研究员：黄雯昕(国债集运) 021-60635739 huangwenxin@ccb.ccbfutures.com 期货从业资格号：F3051589 研究员：聂嘉怡(股指) 行业 国债日报 日期 2025 年 11 月 20 日 研究员：何卓乔(宏观贵金属) 18665641296 hezhuoqiao@ccb.ccbfutures.com 期货从业资格号：F3008762 021-60635735 niejiayi@ccb.ccbfutures.com 期货从业资格号：F03124070 宏观金融团队 请阅读正文后的声明 ＃summary＃ 每日报告 | | | 表1：国债期货11月19日交易数据汇总 | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 合约 | 前结算价 | 开盘价 | 收盘价 | 结算价 | 涨跌 | 涨跌幅 （%） | 成交量 | 持仓量 | 仓差 | | TL2512 | 116.570 | 116.430 | 116.090 | 116.110 | -0.480 | -0.4 ...

行业 国债日报 日期 2025 年 11 月 19 日 研究员：何卓乔(宏观贵金属) 18665641296 hezhuoqiao@ccb.ccbfutures.com 期货从业资格号：F3008762 研究员：黄雯昕(国债集运) 021-60635739 huangwenxin@ccb.ccbfutures.com 期货从业资格号：F3051589 研究员：聂嘉怡(股指) 021-60635735 niejiayi@ccb.ccbfutures.com 期货从业资格号：F03124070 宏观金融团队 请阅读正文后的声明 ＃summary＃ 每日报告 | | | 表1：国债期货11月18日交易数据汇总 | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 合约 | 前结算价 | 开盘价 | 收盘价 | 结算价 | 涨跌 | 涨跌幅 （%） | 成交量 | 持仓量 | 仓差 | | TL2512 | 116.460 | 116.560 | 116.530 | 116.570 | 0.070 | 0.06 ...

Group 1 - The article discusses the recent global market downturn, highlighting a liquidity shock that has led to a collective decline in various asset classes, including global stocks, cryptocurrencies, and gold, with the Asia-Pacific region experiencing the largest drop of over 3% in Japan and South Korea [4][8]. - It emphasizes the importance of maintaining core positions in quality equity investments, particularly in a low-interest-rate environment, and suggests that the main investment themes remain unchanged despite market fluctuations [7][10]. - The article advises investors to lower their expectations and set realistic benchmarks for returns, suggesting that the focus should be on long-term investment in quality companies rather than short-term gains [13][15]. Group 2 - The article highlights the need for investors to avoid crowded trades and to be cautious about entering popular sectors unless they have a deep understanding of industry trends, using examples from the lithium battery sector and the banking sector to illustrate the risks of chasing hot stocks [17][22]. - It advocates for dynamic portfolio balancing and the acquisition of undervalued assets, suggesting that investors should assess their holdings and consider diversifying across different sectors and regions to mitigate risks [24][27]. - The article mentions the performance of the Hong Kong stock market, noting the impact of significant capital raises on valuations and the mixed results from companies like Xiaomi, which reported a 20% year-on-year revenue increase but faces concerns about sustaining growth in its automotive business [34].

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report - The bond market environment has improved. The negative factors in the bond market have basically been released, and November is a stage of accumulating positive factors. Although there are some uncertain disturbances, considering the central bank's bond - buying operations, the bottom of Treasury bond futures is supported. With the slowdown of economic momentum, the expectation of monetary easing is expected to heat up again. It is recommended to pay attention to this week's economic activity data and the central bank's outright reverse - repurchase operations and seize the opportunity to buy on dips [11][12]. 3. Summary by Relevant Catalogs 3.1行情回顾与操作建议 (Market Review and Operation Suggestions) - **Market Conditions**: The third - quarter monetary policy implementation report released last night sent a signal of monetary easing, and the marginal improvement of the money market today boosted the bond market sentiment, leading to an overall rise in Treasury bond futures. The yields of major term interest - bearing bonds in the inter - bank market declined slightly. The yield of the 10 - year Treasury bond active bond 250016 was reported at 1.7990%, down 0.5bp [8][9]. - **Money Market**: The pressure on the money market has marginally eased. The central bank made a net injection of 1300 billion yuan today. The inter - bank money sentiment index declined slightly, indicating a marginal reduction in capital pressure. The weighted overnight rate of inter - bank deposits fell 9bp to 1.42%, and the 7 - day rate fell 2.22bp to 1.49%. The medium - and long - term funds were stable, and the 1 - year AAA certificate of deposit rate fluctuated narrowly around 1.62 - 1.64% [10]. - **Conclusion**: The domestic economic indicators have been weakening since June, especially the investment sector has accelerated its decline, and the export growth turned negative in October. Although the inflation data rebounded over the weekend, the demand - side improvement was not obvious. Currently, the combination of loose monetary policy and loose fiscal policy has been intensified. The restart of Treasury bond trading has brought direct buying demand to the bond market. The impact of loose fiscal policy on the bond market should be limited in the short term. Overall, the bond market environment has improved, and there is support at the bottom of Treasury bond futures [11][12]. 3.2行业要闻 (Industry News) - The US announced a one - year suspension of the implementation of the export control penetration rule. The Chinese Ministry of Commerce responded that this was an important measure for the US to implement the consensus reached in the China - US economic and trade consultations in Kuala Lumpur. - The central bank's third - quarter monetary policy implementation report pointed out that it will implement a moderately loose monetary policy, keep social financing conditions relatively loose, and continue to improve the monetary policy framework. - The Chinese Minister of Commerce had a video meeting with the German Federal Minister for Economic Affairs and Climate Action to exchange views on China - Germany and China - EU economic and trade issues. - Mexico postponed the increase of tariffs on Chinese goods, and the EU considered forcing member states to remove Huawei and ZTE equipment. The Chinese Ministry of Foreign Affairs urged the EU to provide a fair, transparent, and non - discriminatory business environment for Chinese enterprises. The US announced a one - year suspension of the 301 investigation on China's shipbuilding and other industries, and China announced corresponding counter - measures [13][14]. 3.3数据概览 (Data Overview) - **Treasury Bond Futures Market**: Includes information on the trading data of Treasury bond futures contracts (such as opening price, closing price, settlement price, etc.), the spread between main - contract tenors, the spread between main - contract varieties (e.g., 2 - year vs 30 - year, 10 - year, 5 - year; 5 - year vs 30 - year, 10 - year; 10 - year vs 30 - year), and the trend of main - contract prices [6][15][16]. - **Money Market**: Involves the term - structure changes and trends of SHIBOR, as well as the changes in the weighted average interest rate of inter - bank pledged repurchase and the interest rate of inter - bank deposit - pledged repurchase [28][32]. - **Derivatives Market**: Presents the fixed - rate curves of Shibor3M interest - rate swaps and FR007 interest - rate swaps [34].

Core Viewpoint - The global political rightward shift, along with trends of expansive fiscal and monetary policies, indicates increased uncertainty from geopolitical friction and greater unsustainability of global government debt, raising the probability of the economy moving from a soft landing to moderate overheating [1] Market Strategy - Short-term risk appetite for US stocks is expected to weaken due to the ongoing government shutdown, while in the medium term, the combination of right-wing policies and dual expansionary fiscal and monetary measures is likely to lead to geopolitical risks, economic overheating, and weakened fiat currency credit, with expected asset performance ranking as gold > copper > stocks [1] Major Events Impacting Markets - The US government shutdown and the election of Kishi Nobuo as the president of the Liberal Democratic Party in Japan are the two main events driving market sentiment [2] - The US government shutdown, which began on October 1, is expected to last longer than market expectations, leading to increased risk aversion and a rise in gold and Bitcoin prices, with both assets reaching historical highs [2][3] Economic Data - The US ADP employment data showed a negative growth of 32,000 jobs in September, significantly below the expected increase of 51,000, indicating weakness in the labor market [5] - The ISM manufacturing PMI improved to 49.1, while the services PMI fell to 50, reflecting mixed signals in the US economy [5] Political Developments in the US - The US federal government entered a shutdown due to a failure to pass a temporary spending bill, primarily over disagreements on healthcare spending, with potential economic impacts being limited based on historical precedents [6][7] - The shutdown is expected to delay the release of key economic data, including non-farm payrolls and CPI, which are crucial for Federal Reserve monetary policy decisions [7] Political Developments in Japan - Kishi Nobuo's election as the new president of the Liberal Democratic Party is expected to lead to a continuation of expansionary fiscal and monetary policies, which may delay the Bank of Japan's interest rate hike process [8][9] - Kishi's economic policies are characterized by a commitment to "more responsible" fiscal expansion, with a focus on coordinating closely with the Bank of Japan [9]

Industry Investment Rating No information provided in the report. Core Views - During the National Day holiday, there were two major trading themes in global assets: the US government shutdown and the victory of Sanae Takaichi as the president of Japan's Liberal Democratic Party. The global risk appetite is expected to rise driven by liquidity. Japanese stock indices and gold led the gains, while long - term bond yields in major countries such as the US and Japan increased due to concerns about loose fiscal policies and debt sustainability [1][11]. Summary by Directory 1. Holiday News Summary and Thoughts - **US Government Shutdown**: On the evening of September 30, the US Senate failed to pass the annual appropriation bill, leading to a government shutdown. The core reason is the disagreement between the two parties on medical insurance welfare spending. The shutdown may delay important economic data releases and the Fed's interest - rate cut decision. The market's concern about the unsustainability of US government debt has increased [11][12]. - **Sanae Takaichi's Victory**: On October 4, Sanae Takaichi won the Liberal Democratic Party's presidential election. Her victory implies a high probability of becoming Japan's prime minister. Her policy style is expected to continue "Abenomics", with a combination of loose fiscal and monetary policies, which may lead to a strong Japanese stock market, a weak Japanese bond market, and a weak yen. The market's expectation of a Japanese interest - rate hike in October has been postponed [12][13]. - **Gold Price Increase**: During the National Day holiday, the COMEX gold price rose 2.49% in three trading days. The rise is driven by the Fed's interest - rate cut expectation, geopolitical risks, and central banks' gold purchases. The US government shutdown further boosted gold's safe - haven demand [14]. 2. Global Asset Class Performance - **Equity Assets**: During the National Day holiday (October 1 - 6), equity asset prices generally rose, with Japanese stock indices performing outstandingly. In the domestic market, A - shares were on holiday, and Hong Kong stocks rose first and then fell. Overseas, most global stock indices rose after the Fed's September interest - rate cut. Sanae Takaichi's victory pushed up the Japanese stock market [15][19]. - **Commodity Market**: The US government shutdown drove up the safe - haven demand for precious metals. Gold, silver, and copper prices rose significantly, while crude oil prices generally fell [19]. - **Bond Market**: Affected by the US government shutdown and concerns about the sustainability of loose fiscal policies, US 10 - year Treasury bond yields first decreased and then increased, with a net increase of 2.0BP. Japanese bonds showed a steepening trend, with 10 - year Treasury bond yields rising 1.5BP. Italian and German 10 - year Treasury bond yields also increased [20]. 3. Overseas News Summary - **US Government Shutdown and Data Delays**: Key economic data were postponed due to the government shutdown. The new ADP employment was negative, but the decline slowed down. The US 9 - month manufacturing PMI was still in the contraction range, but the contraction speed slowed down, and the non - manufacturing PMI rose significantly [27][30]. - **US 9 - month ISM Manufacturing PMI**: The 9 - month ISM manufacturing PMI was 49.1%, a slight increase from the previous month. Except for output, supplier delivery, and prices, other sub - items were in the contraction range. The output item had the largest month - on - month increase, while new export orders had the largest decline [32]. - **Eurozone Inflation**: In September, the Eurozone CPI increased slightly year - on - year, and the core CPI decreased month - on - month. The PPI decreased both year - on - year and month - on - month [36]. - **Sanae Takaichi's Victory and BOJ Expectations**: Sanae Takaichi won the Liberal Democratic Party's presidential election, and the market's expectation of a BOJ interest - rate hike in October was postponed [39]. 4. Domestic News Summary - **Travel**: During the National Day holiday, the cross - regional population flow and private travel volume increased compared with the same period last year. Domestic and international flight operations also increased, especially international flights [44][45]. - **Movies**: During the National Day holiday, the number of moviegoers and box office revenue were close to those of 2024 but far lower than those of 2019. The number of movie screenings was significantly higher than that of 2019 [51]. - **City Subways**: The subway ridership in most first - tier cities decreased during the National Day holiday [51]. - **Catering**: Catering consumption was booming during the National Day holiday. The order volume of "Must - eat List" restaurants increased significantly, and the sales of key retail and catering enterprises increased year - on - year [58]. - **Real Estate**: Shanghai's second - hand housing transactions decreased compared with 2024, while Beijing's real estate market was active during the National Day holiday. The real - estate market's "stabilization" still needs further confirmation [58][61].

1. Report Information - Report Title: Treasury Bond Daily Report [1] - Date: September 30, 2025 [2] - Researchers: He Zhuoqiao, Huang Wenxin, Nie Jiayi [3] 2. Industry Investment Rating - Not provided in the report 3. Core Viewpoints - The domestic demand repair foundation remains weak, and the policy - driven infrastructure investment has slowed down, dragging down overall investment. The necessity for China's monetary policy to follow the Fed's easing in September is low, and policies may focus on expanding fiscal, credit, and real - estate support, which will bring disturbances to the bond market [11]. - The pressure on the bond market may ease as the fastest - growing phase of the stock market may have passed, but there is still no clear breakthrough. Patience is needed to wait for better allocation value. Currently, with economic data released, the market focus should shift to the capital market and the stock - bond seesaw. Short - term bond varieties have higher certainty as cross - month funds are stable [12] 4. Summary by Directory 4.1 Market Review and Operation Suggestions - **Market Performance**: In the afternoon, the strengthening of the A - share market suppressed the performance of long - term bond varieties, while stable cross - month funds supported short - term varieties [8]. - **Interest Rate Bonds**: Yields of major inter - bank interest rate bonds changed slightly, with most medium - and long - term yields rising by less than 1bp. By 16:30, the yield of the 10 - year treasury bond active bond 250011 was reported at 1.8075%, up 0.75bp [9]. - **Funding Market**: Cross - quarter funds were stable. There were 2405 billion yuan of reverse repurchases due, and the central bank injected 2886 billion yuan, achieving a net injection of 481 billion yuan. The inter - bank capital sentiment index was stable. Short - term capital rates rose slightly, with the overnight weighted rate of inter - bank deposits down 0.22bp to 1.3103%, the 7 - day rate up 3.17bp to 1.5873%, and medium - and long - term funds rising slightly. The 1 - year AAA certificate of deposit rate was 1.67% with little change [10] 4.2 Industry News - The Political Bureau of the CPC Central Committee held a meeting on September 29 to study major issues in formulating the 15th Five - Year Plan for National Economic and Social Development. The Fourth Plenary Session of the 20th Central Committee of the CPC will be held in Beijing from October 20 to 23 [13]. - On the morning of September 29, Premier Li Qiang met with North Korean Foreign Minister Choe Son - hee, expressing China's willingness to strengthen exchanges and cooperation with North Korea [13]. - The National Development and Reform Commission stated that the new policy - based financial instruments total 500 billion yuan, all for supplementing project capital, and efforts are being made to invest the funds in specific projects [13]. - The central bank conducted 288.6 billion yuan of 7 - day reverse repurchase operations on September 29, with an operating rate of 1.40%, resulting in a net injection of 48.1 billion yuan [14]. - From January to August, the total operating income of state - owned enterprises was 53.96201 trillion yuan, a year - on - year increase of 0.2%; the total profit was 2.79372 trillion yuan, a year - on - year decrease of 2.7%; the tax payable was 3.90125 trillion yuan, a year - on - year decrease of 0.3%; and the asset - liability ratio was 65.2%, a year - on - year increase of 0.3 percentage points [14] 4.3 Data Overview - **Treasury Bond Futures Market**: Transaction data for various treasury bond futures contracts on September 29 are provided, including opening price, closing price, settlement price, change, trading volume, open interest, etc. For example, the closing price of TL2512 was 113.720, down 0.540, with a decline of 0.47% [6]. - **Money Market**: Information on inter - bank capital sentiment index, short - term and medium - long - term capital rates, and the 1 - year AAA certificate of deposit rate is presented [10]. - **Derivatives Market**: Diagrams of Shibor3M and FR007 interest rate swap fixed - rate curves (mean) are mentioned [36]

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - The domestic economic data for August showed marginal weakness rather than a sharp decline. It's not necessary for China's monetary policy to follow the Fed's easing in September. Policy may focus more on fiscal and credit expansion and real - estate support, which could bring disturbances to the bond market. However, as the fastest - strengthening phase of the stock market may have passed, the pressure on the bond market from the stock market may ease. Overall, the bond market's suppression may ease but still lacks a breakthrough, and investors need to be patient for better allocation opportunities. Currently, with the release of economic data, the short - end bonds may be more resilient than the long - end bonds under the support of loose funds [11][12] 3. Summary According to Relevant Catalogs 3.1 Market Review and Operation Suggestions - **Market Conditions**: Treasury bond futures recovered in the afternoon, with most contracts closing higher. The yields of major inter - bank spot interest - rate bonds declined across the board, with medium - and long - term yields falling by about 2 - 3bp. By 16:30, the yield of the 10 - year Treasury bond active bond 250011 was reported at 1.7800%, down 2bp [8][9] - **Funding Market**: Amid tax - period disturbances, the central bank resumed net injections in the open market, and the funding situation remained stable. There were 247 billion yuan of reverse repurchases due, and the central bank conducted 287 billion yuan of reverse repurchase operations, achieving a net injection of 40 billion yuan. The inter - bank funding sentiment index remained stable, short - term funding rates mostly rose slightly, while medium - and long - term funds changed little [10] 3.2 Industry News - From September 14th to 15th local time, Chinese and US economic and trade leaders held talks in Madrid, Spain, reaching a basic framework consensus on issues such as resolving TikTok - related problems, reducing investment barriers, and promoting economic and trade cooperation [13] - On September 15th, the National Bureau of Statistics released data showing that in August, the national economy maintained a stable and progressive development trend. From January to August 2025, the national fixed - asset investment (excluding rural households) was 3.26111 trillion yuan, a year - on - year increase of 0.5%. The real - estate development investment was 603.09 billion yuan, a year - on - year decrease of 12.9%. In August, the total retail sales of consumer goods was 396.68 billion yuan, a year - on - year increase of 3.4% [14] - As of the end of August, M2 increased by 8.8% year - on - year, M1 increased by 6% year - on - year, and the M1 - M2 gap narrowed to - 2.8%. In the first eight months, RMB loans increased by 13.46 trillion yuan, and the cumulative increase in social financing scale was 26.56 trillion yuan, 4.66 trillion yuan more than the same period last year [15] 3.3 Data Overview - **Treasury Bond Futures Market**: The report presents trading data for multiple Treasury bond futures contracts on September 16th, including settlement prices, opening prices, closing prices, price changes, trading volumes, open interests, and changes in open interests [6] - **Money Market**: The report includes figures related to the SHIBOR term structure change, SHIBOR trend, inter - bank pledged repurchase weighted interest rate change, and inter - bank deposit - based pledged repurchase interest rate change [31][35] - **Derivatives Market**: The report shows the Shibor3M interest - rate swap fixing curve (mean) and FR007 interest - rate swap fixing curve (mean) [37]

Group 1: Economic Impact and Fiscal Concerns - The recent ruling against the White House's tariff executive order has led to a downward adjustment in inflation expectations and an upward adjustment in Federal Reserve easing expectations, supporting the recession and easing trade narrative[4] - If the Supreme Court maintains the ruling, the potential loss of tariff revenue, estimated at approximately $72 billion from April to July, could impact the deficit rate by at least 0.7 percentage points[4] - Since Q3 2022, the U.S. economy has seen a decline in growth rate, with the annualized GDP growth rate dropping from 3.8% to 1.6% without fiscal support[5] Group 2: Fiscal Policy and Debt Management - The July tax cut legislation is perceived as a continuation of the previous expansionary fiscal policy, but its actual impact on the economy is uncertain due to indirect effects on corporate and consumer behavior[5] - The government’s ability to spend beyond its means is crucial, with the tax cut potentially allowing for $5 trillion in debt issuance, which requires careful timing to avoid future fiscal constraints[6] - Rising interest rates on debt refinancing are increasing the weighted average interest rate of U.S. Treasury bonds, which has risen to 3.352% as of July 2023[7] Group 3: Interest Payments and Budget Constraints - Federal interest payments are projected to exceed $1 trillion for the first time in 2024, significantly squeezing non-interest spending, which has dropped from over 95% of total spending in 2020 to around 85% currently[7] - The interest deficit rate is expected to rise from about 10% of total deficit in 2020 to nearly 50% by 2024, indicating a growing burden on fiscal policy[8] - If U.S. Treasury rates rise by 1%, the non-interest deficit rate could decrease by approximately 0.9 percentage points, leading to a potential GDP growth drag of about 0.6 percentage points[9] Group 4: Future Projections and Recommendations - To maintain fiscal stimulus effects, the U.S. may need to either issue more debt or rely on significant interest rate cuts from the Federal Reserve, which would require at least a 100 basis point reduction[10] - The current fiscal environment suggests limited support for economic growth over the next four quarters, with a potential for "stagflation" conditions[11] - Asset allocation strategies should consider precious metals as a safe haven, while also evaluating the risk of overseas assets amid rising credit concerns[11]

Core Viewpoint - The Hongli Low Volatility ETF (512890) has shown positive performance with a 0.76% increase in price, attracting significant net inflows over recent trading days, indicating strong investor interest and confidence in the fund's strategy [1][2]. Fund Performance - As of August 5, the ETF's price was 1.196 CNY, with a trading volume of 2.54 billion CNY and a turnover rate of 1.16% [1][2]. - The fund has experienced a net inflow of 4.8 billion CNY over the last 5 trading days and 24.53 billion CNY over the last 20 trading days [1][2]. - The total circulation scale of the ETF reached 217.31 billion CNY as of August 4, 2025 [1]. Holdings and Strategy - The Hongli Low Volatility ETF tracks the CSI Low Volatility Index and includes major holdings such as Chengdu Bank, Industrial Bank, and Sichuan Road and Bridge, among others [1][3]. - The top ten holdings account for a significant portion of the fund's net asset value, with a combined market value of approximately 5.15 billion CNY [3]. Market Outlook - The central bank's recent meeting indicates a supportive environment for credit growth, which is expected to stabilize bank performance and asset quality, particularly in the real estate and urban investment sectors [3]. - Analysts suggest focusing on high dividend and regional growth opportunities in bank stocks, particularly large state-owned banks and quality regional banks with dividend growth potential [3]. Investment Options - For investors seeking stable returns and low volatility, the Hongli Low Volatility ETF can be accessed through various fund classes, even without a stock account [4].