Market Overview - Both stock and bond markets experienced gains, with government bond futures showing a rapid increase towards the end of the trading session, indicating a further recovery in technical indicators [1] - The yield spread between 30-year and 10-year government bonds has gradually narrowed from previous highs, suggesting limited upward movement potential despite a slight increase expected [1] Government Bonds - Government bond futures closed higher across the board: 30-year futures rose by 0.22% to 112.660, 10-year futures increased by 0.10% to 108.150, 5-year futures went up by 0.09% to 105.970, and 2-year futures gained 0.04% to 102.490 [1] - The yields on major interbank government bonds fell: the 10-year government bond yield decreased by 0.7 basis points to 1.835%, while the 30-year government bond yield dropped by 2.45 basis points to 2.228% [1] Monetary Policy - The central bank conducted a 7-day reverse repurchase operation of 562 billion yuan at a fixed rate of 1.40%, with the same amount being successfully bid [2] - Additionally, a 14-day reverse repurchase operation of 1000 billion yuan was conducted, indicating a net injection of 357 billion yuan for the day [2] Interbank Rates - Short-term Shibor rates increased across the board, with the overnight rate rising by 0.03 basis points to 1.2733%, and the 7-day rate increasing by 0.51 basis points to 1.4311% [3] - The interbank repo rates showed mixed performance, with some rates remaining stable while others experienced slight increases [4] Credit Bonds - Non-financial credit bonds on the exchange saw significant gains, with the top five performers including bonds from Vanke, showing increases of up to 5.26% [4] - Conversely, the top five declining non-financial credit bonds included several from Vanke and other issuers, with declines reaching as much as 3.7% [4]

Group 1: Domestic News - Hainan Free Trade Port officially launched full island closure, marking the beginning of a new chapter in its construction with 8 open ports and 10 "second-line ports" now operational [2] - The People's Bank of China will issue 400 billion yuan of 6-month central bank bills on December 22, 2025, with a fixed interest rate [2] Group 2: International News - The U.S. November core CPI rose by 2.6% year-on-year, the lowest since 2021, indicating easing inflation pressure [4] - The overall CPI for November increased by 2.7%, below the expected 3.1% [4] Group 3: Market Dynamics - The bond market remains loose, with short-term bonds recovering while long-term bonds show weakness [6][7] - The central bank conducted 883 billion yuan of 7-day reverse repos at an interest rate of 1.40% and 1,000 billion yuan of 14-day reverse repos [6] - The yield on the 10-year government bond rose by 0.60 basis points to 1.8420% [9] Group 4: Commodity Market - WTI crude oil futures rose by 0.38% to $56.15 per barrel, while natural gas prices fell by 3.85% to $3.945 per million BTU [5] Group 5: Credit Market - Vanke announced that "22 Vanke MTN005" will be redeemed on December 28, and a meeting of bondholders is being prepared [12] - China South City announced a debt restructuring timeline, with a plan to release the restructuring scheme in Q1 2026 [12] Group 6: Convertible Bonds - The convertible bond market continued to rise, with major indices showing increases and a total trading volume of 657.13 billion yuan [13] - The top gainers included Jia Mei Convertible Bond, which rose by 20%, while the top loser was Da Zhong Convertible Bond, which fell by over 6% [14]

新华财经北京12月18日电（王菁）债市周四（12月18日）延续暖势，国债期货主力小幅收涨，银行间现 券收益率下行1BP左右，超长债保持修复态势；公开市场单日净投放697亿元，月内资金利率小幅回 落。 机构认为，税期走款基本结束，目前处于月中，扰动因素不多，市场流动性预期较为稳定，后续需关注 跨年时点的资金价格波动情况。随着此前持续调整，超长端已跌出性价比，配置盘可能逐渐增配，交易 盘或也因为仓位下降而补仓，助力市场企稳。 【行情跟踪】 国债期货收盘多数上涨，30年期主力合约涨0.23%报112.25，10年期主力合约持平于108.01，5年期主力 合约涨0.02%报105.85，2年期主力合约涨0.01%报102.442。 银行间主要利率债收益率延续下行，30年期国债"25超长特别国债06"收益率下行1BP报2.223%，10年期 国开债"25国开15"收益率下行0.6BP报1.8965%，10年期国债"25附息国债16"收益率持平报1.8360%。 【海外债市】 北美市场方面，当地时间12月17日，美债收益率涨跌不一，2年期美债收益率涨0.43BP报3.483%，3年 期美债收益率持平报3.528%，5年期 ...

Open Market Operations - The central bank announced a 468 billion yuan reverse repurchase operation on December 17, with a fixed rate of 1.40% and a bid amount of 468 billion yuan, resulting in a net withdrawal of 1430 billion yuan for the day due to 1898 billion yuan of reverse repos maturing [1][2]. Funding Conditions - The interbank market maintained a loose funding condition as the tax period ended, with overnight repo weighted average rates (DR001) at 1.26%, anonymous click (X-repo) overnight quotes at 1.25%, and non-bank institutions borrowing against credit bonds at 1.43%-1.45% [3][4]. - The latest overnight financing rate in the U.S. was reported at 3.75% [3]. Interbank Certificates of Deposit - The latest transaction rate for one-year interbank certificates of deposit among major banks was around 1.67%, showing little change from the previous day [7]. Government Bond Futures - The closing prices for government bond futures showed an increase, with the 30-year main contract rising by 0.63%, the 10-year by 0.1%, the 5-year by 0.06%, and the 2-year by 0.01% [11]. Fiscal Data - From January to November, the national general public budget revenue reached 200516 billion yuan, a year-on-year increase of 0.8%, with tax revenue at 164814 billion yuan, up 1.8%. Notably, stamp duty revenue was 4044 billion yuan, increasing by 27%, with securities transaction stamp duty at 1855 billion yuan, up 70.7% [12]. - In the same period, Sichuan province's industrial added value grew by 6.8%, and retail sales totaled 26395.7 billion yuan, up 5.5% [12]. - Shaanxi province's industrial added value increased by 7.5%, with mining up 9.5%, manufacturing up 5.4%, and utilities up 4.6% [12]. Global Macro Indicators - In the UK, November CPI decreased by 0.2% month-on-month, the largest drop since July 2024, with a year-on-year increase of 3.2% [14]. - Japan's November exports rose by 6.1% year-on-year, exceeding expectations, while imports increased by 1.3% [14]. Bond Market Events - The Ministry of Finance issued two short-term treasury bonds totaling 1000 billion yuan [16]. - China Bank fully redeemed 20 billion yuan of perpetual bonds [16]. - Yuexiu Property plans to issue up to 1.77 billion yuan in dim sum bonds [16]. - Poly Development received approval to publicly issue up to 15 billion yuan in corporate bonds [17].

Monetary Policy Operations - The People's Bank of China conducted a 468 billion yuan 7-day reverse repurchase operation at an interest rate of 1.40%, unchanged from previous rates, resulting in a net withdrawal of 1,430 billion yuan due to 1,898 billion yuan of reverse repos maturing on the same day [1] Interbank Rates - The Shanghai Interbank Offered Rate (Shibor) for short-term instruments showed a slight decline, with overnight Shibor down by 0.10 basis points to 1.2750%, 7-day Shibor down by 0.10 basis points to 1.4280%, and 14-day Shibor down by 3.90 basis points to 1.4710% [2][3] Repo Market - In the interbank pledged repo market, overnight funding rates remained around 1.27%, with the weighted average rate for DR001 down by 0.13 basis points to 1.2731%, DR007 down by 0.65 basis points to 1.4423%, and DR014 down by 2.88 basis points to 1.4794% [4][6] Funding Conditions - The overall funding environment on December 17 was balanced and slightly loose, with overnight rates for pledged loans ranging from 1.30% to 1.40% and 7-day rates around 1.50% [9] - A total of 99 interbank certificates of deposit were issued, with an actual issuance amount of 185.56 billion yuan [9] Financial Market Developments - The financial preparations for the Hainan Free Trade Port, which will officially start its full island closure on December 18, have been completed, with the People's Bank of China supporting the construction of the port [12] - The National Financial Regulatory Administration approved Xiamen International Bank's capital increase of 2.17 billion Hong Kong dollars in Xiamen International Investment Co., Ltd. [12]

Core Viewpoint - The bond market showed slight strengthening on December 17, with long-term bonds performing better, as government bond futures rose across the board and interbank bond yields fell by approximately 2 basis points [1][2]. Market Performance - Government bond futures closed higher, with the 30-year main contract up by 0.63% to 112.14, the 10-year main contract up by 0.10% to 108.005, and the 5-year main contract up by 0.06% to 105.84 [2]. - The yield on the 30-year government bond "25超长特别国债06" decreased by 2.5 basis points to 2.254%, while the 10-year government bond "25附息国债16" yield fell by 0.95 basis points to 1.843% [2]. International Bond Market - In North America, U.S. Treasury yields fell across the board, with the 10-year yield down by 3.12 basis points to 4.143% [3]. - In Asia, Japanese bond yields rose, with the 10-year yield increasing by 2.1 basis points to 1.974% [4]. Primary Market - The Ministry of Finance reported weighted average winning yields for 28-day and 91-day government bonds at 1.1220% and 1.2957%, respectively, with bid-to-cover ratios of 2.09 and 2.69 [5]. Liquidity Conditions - The central bank conducted a 7-day reverse repo operation of 468 billion yuan at a rate of 1.40%, resulting in a net withdrawal of 1430 billion yuan for the day [6]. - Short-term Shibor rates mostly declined, with the overnight rate down by 0.1 basis points to 1.275% [6]. Institutional Views - Huaxi Fixed Income noted that the bond market's short-term fundamentals are not the main pricing driver, with concerns over redemption fee regulations and long-term bond supply overshadowing expectations for loose monetary policy [7]. - Zheshang Bank indicated that the overall liquidity is stable, and there are no significant adverse policies or events affecting the bond market, suggesting that further declines are unlikely [8]. - CITIC Securities mentioned that seasonal factors may lead to a slight contraction in the scale of wealth management products, but this is expected to recover quickly in early January [8].

进入12月，银行间资金利率在低位区间继续回落。上周，具有市场风向标意义的DR001阶段性跌破 1.3%，收于1.27%的年内新低，打破了今年以来隔夜利率"低位低波但不破下限"的运行状态。随着12月 税期临近，市场对资金面是否转紧的关注明显升温。不过，从央行操作节奏及机构判断来看，在中长期 流动性提前投放、财政支出形成补充以及机构资金需求偏弱等因素支撑下，税期扰动预计难以改变年末 资金面整体平稳充裕的格局。（上证报） ...

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - This week (12.8 - 12.12), the funds' interest rates were divided, the daily average of large - bank lending decreased, and funds slightly increased leverage. The maturity of certificates of deposit (CDs) increased, and the yield curve of CD maturities flattened. In the cash bond trading, the main buyers were large banks, insurance companies increased the allocation of ultra - long - term bonds, funds increased positions in 3 - 5Y and 7 - 10Y interest - rate bonds and credit bonds within 5Y, and rural commercial banks mainly sold bonds [4]. 3. Summary by Directory 3.1 Monetary Fundamentals - There were 1.5118 trillion yuan of reverse repurchase maturities this week (12.8 - 12.12). The central bank cumulatively injected 668.5 billion yuan of reverse repurchases, with a net liquidity injection of 4.7 billion yuan for the whole week. Next week, there will be 60 billion yuan of outright reverse repurchases injected and 40 billion yuan of outright reverse repurchases maturing [4][7]. - As of December 12, R001, R007, DR001, and DR007 were 1.35%, 1.51%, 1.27%, and 1.47% respectively, changing by - 2.46BP, 1.12BP, - 2.56BP, and 3.11BP compared to December 5, and were at the 15%, 9%, 10%, and 4% historical quantiles respectively [4][9]. - From December 8 to December 12, the total large - bank lending scale was 21.99 trillion yuan, with a daily maximum lending scale of 4.6 trillion yuan and a daily average lending scale of 4.4 trillion yuan, a decrease of 60 billion yuan compared to the previous week's daily average [4][14]. - The trading volume of pledged repurchase increased. The daily average trading volume was 8.08 trillion yuan, with a daily maximum of 8.25 trillion yuan, a 1.91% increase compared to the previous week's daily average. The proportion of overnight repurchase transactions decreased, with a daily average proportion of 89.4% and a daily maximum of 90.2%, a decrease of 0.09 percentage points compared to the previous week's daily average, and was at the 92.4% quantile as of December 12 [4][16]. 3.2 Certificates of Deposit and Bills - This week (12.8 - 12.12), the issuance scale of CDs increased, and the net financing decreased. The total issuance was 940.93 billion yuan, an increase of 445.82 billion yuan compared to the previous week; the total maturity was 1.0624 trillion yuan, an increase of 613.59 billion yuan compared to the previous week. The net financing was - 121.5 billion yuan, a decrease of 167.77 billion yuan compared to the previous week [4][19]. - By bank type, city commercial banks had the highest CD issuance scale. This week, the CD issuance scales of state - owned banks, joint - stock banks, city commercial banks, and rural commercial banks were 244.69 billion yuan, 272.25 billion yuan, 361.74 billion yuan, and 56.43 billion yuan respectively, changing by 79.09 billion yuan, 173.02 billion yuan, 165.58 billion yuan, and 27.27 billion yuan compared to the previous week [19]. - By term type, the 6M CD issuance scale was the highest. The issuance scales of 1M, 3M, 6M, 9M, and 1Y CDs were 84.21 billion yuan, 257 billion yuan, 401.28 billion yuan, 59.56 billion yuan, and 138.88 billion yuan respectively, changing by 17.61 billion yuan, 196.65 billion yuan, 183.92 billion yuan, 17.62 billion yuan, and 30.02 billion yuan compared to the previous week. The 6M CDs accounted for the highest proportion (42.65%) of the total CD issuance of banks by type, mainly issued by city commercial banks; the 3M term accounted for 27.31%, also mainly issued by city commercial banks [20]. - This week, the CD maturity increased. The total maturity was 1.0624 trillion yuan, an increase of 613.59 billion yuan compared to the previous week. Next week (12/15 - 12/19), the CD maturity will be 1.06285 trillion yuan [23]. - This week, the CD issuance interest rates of each bank and each term showed differentiation. By bank type, as of December 12, the one - year CD issuance interest rates of joint - stock banks, state - owned banks, city commercial banks, and rural commercial banks changed by - 0.33BP, 1.67BP, - 1.69BP, and 0.08BP respectively compared to December 5, and were at the 4%, 6%, 6%, and 5% historical quantiles; by term, as of December 12, the 1M, 3M, and 6M CD issuance interest rates changed by 2.38BP, 3.64BP, and - 0.2BP respectively compared to December 5, and were at the 9%, 8%, and 4% historical quantiles [25]. - This week, most Shibor interest rates increased. As of December 12, the overnight, 1 - week, 2 - week, 1M, and 3M Shibor interest rates changed by - 2.2BP, 3.5BP, 0.1BP, 0.5BP, and 0.5BP respectively compared to December 5, reaching 1.28%, 1.45%, 1.51%, 1.53%, and 1.59% [27]. - This week, the CD maturity yields flattened. As of December 12, the 1M, 3M, 6M, 9M, and 1Y maturity yields of AAA - rated ChinaBond commercial bank CDs were 1.62%, 1.62%, 1.64%, 1.65%, and 1.66% respectively, changing by 3.57BP, 0BP, 0.5BP, - 0.25BP, and 0.5BP compared to December 5 [4][31]. - This week, the bill interest rates increased. As of December 12, the 3M state - owned bank direct discount rate, 3M state - owned bank transfer discount rate, 6M state - owned bank direct discount rate, and 6M state - owned bank transfer discount rate were 0.66%, 0.5%, 0.91%, and 0.95% respectively, changing by - 6BP, 5BP, 10BP, and 8BP compared to December 5 [4][33]. 3.3 Institutional Behavior Tracking - The leverage ratio of broad - based funds slightly increased. As of December 12, the bank leverage ratio, securities leverage ratio, insurance leverage ratio, and broad - based fund leverage ratio were 103.5%, 183.5%, 132.1%, and 104.6% respectively, changing by 0.01BP, 6.88BP, 2.52BP, and 0.32BP compared to December 5, and were at the 28%, 1%, 89%, and 14% historical quantiles respectively [4][36]. - The central value of the net - buying duration of funds rebounded, and wealth management and insurance increased their durations. As of December 12, the weighted average net - buying duration (MA = 10) of funds was - 3.52 years, a decrease from - 8.48 years on December 5, and was at the 4% historical quantile; the weighted average net - buying duration (MA = 10) of wealth management was 3.80 years, an increase compared to December 5, and was at the 95% historical quantile; the weighted average net - buying duration (MA = 10) of rural commercial banks was 1.14 years, a decrease compared to December 5, and was at the 56% historical quantile; the weighted average net - buying duration (MA = 10) of insurance was 12.23 years, a decrease compared to December 5, and was at the 87% historical quantile [4][38]. - The inter - bank leverage ratio increased. As of December 12, the total inter - bank bond - market leverage ratio increased by 0.34 percentage points to 106.68% compared to December 5, and was at the 45.30% historical quantile since 2021 [39]. - This week, the duration of medium - and long - term pure - bond funds increased. As of December 12, the duration of medium - and long - term pure - bond funds increased by 0.16 years to 3.13 years compared to December 5, and was at the 54% historical quantile since this year; the duration of short - term pure - bond funds increased by 0.20 years to 1.82 years compared to December 5, and was at the 89% historical quantile since this year [45].

1. Report Industry Investment Rating There is no information provided regarding the report industry investment rating in the given content. 2. Core Views of the Report - In the short - term, short - end bonds may be more stable due to relatively stable funds and loose expectations, while long - end and ultra - long - end bonds may have larger fluctuations. The pattern of bonds having a ceiling and a floor is hard to break, and the yield of 10 - year bonds may stay within 1.75% - 1.85%. For allocation funds, focus on medium - short - term bonds and high - grade credit bonds; for trading funds, watch for trading opportunities of ultra - long - term bonds after adjustments [8]. - In the medium - to long - term, insufficient effective demand is the main challenge for China's economic development. Deflation is likely to continue, and the fundamentals are favorable for bond futures. With the synergy of monetary and fiscal policies, bond yields are unlikely to rise significantly [8]. 3. Summary by Relevant Catalogs 3.1 Main Views - Last week, Treasury bond futures first rose and then fell. The rebound in the first half of the week was due to technical gap - filling and abundant liquidity, while the adjustment in the second half was related to the Central Economic Work Conference. The conference showed more active responses to the situation, emphasizing promoting economic growth and price recovery in monetary policy, and expanding domestic demand [4]. - The closing prices, weekly price changes, trading volumes, and open interest of various Treasury bond futures contracts are presented in a table, showing different performance among different contracts [5]. 3.2 Liquidity Tracking - The report presents data on open - market operations (both quantity and price), medium - term lending facilities (quantity and price), reverse repurchase rates, MLF rates, and various fund prices, including deposit - type pledged repurchase rates, SHIBOR, and other interest rates [10][14][16]. 3.3 Treasury Bond Futures Arbitrage Indicator Tracking - The report shows data on Treasury bond futures basis, net basis, implied repo rate (IRR), and implied interest rates for 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures [44][52][59][65].

证券研究报告 | 固定收益 gszqdatemark 2025 12 13 年 月 日 固定收益定期 资金平稳，存单政府债均显著净偿还——流动性和机构行为跟踪 资金整体平稳，价格小幅波动。本周资金价格小幅下降，本周 R001 收于 1.35%（前值 1.37%），DR001 收于 1.27%（前值 1.30%）。R007 收于 1.51%前值 1.50%），DR007 收于 1.47%前值 1.44%）。DR007 与 7 天 OMO 利差收于 6.91bp。6M 国股银票转贴利率收于 0.90%前值 0.81%）。 央行公开市场净投放资金，MLF 持续超额续作。本周央行逆回购投放 6685 亿元，逆回购到期 6638 亿元，合计净投放 47 亿元。此外，下周将开展 6000 亿元 MLF 操作，净投放 2000 亿元，为连续七个月加量续做。 本周重要会议落地，国债收益率先下后上，市场情绪仍不稳定。本周债市 收益率先下后上，政治局会议、中央经济工作会议相继落地，货币政策转 向的担忧解除，利率震荡修复，但中央经济工作会议公告隔日，止盈情绪 发酵，长端回吐值一日涨幅，债市情绪仍偏谨慎。整体看，本周 1 年国债 收 ...