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 ...

报告类型 股指日评 日期 2025 年 12 月 12 日 研究员：聂嘉怡(股指) 021-60635735 niejiayi@ccb.ccbfutures.com 期货从业资格号：F03124070 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(宏观国债集运) 021-60635739 huangwenxin@ccb.ccbfutures.com 期货从业资格号：F3051589 宏观金融团队 一、行情回顾与后市展望 1.1 行情回顾： 12 月 11 日，万得全 A 放量下跌，开盘震荡运行后一路走低，收跌 1.10%，全 市超 4000 支个股下跌；沪深 300、上证 50、中证 500、中证 1000 收盘分别下跌 0.86%、0.39%、1.02%、1.30%，中小盘股表现更优。期货方面，IF、IH、IC、IM 主力合约分别收跌 0.76%、0.37%、0.67%、0.91%，表现强于现货（按收盘价计算）。 | 表1:股指期货、现货行情数据 | | --- | 资料来源：Wind，建信 ...

在中泰证券举办的年度策略会上，中泰国际首席经济学家李迅雷表示，2026年货币政策总量宽松空间受 限，降息面临低息差、资金空转入市等约束，其稳市场信号意义强于经济刺激，预计7天逆回购利率下 调10-20bp；当前加权存款准备金率已降至6.2%，接近5%的隐性下限，央行流动性投放工具已趋完善， 预计全年降准1-2次；同时，受人民币贬值压力缓解、债市预期分化等因素影响，2026年资金面或难重 现2025年3月的明显收紧。 ...

1. Report Industry Investment Ratings No specific industry investment ratings are provided in the report. 2. Core Views of the Report - The Fed cut interest rates by 25bp, with an unexpectedly dovish stance, which is expected to improve global liquidity in the short - term and boost risk assets. A - shares may have short - term upward opportunities, but high - level chasing should be treated with caution [3]. - The pressure on the bond market to decline may have passed its peak, and the bond futures may return to a sideways trend in the short - term. There is a possibility of a phased rebound in the bond market later, and investors are advised to wait and see for now [3]. - Precious metals have increased fluctuations, and short - term gold prices need to build momentum to break the sideways pattern. Silver may face increased trading congestion, and investors should be cautious about chasing high prices [3]. 3. Summary by Categories 3.1 Daily Selected Views - **Bullish**: Tin (SN2601) is expected to be sideways with an upward bias; Methanol (MA2601) and rebar (rb2501) are expected to be sideways with an upward bias at the bottom [3]. - **Bearish**: Corn (C2601) is expected to be sideways with a downward bias [3]. 3.2 All - Variety Daily Reviews 3.2.1 Financial Products - **Stock Index Futures**: Due to the Fed's interest rate cut, short - term global liquidity expectations will improve, and A - shares have short - term upward opportunities. It is recommended to go long intraday but be cautious about high - level chasing, and consider using protective options or bull spread strategies [3]. - **Bond Futures**: The pressure on the bond market to decline may have passed, and bond futures may return to a sideways trend. It is recommended to wait and see for now and pay attention to the outcome of the Central Economic Work Conference. Positive arbitrage opportunities between TL and TF2603 contracts can be gradually considered [3]. - **Precious Metals**: Gold prices are fluctuating in the range of $4150 - 4260 and need to build momentum to break the sideways pattern. Silver may face increased trading congestion after a rapid rise. It is recommended to use a virtual option double - selling strategy for gold and be cautious about chasing high prices for silver [3]. 3.2.2 Industrial Products - **Steel and Iron Ore**: Steel prices have stopped falling and are expected to continue to move sideways. Iron ore is expected to weaken from its high - level sideways movement, and coking coal and coke are also expected to be bearish [3]. - **Non - ferrous Metals**: For copper, long - term long positions can be held. Aluminum prices are affected by the Fed's interest rate decision, and it is recommended to take profits for previous long positions and then go long again. For other non - ferrous metals, different trading strategies are provided according to their respective fundamentals [3]. - **New Energy and Chemicals**: Polysilicon futures are rising, while industrial silicon prices are falling. PX has support at low levels, while PTA and short - fiber are expected to be weak in the short - term. Different trading strategies are recommended for various chemical products based on their supply - demand situations [3]. 3.2.3 Agricultural Products - **Grains and Oils**: Corn is expected to be sideways with a downward bias, while soybean meal and rapeseed meal are expected to move in a narrow range. Palm oil has broken through support levels, and its main contract is testing the support at 8500 [3]. - **Livestock and Poultry**: The spot price of live pigs is expected to be sideways with an upward bias in the short - term due to pickling demand [3]. - **Other Agricultural Products**: Sugar is expected to move sideways at the bottom, cotton is expected to be sideways with an upward bias, and eggs are expected to be sideways with a downward bias [3].

Core Viewpoint - The bond market continues to show a strong trend, with government bond futures rising across the board and a net injection of 110.5 billion yuan in the open market, indicating a stable liquidity expectation as the year-end approaches [1][6]. Market Performance - Government bond futures closed higher, with the 30-year main contract up 0.30% at 112.79, the 10-year main contract up 0.06% at 108.03, the 5-year main contract up 0.06% at 105.825, and the 2-year main contract up 0.04% at 102.456 [2]. - The yield on major interbank bonds mostly declined, with the 10-year policy bank bond "25国开15" yield down 0.75 basis points to 1.908%, and the 30-year government bond "25超长特别国债06" yield down 0.65 basis points to 2.247% [2]. International Market Trends - In North America, U.S. Treasury yields rose across the board, with the 2-year yield up 4.8 basis points to 3.615% and the 10-year yield up 2.35 basis points to 4.188% [3]. - In Asia, Japanese bond yields mostly fell, with the 10-year yield down 0.6 basis points to 1.954% [4]. - In the Eurozone, yields on 10-year bonds also decreased, with French yields down 2.8 basis points to 3.553% and German yields down 1.2 basis points to 2.847% [4]. Funding Conditions - The central bank conducted a 1,898 billion yuan reverse repurchase operation at a fixed rate of 1.40%, resulting in a net injection of 110.5 billion yuan for the day [6]. - The Shibor short-term rates mostly declined, with the overnight rate down 0.5 basis points to 1.298%, marking a new low since August 2023 [6]. Institutional Insights - Xingsheng Fixed Income suggests that the yields on various levels of perpetual bonds are still at relatively low levels compared to 2021, indicating potential investment opportunities in certain regional bonds [7]. - CITIC Securities notes a significant appreciation of the Chinese yuan, which may impact export growth negatively while encouraging imports, particularly affecting industries sensitive to currency fluctuations [8]. - Huatai Securities anticipates a "super week" for central banks, with potential policy divergence expected, indicating a shift in global monetary policy dynamics [8].

固定收益 | 动态跟踪 资金难收紧，债市难大涨 固定收益市场周观察 研究结论 风险提示 政策变化超预期；货币政策变化超预期；经济基本面变化超预期；信用风险暴露超预 期；数据统计可能存在遗漏 | △ * = li | | --- | 报告发布日期 2025 年 12 月 08 日 | 齐晟 | 执业证书编号：S0860521120001 | | --- | --- | | | qisheng@orientsec.com.cn | | | 010-66210535 | | 杜林 | 执业证书编号：S0860522080004 | | | dulin@orientsec.com.cn | | | 010-66210535 | | 王静颖 | 执业证书编号：S0860523080003 | | | wangjingying@orientsec.com.cn | | | 021-63326320 | | 徐沛翔 | 执业证书编号：S0860525070003 | | | xupeixiang@orientsec.com.cn | | | 021-63326320 | | 债市难以复刻 2020 年末行情：固定收益市 | ...

Core Viewpoint - The yield on 30-year government bonds continues to rise, with fluctuations observed throughout the day, indicating a bearish trend in the bond market [1][3]. Group 1: Government Bond Market - The yield on the 30-year government bond active coupon rose by over 2 basis points during the day, with a slight narrowing of the increase in the afternoon [1]. - The closing prices for government bond futures showed a mixed performance, with the 30-year main contract down by 0.29% to 112.240, while the 10-year main contract increased by 0.02% to 107.910 [1]. - As of 16:30, the yield on the 10-year government bond active coupon rose by 0.55 basis points to 1.834%, while the 30-year government bond yield increased by 0.45 basis points to 2.256% [1][2]. Group 2: Market Sentiment and Technical Analysis - Analysts indicate that the 30-year government bond futures have technically broken down, confirming a downward trend, with trading firms continuing to follow this trend [3]. - The market sentiment was slightly calmed by a political bureau meeting, but the bond market still lacks direction, suggesting potential further weakness influenced by upcoming news [3]. Group 3: Central Bank Operations - The central bank conducted a reverse repurchase operation of 122.3 billion yuan at a fixed rate of 1.40%, with a net injection of 14.7 billion yuan for the day [4]. - Short-term Shibor rates have collectively risen, with the overnight rate up by 0.1 basis points to 1.302% and the 7-day rate up by 1.0 basis points to 1.426% [4]. Group 4: Secondary Market Performance - In the secondary market, Vanke bonds showed significant rebounds, with "21 Vanke 04" rising over 31% and "21 Vanke 02" increasing over 23% [2]. - Conversely, some bonds like "22 Vanke 06" and "24 Industrial Integration 08" experienced declines of over 4% [2].

Core Viewpoint - The bond market continues to show weakness, particularly in the ultra-long end, with rising yields and a notable supply-demand imbalance [1][7]. Market Performance - On December 8, the bond market experienced a general increase in yields, with the 30-year government bond yield rising by 1.75 basis points to 2.269% and the 50-year bond yield increasing by 3.9 basis points to 2.415% [2]. - The China Securities Convertible Bond Index rose by 0.40% to 483.93 points, with significant gains in several convertible bonds [2]. International Bond Market - In North America, U.S. Treasury yields rose across the board, with the 10-year yield increasing by 3.89 basis points to 4.137% [3]. - In Asia, Japanese bond yields also increased, with the 10-year yield rising by 2.3 basis points to 1.972% [4]. Primary Market - Agricultural Development Bank's financial bonds had competitive bidding, with the 5-year bond yield at 1.7772% and a bid-to-cover ratio of 3.03 [5]. - The Xinjiang Production and Construction Corps' local bonds saw bid-to-cover ratios exceeding 10, indicating strong demand [5]. Liquidity and Funding - The central bank conducted a reverse repurchase operation of 1,223 billion yuan, resulting in a net injection of 147 billion yuan for the day [6]. - Short-term funding rates, as indicated by Shibor, have generally increased, with the overnight rate rising to 1.302% [6]. Institutional Perspectives - Huatai Fixed Income suggests that while the ultra-long bonds have seen some risk release, the overall market remains cautious, with expectations of increased volatility in ultra-long bonds [7][8]. - Industry analysts from Guosheng Fixed Income do not foresee a significant long-term increase in ultra-long bond spreads but acknowledge short-term risks due to potential market shocks from institutional selling [8].