新华财经北京12月5日电 人民银行5日开展1398亿元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3013亿元逆回购到期，公开市场实现 净回笼1615亿元。本周人民银行共进行6638亿元逆回购操作，因当周有15118亿元逆回购到期，公开市场合计实现净回笼8480亿元。 | | | | 2025-12-05 11:00 | | --- | --- | --- | --- | | | 期限 | Shibor(%) | 涨跌(BP) | | tr | O/N | 1.3010 | 0.10 | | 1 | 1W | 1.4160 | 0.80 | | � | 2W | 1.5080 | 2.90 | | 业 | 1M | 1.5200 | 0.00 | | � | 3M | 1.5800 | 0.00 | | tr | 6M | 1.6200 | 0.00 | | t | 9M | 1.6400 | 0.00 | | 1 | 1Y | 1.6500 | 0.00 | 来源：全国银行间同业拆借中心 银行间质押式回购市场方面，短期品种利率小幅上行。具体看，DR001、R001加权平均利率分别上行0.1 ...

Report Summary 1. Industry Investment Rating - Not mentioned in the report. 2. Core Viewpoints - The bond market has been declining, with all Treasury bond futures closing down. The bond market is oscillating between stable growth and easing expectations, and short - term attention should be paid to policy signals at the end of the month. Influenced by the stock market, along with the continuation of the Fed's interest - rate cut expectations and the increase in global trade uncertainties, the inflow of foreign capital is also uncertain [1][3]. 3. Summary by Directory I. Interest Rate Pricing Tracking Indicators - Price indicators: China's CPI (monthly) had a 0.20% month - on - month and year - on - year increase, while China's PPI (monthly) had a 0.10% month - on - month increase and a - 2.10% year - on - year decrease [9]. - Economic indicators (monthly update): The social financing scale was 437.72 trillion yuan, with a 0.64 - trillion - yuan month - on - month increase and a 0.15% growth rate; M2 year - on - year was 8.20%, with a - 2.38% change rate; the manufacturing PMI was 49.20%, with a 0.41% growth rate [10]. - Economic indicators (daily update): The US dollar index was 99.06, with a 0.20% growth rate; the US dollar against the offshore RMB was 7.0638, with a 0.08% growth rate; SHIBOR 7 - day was 1.42, with a - 0.14% change rate; DR007 was 1.44, with a - 0.23% change rate; R007 was 1.51, with a - 1.24% change rate; the 3 - month inter - bank certificate of deposit (AAA) was 1.62, with a 1.20% growth rate; the AA - AAA credit spread (1Y) was 0.09, with a 1.20% growth rate [10]. II. Overview of the Treasury Bond and Treasury Bond Futures Market - The report presents multiple charts including the closing price trend, price change rate, precipitation of funds, position ratio, net position ratio (top 20), long - short position ratio (top 20), spread between national development bonds and Treasury bonds, and Treasury bond issuance of Treasury bond futures main contracts [13][14][22]. III. Overview of the Money Market Liquidity - The report shows charts of Shibor interest rate trends, inter - bank certificate of deposit (AAA) maturity yield trends, inter - bank pledged repurchase transaction statistics, and local government bond issuance [25][26]. IV. Spread Overview - The report provides charts of the term spread of spot bonds and cross - variety spreads of futures, such as (2*TS - TF), (2*TF - T), (3*T - TL), and (2*TS - 3*TF + T) [33][34][36]. V. Two - Year Treasury Bond Futures - The report includes charts of the implied interest rate and Treasury bond maturity yield of the two - year Treasury bond futures main contract, the IRR of the TS main contract and the funding rate, and the three - year basis and net basis trends of the TS main contract [36][37][46]. VI. Five - Year Treasury Bond Futures - The report shows charts of the implied interest rate and Treasury bond maturity yield of the five - year Treasury bond futures main contract, the IRR of the TF main contract and the funding rate, and the three - year basis and net basis trends of the TF main contract [48][52]. VII. Ten - Year Treasury Bond Futures - The report presents charts of the implied yield and Treasury bond maturity yield of the ten - year Treasury bond futures main contract, the IRR of the T main contract and the funding rate, and the three - year basis and net basis trends of the T main contract [55][56]. VIII. Thirty - Year Treasury Bond Futures - The report includes charts of the implied yield and Treasury bond maturity yield of the thirty - year Treasury bond futures main contract, the IRR of the TL main contract and the funding rate, and the three - year basis and net basis trends of the TL main contract [62][68]. 4. Strategies - Unilateral strategy: As the repurchase rate declines, the price of Treasury bond futures falls [4]. - Arbitrage strategy: Pay attention to the decline of the 2603 basis [4]. - Hedging strategy: There is medium - term adjustment pressure, and short - sellers can use far - month contracts for moderate hedging [4].

Open Market Operations - The central bank announced a 7-day reverse repurchase operation on December 4, with a fixed rate of 1.40% and a total amount of 180.8 billion yuan, matching the bidding amount [1] - On the same day, 356.4 billion yuan of reverse repos matured, resulting in a net withdrawal of 175.6 billion yuan [1] Funding Conditions - The interbank market in China continues to show a loose funding environment, with the D R001 weighted average interest rate slightly rising but remaining below 1.3% [3] - Overnight rates in the anonymous click (X-repo) system stabilized at 1.28%, indicating ample supply [3] - Non-bank institutions are borrowing overnight funds secured by credit bonds, with rates fluctuating between 1.43% and 1.47% [3] - In the U.S., the latest overnight financing rate is reported at 4.01% [4] Interbank Certificates of Deposit - The latest transaction for one-year interbank certificates of deposit among major banks is around 1.66%, which is an increase of over 1 basis point from the previous day [8] Government Bond Futures - The 30-year main contract fell by 1.04%, reaching a new low since November 22, 2024 [12] - The 10-year main contract decreased by 0.35% [12] - The 5-year main contract dropped by 0.24% [12] - The 2-year main contract declined by 0.05% [12] Central Bank Announcements - On December 5, the central bank will conduct a 1 trillion yuan buyout reverse repo operation with a 3-month term, matching the amount maturing on the same day [13] - The Ministry of Finance will issue an additional 7 billion yuan of government bonds in Hong Kong on December 10, including 2 billion yuan of 2-year bonds, 3 billion yuan of 3-year bonds, and 2 billion yuan of 5-year bonds [13] Fund Distribution - As of December 3, public funds have distributed dividends over 6,700 times this year, totaling 214.714 billion yuan [14] - Bond funds are the main contributors, with over 4,900 dividend distributions and a total of 155.791 billion yuan, accounting for 72.56% of the total dividends [14] Global Macro Insights - Concerns have been raised among Wall Street bond investors regarding Kevin Hassett potentially becoming the Federal Reserve Chair, fearing aggressive rate cuts to please President Trump [16] - The Bank of Japan's Governor stated that they are working to narrow the estimate range for the neutral interest rate, with expectations of another rate hike this month [16] - South Korea's Ministry of Trade reported that exports are expected to reach a record high of over 700 billion dollars in 2025, driven by strong performance in semiconductors, automobiles, and ships [16] Bond Market Events - The Hong Kong court approved Country Garden's debt restructuring plan, with creditors approving a scheme involving 9 bonds totaling over 13.7 billion yuan [18] - A rescue plan involving 8 billion yuan of common debt is in place for Suning's restructuring, with two major asset management firms planning to revitalize four ongoing projects [18]

Group 1 - The People's Bank of China (PBOC) conducted a reverse repurchase operation of 79.3 billion yuan with a fixed rate of 1.4%, resulting in a net withdrawal of 134 billion yuan due to 213.3 billion yuan of reverse repos maturing on the same day [1] - The continuous reverse repo operations in early December aim to smooth short-term liquidity fluctuations and maintain a reasonable level of market funds, reflecting the PBOC's precise adjustments based on market demand [1][2] - The overall liquidity in December is expected to remain stable, with the PBOC likely using various tools to adjust market liquidity and avoid significant fluctuations [4][5] Group 2 - The PBOC is expected to counteract the maturing funds through measures such as Medium-term Lending Facility (MLF) and reverse repos, focusing on maintaining a balanced approach to liquidity [2][3] - In November, the PBOC net injected 100 billion yuan through MLF and 25.4 billion yuan through pledged supplementary lending (PSL), indicating a commitment to maintaining liquidity [2] - The PBOC's operations are characterized by a "lock short, lend long" strategy, which stabilizes expectations and ensures that liquidity remains ample, particularly in light of year-end government bond issuance and bank assessments [3][4]

国债期货日报 | 2025-12-03 11月央行买债不及预期，国债期货全线收跌 市场分析 宏观面：（1）宏观政策：10月27日，央行时隔近十个月宣布重启公开市场国债买卖操作，向市场释放了明确的稳 预期信号;10月30日，中美经贸团队达成三方面成果共识，一是中方将与美方妥善解决TikTok相关问题;二是美方将 暂停实施其对华海事、物流和造船业301调查措施一年，同时将暂停实施其9月29日公布的出口管制50%穿透性规则 一年;三是美方取消10%"芬太尼关税"，对中国商品24%对等关税将继续暂停一年。国务院关税税则委员会宣布在一 年内继续暂停实施24%的对美加征关税税率，保留10%的对美加征关税税率。（2）通胀:10月CPI同比上升0.2%。 资金面：（3）财政：2025 年 1–10 月财政运行呈现"收入温和修复、支出节奏回落、基金收缩与专项债放缓并存" 的特征。一般公共预算收入同比增长 0.8%，税收连续八个月改善，增值税、个税和企业所得税均保持修复态势， 但非税收入拖累整体增速，收入完成进度略低于往年均值；一般公共预算支出同比仅增 2%，连续三个月放缓，主 要受上半年财政前置发力后劲不足以及基建类支出走弱影 ...

Core Viewpoint - The article emphasizes the importance of using rational analysis to navigate market fluctuations while aligning with the prevailing market trends, rather than attempting to predict market tops or bottoms [1]. Group 1: Macro Economic Indicators - The November PMI data met expectations, with the official manufacturing PMI reported at 49.2, indicating a stable economic outlook [5]. - The central bank reportedly purchased 200 billion yuan in bonds in November, contributing to a mixed performance in the stock market, with the Shanghai Composite Index returning to 3900 points [5]. - The central bank conducted a 107.6 billion yuan reverse repurchase operation, with a net withdrawal of 231.1 billion yuan due to 338.7 billion yuan in reverse repos maturing [3]. Group 2: Interest Rates and Bond Market - The weighted rates for various repo codes showed slight decreases, with R001 at 1.37% (down 5 basis points) and R007 at 1.49% (down 3 basis points) [4]. - The 10-year government bond yield fluctuated around 1.83%, with the lowest rate dropping to 1.822% before slightly recovering to 1.8275% [5]. - The interest rates for government bonds varied, with the 1-year bond at 1.40% and the 10-year bond at 1.8275%, reflecting a range of changes across different maturities [7].

Report Industry Investment Rating - Not provided Core Viewpoints - Due to the central bank's resumption of trading in government bonds in the open market, market expectations for the adjustment of the interest rate yield curve have increased, leading to a limited rebound in government bond futures. With the easing of Sino - US trade relations, the risk - aversion sentiment has cooled, and towards the end of the year, policy marginal variables have weakened. The year - end capital market trading has not started, and under the guidance of the central bank's loose liquidity, the probability of significant fluctuations in the year - end capital market is low. The bond market as a whole may fall into a narrow - range fluctuation again, but it is necessary to continuously monitor whether there will be a capital market trading situation at the end of the year [2]. - From January to October, the total profit of industrial enterprises above the designated size in China increased by 1.9% year - on - year, and the cumulative growth rate has been increasing for three consecutive months. In October, affected by factors such as a higher base in the same period last year and a relatively rapid increase in financial expenses, the profit of industrial enterprises above the designated size decreased by 5.5% year - on - year. In November, China's manufacturing PMI was 49.2%, up 0.2 percentage points from the previous month, the non - manufacturing PMI was 49.5%, down 0.6 percentage points from the previous month, and the composite PMI output index was 49.7%, down 0.3 percentage points from the previous month. China's economic sentiment level is generally stable. In the fourth quarter, the economic downward pressure has increased, but towards the end of the year, the probability of large - scale stimulus policies is low. Overall, the economic fundamentals of the bond market do not support the bond market to break through the shock range, and the bond market may fall into narrow - range fluctuations again, still mainly characterized by shock [3]. Summary by Directory 1. Futures Market Review - The report presents figures on the prices, trading volumes, and open interests of long - term, ultra - long - term, short - term, and medium - term government bond futures [5][6] 2. Macro - fundamentals - The report shows figures related to official PMI, GDP, industrial added value, fixed assets investment, and total retail sales of consumer goods [9][12] 3. Policy - making - The report includes figures on general public budget, M2, new RMB loans, inflation data, import and export data, central bank open - market operations, and the M2 - social financing gap [17][21][22] 4. Capital - market - The report provides figures on inter - bank certificate of deposit issuance rates, interest rate swaps, capital expectations, benchmark interest rates, and capital costs [25][29] Factors to Monitor - The factors to monitor include the stock - bond seesaw, economic data, and the intensity and method of counter - cyclical adjustment [4]

Core Viewpoint - The liquidity tools in 2025 will continue to be optimized, with a focus on stabilizing the funding environment, particularly around the end of March when the funding situation is expected to shift from tight to loose [3]. Group 1: Market Overview - In the primary market, the net financing scale of interest rate bonds is expected to grow by nearly 40% in 2025, with the largest contribution from government bonds, followed by local government bonds, and an earlier issuance rhythm [4]. - In the secondary market, the 10-year government bond yield is projected to fluctuate between 1.6% and 1.9%, exhibiting an M-shaped trend with alternating upward and downward movements throughout the year [4]. Group 2: 2026 Bond Market Outlook - The fundamental outlook for 2026 suggests a move towards "supply-demand balance," with expected improvements in consumption, infrastructure investment, and real estate investment growth compared to 2025 [5]. - On the policy front, fiscal policy is anticipated to remain proactive, with a budget deficit target of 4% and a special bond issuance scale of 1.5 trillion yuan, alongside a new special bond quota of 4.4 trillion yuan [5]. Group 3: Supply and Demand Dynamics - The supply side for interest rate bonds in 2026 is expected to be similar to 2025, with a net financing amount of approximately 14.3 trillion yuan, including 6.5 trillion yuan in government bonds and 5.5 trillion yuan in new local government bonds [6]. - Demand for bonds may be slightly weaker in 2026, with banks facing operational pressures and public funds focusing on stability in their liabilities [6]. Group 4: Economic and Policy Changes - Changes in the economic environment, policy adjustments, and overseas liquidity tightening are anticipated to exceed expectations [7].

财通证券认为，12 月财政支出增加而政府债发行减少对资金表现偏支持，但银行负债端扰动因素颇 多。其中，更加乐观的因素有：（1）由买断式逆回购和MLF组成的中长期流动性到期环比下降2000亿 元；（2）政府债发行进入尾声，政府债净融资大幅回落，12月政府债净融资或下降到5000亿元， 环比 11 月下降约7660亿元；（3）财政支出增加而政府债发行减少大月，对资金面有支持；（4）汇率压力 有所缓释，中央经济工作会议召开，叠加近期信用风险有所抬升，央行延续对于资金的呵护。其中扰动 更强的因素有：（1）12月缴税规模相较于11月或抬升2000亿元附近；（2）存单到期量环比抬升约8670 亿元，对银行负债端的扰动增强；（3）仍有高息定期存款到期，对负债端仍旧有影响；（4）季末月信 贷压力更大，信贷投放也对资金有影响。 华泰证券在研报中指出，跨月扰动已过，资金预计季节性净回笼，12月为税收小月、财政支出大月，叠 加政府债供给规模不高，预计资金面维持均衡偏松。 Wind数据显示，12月有3000亿元中期借贷便利（MLF）到期，同时将有4000亿元6个月期限和10000亿 元3个月期限的买断式逆回购到期。 在财政支出增加、 ...

- The report does not contain any specific quantitative models or factors for analysis[1][2][3] - The content primarily focuses on market trends, fund flows, and sector performance without detailing any quantitative model construction or factor analysis[4][5][6] - No quantitative backtesting results or specific factor performance metrics are provided in the report[7][8][9]