周度报告-国债期货 情绪好转，债市有望温和修复 [Table_Rank] 走势评级： 国债：震荡 报告日期： 2025 年 12 月 21 日 [Table_Summary] ★一周复盘：国债期货短强长弱 本周（12.15-12.21）国债期货短强长弱。周一，11 月经济数据普 遍不及市场预期，且股市震荡偏弱，但债市由机构行为主导， 全天震荡下跌，TL 跌幅较大。周二，国内股市大幅下跌，此前 表现较强的贵金属、有色金属也出现调整，TL 盘中虽一度拉 升，但仍然收跌，T 和 TF 表现略偏强。周三，股市大幅上涨， 但由于前期国债期货跌幅较大，且市场期待 LPR 利率会有所下 调，因此国债期货全线上涨。周四，市场对 14 天逆回购利率下 调的预期有所升温，股市小幅上涨，现券曲线走陡。TL 强于超 长端现券。周五，股市小幅上涨，国债曲线走陡。尾盘市场对 央行买债规模上升的预期升温，国债期货快速拉升。截至 12 月 19 日收盘，两年、五年、十年和三十年期国债期货主力合约结 算价分别为 102.480、105.925、108.080 和 112.290 元，分别较上 周末变动+0.018、+0.105、+0.085 ...

Group 1 - The People's Bank of China conducted a 135.3 billion yuan 7-day reverse repurchase operation at an interest rate of 1.40%, maintaining the previous rate, resulting in a net injection of 18 billion yuan due to 117.3 billion yuan of reverse repos maturing on the same day [1] - The Shanghai Interbank Offered Rate (Shibor) showed minor fluctuations, with the overnight Shibor rising by 0.20 basis points to 1.2760%, while the 7-day Shibor decreased by 0.30 basis points to 1.4290%, and the 14-day Shibor fell by 0.10 basis points to 1.5100% [1][2] Group 2 - In the interbank pledged repo market, bank rates increased while non-bank rates decreased. Specifically, the weighted average rates for DR001 and R001 remained stable and decreased by 0.2 basis points to 1.2744% and 1.3448%, respectively, with transaction volumes showing mixed results [4] - The overall funding situation on December 16 was balanced, with overnight rates fluctuating between 1.30% and 1.46% throughout the day, indicating a generally loose funding environment [9] - As of 5:30 PM on December 16, 90 interbank certificates of deposit (CDs) were issued, totaling 180.65 billion yuan, with secondary market trading showing slight fluctuations, particularly in the 1-month and 3-month maturities [10]

上海银行间同业拆放利率（12月15日） 银行间质押式回购市场方面，DR001触及1.27%，R007量价微升。具体看，DR001、R001加权平均利率分别下行0.1BP、0.1BP，报 1.274%、1.3466%，成交额分别增加593亿元、670亿元；DR007、R007加权平均利率分别下行2.5BP、上行0.5BP，报1.444%、1.5123%， 成交额分别增加79亿元、225亿元；DR014、R014加权平均利率分别与前日持平、下行0.5BP，报1.5073%、1.5426%，成交额分别增加7 亿元、58亿元。 新华财经北京12月15日电（刘润榕）人民银行15日开展1309亿元7天期逆回购操作，操作利率为1.40%，与此前持平；鉴于当日有1223亿 元7天期逆回购到期，公开市场实现净投放86亿元。 上海银行间同业拆放利率（Shibor）隔夜、7天品种微跌，其余品种微幅上涨。具体来看，隔夜Shibor下跌0.50BP，报1.2740%；7天 Shibor下跌1.90BP，报1.4320%；14天Shibor上涨0.20BP，报1.5110%。 | | | | 2025-12-15 11:00 | | - ...

Core Viewpoint - The People's Bank of China (PBOC) has been actively managing liquidity through various policy tools to ensure a stable financial environment as the year-end approaches, with expectations that the overall liquidity will remain balanced in December [1][5]. Group 1: Central Bank Operations - In November, the PBOC conducted a net withdrawal of 556.2 billion yuan through 7-day reverse repos, while maintaining a net injection of medium to long-term liquidity through other tools, including a net injection of 500 billion yuan via reverse repos and 100 billion yuan through Medium-term Lending Facility (MLF) [2][6]. - The PBOC's continuous operations in the bond market, with a net injection of 50 billion yuan in November, indicate a supportive monetary policy stance aimed at stabilizing economic growth [2][6]. Group 2: Market Liquidity Conditions - November saw slight fluctuations in liquidity, with the average R001 rising by 4 basis points to 1.43% and R007 remaining stable around 1.50%. The DR001 and DR007 also experienced minor increases [3][7]. - Analysts expect that while liquidity may experience increased volatility as year-end approaches, the PBOC's supportive measures will help maintain a balanced and ample liquidity environment [3][8]. Group 3: Future Outlook - The expectation for December is that liquidity will remain balanced, despite potential year-end fluctuations, as the PBOC is likely to continue its supportive stance [4][8]. - Historical trends suggest that December liquidity fluctuations are primarily driven by year-end disturbances, but the overall increase in liquidity rates is expected to be manageable [3][7].

东方金诚首席宏观分析师王青对上海证券报记者表示，11月7天期逆回购净回笼，主要缘于前期跨月投 放的逆回购到期，央行顺势回笼资金，避免过量短期资金在市场淤积。另外，央行持续通过MLF和买 断式逆回购向市场较大规模注入中期流动性，也在一定程度上体现了"收短放长"策略，有助于调控资金 面处于不缺不溢的充裕状态，防范资金空转，提高资金使用效率。 11月，央行公开市场国债买卖净投放500亿元。这已是央行连续两个月开展国债买卖操作，且当月净投 放规模较10月有所扩大。央行连续两个月通过国债买卖向银行体系注入长期流动性，王青分析称：一方 面显示当前债市整体运行良好，符合央行买卖国债条件；另一方面，央行通过买卖国债持续向市场注入 长期流动性，也显示货币政策保持支持性立场，持续释放稳增长信号，有助于稳定今年四季度和明年一 季度宏观经济运行。 年末资金面整体仍将维持均衡 在央行加码呵护下，11月资金面虽略有波动，但整体保持合理充裕。数据显示：11月R001月均值环比 上行4个基点至1.43%、R007月均值基本持平于1.50%附近；DR001月均值环比上行3个基点至1.37%、 DR007月均值环比上行1个基点至1.47%。 在 ...

中国银河证券研报认为，预计在央行呵护态度下，12月整体资金面仍将维持均衡宽裕，但需警惕跨年之 前的阶段性脉冲。 （上接1版） 西部证券在研报中复盘称：11月初资金价格逐步抬升，DR001升至1.50%上方，资金提前收敛可能与"双 11"备付金有关；月中受税期临近和季节性因素影响，资金面均衡偏紧，资金情绪指数也升至紧张区 间；月末央行持续净投放呵护跨月资金面，资金利率持续回落。 天风证券固收团队在研报中表示，历史上的12月，资金波动主要来自跨年扰动，其余时间段资金利率基 本围绕月度中枢窄幅波动，今年下半年以来，资金面跨月甚至有超季节性平稳的状态，因而12月末资金 利率上行幅度预期整体可控。 中泰证券固收分析师严伶怡在接受上海证券报记者采访时表示，考虑到12月待发政府债额度不多、央行 呵护的态度没有变，预计资金利率不会偏离政策利率太多。但银行负债端不稳定问题可能长期存在，临 近年末，资金波动可能加大。 展望12月，业内分析认为，临近年末资金波动可能加大，但央行整体呵护态度未变，将继续通过多种政 策工具维持资金面均衡平稳。 ...

Core Viewpoint - The People's Bank of China (PBOC) has been actively managing liquidity through various policy tools, ensuring a balanced funding environment as it approaches the end of the year, despite potential fluctuations in the money market [1][2]. Group 1: Central Bank Operations - In November, the PBOC conducted net withdrawals of 556.2 billion yuan through 7-day reverse repos, while maintaining net injections of medium to long-term liquidity through MLF and reverse repos, totaling 500 billion yuan and 100 billion yuan respectively [2]. - The PBOC's continuous operations in the bond market, with a net injection of 50 billion yuan in November, indicate a supportive monetary policy stance aimed at stabilizing macroeconomic conditions for the fourth quarter and the first quarter of the following year [2][3]. Group 2: Market Conditions - The average R001 rate increased by 4 basis points to 1.43% in November, while the R007 rate remained stable around 1.50%. The DR001 and DR007 rates also saw slight increases, reflecting a generally balanced funding environment despite some volatility [3]. - Analysts expect that while funding fluctuations may increase towards the end of December, the PBOC's supportive measures will help maintain a stable and ample liquidity environment [3][4]. Group 3: Future Outlook - The anticipated issuance of government bonds in December is limited, and the PBOC's consistent supportive stance suggests that funding rates are unlikely to deviate significantly from policy rates [4]. - There is a cautionary note regarding potential short-term volatility as the year-end approaches, but overall expectations remain for a balanced and ample funding situation [4].

Core Viewpoint - The article discusses the current state of the financial market, highlighting the stability in the banking sector and the performance of Agricultural Bank, which has seen significant growth in its market value. Group 1: Market Overview - The stock market experienced slight fluctuations, maintaining a position just above 4000 points, with a focus on the balance of funds and a slight decline in bond market rates [3][5]. - The central bank conducted a reverse repurchase operation of 195.5 billion yuan, with a net injection of 130 billion yuan into the market, indicating a balanced funding environment [3]. Group 2: Agricultural Bank Performance - Agricultural Bank's stock surged by 3.5%, reaching a new high and pushing its market capitalization beyond 3 trillion yuan, establishing it as a leader in the storage sector [5]. - The bank's performance is linked to the broader market dynamics, with a notable correlation to the 4000-point threshold in the stock market, suggesting strategic implications for investors [5]. Group 3: Interest Rates and Bond Market - The 10-year government bond yield has remained stable, fluctuating around 1.801%, reflecting a calm sentiment in the bond market [5]. - The interbank funding rates showed slight declines, with R007 at 1.51% and R001 at 1.47%, indicating a gradual easing in liquidity conditions [4][7].

Group 1: Monetary Policy and Market Operations - The central bank conducted a 7-day reverse repurchase operation on October 20, with a fixed rate of 1.40%, totaling 189 billion yuan, matching the bidding amount [1] - On the same day, 253.8 billion yuan in reverse repos matured, resulting in a net withdrawal of 64.8 billion yuan [1] - The LPR for October remained stable at 3% for the 1-year rate and 3.5% for rates over 5 years [1] Group 2: Funding Conditions - The interbank market showed a balanced funding condition, with overnight repurchase rates around 1.31% and a slight decrease in supply [3] - The demand for 1-year interbank certificates of deposit was limited, with rates at approximately 1.68% [3] - Non-bank overnight borrowing rates ranged from 1.45% to 1.48%, indicating a stable liquidity environment ahead of tax periods [3] Group 3: Economic Indicators - The National Bureau of Statistics reported that the GDP for the first three quarters reached 10,150.36 billion yuan, with a year-on-year growth of 5.2% [13] - The GDP growth rates for the first, second, and third quarters were 5.4%, 5.2%, and 4.8%, respectively, with a quarter-on-quarter growth of 1.1% in the third quarter [13] - In September, new residential sales prices in first-tier cities decreased by 0.3%, with notable declines in Guangzhou and Shenzhen [14] Group 4: Bond Market Overview - The 30-year government bond futures closed down by 0.37%, while the 10-year, 5-year, and 2-year contracts also experienced slight declines [12] - The Ministry of Finance announced plans for a bond market support operation on October 21, with various local governments planning to issue bonds in November [19] - Recent negative events in the bond market included downgrades in ratings for several issuers and missed payments on bonds [19]

Monetary Policy Operations - The People's Bank of China conducted a 7-day reverse repurchase operation of 242.2 billion yuan at an interest rate of 1.40%, maintaining the previous rate, resulting in a net withdrawal of 33.9 billion yuan due to 276.1 billion yuan maturing on the same day [1] - The Shanghai Interbank Offered Rate (Shibor) for the 7-day tenor decreased by 11.80 basis points to 1.4050%, while the 14-day tenor increased by 17.50 basis points to 1.7020% [1] Interbank Repo Market - In the interbank repo market, the weighted average rates for DR001 and R001 increased by 7.5 basis points and 15.6 basis points, respectively, while DR007 and R007 rates decreased by 15.0 basis points and 25.8 basis points, respectively [4][5] - The transaction volume for DR001 and R001 decreased by 539.3 billion yuan and 1,191.7 billion yuan, while DR007 saw an increase of 109 billion yuan in transaction volume [4][5] Funding Market Conditions - The overall funding market showed a balanced state, with overnight rates for non-bank institutions around 1.50% and 7-day rates between 1.93% and 1.95% [7] - A total of 13 interbank certificates of deposit were issued on September 30, with an actual issuance amount of 3.78 billion yuan [7] Certificate of Deposit Market - The primary market for certificates of deposit was relatively active, with 1-month, 3-month, and 6-month rates declining by 3.5 basis points, 3 basis points, and 3 basis points, respectively [8] - The 1-year rate remained stable at around 1.68%, with the yield curve showing slight adjustments compared to the previous trading day [8] Government Bonds and Financial Policies - The National Development and Reform Commission, in conjunction with the Ministry of Finance, allocated 69 billion yuan in special long-term bonds to support the consumption upgrade policy, completing the annual target of 300 billion yuan [10] - The National Financial Regulatory Administration released guidelines for the high-quality development of health insurance, focusing on enhancing sustainability and regulatory oversight [10]