| | 11/25 待定 美国9月PPI | | --- | --- | | 重点关注 | 11/26 21:30 美国第三季度GDP修正值、10月份个人收入、支出及PCE价格指数 | 数据来源第三方，观点仅供参考。市场有风险，投资需谨慎！ 备注：T为10年期国债期货，TF为5年期国债期货，TS为2年期国债期货 研究员： 廖宏斌 期货从业资格号F30825507 期货投资咨询从业证书号Z0020723 免责声明 国债期货日报 2025/11/24 | 项目类别 | 数据指标 最新 环比 项目 最新 | | | | 环比 | | --- | --- | --- | --- | --- | --- | | 期货盘面 | T主力收盘价 | 108.505 | 0.06% T主力成交量 | 79246 | -23755↓ | | | TF主力收盘价 | 105.890 | 0.03% TF主力成交量 | 46495 | -17953↓ | | | TS主力收盘价 | 102.460 | 0.01% TS主力成交量 | 23207 | -6065↓ | | | TL主力收盘价 | 115.760 | 0.15% TL主 ...

【笔记20251124— 债农日渐神经衰弱（-股市微涨+央行增量续作MLF+资金面均衡偏松=涨跌互现)】 资金面均衡偏松，长债收益率涨跌不一。 央行公开市场开展3387亿元7天期逆回购操作与2000亿元国库现金定存招投标，今日有2830亿元逆回购到期，合计净投放2557元。此外，央行将于明日以 固定数量、利率招标、多重价位中标方式开展10000亿元MLF操作，期限为1年期。本月MLF到期9000亿元。 不要去纠结于日内行情的波动，或者一两天行情的波动， 时间空间越小，市场的随机性越强，混沌状态越大，参考意义越小 。 ——笔记哥《交易》 今天看到一个魔幻现实：马斯克曾领导的政府效率部提前8个月解散。这证明：你能用第一性原理把火箭送上天，但无法用同样的方法运行政府。在政治 的舞台上，最高效的部门，往往也是最早领盒饭的那个。 资金面均衡偏松，资金利率平稳，DR001在1.32%附近，DR007在1.47%附近。 | | | | 银行间资金 | (2025. 11. 24) | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 回购代码 ...

Report Industry Investment Rating No information is provided regarding the report's industry investment rating in the given content. Core View of the Report In the third week of November, the scope of construction shutdown in the north accelerated its expansion, showing the characteristics of weak supply and demand for investment products. Both new and second - hand housing transactions followed seasonal trends, with the former showing a slight stabilization. In terms of inflation, food prices changed from rising to falling, and the drag from pork and vegetable prices increased. In the export sector, container shipping prices continued to diverge, with SCFI weakening and CCFI remaining strong. Port transportation volume weakened compared to the previous week, indicating the impact of the off - season. In the investment field, the decline in cement prices continued to widen. The apparent demand for rebar improved and inventory clearance accelerated, mainly due to supply contraction. In the real estate sector, new housing sales recovered seasonally, while second - hand housing sales continued to weaken, and both showed year - on - year negative growth. For the bond market, the impact of fundamental factors on the bond market further weakened under the influence of the off - season. Policy expectations for the current year were not strong, and the market focused on the possibility of "front - loaded efforts" in the next year. [3][33] Summary by Directory Weekly High - Frequency Tracking: Export Cargo Volume Maintains Resilience Inflation - Related: Food Prices Decline Food prices decreased slightly. From November 15th to 22nd, the average wholesale price of pork in China decreased by 0.74% week - on - week, and vegetable prices decreased by 1.32% week - on - week, both weaker than the previous week. The 200 - index of agricultural product wholesale prices and the wholesale price index of basket products decreased by 0.09% and 0.08% week - on - week respectively, changing from rising to falling. [8] Import and Export - Related: Container Shipping Prices Diverge, SCFI Continues to Weaken The decline of SCFI widened, while CCFI continued to rise. This week, the CCFI index increased by 2.6% week - on - week, and SCFI decreased by 4.0% week - on - week. The container transportation market was basically stable, and the freight rates in the ocean - going routes showed an adjustment trend. In the North American routes, the growth of transportation demand was weak, and freight rates continued to decline. From November 10th to 16th, the container throughput and cargo throughput of ports decreased by 5.4% and 1.1% week - on - week respectively. This week, they increased by 3.1% and 0.4% year - on - year respectively, continuing to weaken compared to the previous week under the influence of the off - season. The increases of BDI and CDFI indexes further expanded. [11] Industry - Related: Most Production Operating Rates Continue to Decline - Coal price increase significantly narrowed. This week, the price of thermal coal (Q5500) at Qinhuangdao Port increased by 0.26% week - on - week, with a significant narrowing of the increase. - Rebar price increase widened. The spot price of rebar (HRB400 20mm) increased by 1.2% week - on - week. - Asphalt operating rate accelerated its decline. This week, the operating rate of asphalt plants decreased by 4.2 percentage points to 24.8% week - on - week, a 7.0% year - on - year decrease. - Copper price changed from rising to falling. This week, the average prices of Yangtze River Non - Ferrous Copper and LME Copper both decreased by about 0.9% week - on - week. - The decline of glass futures prices widened. This week, the market trading sentiment was cold, and most manufacturers continued to sell at reduced prices. [13][15][20] Investment - Related: New Housing Sales Slightly Stabilize, Second - Hand Housing Sales Weaken - Cement price decline slightly widened. This week, the weekly average of the national cement price index decreased by 0.62% week - on - week. - New housing sales seasonally stabilized. From November 14th to 20th, the transaction area of new houses in 30 cities was 1.936 million square meters, a 22.5% week - on - week increase and a 23% year - on - year decrease. - Second - hand housing sales slightly declined. From last Friday to this Thursday, second - hand housing sales decreased by 3.8% week - on - week and 7.6% year - on - year. [25][27] Consumption: Passenger Car Retail Sales in Mid - and Early November Continue to Decline - Passenger car retail sales in mid - and early November showed a year - on - year negative growth. From November 1st to 16th, the national retail sales of the passenger car market were 886,000 vehicles, a 14% decrease compared to the same period last November and a 6% decrease compared to the same period last month. - Crude oil price changed from rising to falling. As of November 21st, Brent crude oil and WTI crude oil prices decreased by 2.8% and 3.4% week - on - week respectively, weaker than the previous week. [28][32]

Group 1: Open Market Operations - The central bank announced a 300 billion yuan 7-day reverse repurchase operation on November 20, with a fixed interest rate of 1.40% and a total bid amount of 300 billion yuan, resulting in a net injection of 110 billion yuan for the day after accounting for 190 billion yuan in reverse repos maturing [1] Group 2: Funding Conditions - The interbank market saw a loosening of funding conditions, with major term repurchase rates declining. The overnight repurchase rate for deposit-taking institutions fell over 5 basis points to around 1.36%, while the overnight quotes on the anonymous X-repo system dropped significantly to 1.35% [3] - There is abundant overnight funding supply, with non-bank institutions borrowing overnight funds at around 1.50%. The end of tax period impacts has led to a recovery in funding conditions, with expectations for further declines in short-term rates [3] Group 3: Interbank Certificates of Deposit - The latest transaction for one-year interbank certificates of deposit among major banks is at 1.64%, showing a slight increase from the previous day [7] Group 4: Government Bond Futures - The closing prices for government bond futures showed a decline in the 30-year main contract by 0.21%, while the 10-year and 5-year main contracts increased by 0.06% each, and the 2-year contract remained unchanged [11] Group 5: LPR and Regulatory Developments - The November LPR remained stable at 3% for the one-year rate and 3.5% for the five-year and above categories. The China Securities Regulatory Commission emphasized the need for stronger institutional frameworks and risk prevention measures during a recent meeting [12] Group 6: Global Macro Developments - Japan plans to introduce a new spending plan amounting to 17.7 trillion yen, necessitating the issuance of more bonds to raise funds. The Japanese Finance Minister highlighted the challenges of balancing inflation, bond yields, and a weak yen [14] Group 7: Bond Market Events - The Export-Import Bank plans to auction up to 2 billion yuan of 3-year floating rate bonds on November 21. The bond market's "technology board" remains active, with a cumulative issuance scale of nearly 1.5 trillion yuan this year [16]

Report Information - Report Title: Treasury Bond Daily Report [1] - Date: November 20, 2025 [2] - Researcher: He Zhuoqiao, Huang Wenxin, Nie Jiayi [3] - Team: Macro Financial Team [4] 1. Report Industry Investment Rating - Not provided in the content 2. Report Core View - The negative factors in the bond market have basically been released, and November has entered a stage of accumulating positive factors. The bond market environment has improved. Considering the central bank's bond - purchasing and the slowdown of economic momentum, there is support at the bottom of treasury bond futures. Investors should seize the opportunity to lay out positions at low prices. In the short term, weak economic data and the passing of the tax - payment peak may boost the market's expectation of monetary easing and reduce disturbances to the bond market [11][12] 3. Summary by Directory 3.1 Market Review and Operation Suggestions - **Market Condition**: Affected by the tightening of inter - bank funds and stock market fluctuations, the sentiment in the bond market was weak, and treasury bond futures closed down across the board. The yields of major inter - bank interest - bearing bonds changed narrowly, with the yield of the 10 - year treasury bond active bond 250016 rising 0.3bp to 1.8080%. The money market was tight in the morning and gradually loosened in the afternoon. The central bank achieved a net injection of 1.15 billion yuan. The weighted overnight interest rate of inter - bank deposits fell 10.64bp to 1.4221%, and the 7 - day rate fell 1.08bp to 1.5131%. The 1 - year AAA certificate of deposit rate fluctuated narrowly around 1.62 - 1.64% [8][9][10] - **Conclusion**: Since June, domestic economic indicators have continued to weaken. Exports turned negative in October, and price indicators remained low. Currently, loose monetary and fiscal policies are being strengthened. The restart of treasury bond trading brings direct buying demand to the bond market. The impact of wide - credit effects on the bond market should be limited. The bond market's negative factors have basically been released, and it is in a stage of accumulating positive factors. Although there are still some uncertain disturbances, overall, the bond market environment has improved, and investors should seize the opportunity to lay out positions at low prices [11][12] 3.2 Industry News - Diplomatic events: The Chinese Ministry of Foreign Affairs was dissatisfied with the results of the Sino - Japanese consultation, and the Chinese side demanded that Japan correct its wrong remarks. The US modified the transparency rules for patent invalidation applications, which was a discriminatory restriction on Chinese enterprises, and the Chinese side would closely monitor the situation [13] - Domestic policies: The Chinese Premier called for free trade and strengthened cooperation within the SCO. Local financial departments are actively deploying the reserve work for special bond projects in 2026, and multiple "two - major" construction projects have started, which is expected to maintain a moderate growth rate of infrastructure investment [13][14] 3.3 Data Overview - **Treasury Bond Futures Market**: Presented the trading data of treasury bond futures on November 19, including contract details such as opening price, closing price, settlement price, price change, trading volume, and open interest [6] - **Money Market**: Included the changes in SHIBOR term structure and trend, and the changes in inter - bank pledged repurchase weighted interest rate and inter - bank deposit pledged repurchase rate [28][32] - **Derivatives Market**: Showed the Shibor3M interest rate swap fixed - rate curve (mean) and the FR007 interest rate swap fixed - rate curve (mean) [34]

Core Viewpoint - Recent fluctuations in interest rate bonds have been observed, while credit bonds have performed well due to some banks redeeming interest rate bond funds. The new redemption fee regulation has not yet been implemented, affecting bank investment funds, which remain cautious [1] Group 1: Market Overview - The estimated total scale of the market's financial products is 34 trillion yuan, with a low proportion of bond holdings and short durations, coupled with strong growth in financial product scales, supporting the performance of credit bonds [1] - There is a continued bullish outlook on 5-year capital bonds, despite previous bearish sentiments towards the bond market based on expectations of a continuing bull market in stocks [1] Group 2: Future Expectations - The general consensus anticipates the Shanghai Composite Index to reach 5000 points by 2026; however, without performance support, this could lead to increased sell-offs, as valuations are at historical highs, making the sustainability of the bull market uncertain [1] - The bond market is expected to remain favorable, awaiting the implementation of the new redemption fee regulation, which could lead to a significant downward adjustment in policy interest rates [1]

国债期货日报 2025/11/19 | 项目类别 | 数据指标 最新 | 最新 | 环比 项目 | | 环比 | | --- | --- | --- | --- | --- | --- | | 期货盘面 | T主力收盘价 66875 | 108.425 | -0.06% T主力成交量 | | 3202↑ | | | TF主力收盘价 54572 | 105.880 | -0.03% TF主力成交量 | | 2656↑ | | | TS主力收盘价 28995 | 102.462 | -0.03% TS主力成交量 | | -5728↓ | | | TL主力收盘价 100953 | 116.090 | -0.41% TL主力成交量 | | 11525↑ | | 期货价差 | TL2512-2603价差 | 0.23 | +0.01↑ T12-TL12价差 | -7.67 | 0.36↑ | | | T2512-2603价差 | 0.26 | +0.01↑ TF12-T12价差 | -2.55 | 0.03↑ | | | TF2512-2603价差 | 0.02 | -0.02↓ TS12-T12价差 | -5.96 ...

Report Information - Report Title: Treasury Bond Daily Report [1] - Date: November 19, 2025 [2] - Researcher: He Zhuoqiao, Huang Wenxin, Nie Jiayi [3] Industry Investment Rating - Not provided in the report Core Viewpoints - The current negative factors in the bond market have basically been released, and November has entered a stage of accumulating positive factors. The bond market environment has improved, with the bottom of Treasury bond futures supported by the central bank's bond purchases. Considering the slowdown in economic momentum, expectations of monetary easing are likely to heat up again. It is advisable to seize opportunities to buy on dips. In the short term, the release of weak economic data is expected to boost market expectations of monetary easing, but this week's tax payment period may cause disturbances, and long - term varieties are expected to outperform short - term ones [12] Summary by Directory 1. Market Review and Operation Suggestions - **Market Performance**: A - share weakness boosted risk - aversion sentiment, but the tax payment period tightened the capital market, resulting in narrow fluctuations across the board in Treasury bond futures. The yields of major inter - bank interest rate bonds also fluctuated narrowly. The yield of the 10 - year Treasury bond active bond 250016 rose 0.15bp to 1.8040% [8][9] - **Funding Market**: Monday was the tax declaration deadline, and the impact of the tax period will continue for 2 - 3 working days. The capital market tightened further. The central bank achieved a net injection of 3.7 billion yuan. The inter - bank capital sentiment index rose significantly, with the overnight weighted average rate of inter - bank deposits rising 1.66bp to 1.5285%, and the 7 - day rate fluctuating around 1.5239%. 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] - **Economic Fundamentals**: Since June, domestic economic indicators have continued to weaken, especially in the investment sector, which has accelerated its decline. Exports, which were the main support for the economy, turned negative in October. With weak domestic demand and low price indicators, the economic fundamentals still face pressure [11] - **Policy**: Currently, loose monetary and fiscal policies are being intensified. The restart of Treasury bond trading has brought direct buying demand to the bond market. The effect of loose fiscal policies on credit expansion may not be significant in the short term, and the impact on the bond market should be limited. The central bank may increase its efforts to support economic growth, and the space for monetary easing is expected to expand [12] 2. Industry News - Diplomatic: China has lodged solemn representations and strong protests against Japanese Prime Minister Kaochi Sanae's wrong remarks on Taiwan. Premier Li Qiang has no arrangements to meet with Japanese leaders during the G20 Summit [13] - Financial: The Fourth China - Germany High - Level Financial Dialogue was jointly chaired by Chinese Vice - Premier He Lifeng and German Vice - Chancellor and Finance Minister Christian Lindner. Both sides welcomed cross - listing of depositary receipts between the two countries and agreed to promote the interconnection of financial infrastructure [13] - Fiscal: From January to October this year, China's national fiscal revenue was 18.65 trillion yuan, a year - on - year increase of 0.8%. In October, the national fiscal revenue was 2.26 trillion yuan, a year - on - year increase of 3.2%. From January to October, national fiscal expenditure was 22.58 trillion yuan, a year - on - year increase of 2% [13] - Foreign Exchange: In October, the bank settlement surplus was 17.7 billion US dollars, narrowing month - on - month. Cross - border capital inflows increased in October, and the average monthly cross - border payment surplus in September and October was 24 billion US dollars [14] - Real Estate: Since the beginning of this year, the real estate market has shown a trend of being dominated by second - hand housing transactions and gradually stabilizing. From January to October, the online signing area of second - hand housing transactions increased by 4.7% year - on - year, accounting for 44.8% of the total transactions [14] 3. Data Overview - **Treasury Bond Futures Market**: The report provides data on the trading of Treasury bond futures contracts on November 18, including opening prices, closing prices, settlement prices, price changes, trading volumes, open interests, and changes in open interests [6] - **Money Market**: The report presents data on the term structure and trends of SHIBOR, as well as changes in the weighted average interest rates of inter - bank pledged repurchase and inter - bank deposit pledged repurchase [28][32] - **Derivatives Market**: The report shows the Shibor3M interest rate swap fixing curve (mean) and the FR007 interest rate swap fixing curve (mean) [34]

Core Viewpoint - The bond market has shown signs of recovery, with various fixed-income products experiencing an increase in net value, particularly those with embedded options, indicating a favorable investment environment for fixed-income strategies [2][3][11]. Summary by Sections Fixed Income Product Performance Review - Over the past month, the bond market has further recovered, with net values of fixed-income products rising. The performance ranking of products is as follows: - Option-embedded bond funds: 0.83% (previously 0.21%) - Medium to long-term bond funds: 0.35% (previously 0.12%) - Short-term bond funds: 0.22% (previously 0.12%) - High-grade interbank certificate index: 0.15% (unchanged) - Cash management products: 0.10% (unchanged) [3][9][10]. Bond Market Review - The bond market sentiment has improved, with mid to long-term bonds outperforming short-term bonds. The yield curve has slightly flattened, influenced by two main factors: 1. Economic headwinds have increased, with consumption and investment slowing down, which is favorable for the bond market. 2. The central bank has resumed bond purchases, signaling a more accommodative monetary policy, leading to a decline in bond market interest rates [11][12][18]. Market Outlook - **Short-term (1 month)**: - Interbank certificate rates are expected to stabilize and decline slightly. The 10-year government bond yield is projected to fluctuate between 1.7% and 1.9%, with a focus on trading opportunities [11][31]. - **Medium-term (3-6 months)**: - Economic recovery expectations are likely to continue, with funds remaining relatively abundant, leading to a potential range-bound market for bonds. The 10-year government bond yield may face upward pressure but within a limited range [11][31]. Investment Strategy Recommendations - For investors needing liquidity management, it is advisable to maintain cash-like products and consider increasing allocations to stable low-volatility wealth management and short-term bond funds [41][42]. - For conservative investors, it is recommended to continue holding pure bond products, with the possibility of profit-taking if economic pressures increase and monetary easing expectations rise [43]. - For more aggressive investors, it is suggested to consider allocating to fixed-income plus products that include convertible bonds and equity assets, as liquidity is expected to remain relatively ample [45]. Regulatory Developments - Recent regulatory changes include the introduction of guidelines to promote the healthy development of pension wealth management and the asset management trust management measures, which aim to enhance the investment capabilities of institutions and improve the overall market structure [38][39].

◎记者 张欣然 在税期走款、同业存单集中到期等多重因素叠加影响下，近期银行间市场流动性阶段性收敛，短端利率 短暂上行。 截至11月17日收盘，DR001加权平均价上行13.9个基点报1.5119%，高于政策利率，DR007加权平均价 上行5.63个基点报1.5236%。 分析人士认为，此轮资金面紧张更多属于"时点性紧张"。在央行加快开展买断式逆回购、加大中期流动 性投放后，资金面回稳迹象已逐步显现；与此同时，利率债仍以震荡为主，但在存单利率下行、利率走 廊收窄等因素推动下，市场内部的结构性机会开始浮现。 资金的阶段性波动或将放大 近日，银行间市场资金面明显偏紧。天风证券研报认为，本周扰动因素依旧密集，包括同业存单到期规 模继续放大、税期走款加速、逆回购到期量偏大，同时叠加两只国债发行及北交所精创电气申购等，使 得资金面短期收敛有所加剧。 不过，机构普遍表示，这类收敛属于典型的"时点性紧张"。中国邮政储蓄银行研究员娄飞鹏对上海证券 报记者表示，月中资金面波动加剧主要受政府债净缴款等短期因素扰动，反映在超储率偏低的背景下， 短期流动性摩擦易于被放大。 为对冲集中到期带来的缺口，央行接连加大操作力度。11月5日续作 ...