Report Industry Investment Rating No relevant content provided. Core Viewpoints - The bond market fluctuates between stable growth and easing expectations, and short - term attention should be paid to policy signals at the end of the month. Repo rates are rising, and Treasury futures prices are fluctuating, with a neutral outlook for the 2512 contract. Attention should be paid to the decline in the basis of the 2512 contract. There is medium - term adjustment pressure, and short - sellers can use far - month contracts for moderate hedging [4]. - Affected by the strong stock market, the rising risk appetite suppresses the bond market. Meanwhile, the continued expectation of Fed rate cuts and increasing global trade uncertainties add to the uncertainty of foreign capital inflows [3]. Summary by Directory 1. Interest Rate Pricing Tracking Indicators - Price indicators: China's monthly CPI has a 0.10% month - on - month increase and a - 0.30% year - on - year decrease; China's monthly PPI has a 0.00% month - on - month change and a - 2.30% year - on - year decrease [9]. - Monthly economic indicators: Social financing scale is 437.08 trillion yuan, with a 3.42 - trillion - yuan month - on - month increase and a 0.79% growth rate; M2 year - on - year is 8.40%, with a 0.40% decrease and a - 4.55% change rate; Manufacturing PMI is 49.80%, with a 0.40% increase and a 0.81% growth rate [9]. - Daily economic indicators: The US dollar index is 98.94, with a 0.35 increase and a 0.36% growth rate; The offshore US dollar - to - RMB exchange rate is 7.1191, with a 0.003 decrease and a - 0.04% change rate; SHIBOR 7 - day is 1.43, with a 0.01 increase and a 0.56% growth rate; DR007 is 1.44, with a 0.01 increase and a 0.70% growth rate; R007 is 1.53, with a 0.02 increase and a 1.49% growth rate; The 3 - month yield of AAA - rated inter - bank certificates of deposit is 1.60, with a 0.01 increase and a 0.31% growth rate; The 1 - year AA - AAA credit spread is 0.09, with a 0.00 increase and a 0.31% growth rate [9]. 2. Overview of Treasury Bonds and Treasury Bond Futures Market - On October 21, 2025, the closing prices of TS, TF, T, and TL were 102.37 yuan, 105.72 yuan, 108.15 yuan, and 115.59 yuan respectively, with daily changes of 0.04%, 0.05%, 0.05%, and 0.16% [2]. - The average net basis of TS, TF, T, and TL is - 0.018 yuan, - 0.005 yuan, - 0.034 yuan, and - 0.240 yuan respectively [2]. 3. Overview of the Money Market Funding Situation - Fiscal data shows "moderate revenue recovery and strong expenditure expansion." In the first three quarters, general public budget revenue increased slightly by 0.5% year - on - year, relying on the recovery of individual income tax, value - added tax, and stamp duty, but its sustainability remains to be seen. Expenditure continued to increase, with high growth rates in social security, education, and debt interest payments, providing stable support for aggregate demand. Government - managed fund budget revenue is still weak, and the decline in land sales has narrowed but the recovery is limited, while fund expenditure increased by 23.9% year - on - year, indicating that the fiscal side is hedging against economic downward pressure by accelerating the expenditure pace [2]. - On October 21, 2025, the central bank conducted 159.5 billion yuan of 7 - day reverse repurchase operations at a fixed interest rate of 1.4% through quantity tendering [2]. - The main - term repo rates of 1D, 7D, 14D, and 1M are 1.317%, 1.426%, 1.504%, and 1.557% respectively, and the repo rates have recently rebounded [2]. 4. Spread Overview - The report presents various spread data through multiple figures, including the inter - period spread trends of Treasury bond futures varieties, the term spread of spot bonds, and the cross - variety spread of futures [27][31][32]. 5. Two - Year Treasury Bond Futures - The report shows the implied interest rate of the two - year Treasury bond futures main contract and the Treasury bond yield to maturity, 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 through figures [34][37][45]. 6. Five - Year Treasury Bond Futures - The report shows the implied interest rate of the five - year Treasury bond futures main contract and the Treasury bond yield to maturity, 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 through figures [47][51]. 7. Ten - Year Treasury Bond Futures - The report shows the implied yield of the ten - year Treasury bond futures main contract and the Treasury bond yield to maturity, 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 through figures [54][55]. 8. Thirty - Year Treasury Bond Futures - The report shows the implied yield of the thirty - year Treasury bond futures main contract and the Treasury bond yield to maturity, 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 through figures [61][63][67].

Market Overview - The bond market is experiencing slight fluctuations with mixed performance, as the 10-year and 30-year government bonds yield 1.77% and 2.1% respectively [1] - Government bond futures are down across the board, with the 30-year main contract falling by 0.33% and the 10-year main contract decreasing by 0.17% [1] Liquidity Situation - The central bank has conducted a reverse repurchase operation of 100 billion, resulting in a net liquidity recovery of 68.5 billion after accounting for 91 billion in maturing amounts [2] - The liquidity remains stable and accommodative, with overnight and 7-day funding rates at 1.3% and 1.44% respectively [2] Reverse Repo Details - Recent reverse repo operations include: - 7-day reverse repo on October 20 with an issuance of 189 billion and maturity of 116 billion [4] - 7-day reverse repo on October 21 with an issuance of 159.5 billion and maturity of 91 billion [4] Bond Market Outlook - In the short term, the bond market pricing is not primarily driven by fundamentals, as new fund sales regulations have yet to be implemented and expectations for loose monetary policy remain insufficient [3] - The 10-year government bond yield is likely to fluctuate within the range of 1.7% to 1.8% [3] U.S. Treasury Focus - The key focus for U.S. Treasuries this week is the September CPI data; if inflation remains moderate, it could strengthen the expectation for a rate cut by the Federal Reserve in October, potentially leading to further declines in Treasury yields [5] - However, there are two risk factors to consider: a marginal easing in U.S.-China trade tensions may reduce market risk aversion, and regional bank credit issues in the U.S. could impact the market in the short term [5] - A balanced allocation between domestic stocks and bonds is recommended, along with diversification across countries for stable asset management [5]

国债期货日报 | 2025-10-21 LPR保持不变，国债期货全线收跌 市场分析 宏观面：（1）宏观政策：2025年8月1日，财政部与税务总局发布公告称，自2025年8月8日起，对在该日及以后新 发行的国债、地方政府债券和金融债券的利息收入将恢复征收增值税。此前已发行的上述债券（包括8月8日后续 发行的部分）仍享受免征增值税政策，直至到期；关税方面，中美发布斯德哥尔摩经贸会谈联合声明，自2025年8 月12日起再次暂停实施24%的关税90天；国务院第九次全体会议强调，采取有力措施巩固房地产市场止跌回稳态势， 培育壮大服务消费，加力扩大有效投资；9月10日，财政部长明确表示，"持续发力、适时加力实施更加积极有为 的宏观政策"；发改委也表示"不断释放内需潜力" 和 "推进重点行业产能治理"；10月8 日，美方将多家中国实体 列入出口管制清单并征收特别港务费，10月10 日，交通运输部发布关于对美船舶收取船舶特别港务费的公告；10 月11日，特朗普于社交媒体发文称，从11月1日起将对中国加征100%关税。（2）通胀：9月CPI同比下降0.3%。 资金面：（3）财政：财政：本次财政数据整体呈现"收入温和修复、支出强 ...

Group 1: Open Market Operations - The central bank conducted a 7-day reverse repurchase operation of 164.8 billion yuan at a fixed rate of 1.40% on October 17, with a total bid and winning amount of 164.8 billion yuan [1] - On the same day, 409 billion yuan of reverse repos matured, resulting in a net withdrawal of 244.2 billion yuan [1] - The total net withdrawal for the week, including treasury cash, was 697.9 billion yuan [1] Group 2: Funding Conditions - The interbank market remains stable and loose, with overnight repurchase rates around 1.31% [3] - The overnight quotes in the anonymous repo system have expanded to a range of 1.30%-1.34%, indicating a slight decrease in supply [3] - Non-bank institutions are borrowing overnight against certificates of deposit and credit bonds, with quotes concentrated around 1.40%-1.43%, showing a slight increase from the previous day [3] Group 3: Bond Market Overview - Major interest rates for interbank bonds have declined, with various maturities showing different levels of decrease [8] - The latest one-year interbank certificates of deposit are trading around 1.67%, unchanged from the previous day [9] - The main contracts for government bonds showed mixed results, with the 30-year contract up by 0.74% and the 10-year contract up by 0.12% [11] Group 4: Key Financial Events - The 2025 Financial Street Forum will be co-hosted by several government bodies from October 27 to 30 in Beijing [12] - The Ministry of Finance plans to issue 5,000 billion yuan in new local government debt limits for 2026 [12] - In the first three quarters, local government special bonds and other financial instruments have spent 4.21 trillion yuan to enhance economic momentum [12]

Group 1: Monetary Policy and Market Liquidity - The central bank conducted a net withdrawal of CNY 347.9 billion through OMO this week, with a total of CNY 400 billion net injection for the month, marking a year-to-date high[9] - The average daily transaction volume of pledged repos increased by CNY 2.9 trillion to CNY 8.04 trillion, with the overall scale surpassing CNY 12 trillion[17] - The new funding gap index dropped to -902.2 billion, the lowest since early January, indicating a tightening liquidity environment[17] Group 2: Government Financial Operations - In September, government deposits decreased by CNY 780.4 billion, the largest drop in recent years, aligning with expectations[21] - The government’s fiscal revenue growth was positive, with a year-to-date increase consistent with the annual budget, while public budget expenditure growth remained below targets[21] - The Ministry of Finance announced a CNY 500 billion allocation from local debt limits to support local fiscal capacity and effective investment[23] Group 3: Credit and Deposit Trends - M2 growth slowed to 8.4% in September, primarily due to a decline in non-bank deposits, while M1 growth reached 7.2%, the highest since 2021[21][5] - The net financing scale of interbank certificates of deposit rose to CNY 235.9 billion, with significant contributions from joint-stock banks and city commercial banks[6] - The issuance of government bonds for Q4 is projected at CNY 1.9 trillion, with a net supply of CNY 2.4 trillion, lower than previous quarters[5]

Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - The possibility of a trend - weakening in the bond market is low, and yields are expected to maintain a high - level oscillation pattern. It is recommended to stay on the sidelines for unilateral trading [2] 3. Summary by Related Catalogs 3.1 Market Factors - **Liduo Factors**: The capital market is balanced and slightly loose, with the central bank's net injection supporting market liquidity. After the bond market became desensitized to the stock market, it generally rose. The marginal weakening of economic data and the continuation of supply - demand contradictions provide core support for the bond market [2] - **Likong Factors**: The issuance of 50 - year ultra - long - term special treasury bonds was poor, triggering market concerns. Strong overseas risk appetite put pressure on the bond market [2] 3.2 Market Data - **Yield**: Data on 2Y, 5Y, 7Y, 10Y, and 30Y treasury bond yields from 2024/04 to 2025/08 are presented [3] - **Funding Rate**: Data on deposit - type institutional pledged repurchase weighted average rates (1 - day and 7 - day) and 7 - day reverse repurchase rates from 2023/12 to 2025/06 are presented [3] - **Term Spread**: Data on treasury bond term spreads (7Y - 2Y and 30Y - 7Y) from 2024/04 to 2025/08 are presented [4][5] - **Futures Position and Trading Volume**: Data on the positions and trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are presented [7][8] - **Futures Basis**: Data on the basis of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures' current - quarter contracts are presented [9][11][12][14] - **Futures Inter - period Spread**: Data on the inter - period spreads (current - quarter minus next - quarter) of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are presented [18][20] - **Futures Inter - variety Spread**: Data on the inter - variety spreads (TS*4 - T and T*3 - TL) of treasury bond futures are presented [21][22]

Report Industry Investment Rating No relevant content provided. Core View of the Report The bond market is influenced by the rebound in the stock market due to tariff black swan events, the continuous expectation of a Fed rate cut, and rising global trade uncertainties. It is oscillating between stable growth and easing expectations, and short - term attention should be paid to policy signals at the end of the month [3]. Summary According to the Table of Contents I. Interest Rate Pricing Tracking Indicators - China's CPI (monthly) has a 0.10% month - on - month increase and a - 0.30% year - on - year decrease; PPI (monthly) has a 0.00% month - on - month change and a - 2.30% year - on - year decrease [9]. - Social financing scale is 437.08 trillion yuan, with a month - on - month increase of 3.42 trillion yuan (+0.79%); M2 year - on - year is 8.40%, down 0.40% (-4.55%); Manufacturing PMI is 49.80%, up 0.40% (+0.81%) [9]. - The US dollar index is 98.35, down 0.33 (-0.33%); USD/CNH (offshore) is 7.1302, up 0.003 (+0.04%); SHIBOR 7 - day is 1.42, up 0.01 (+0.35%); DR007 is 1.42, up 0.01 (+0.39%); R007 is 1.53, up 0.02 (+1.49%); Inter - bank certificates of deposit (AAA) 3M is 1.58, down 0.01 (-0.67%); AA - AAA credit spread (1Y) is 0.09, up 0.00 (-0.67%) [9]. II. Overview of the Treasury Bond and Treasury Bond Futures Market - Relevant figures include the closing price trend of the main continuous contracts of treasury bond futures, the price change rate of each treasury bond futures variety, the precipitation fund trend of each treasury bond futures variety, the position ratio of each treasury bond futures variety, the net position ratio of the top 20 in each treasury bond futures variety, the long - short position ratio of the top 20 in each treasury bond futures variety, the spread between China Development Bank bonds and treasury bonds, and the issuance of treasury bonds [11][12][14]. III. Overview of the Money Market Funding Situation - Relevant figures include the Shibor interest rate trend, the maturity yield trend of inter - bank certificates of deposit (AAA), the transaction statistics of inter - bank pledged repurchase, and the issuance of local government bonds [22]. IV. Spread Overview - Relevant figures include the inter - term spread trend of each treasury bond futures variety, the term spread of spot bonds and the cross - variety spread of futures (4*TS - T), (2*TS - TF), (2*TF - T), (3*T - TL), (2*TS - 3*TF + T) [22][23][24]. V. Two - Year Treasury Bond Futures - Relevant figures include the implied interest rate of the main contract of two - year treasury bond futures and the maturity yield of treasury bonds, the IRR of the TS main contract and the funding rate, the three - year basis trend of the TS main contract, and the three - year net basis trend of the TS main contract [26][29][36]. VI. Five - Year Treasury Bond Futures - Relevant figures include the implied interest rate of the main contract of five - year treasury bond futures and the maturity yield of treasury bonds, the IRR of the TF main contract and the funding rate, the three - year basis trend of the TF main contract, and the three - year net basis trend of the TF main contract [38][43]. VII. Ten - Year Treasury Bond Futures - Relevant figures include the implied yield of the main contract of ten - year treasury bond futures and the maturity yield of treasury bonds, the IRR of the T main contract and the funding rate, the three - year basis trend of the T main contract, and the three - year net basis trend of the T main contract [45][47]. VIII. Thirty - Year Treasury Bond Futures - Relevant figures include the implied yield of the main contract of thirty - year treasury bond futures and the maturity yield of treasury bonds, the IRR of the TL main contract and the funding rate, the three - year basis trend of the TL main contract, and the three - year net basis trend of the TL main contract [52][54][58]. Strategy - Unilateral: The repurchase rate has declined, the price of treasury bond futures is oscillating, and the 2512 contract is neutral [4]. - Arbitrage: Pay attention to the decline of the 2512 basis [4]. - Hedging: There is an adjustment pressure in the medium term, and short - sellers can use far - month contracts for appropriate hedging [4].

Core Viewpoint - The bond market shows a divergence in performance, with long-term bonds rebounding significantly while mid-term bonds remain stable, indicating a "long strong, short weak" trend in the market [1][2]. Market Performance - The closing performance of government bond futures was mixed, with the 30-year main contract rising by 0.42% to 114.96, while the 2-year and 5-year contracts both fell by 0.01% [2]. - The yields on major interbank bonds generally declined, with the 10-year government bond yield down by 0.35 basis points to 1.755% [2]. - The China Convertible Bond Index fell by 0.72% to 478.72 points, with significant declines in several convertible bonds [2]. Overseas Market Trends - In North America, U.S. Treasury yields showed mixed results, with the 10-year yield rising by 0.37 basis points to 4.032% [3]. - In Asia, Japanese bond yields mostly increased, while European bond yields, including French and German bonds, generally decreased [4]. Primary Market Activity - The China Development Bank's financial bonds had lower winning yields than the market estimates, with 1-year, 5-year, and 10-year yields at 1.4929%, 1.7313%, and 1.9749% respectively [5]. Liquidity Conditions - The central bank conducted a 2360 billion yuan reverse repurchase operation, resulting in a net withdrawal of 3760 billion yuan for the day [6]. - The financial statistics report for the first three quarters showed a cumulative social financing scale exceeding 30 trillion yuan, with a year-on-year increase of 4.42 trillion yuan [6]. Institutional Insights - Financial data for September was generally in line with expectations, indicating weak demand in the real economy, with a forecast for a seasonal decline in social financing growth starting in October [8]. - The government bond issuance is expected to slow down, impacting overall financing, while policy financial tools are anticipated to support fixed investment in the fourth quarter [8].

Market Performance - Treasury futures opened lower and experienced wide fluctuations, with the 30-year main contract down 0.14%, the 10-year main contract down 0.06%, the 5-year main contract down 0.03%, and the 2-year main contract unchanged [1] - Major interbank interest rate bond yields mostly rose, with the 10-year policy bank bond "25 Guokai 15" yield up 0.4 basis points to 1.9370%, the 10-year treasury bond "25附息国债11" yield up 0.45 basis points to 1.7570%, and the 30-year treasury bond "25超长特别国债02" yield up 0.25 basis points to 2.1075% [1] Funding Conditions - The central bank announced a fixed-rate, quantity tender operation of 43.5 billion yuan for a 7-day reverse repurchase on October 15, with an operation rate of 1.40% and a full bid amount of 43.5 billion yuan [2] - The interbank market continued to show ample liquidity, with overnight repurchase rates for deposit institutions stabilizing at a low level of 1.31% [2] - Long-term funding conditions indicated that the latest transaction for one-year interbank certificates of deposit was at 1.665%, showing little change from the previous day [2] Economic Fundamentals - China's September PPI decreased by 2.3% year-on-year, slightly better than the expected decline of 2.4%, and improved from a previous decline of 2.9% [3] - The September CPI fell by 0.3% year-on-year, worse than the expected decline of 0.1%, but improved from a previous decline of 0.4% [3] - The central bank reported that in the first three quarters of the year, new RMB loans increased by 14.75 trillion yuan, and RMB deposits increased by 22.71 trillion yuan [3] Operational Suggestions - The bond market is expected to continue fluctuating within a range, with the T2512 contract likely maintaining a range of 107.4 to 108.3 [4] - The current loose funding conditions and the normalization of the long-short interest rate spread may limit the extent of long bond declines [4] - The market remains cautious, influenced by risk preferences and institutional behaviors, with uncertainty regarding the bond market's recovery [4]

Report Industry Investment Rating - Not provided in the content Core Viewpoints - The bond market is affected by the stock market rebound driven by tariff black swan events, with a decline in risk appetite. The continuous expectation of Fed rate cuts and rising global trade uncertainties increase the uncertainty of foreign capital inflows. The bond market oscillates between stable growth and easing expectations, and short - term attention should be paid to policy signals at the end of the month [3][4] Summary by Directory 1. Interest Rate Pricing Tracking Indicators - Price indicators: China's monthly CPI has a 0.10% month - on - month increase and a - 0.30% year - on - year decrease; China's monthly PPI has a 0.00% month - on - month change and a - 2.30% year - on - year decrease [9] - Monthly updated economic indicators: Social financing scale is 437.08 trillion yuan, with a 3.42 - trillion - yuan month - on - month increase and a 0.79% increase rate; M2 year - on - year is 8.40%, with a 0.40% month - on - month decrease and a 4.55% decrease rate; Manufacturing PMI is 49.80%, with a 0.40% month - on - month increase and a 0.81% increase rate [10] - Daily updated economic indicators: The US dollar index is 98.68, with a 0.36 point month - on - month decrease and a 0.36% decrease rate; The offshore US dollar to RMB exchange rate is 7.1274, with a 0.015 point month - on - month decrease and a 0.21% decrease rate; SHIBOR 7 - day is 1.41, with a 0.01 point month - on - month decrease and a 0.63% decrease rate; DR007 is 1.42, with a 0.01 point month - on - month decrease and a 1.01% decrease rate; R007 is 1.53, with a 0.02 point month - on - month increase and a 1.49% increase rate; The 3 - month inter - bank certificate of deposit (AAA) is 1.59, with a 0.01 point month - on - month decrease and a 0.38% decrease rate; The AA - AAA credit spread (1Y) is 0.09, with a 0.00 point month - on - month increase and a 0.38% decrease rate [10] 2. Overview of Treasury Bonds and Treasury Bond Futures Market - Not elaborated in detail in the text, only mentions related charts such as the closing price trend of the main continuous contract of treasury bond futures, the price change rate of each variety of treasury bond futures, the precipitation fund trend of each variety of treasury bond futures, etc [12][16][25] 3. Overview of the Money Market Funding Situation - The text mentions related charts such as the Shibor interest rate trend, the maturity yield trend of inter - bank certificates of deposit (AAA), the bank - to - bank pledged repurchase transaction statistics, and the local bond issuance situation [26] 4. Spread Overview - The text mentions related charts such as the inter - period spread trend of each variety of treasury bond futures and the term spread of spot bonds and the cross - variety spread of futures [26] 5. Two - Year Treasury Bond Futures - The text mentions related charts such as the implied interest rate of the main contract of two - year treasury bond futures and the maturity yield of treasury bonds, the IRR of the TS main contract and the funding rate, the three - year basis trend of the TS main contract, and the three - year net basis trend of the TS main contract [30][33][41] 6. Five - Year Treasury Bond Futures - The text mentions related charts such as the implied interest rate of the main contract of five - year treasury bond futures and the maturity yield of treasury bonds, the IRR of the TF main contract and the funding rate, the three - year basis trend of the TF main contract, and the three - year net basis trend of the TF main contract [43][50] 7. Ten - Year Treasury Bond Futures - The text mentions related charts such as the implied yield of the main contract of ten - year treasury bond futures and the maturity yield of treasury bonds, the IRR of the T main contract and the funding rate, the three - year basis trend of the T main contract, and the three - year net basis trend of the T main contract [51][52] 8. Thirty - Year Treasury Bond Futures - The text mentions related charts such as the implied yield of the main contract of thirty - year treasury bond futures and the maturity yield of treasury bonds, the IRR of the TL main contract and the funding rate, the three - year basis trend of the TL main contract, and the three - year net basis trend of the TL main contract [58][60][64]