分析师：孙书娜 登记编号：S0890523070001 研究助理：张琦炜 投资要点 市场回顾： 上周（2025.12.15-2025.12.19）债市继续回暖，1年期国债收益率下行3.32BP至1.35%，10年期国 债收益率下行0.88BP至1.83%，30年期国债收益率下行2.35BP至2.23%。债市当前做多情绪有一定回升，各期 限收益率普遍下行。从当前市场定价逻辑来看，年末前积累的各类利空因素或正逐步消化，但也需注意近期债 市近期修复速度不慢，进一步获取资本利得的空间或有限，当前或仍应以偏中性、震荡思维对待为佳。 公募基金市场动态 ： 货币基金收益率持续走低，为维护持有人利益，现有多只货币基金限购。 泛固收基金指数表现跟踪 ： 货币增强指数： 上周收涨0.03%，成立以来累计录得4.43%的收益。 短期债基优选： 上周收涨0.04%，成立以来累计录得4.57%的收益。 中长期债基优选： 上周收涨0.08%，成立以来累计录得6.77%的收益。 低波固收+基金优选： 上周收涨0.22%，成立以来累计录得4.49%的收益。 中波固收+基金优选： 上周收涨0.12%，成立以来累计录得6.25%的收益。 高波固 ...

周度报告-国债期货 情绪好转，债市有望温和修复 [Table_Rank] 走势评级： 国债：震荡 报告日期： 2025 年 12 月 21 日 [Table_Summary] ★一周复盘：国债期货短强长弱 本周（12.15-12.21）国债期货短强长弱。周一，11 月经济数据普 遍不及市场预期，且股市震荡偏弱，但债市由机构行为主导， 全天震荡下跌，TL 跌幅较大。周二，国内股市大幅下跌，此前 表现较强的贵金属、有色金属也出现调整，TL 盘中虽一度拉 升，但仍然收跌，T 和 TF 表现略偏强。周三，股市大幅上涨， 但由于前期国债期货跌幅较大，且市场期待 LPR 利率会有所下 调，因此国债期货全线上涨。周四，市场对 14 天逆回购利率下 调的预期有所升温，股市小幅上涨，现券曲线走陡。TL 强于超 长端现券。周五，股市小幅上涨，国债曲线走陡。尾盘市场对 央行买债规模上升的预期升温，国债期货快速拉升。截至 12 月 19 日收盘，两年、五年、十年和三十年期国债期货主力合约结 算价分别为 102.480、105.925、108.080 和 112.290 元，分别较上 周末变动+0.018、+0.105、+0.085 ...

证券研究报告 | 固定收益 gszqdatemark 2025 12 13 年 月 日 固定收益点评 融资依然存在放缓压力 11 月贷款增速继续放缓，居民贷款连续负增长，票据冲量特征明显。11 月新增信贷 3900 亿元，同比少增 1900 亿元，新增信贷规模已连续 5 个 月同比少增。从分项来看，信贷增长依然依赖于票据冲量，居民贷款及企 业中长期贷款新增规模同比均延续少增态势。11 月企业信贷当月新增 6100 亿元，同比增加 3600 亿元，主要得益于短期贷款的增加。其中企业 中长期贷款当月新增 1700 亿元，同比少增 400 亿元；而票据融资当月新 增 3342 亿元，同比多增 2119 亿元。居民贷款方面，11 月居民贷款新增 -2063 亿元，同比多减 4763 亿元。其中居民中长期贷款当月新增 100 亿 元，同比少增 2900 亿元；居民短贷当月新增-2158 亿元，同比多减 1788 亿元。居民贷款已连续两个月新增为负，且同比连续 5 个月同比少增，这 与地产销售放缓一致。 社融同比小幅多增，增速保持平稳。11 月新增社融 2.49 万亿元，同比多 增 1597 亿元，社融存量同比增长 8. ...

Core Insights - October inflation data shows a shift in CPI from decline to increase, with PPI's rate of decline narrowing, significantly influenced by prices of gold and non-ferrous metals [1][4][25] - October CPI increased by 0.2% year-on-year, reversing a 0.3% decline from the previous month, marking the highest value since February of this year [1][6] - PPI's year-on-year decline narrowed by 0.2 percentage points to -2.1%, marking the third consecutive month of narrowing [1][21] CPI Analysis - Food prices showed slight improvement, with a 2.9% decline, but the drop was less severe than the previous month, impacting CPI by approximately 0.54 percentage points [2][14] - Core CPI rose by 1.2% year-on-year, the highest since March 2024, with gold prices being a major driver [2][10] - Domestic gold futures prices increased by 52.8% year-on-year, significantly higher than the previous month's growth rate [2][10] PPI Analysis - PPI for October showed a year-on-year decline of 2.1%, with notable performance in the non-ferrous sector, particularly in mining and metal processing [3][21] - The prices in the non-ferrous mining and metal processing industries increased by 5.3% and 2.4% respectively, the highest among all sectors [3][21] - Life goods PPI decreased by 1.4% year-on-year, with a narrowing decline compared to the previous month [3][21] Market Outlook - The rise in prices is influenced by multiple factors, including the increase in gold prices and extreme weather affecting vegetable prices, leading to an unexpected overall price increase [4][25] - Future price trends remain uncertain, with a potential decline in gold prices in early November and weak terminal demand affecting price transmission from upstream to downstream sectors [4][26] - The bond market is entering a recovery phase, with a recommendation for a barbell strategy to manage risks and capitalize on potential interest rate declines [4][26]

Group 1: Inflation Trends - In October, the Consumer Price Index (CPI) shifted from a decrease of 0.3% to an increase of 0.2%, marking the highest value since February of this year, with a seasonal level higher than the previous two years [1][8] - The Producer Price Index (PPI) saw a narrowing decline of 0.2 percentage points to -2.1%, marking the third consecutive month of narrowing [1][8] - Gold prices significantly impacted both CPI and PPI, with domestic gold futures prices increasing by 52.8% year-on-year, a substantial rise of 9.5 percentage points compared to September [2][12] Group 2: Food Prices and Core CPI - Food prices decreased by 2.9%, with the decline narrowing by 1.5 percentage points from the previous month, affecting CPI by approximately 0.54 percentage points [2][16] - Core CPI rose by 1.2%, the highest since March 2024, with a month-on-month increase of 0.2% [2][9] - The increase in core CPI was primarily driven by gold prices, with other goods and services related to gold also showing a significant year-on-year increase of 12.8% [2][12] Group 3: PPI and Industry Performance - The PPI for October showed a year-on-year decline of 2.1%, with notable performance in the non-ferrous industry, where prices increased by 5.3% and 2.4% for mining and metal processing, respectively [3][21] - The narrowing decline in PPI was attributed to ongoing capacity management and increased demand for coal mining and washing, with a reduction in the decline of 1.2 percentage points compared to the previous month [3][21] - Life goods PPI decreased by 1.4%, with the decline narrowing by 0.3 percentage points from the previous month [3][21] Group 4: Market Outlook and Strategy - The rise in prices is influenced by multiple factors, including the increase in gold prices and weather-related impacts on vegetable prices, leading to an unexpected overall price increase [4][23] - The bond market is entering a recovery phase, with a recommendation for a barbell strategy to manage risks while benefiting from potential interest rate declines [4][25] - The 10-year government bond yield is expected to recover to a range of 1.6%-1.65% by the end of the year [4][25]

Market Overview and Analysis - The primary market saw the issuance of government bonds, local government bonds, and policy financial bonds amounting to 0 billion, 270.7 billion, and 142 billion respectively, with net financing of 0 billion, 178 billion, and 142 billion [1] - Financial bonds (excluding policy financial bonds) totaled an issuance of 92.1 billion with a net financing of 24.7 billion, while non-financial credit bonds had an issuance of 218.7 billion and a net financing of 3.6 billion [1] Secondary Market Review - The central bank announced the resumption of government bond trading operations, leading to a decline in bond market yields, influenced by signals of monetary easing and weak economic data [2] Liquidity Tracking - As the month-end approaches, the funding environment remains stable, with R001 and R007 rates rising by 2.7 basis points each compared to the previous week [3] Policy and Fundamentals - The October manufacturing PMI indicates significant downward pressure on traditional industries, with high-frequency data showing stable production at month-end, continued weakness in real estate consumption, and a mixed price performance [4] Overseas Market - The trade sentiment between China and the U.S. has improved, while Federal Reserve Chairman Powell has adopted a hawkish stance. The 10-year U.S. Treasury yield closed at 4.11%, up 9 basis points from the previous week [5] Equity Market - A-shares experienced a pullback after initially rising due to positive developments in U.S.-China negotiations and overcrowding in the tech sector. The Wind All A index fell by 0.52%, with power equipment and non-ferrous metals leading gains, while communications lagged [6] - The average daily trading volume increased significantly to 2.33 trillion, with a weekly average decrease of 528.02 billion. As of October 30, 2025, the total financing balance for all A-shares was 24,811.49 billion, an increase of 47.25 billion from October 23 [6] Bond Market Strategy Outlook - The resumption of government bond trading is expected to lead to a recovery period in the bond market, but caution is advised against chasing high prices. The central bank's focus on medium to short-term bonds is more certain, while long-term bonds may not perform as strongly in the short term [7] - In the credit bond sector, increased liquidity suggests a potential for higher allocation in flexible medium-duration investment-grade bonds and secondary capital bonds to capture capital gain opportunities [7] - For convertible bonds, the market has shown volatility influenced by U.S.-China tensions and domestic policy expectations, making it challenging to navigate. A risk-reward framework is recommended, focusing on dividend and value convertible bonds when the index approaches the upper range and on high-growth technology and export sectors when nearing the lower range [7]

Group 1 - The core viewpoint of the articles indicates that the bond market is experiencing a recovery trend, supported by the central bank's resumption of government bond trading operations and improved market sentiment following the recent US-China summit [1][2][4]. - The 10-year government bond yield has broken below the 1.8% mark, reflecting a positive shift in market expectations and a return to fundamental trading logic [1][5]. - The central bank's decision to restart government bond trading is expected to enhance liquidity in the banking system and stabilize market expectations, which is crucial for the bond market's recovery [2][5]. Group 2 - Recent economic data shows that the manufacturing PMI has dropped to 49% in October, indicating ongoing demand-side pressures, despite some seasonal effects [3][4]. - The central government's fiscal measures, including the allocation of 500 billion yuan to local governments, aim to support economic recovery and complement monetary policy [2][4]. - The bond market has largely priced in recent negative factors, including the easing of US-China trade tensions and the impact of new fund redemption regulations [4][5]. Group 3 - The overall macroeconomic environment for the bond market in the fourth quarter suggests limited upward movement in interest rates, with the 10-year government bond yield expected to range between 1.8% and 1.9% [5]. - The bond market's upward potential is constrained by a cautious approach from the central bank regarding risk control, making it unlikely for interest rates to replicate the significant declines seen in December of the previous year [5].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In October, the trading sentiment in the bond market recovered, with the interest rate oscillation range significantly lower than in September. Overall, the trading willingness of funds significantly recovered, while allocation players seized the opportunity to exit the market. The potential for a year - end "rush to allocate" seasonal bond market rally is uncertain, and the restoration of allocation players' strength remains doubtful. The high duration of bond funds also poses risks [1][10][45]. 3. Summary by Directory 3.1 10月：债市修复期，各类机构在买卖什么？ - **Market Situation**: In October, the trading sentiment in the bond market recovered, and the interest rate oscillation range was significantly lower than in September. The main bond market trend remained unclear, and various factors successively affected the market trend, with the interest rate generally maintaining a range - bound oscillation [10]. - **Overall Institutional Behavior**: The trading willingness of funds significantly recovered, with the average daily net purchase of spot bonds turning positive for the first time since July, reaching 176 million yuan. The average daily net selling of rural commercial banks increased from 148 million yuan in September to 253 million yuan. Although insurance and large - scale banks maintained net purchases, their average daily net purchase amounts decreased from 182 million yuan to 143 million yuan and from 193 million yuan to 50 million yuan respectively [10]. 3.1.1 大行：全面加大3Y以内短债净买入力度，平衡持仓久期 - **Reason for Behavior**: After large - scale banks bought long - term treasury bonds and policy - financial bonds in September, they shifted to comprehensively increasing the net purchase of short - term bonds within 3 years in October, possibly to balance the duration of their holdings [16]. - **Specific Buying Behavior**: In October, large - scale banks further strengthened the net purchase of 1 - 3Y old treasury bonds (the average daily net purchase increased to 6.7 billion yuan). They also significantly increased the net purchase of new and old treasury bonds within 1 year and new 1 - 3Y treasury bonds (the average daily net purchase increased to 1.6 billion yuan, 5 billion yuan, and 2.4 billion yuan respectively). The average daily net purchase of 7 - 10Y old treasury bonds and old policy - financial bonds decreased to 400 million yuan and 500 million yuan respectively [17]. - **Purchase Rhythm and Annual Data**: The peak of large - scale banks' net purchase of treasury bonds within 3 years occurred between the 20th and 28th. After the central bank announced it would resume bond - buying, the scale of large - scale banks' net purchase of short - term bonds declined. From January to October this year, large - scale banks' cumulative net purchase of 1 - 3Y treasury bonds was 88.61 billion yuan, exceeding 78.16 billion yuan in the same period last year; the cumulative net purchase of treasury bonds within 1 year also reached 43.55 billion yuan. The central bank's resumption of bond - buying may not necessarily mean that large - scale banks need to replenish their positions on a large scale in the secondary market, and the positive impact on short - term varieties may converge [20]. 3.1.2 农商行和保险：趁修复之际快速持续卖出 - **Rural Commercial Banks**: In October, the net selling of rural commercial banks spread from long - term and ultra - long - term to short - term bonds. The selling pressure on 7 - 10Y policy - financial bonds was the greatest throughout the month. They closely followed the interest rate for "buying high and selling low" operations, with the selling intensity significantly greater than the buying intensity. The average daily net selling of long - term and ultra - long - term interest - rate bonds increased from 90 million yuan in September to 700 million yuan, but the net selling intensity was weaker than in June, another repair period [28]. - **Insurance Companies**: In October, the average daily net selling of 20 - 30Y treasury bonds by insurance companies reached a new high since 2023, with the average daily net selling scale reaching 210 million yuan. The net purchase of 20 - 30Y local government bonds decreased significantly, which is in line with the rule that their purchase volume closely follows the supply volume [33]. 3.1.3 基金：积极参与信用二永票息与国开 - 国债利差策略 - **Seeking Spread Trading Opportunities**: During the previous bond market adjustment, ultra - long - term bonds, Tier 2 capital bonds, and policy - financial bonds favored by funds generally faced significant selling pressure, opening up spread spaces. In October, funds began to seek spread trading opportunities for these bonds. The buying intensity for 7 - 10Y policy - financial bonds and 7 - 10Y other bonds (mainly Tier 2 capital bonds with a remaining maturity of 2 - 5Y) was the strongest, with the total net purchase scale in the month reaching 6.84 billion yuan and 4.54 billion yuan respectively. They remained cautious about ultra - long - term bonds, with the net purchase of treasury bonds over 10 years only at 1.94 billion yuan throughout the month [38]. - **Exploring Short - Term Spread Trading Space**: On October 31, the spot bond data showed that the net purchase of 3 - 5Y policy - financial bonds by funds jumped to 970 million yuan. As the positive impact of the central bank's resumption of bond - buying on short - term treasury bonds weakened, funds may start to explore the spread trading space between short - term policy - financial bonds and treasury bonds [38]. - **Selecting Coupon Assets**: Since there was still no major trend in the bond market, some funds actively selected coupon assets to seek the certainty of coupon income. In October, the total net purchase of credit bonds by funds increased from 1.42 billion yuan in September to 13.26 billion yuan, the highest since July, but still lower than in the second quarter [38]. 3.2 11月：会有年末抢配行情出现吗？ - **Uncertainty of Allocation Players' Restoration**: The restoration of the bond - allocation strength of rural commercial banks and insurance companies is likely to be limited, and the timing for allocation players to enter the market is more focused on quarterly timing. The year - end "rush to allocate" seasonal bond market rally may not reappear this year [46]. - **Uncertainties for Large - Scale Banks**: The potential for large - scale banks to undertake bond purchases faces uncertainties such as liability - side instability, profit - taking demands, and pressure on interest - rate risk indicators. Although the supply of ultra - long - term bonds in the fourth quarter is expected to be lower than in the second and third quarters, and the pressure on interest - rate risk indicators is expected to ease, there are still potential uncertainties, including the large - scale maturity of high - interest time deposits in the fourth quarter, the possible acceleration of credit issuance, and the banks' profit - taking demands in the fourth quarter [47]. - **High Duration Risk of Bond Funds**: The duration of bond funds remains at a historically high level, and their risk - resistance ability is relatively weak. If the official draft of the new regulations on fund sales fees is implemented at the end of the year, or if funds are redeemed by banks and wealth management products for other reasons, there is a possibility of a negative feedback loop due to the concentrated release of duration risk. However, the market currently has limited pricing for this risk, and there may not be many foreseeable negative factors in November. More attention can be paid to whether there will be regulatory and stimulus policy expectations in December [49].

Report Industry Investment Rating - Not provided in the report Core Viewpoints - The central bank's resumption of treasury bond trading is not just a one - off benefit. It can continuously improve the bond market trading structure and enhance banks' willingness to allocate bonds, helping the bond market to continue its repair and the interest rate to decline in an oscillatory manner [6][10][11] - Although many investors interpret the central bank's resumption of treasury bond trading as a one - off benefit, as the market's expectation of monetary policy has returned to neutral in 2025, it is difficult for the bond market to replicate last year's fourth - quarter rally. However, it will still have a positive impact on the bond market [6] Summary by Directory 1. Bond Market Weekly Viewpoint - The central bank's resumption of treasury bond trading served as a catalyst for the decline in interest rates, which is in line with the previous judgment of bond market repair and interest rate peaking in the fourth quarter [6][9] - The trading structure of the bond market this year is characterized by funds "fighting alone", with banks showing low enthusiasm for participating in the bond market. The central bank's resumption of treasury bond purchases will promote banks to expand their balance sheets again and increase their willingness to allocate bonds [10] 2. This Week's Focus in the Fixed - Income Market 2.1 Concern about Domestic Inflation and Export Data - This week, China will release October's Caixin Manufacturing PMI, CPI, PPI, etc., and the US will release October's ISM Manufacturing PMI, ADP employment figures, etc. The Bank of England will announce its interest - rate decision [15][16] 2.2 This Week's Expected Interest - Rate Bond Issuance Volume - This week, the issuance scale of interest - rate bonds is expected to be 562.1 billion yuan, including 330.5 billion yuan of treasury bonds, 91.6 billion yuan of local bonds, and about 140 billion yuan of policy - bank bonds [16][17] 3. Review and Outlook of Interest - Rate Bonds 3.1 Net Open - Market Operation Injection of 1.4 Trillion Yuan - Last week, the central bank's reverse - repurchase net injection was 1.2 trillion yuan, and the MLF net injection was 200 billion yuan, with a total net injection of 1.4 trillion yuan in open - market operations. The funds were stable across the month [20][21] - The issuance scale of certificates of deposit (CDs) remained relatively high, mainly medium - term issuance. The prices in the primary and secondary markets decreased significantly with the improvement of market sentiment [27] 3.2 Rapid Decline in Bond Market Interest Rates - Last week, the bond market sentiment was optimistic, and yields declined rapidly. The central bank's resumption of treasury bond trading, successful Sino - US consultations, loose funds, and lower - than - expected October PMI all contributed to the decline [41] - The yields of 10 - year treasury bonds and active state - development bonds decreased by 5.3bp and 5.4bp respectively to 1.79% and 1.86%. The yields of 1 - year, 3 - year, 5 - year, 7 - year, and 10 - year ChinaBond treasury bonds decreased by 8.9bp, 11.5bp, 5.1bp, 9.6bp, and 5.3bp respectively [41] 4. High - Frequency Data - On the production side, the operating rates were divided. The blast - furnace and semi - steel tire operating rates decreased, while the PTA and asphalt operating rates increased. The year - on - year growth rate of the average daily crude - steel output in mid - October widened negatively [49] - On the demand side, the year - on - year growth rates of passenger - car manufacturers' wholesale and retail sales changed differently. The year - on - year growth rate of the commercial - housing transaction area weakened again. The SCFI and CCFI composite indexes increased by 10.5% and 2.9% respectively [49] - In terms of prices, crude - oil prices continued to decline, copper and aluminum prices increased, coal prices were divided, and prices of many mid - stream commodities increased. The prices of downstream consumer products such as vegetables, fruits, and pork also changed [50]

Report Industry Investment Rating No information about the report industry investment rating is provided in the content. Core Viewpoints of the Report - The bond market entered a repair period this week, with yields across all tenors generally declining. The subsequent repair market may continue as the risk factors that led to the bond market adjustment in the third quarter receded and the central bank stabilized market expectations [1][8]. - During the bond market repair, certificates of deposit (CDs) lagged. The CD yields remained relatively high, constraining the overall short - term interest rates. This was mainly due to the reduction of CD holdings by banks and foreign investors [2][9]. - In the short term, the constraints on CD yields may ease, and CD yields are expected to decline. A dumbbell - shaped allocation strategy is recommended, and the 10 - year Treasury yield is expected to recover to 1.6% - 1.65% by the end of the year [5][21]. Summary by Related Catalogs Bond Market Repair - This week, the bond market repaired rapidly, with the 10 - year and 30 - year Treasury yields dropping 5.3bps and 7.0bps to 1.8% and 2.14% respectively, and the 3 - year and 5 - year secondary capital bond yields falling 9.1bps and 7.7bps. The 1 - year AAA CD yield dropped 4.8bps to 1.63% [1][8]. - In the third quarter, the bond market performance deviated from the fundamentals and capital situation, which was due to increased risk appetite and the digestion of previous over - increases. Currently, with fundamental pressure and a growing asset shortage, interest rates may decline, and the central bank's decision to resume Treasury bond trading stabilized market expectations, so the bond market repair may continue [1][8]. Reasons for High CD Yields - **Reduction in Allocation by Banks and Foreign Investors**: From March to September this year, the total CD custody decreased by 1.2 trillion yuan. Banks reduced their CD holdings by 1.25 trillion yuan, with large - scale banks and rural commercial banks reducing the most, and foreign investors reduced their holdings by 421.7 billion yuan. In contrast, broad - based funds increased their holdings by 34.6 billion yuan [2][12]. - **Banks' Regulatory Pressure**: This year, banks' liability - side duration has shortened, while the asset - side duration has lengthened, leading to a deeper mismatch between assets and liabilities. Some joint - stock banks are close to the regulatory red line of the Net Stable Funding Ratio (NSFR). In October, the joint - stock banks with the greatest pressure on this indicator had a net CD financing of 624.4 billion yuan, which weakened banks' CD allocation [3][13]. - **Exchange Rate Impact on Foreign Investors**: As the RMB exchange rate shifted from depreciation pressure to appreciation pressure, the forward premium decreased, causing foreign investors engaged in bond market arbitrage to withdraw. From April to September, foreign investors' CD holdings decreased from 1.3 trillion yuan to 856.1 billion yuan, with an average monthly decrease of 8.43 billion yuan [4][18]. Outlook for CD Yields - **Easing of Constraints**: In October, the large - scale net CD financing of 797.3 billion yuan effectively alleviated banks' liability pressure and future financing needs. Foreign investors' CD holdings are expected to drop to around 60 billion yuan by the end of the year, with limited room for further decline, so the short - term constraints on CD yields may ease [4][20]. Investment Strategy - A dumbbell - shaped strategy is recommended. It can control risks through duration and potentially benefit from the overall interest rate decline and narrowing spreads. It is expected that interest rates will decline more smoothly in the second half of the fourth quarter, and the 10 - year Treasury yield is expected to recover to 1.6% - 1.65% by the end of the year [5][21].