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 行业 国债日报 日期 2025 年 9 月 23 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) ＃summary＃ 每日报告 | | 表1：国债期货9月22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 | 114.880 | 114.900 | 115.130 | 115.090 | 0.250 | 0.22 | ...

1. Report Industry Investment Rating - No information provided in the given content 2. Core View of the Report - The bond market has been oscillating at the bottom under the influence of policy signals. Recently, the market has been sensitive to negative news, with weak overall recovery momentum. There is a certain deviation between short - term pricing and fundamentals, and sentiment has become the main driving factor. However, in the context of a weak economic recovery, the possibility of a trend - like decline in the bond market is low, and yields are expected to remain in a high - level oscillation pattern. Strategically, it is recommended to wait and see on a single - side basis, and also pay attention to the term spread trading opportunities brought by the steepening of the yield curve [2] 3. Summary According to Relevant Catalogs 3.1 Futures Disk - T主力收盘价107.975，涨幅0.2%，成交量79097，环比减少61100；TF主力收盘价105.770，涨幅0.13%，成交量50317，环比减少41922；TS主力收盘价102.398，涨幅0.04%，成交量28858，环比减少6939；TL主力收盘价115.130，涨幅0.22%，成交量113691，环比减少65848 [2] 3.2 Futures Spread - TL2512 - 2603价差0.34，环比增加0.02；T2512 - 2603价差0.35，环比增加0.01；TF2512 - 2603价差0.13，环比增加0.00；TS2512 - 2603价差0.07，环比减少0.01；T12 - TL12价差 - 7.16，环比减少0.19；TF12 - T12价差 - 2.21，环比减少0.05；TS12 - T12价差 - 5.58，环比减少0.11；TS12 - TF12价差 - 3.37，环比减少0.06 [2] 3.3 Futures Position - T主力持仓量226111，前20名空头持仓215122，增加1880，前20名多头持仓增加4384，前20名净空仓209576，增加4004；TF主力持仓量133337，增加2976，前20名多头持仓122634，增加1910，前20名空头持仓131714，增加3231，前20名净空仓9080，增加1321；TS主力持仓量69343，增加1123，前20名多头持仓56152，减少881，前20名空头持仓59654，减少2318，前20名净空仓3502，减少1437；TL主力持仓量147058，增加151，前20名多头持仓129337，增加3129，前20名空头持仓140904，增加1006，前20名净空仓11567，减少2123 [2] 3.4 Top Two CTD (Clean Price) - 220017.IB(6y)净价106.2484，增加0.1339；250018.IB(6y)净价99.0955，增加0.0632；230006.IB(4y)净价105.3031，减少0.0782；240020.IB(4y)净价100.8844，增加0.0519；250012.IB(1.7y)净价99.943，增加0.0042；220016.IB(2y)净价101.9621，增加0.0046；230009.IB(17y)净价120.494，增加0.2314；210014.IB(18y)净价126.6235，减少0.5765 [2] 3.5 Treasury Bond Active Bonds - 1y收益率1.3900%，持平；3y收益率1.5100%，增加9.25bp；5y收益率1.6050%，增加2.20bp；7y收益率1.7250%，增加2.50bp；10y收益率1.7950%，增加1.25bp [2] 3.6 Short - term Interest Rates - 银质押隔夜利率1.4319%，减少5.81bp；Shibor隔夜利率1.4270%，减少3.40bp；银质押7天利率1.5167%，减少1.33bp；Shibor7天利率1.4660%，减少2.20bp；银质押14天利率1.6500%，增加2.00bp；Shibor14天利率1.6750%，增加2.80bp；1y LPR利率3.00%，持平；5y LPR利率3.5%，持平 [2] 3.7 Open Market Operations - 发行规模2405亿，到期规模2800亿，利率1.4%，期限7天，净回笼 - 395亿 [2] 3.8 Industry News - On September 22, the State Council Information Office held a press conference. The central bank governor Pan Gongsheng stated that China's monetary policy adheres to a self - centered approach while considering internal and external balance. In the future, multiple monetary policy tools will be comprehensively used to ensure sufficient liquidity. - On September 22, the central bank conducted 300 billion yuan of 14 - day reverse repurchase operations. Starting from September 19, the 14 - day reverse repurchase operations in the open market have been adjusted. - The LPR quotation in September remained stable. The 1 - year LPR was 3.0%, and the 5 - year LPR was 3.5% [2] 3.9 Key Points to Focus On - On September 24 at 00:35, Federal Reserve Chairman Powell will speak on the economic outlook. - On September 26 at 20:30, the annual rate of the US core PCE price index for August will be released [3]

Group 1: Open Market Operations - The central bank announced a 7-day reverse repurchase operation of 354.3 billion yuan at a fixed rate of 1.40% on September 19, with a net injection of 124.3 billion yuan for the day after accounting for 230 billion yuan maturing [1] - The total net injection for the week was 1,192.3 billion yuan, with 1,826.8 billion yuan of reverse repos maturing from September 22 to 26 [1] Group 2: Funding Conditions - The funding conditions improved on Friday, with the overnight repurchase weighted average rate dropping nearly 5 basis points to around 1.46% as the tax period ended [3] - Overnight funding quotes on the anonymous click (X-repo) system also fell to around 1.46%, although supply was slightly insufficient [3] Group 3: Interbank Certificates of Deposit - The latest transaction rate for one-year interbank certificates of deposit among major banks remained stable at 1.68% [7] Group 4: Treasury Futures - Treasury futures closed collectively lower, with the 30-year main contract down 0.76%, the 10-year down 0.21%, the 5-year down 0.13%, and the 2-year down 0.05% [13] Group 5: Regulatory and Economic Updates - The central bank announced adjustments to the 14-day reverse repurchase operations to better meet liquidity management needs starting September 19 [14] - The financial regulatory authority emphasized the need for banks and insurance institutions to increase financial support for key areas and effectively prevent financial risks [14] - Recent data showed that tax revenue from the manufacturing sector grew by over 5% year-on-year in the first eight months, highlighting its significant contribution to overall tax revenue [15]

Report Industry Investment Rating Not provided in the content. Core Views - The bond market remained volatile in September. Regulatory disturbances occurred in the first half, and the better-than-expected China-US negotiations in the second half. The current financial market's interbank idle circulation is not severe, so there's no need for large-scale financial supervision. The central bank maintains a supportive stance, so the pattern of a ceiling on interest rates won't change. The 10-year Treasury bond at 1.8% and the 5-year at 1.6% have allocation value. It's recommended to seize the left-side opportunity, hold old 10-year Treasury bonds and 2 - 3-year medium to high-grade credit bonds in the short term, and gradually switch to 25T6 later [3]. - Under weak fundamentals, strict financial supervision is likely, but the regulatory risk in this round is limited compared to history. The current idle circulation problem in the financial market is not prominent, and the central bank's "anti-idle circulation" in the Q2 2025 monetary policy report mainly refers to the "enterprise - finance" level. The possibility of a systematic adjustment in the bond market is limited [3]. - The China-US phone call has a complex impact on the stock market. In the short term, it's more beneficial. For the bond market, the implementation of the negotiation results may delay the use of aggregate monetary policy tools in Q4. Considering the 10-year Treasury bond interest rate ceiling of about 1.9% in Q1 and the 10bp interest rate cut in May, the current 1.8% 10-year Treasury bond has significant allocation value [3]. - From September 15th to 19th, funds were slightly tight, and yields generally rose. The progress of China-US negotiations, poor Treasury bond issuance results, and Shanghai's property tax adjustment were negative factors, while the weak economic data in October was positive. The 10-year Treasury bond yield rose 1.19BP to 1.88%, and the 10-year CDB bond yield fell 0.93BP to 2.02% [3]. - As of September 14th, the wealth management scale increased slightly, and the duration decreased. The public fund duration decreased to 2.30, and the divergence degree decreased, with a slight increase in market consensus [3]. Summary by Directory 1. Whether to Worry about Strict Regulatory Risks - In a weak economic environment, financial institutions may engage in regulatory arbitrage due to profit - seeking motives under loose monetary conditions. However, the current financial market's idle circulation is not serious, and the central bank maintains a supportive attitude, so the bond market may adjust, but the pattern of a ceiling on interest rates remains [7][15]. 1.1 2013: On - balance - sheet Interbank Expansion and the Money Crunch - In the first half of 2013, the macro - background was weak fundamentals, loose monetary policy, and strong expectations of stimulus policies. Banks had a strong motivation for business expansion, leading to significant growth in interbank liabilities and a surge in wealth management business. The tightening of monetary policy and financial supervision had a significant impact on the bond market [16][21][25]. 1.2 2016: Liability - side Driven Capital Out of the Balance Sheet - In 2016, the economic downturn led to weak real - sector financing demand. Banks faced pressure on the liability side and used active liability management and asset - side allocation to form inter - bank chains. The financial de - leveraging starting from October 2016 and the subsequent tightening of fundamentals, inter - bank supervision, and monetary policy had a large impact on the bond market [28][35][38]. 2. How to View This Round of the Head - of - State Phone Call - Analyzing Trump's social media posts after the two phone calls, this round of the phone call achieved more results. It's expected that the scope of trade restrictions may be narrowed, and the fentanyl tariff may be reduced. For the stock market, it's more beneficial in the short term, but it may reduce the possibility of large - scale domestic incremental policies. For the bond market, it may delay the use of aggregate monetary policy tools in Q4, and the 1.8% 10 - year Treasury bond has allocation value [39][41][44]. 3. The Decline of the Bond Market Slows Down - From September 15th to 19th, the central bank's open - market operations were net injections, and funds were slightly tight. Bond yields generally rose, with the 10 - year Treasury bond yield rising 1.19bp to 1.88% and the 10 - year CDB bond yield falling 0.93bp to 2.02%. Different factors affected the bond market on each trading day [46][50][51]. 4. The Wealth Management Scale Increases Slightly - As of September 14th, the wealth management's existing scale reached 31.07 trillion yuan, with a week - on - week increase of 238.2 billion yuan. The new - issued wealth management scale from September 8th to 14th was 207.76 billion yuan. In September, the scale of fixed - income products increased, and the net - breaking rate decreased slightly [52][54][57]. 5. Duration - From September 15th to 19th, the public fund duration decreased by 0.02 to 2.30 compared to September 12th, with a weekly average of 2.39. The duration divergence degree decreased, and market consensus increased slightly [61].

Core Viewpoint - The bond market has experienced a correction, with product net values showing differentiation, particularly favoring rights-inclusive fixed income products over traditional bond funds [2][3][11]. Summary by Sections Fixed Income Product Returns Review - In the past month, the bond market corrected while the stock market rose. The performance of products showed differentiation, with rights-inclusive fixed income products yielding 0.54% (down from 0.84%), high-grade interbank certificates of deposit yielding 0.13% (down from 0.14%), and cash management products yielding 0.10% (unchanged). Short-term bond funds yielded 0.05% (up from 0.03%), while medium to long-term bond funds yielded -0.07% (improved from -0.25%) [3][9][10]. Bond Market Review - The bond market saw a correction with overall sentiment remaining weak. Short-term bonds outperformed long-term bonds, and the yield curve continued to steepen. Key factors influencing the bond market included a gradual increase in market risk appetite, new regulations on public fund fees, and a weak economic backdrop [11][12][19]. Industry Events Tracking - On September 5, the China Securities Regulatory Commission solicited public opinions on the "Publicly Raised Securities Investment Fund Sales Fee Management Regulations (Draft for Comments)," which aims to lower costs for investors and promote long-term investment [35]. Outlook - **Short-term (1 month)**: The interbank certificate of deposit rates are expected to remain stable, with continued pressure for corrections in the market. Long-term bonds are anticipated to underperform compared to short-term bonds [11]. - **Medium-term (3-6 months)**: Economic recovery and inflation trends are under observation, with the potential for a slight rise in interest rates. If the central bank initiates a new round of interest rate cuts, it may alleviate correction pressures in the bond market [11][30]. Fixed Income Product Strategy - Investors are advised to prioritize short to medium-term products, with caution advised for long-term investments. The strategy includes maintaining cash positions and considering stable low-volatility financial products, short-term bond funds, or wealth management products [36][39]. Equity Market Overview - The A-share market has shown upward momentum, with the Shanghai Composite Index rising 4.0%, the CSI 300 Index up 7.8%, and the ChiNext Index increasing by 21% over the past month [28]. Asset Class Trends - The bond market is expected to face increased volatility, with a potential top in interest rate increases. The supply of government bonds is projected to decrease, while demand remains supported, leading to a neutral impact on the bond market [30][31]. Investment Recommendations - For conservative investors, maintaining pure bond products is recommended, with a cautious approach to extending duration. For those with higher risk tolerance, mid to long-term bond funds may be considered as interest rates rise above 1.8% [39][40]. Conclusion - The bond market is currently experiencing a phase of correction, with varying performance across different products. Investors are encouraged to adopt a strategic approach based on their risk tolerance and market conditions [36][39].

【市场表现】 【操作建议】 昨日资金面延续收紧，期债小幅回调。展望后市，债市仍多空交织，一方面市场风险偏好、增量扩内需 政策和季末机构行为仍有不确定性，另一方面央行是否重启国债买卖尚未有定论。观察盘面，没有增量 利空的话1.8%或为10年期国债利率运行的高点，但在尚未出现强利多的情形下，短期利率下行也有限 度，1.75%附近或有阻力，对应T2512合约预计在107.5-108.35区间波动。单边策略上建议投资者以区间 操作为主，短期建议谨慎追涨。 免责声明：本报告中的信息均来源于被广发期货有限公司认为可靠的已公开资料，但广发期货对这些信 息的准确性及完整性不作任何保证。在任何情况下，报告内容仅供参考，报告中的信息或所表达的意见 并不构成所述品种买卖的出价或询价，投资者据此投资，风险自担。本报告的最终所有权归报告的来源 机构所有，客户在接收到本报告后，应遵循报告来源机构对报告的版权规定，不得刊载或转发。 国债期货收盘全线下跌，30年期主力合约跌0.17%报115.620元，10年期主力合约跌0.05%报108.080元， 5年期主力合约跌0.05%报105.820元，2年期主力合约跌0.04%报102.410元 ...

1. 公开市场操作 央行公告称，9月18日以固定利率、数量招标方式开展了4870亿元7天期逆回购操作，操作利率1.40%，投标量4870亿元，中标量4870亿元。Wind数据显 示，当日2920亿元逆回购到期，据此计算，单日净投放1950亿元。 （*数据来源：Wind-央行动态PBOC） 2. 资金面 资金面方面，缴税虽渐近尾声，但银行间市场周四资金面紧势未改，临近尾盘方稍有缓和，存款类机构隔夜回购加权利率升近3bp至1.5%上方。匿名点击 （X-repo）系统上隔夜资金报价早盘在1.6%上方，尾盘回落至1.48%附近；非银机构质押存单和信用债融入隔夜资金报价亦一度续涨至1.7%一线。 海外方面，最新美国隔夜融资担保利率为4.39%。 （IMM） 全国和主要股份制银行一年期同业存单最新成交在1.68%位置，较上日小升。 （*数据来源：Wind-同业存单-发行结果） 4. 银行间主要利率债收益率 普遍上行 | （*数据来源：Wind-成交统计BMW） | | --- | 5. 近期城投债（AAA）各期限利差走势及数据 （*数据来源：Wind-利差分析） 6. 国债期货收盘 集体下跌 // 债市综述 // （*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 国债期货日报 2025/9/18 | 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 | 108.080 | -0.05% T主力成交量 | 93558 | -8053↓ | | | TF主力收盘价 | 105.820 | -0.05% TF主力成交量 | 64176 | -6528↓ | | | TS主力收盘价 | 102.410 | -0.04% TS主力成交量 | 34264 | -4294↓ | | | TL主力收盘价 | 115.620 | -0.17% TL主力成交量 | 129045 | -3090↓ | | 期货价差 | TL2512-2603价差 | 0.31 | -0.03↓ T12-TL12价差 | -7.54 | 0.18↑ ...

Market Performance - Government bond futures closed higher across the board, with the 30-year main contract rising by 0.31%, the 10-year main contract up by 0.13%, the 5-year main contract increasing by 0.10%, and the 2-year main contract gaining 0.04% [1] - The yields on major interbank bonds generally declined, with the 10-year policy bank bond "25国开15" yield down by 2.25 basis points to 1.8975%, the 10-year government bond "25附息国债11" yield down by 1.9 basis points to 1.7610%, the 30-year government bond "25超长特别国债02" yield down by 2.6 basis points to 2.0490%, and the 20-year government bond "25超长特别国债04" yield down by 4 basis points to 2.13% [1] Funding Situation - The central bank announced a fixed-rate reverse repurchase operation of 418.5 billion yuan for 7 days on September 17, with an operation rate of 1.40%, and the total bid amount matching the amount allocated [2] - On the same day, 304 billion yuan of reverse repos matured, resulting in a net injection of 114.5 billion yuan [2] - The Ministry of Finance and the central bank conducted a tender for 2025 central treasury cash management deposits, with a total bid amount of 150 billion yuan and a bid rate of 1.78% [2] - The overnight repo weighted rate for deposit institutions rose to around 1.48%, while the quotes for non-bank institutions' pledged certificates and credit bonds also increased to around 1.6% [2] - As the peak of tax payment approaches its end, the funding situation is expected to ease [2] Operational Suggestions - The sentiment in the bond market has improved, supported by expectations of the central bank restarting bond purchases [3] - The bond market remains mixed, with uncertainties regarding market risk appetite, policies to expand domestic demand, and quarter-end institutional behaviors [3] - Without significant negative factors, the 10-year government bond yield may find resistance around 1.75%, while the T2512 contract is expected to fluctuate between 107.5 and 108.35 [3] - A cautious approach is recommended for investors, focusing on range trading in the short term [3]

Group 1: Market Trends and Product Performance - The market attractiveness of "equity-inclusive" wealth management products has increased due to the recent recovery in the equity market and the decline in yields of pure bond products amid bond market adjustments [1][2] - The adjustment in the bond market is primarily influenced by market sentiment, with institutional investors facing a scarcity of quality assets, which continues to drive demand for interest rate bonds [2][6] - The "fixed income +" wealth management products are being emphasized to smooth out net value fluctuations, with a focus on increasing issuance and adjusting duration and leverage for pure bond products [2][3] Group 2: Investor Behavior and Risk Perception - There has been a notable increase in investor acceptance of equity-inclusive products, driven by enhanced risk awareness and accumulated market experience [3][4] - The shift in investor risk preferences has encouraged wealth management companies to increase their allocation to equity assets, with a cautious approach to limit equity exposure to no more than 5% [3][4] - The implementation of new asset management regulations has contributed to a change in investor expectations regarding absolute returns and rigid repayment, facilitating a more favorable environment for equity product issuance [3][4] Group 3: Focus on Research and Development - Wealth management companies are intensifying their research efforts on listed companies, particularly in the technology and innovation sectors, with a significant number of companies participating in company surveys [5][6] - The focus areas for research include electronic components, medical devices, and electrical equipment, with companies like Deep South Circuit and Aohua Endoscopy receiving considerable attention [5][6] - The dual drivers of policy encouragement and internal research needs are pushing wealth management companies to actively engage with listed companies, enhancing their ability to serve the real economy [6]