations, and the resurgence of anti - involution expectations, bond market sentiment remained weak. In October, potential negatives include the 14th Five - Year Plan and fiscal stimulus boosting credit expansion expectations, the intensification of anti - involution, and market waiting for the official implementation of the new public - fund regulations. Potential positives may be the slowdown of economic data boosting easing expectations, lower - than - expected incremental fiscal strength, and the central bank restarting bond purchases, but monetary easing is difficult to materialize. Overall, October may be a window period for risk clearing after the negatives are realized, and the bond market may stabilize. However, the rally phase may need to wait for the resurgence of easing expectations, which may be triggered by factors such as weakening fundamentals or deteriorating trade negotiations. It is recommended to patiently wait for better bond - market allocation opportunities, which may appear in the middle or late fourth quarter [8][67]. 3. Summary by Section 3.1 9 - Month Market Review 3.1.1 Domestic Bond Market - In September, the domestic bond market fluctuated widely under the influence of the stock market, regulatory policies, and the expectation of the central bank restarting bond purchases. Treasury futures ended the month lower. At the beginning of the month, the stock market's decline boosted bond market sentiment, but the new public - fund regulations issued on September 5 caused a significant correction in the bond market in the early part of the month. In the middle and late parts of the month, the expectation of the central bank restarting bond purchases increased, but the bond market still fluctuated due to stock - market and anti - involution disturbances. The 30 - year Treasury futures had the largest adjustment, while the 5 - year Treasury futures had the smallest adjustment [11]. - The interest - rate curve steepened further in September. The long - end yields increased more, mainly due to the stock - market pressure, while the short - end was mainly affected by the new public - fund regulations, with the 2 - year variety being the most affected [14]. - The basis of Treasury futures narrowed in September. The short - end varieties were stable due to the loose funds, while the long - end basis continued to narrow, indicating that futures adjusted less than the spot [15]. 3.1.2 Overseas Market - In September, the Fed cut interest rates by 25bp as expected, and there may still be 50bp of cuts within the year, but there were differences among Fed members regarding the future path. The market also had a large divergence from the Fed's official view. Further interest - rate cuts may not lead to a significant decline in long - term US Treasury yields unless the US economy deteriorates significantly or Trump challenges the Fed's independence [18]. 3.1.3 Funding Situation - In September, the net injection of MLF and outright reverse repurchases was the same as last month, and short - term reverse repurchases were increased to support the funds. The central bank restarted 14 - day reverse repurchases at the end of the month to support cross - quarter funds [23]. - The funding rates increased seasonally at the end of the month but were not tight. The DR007 increased compared to the beginning of the month but was lower than the same period in previous years. The inter - bank certificate of deposit rates remained stable, and the overall funding situation was stable [23]. 3.2 Bond Market Environment Analysis 3.2.1 Fundamental Situation - In August, domestic economic activities further slowed down. In terms of credit expansion, the willingness of the real economy to borrow was still weak. The new social financing in August was 256.68 billion yuan, a year - on - year decrease of 46.55 billion yuan, mainly due to the decline in on - balance - sheet RMB loans. The M1 growth rate increased for five consecutive months, indicating an improvement in the activation of existing funds [34][36]. - In terms of real - economy activities, in August, the national economic activity data further slowed down. The characteristics of "supply better than demand, external demand better than domestic demand" were still obvious. Domestic demand was weak and showed marginal slowdown. Export growth slowed down, import growth declined, inflation remained at a low level, consumption continued to weaken, and investment in manufacturing, infrastructure, and real estate all declined significantly [40][43]. - In September, the leading indicators continued to improve, but there were still concerns. The official manufacturing PMI increased by 0.4 percentage points to 49.8%, but the new - order index representing demand increased the least. The non - manufacturing business activity index decreased by 0.3 percentage points to 50.0%, and the construction and service industries' prosperity declined [49]. - High - frequency indicators showed that in September, there was a supply - demand divergence. Production indicators continued to rise, while domestic - demand indicators were weak, and external demand showed resilience [52]. 3.2.2 Policy Aspect - In the short term, the possibility of additional monetary - policy easing is low. The central bank is likely to focus on implementing existing policies. Attention should be paid to the possibility of fiscal - end stimulus and the central bank restarting bond purchases, especially the possibility of issuing special Treasury bonds in the fourth - quarter NPC Standing Committee meeting [58]. 3.2.3 Funding Aspect - In October, the funding situation is expected to remain stable and loose. The seasonal pressure on the funding side is weaker than in September. The main risk is the possible additional issuance of government bonds, but the central bank is likely to provide hedging [60][63]. 3.3 Next - Month Market Outlook 3.3.1 Market Logic and Outlook - In October, the bond market may still face more negatives than positives. After the negatives are realized, the bond market may stabilize, but the rally may need to wait for the resurgence of easing expectations [67]. 3.3.2 Arbitrage Strategy Outlook - Cash - and - Carry Arbitrage: Currently, there are no obvious positive - arbitrage opportunities, and reverse arbitrage should be participated in with caution. Some non - CTD bonds of 30 - year and 10 - year bonds have reverse - arbitrage space, but there is a risk of non - convergence at maturity [68]. - Basis Strategy: Focus on going long on the basis of short - end contracts. As the short - end varieties may return from a premium state to a normal discount state, and the current basis is at a relatively low level in the same historical period, there may be more room for upward regression [68]. - Calendar - Spread Strategy: It is not recommended to participate due to the poor liquidity of the next - quarter 03 contracts [69]. - Inter - Commodity Spread Strategy: In the short term, focus on steepening the yield curve. In October, the funding situation is expected to be stable, but the possibility of monetary easing is low, and more credit - expansion policies may lead to an increase in long - end yields [69].
国债月报：10月债市利空仍存而利多不足-20251009
Jian Xin Qi Huo·2025-10-09 01:46