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。（2） 通胀：8月CPI同比下降0.4%。 资金面：（3）财政：8月末，M2同比增长8.8%，M1同比回升至6%，剪刀差连续收窄，显示资金活性增强，企业经 营活力改善。前八个月人民币贷款增加13.46万亿元，社融增量累计26.56万亿元，政府债券融资占比高企，反映企 业中长 ...

Report Summary 1. Report Industry Investment Rating There is no information about the industry investment rating in the provided content. 2. Core Viewpoints - A-share market's intraday adjustment boosts risk aversion, leading to a full - scale rise in Treasury bond futures. Bank - to - bank major - term spot - rate Treasury bond yields mostly decline slightly, and the money market remains stable and loose at the beginning of the month. The bond market sentiment is still weak due to various negative factors, but it may stabilize in October after risk clearance. The counter - offensive phase may require a resurgence of easing expectations, and it is advisable to wait patiently for better bond - market allocation opportunities, which may appear in the middle to late fourth quarter [8][9][10][11][12]. 3. Summary by Directory 3.1 Market Review and Operation Suggestions - **Market Conditions**: A - share's intraday adjustment boosts risk aversion, and Treasury bond futures rise across the board. Bank - to - bank major - term spot - rate Treasury bond yields mostly decline slightly, with the 10 - year Treasury bond active bond 250011 yield dropping 0.7bp to 1.754% by 16:30. The money market is stable and loose at the beginning of the month. The central bank conducts a net injection of 91 billion yuan, short - term money rates mostly fall, and the 1 - year AAA certificate of deposit rate rises slightly [8][9][10]. - **Conclusion**: In October, the bond market may face more negatives than positives. However, it may enter a window period for risk clearance after negative factors are realized and is expected to stabilize. The counter - offensive may require a resurgence of easing expectations, and it is recommended to wait for better bond - market allocation opportunities, which may occur in the middle to late fourth quarter [11][12]. 3.2 Industry News - China officially imposes special port fees on US ships starting today. - Trump hints at canceling new tariffs on China. - China's total goods trade imports and exports in the first three quarters reach 33.61 trillion yuan, a 4% year - on - year increase, with accelerating quarterly growth. - The 2025 Financial Street Forum Annual Conference will be held from October 27th to 30th. - The issuance of the 1.3 - trillion - yuan ultra - long - term special Treasury bonds in 2025 is successfully completed [13][14]. 3.3 Data Overview - **Treasury Bond Futures**: It includes data on Treasury bond futures trading, such as contract prices, trading volumes, and open interests. It also involves data on the spreads between different Treasury bond futures contracts (inter - term and inter - variety spreads) and the trends of major Treasury bond futures contracts [6]. - **Money Market**: It presents data on the money market, including the changes in the weighted average rates of inter - bank pledged repurchase and the trends of SHIBOR [24][32]. - **Derivatives Market**: It shows the average curves of Shibor3M and FR007 interest - rate swaps [36].

Core Viewpoint - The recent volatility in the government bond futures market is influenced by various factors, including rising market risk aversion due to trade tensions, changes in monetary policy expectations, and uncertainties in the economic fundamentals of China [1][2]. Group 1: Market Influences - The increase in market risk aversion is primarily driven by escalating trade frictions, which have heightened the demand for safe-haven assets [1]. - The People's Bank of China (PBOC) has engaged in significant monetary operations, including a 1.1 trillion yuan reverse repurchase operation, which has raised expectations for continued monetary easing [1]. - The manufacturing PMI for September remains in contraction territory, indicating ongoing uncertainties in China's economic recovery, although there is optimism regarding technology-led growth [1]. Group 2: Regulatory and Economic Factors - The release of the draft regulation on the management of public fund sales fees has introduced new uncertainties, leading some institutions to preemptively sell off assets, which has pressured the market [1]. - The strong performance of the stock market in September has also exerted some downward pressure on the bond market [1]. Group 3: Future Outlook - The bond market's future performance will depend on the development of trade tensions; a short-lived escalation may not significantly alter monetary policy expectations [2]. - The upcoming Fourth Plenary Session of the 20th Central Committee of the Communist Party of China is crucial, as any signals regarding economic stability could impact market confidence [2][3]. - Continuous monitoring of supply-demand dynamics in the bond market and changes in liquidity conditions is essential [3].

Core Viewpoint - The bond market experienced significant fluctuations on October 14, with a net injection of 91 billion yuan in the open market, indicating a supportive funding environment despite ongoing trade tensions and cautious market sentiment [1][5]. Market Performance - Government bond futures opened lower but closed higher across the board, with the 30-year main contract rising by 0.34% and the 10-year main contract increasing by 0.11% [2]. - The yield curve for major interbank bonds shifted downward in the afternoon, with the 10-year government bond yield decreasing by 1 basis point to 1.752% [2]. Overseas Market Trends - In North America, U.S. Treasury yields fell across the board, with the 10-year yield dropping by 6.37 basis points to 4.053% [3]. - In the Eurozone, the 10-year French bond yield decreased by 1 basis point to 3.467%, while the German bond yield fell by 0.8 basis points to 2.635% [3]. Primary Market Activity - The Ministry of Finance's 1-year fixed-rate bond had a weighted average yield of 1.38%, with a bid-to-cover ratio of 2.22 [4]. - The China Development Bank's 2-year, 5-year, and 10-year financial bonds had respective yields of 1.6085%, 1.7564%, and 2.0008%, with bid-to-cover ratios of 2.96, 4.03, and 4.94 [4]. Funding Conditions - The central bank conducted a 910 billion yuan reverse repo operation at a rate of 1.40%, resulting in a net injection of 910 billion yuan for the day [5]. - Shibor rates showed mixed performance, with the overnight rate rising slightly while the 7-day and 14-day rates fell, indicating a divergence in short-term funding conditions [5]. Institutional Insights - Institutions expect a neutral to slightly bullish bond market in October, with potential for a smoother decline post-December [6]. - Credit spreads are anticipated to remain volatile, with a focus on short to medium-term credit bonds as the market adjusts to ongoing economic conditions [7].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Affected by the tariff black - swan market, the risk appetite declined, impacting the bond market. The continuous expectation of the Fed's interest rate cut and the increasing global trade uncertainty added to the uncertainty of foreign capital inflows. Overall, the bond market oscillated between the expectations of stable growth and monetary easing, and short - term attention should be paid to the policy signals at the end of the month [3]. 3. Summary by Catalog I. Interest Rate Pricing Tracking Indicators - Price indicators: China's CPI (monthly) had a 0.00% month - on - month change and - 0.40% year - on - year change; China's PPI (monthly) had a 0.00% month - on - month change and - 2.90% year - on - year change [9]. - Monthly economic indicators: Social financing scale was 433.66 trillion yuan, with an increase of 2.40 trillion yuan (0.56%); M2 year - on - year was 8.80%, with no change; Manufacturing PMI was 49.80%, with a 0.40% (0.81%) increase [9]. - Daily economic indicators: The US Dollar Index was 99.24, up 0.40 (0.40%); USD/CNH (off - shore) was 7.1370, down 0.005 (- 0.07%); SHIBOR 7 - day was 1.45, up 0.04 (3.14%); DR007 was 1.45, up 0.06 (3.94%); R007 was 1.53, up 0.02 (1.49%); AAA - rated 3 - month inter - bank certificates of deposit was 1.59, up 0.01 (0.82%); AA - AAA credit spread (1Y) was 0.09, up 0.00 (0.82%) [9]. II. Overview of the Treasury Bond and Treasury Bond Futures Market No specific content other than referring to relevant figures (such as the closing price trend of the main continuous contract of treasury bond futures, the price change rates of various treasury bond futures varieties, etc.) is provided. The data sources for these figures are Flush and Huatai Futures Research Institute [11][13][15]. III. Overview of the Money Market Liquidity The section mainly shows relevant figures including Shibor rate trend, the maturity yield trend of AAA - rated inter - bank certificates of deposit, the trading statistics of inter - bank pledged repurchase, and local government bond issuance. The data sources are Flush and Huatai Futures Research Institute [24]. IV. Spread Overview The section presents figures about the inter - period spread trend of various treasury bond futures varieties and the term spread of spot bonds and cross - variety spreads of futures. The data sources are Flush and Huatai Futures Research Institute [27][28][29]. V. Two - Year Treasury Bond Futures The section includes figures 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. The data sources are Flush and Huatai Futures Research Institute [33][38][44]. VI. Five - Year Treasury Bond Futures The section contains figures like 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. The data sources are Flush and Huatai Futures Research Institute [46][50][52]. VII. Ten - Year Treasury Bond Futures The section shows figures including 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. The data sources are Flush and Huatai Futures Research Institute [53][55][56]. VIII. Thirty - Year Treasury Bond Futures The section presents figures 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. The data sources are Flush and Huatai Futures Research Institute [60][62][66]. Strategies - Unilateral strategy: With the decline of repurchase rates and the oscillation of treasury bond futures prices, a cautious and bullish stance is recommended for the 2512 contract [4]. - Arbitrage strategy: Pay attention to the decline of the basis of TF2509 [5]. - Hedging strategy: There is medium - term adjustment pressure, and short - position holders can use far - month contracts for appropriate hedging [5].

Report Summary 1. Report Industry Investment Rating No information provided on the industry investment rating. 2. Core View - On Monday, Treasury bond spot yields weakened collectively, while Treasury bond futures strengthened. The DR007 weighted average rate rebounded to around 1.45%. Domestically, the import growth rate in September significantly rebounded, and the export to major economies continued to grow. The manufacturing PMI rebounded to 49.8, and the non - manufacturing PMI fell to the critical point. Overseas, the US announced plans to impose a 100% tariff on China, then released a conciliatory signal. The US government is in a shutdown state, and the labor market has cooled, strengthening the market's expectation of the Fed's interest - rate cut. Driven by risk - aversion sentiment, the bond market may get some support, and interest rates may decline slightly in the short term. The probability of the new tariff actually being implemented is low. The performance of the bond market will be affected by the progress of the new public bond fund regulations, the fundamental trend, and market risk preference. It is recommended to try long positions with a light position and closely monitor policy trends and sentiment changes [2]. 3. Summary by Relevant Catalogs 3.1 Futures Market - **Futures Prices and Volumes**: The closing prices of T, TF, TS, and TL main contracts increased by 0.1%, 0.03%, 0.02%, and 0.37% respectively. The trading volumes of T, TF, TS, and TL main contracts were 85,927, 60,280, 31,658, and 124,744 respectively, all showing an increase compared to the previous period [2]. - **Futures Spreads**: The spreads of TL2512 - 2603, T2512 - 2603, TF2512 - 2603, and TS2512 - 2603 all increased, while the spreads of T12 - TL12, TF12 - T12, TS12 - T12, and TS12 - TF12 decreased [2]. - **Futures Positions**: The positions of T, TF, TS, and TL main contracts were 223,514, 127,796, 65,877, and 144,977 respectively. The positions of T and TF main contracts increased, while those of TS and TL decreased. The net short positions of T, TF, and TL increased, while that of TS decreased [2]. 3.2 Bond Market - **CTD Bonds**: The net prices of some CTD bonds increased, while others decreased [2]. - **Active Treasury Bonds**: The yields of 1 - year, 3 - year, 5 - year, 7 - year, and 10 - year active Treasury bonds decreased by 0.5bp, 1bp, 1.8bp, 2bp, and 3.45bp respectively [2]. 3.3 Interest Rates - **Short - term Interest Rates**: The overnight silver - pledged repo rate increased by 1.98bp, the 7 - day silver - pledged repo rate increased by 10.74bp, and the 14 - day silver - pledged repo rate remained unchanged. The overnight Shibor remained unchanged, the 7 - day Shibor increased by 4.4bp, and the 14 - day Shibor decreased by 1.6bp [2]. - **LPR Rates**: The 1 - year and 5 - year LPR rates remained unchanged [2]. 3.4 Open Market Operations - The issuance scale of reverse repurchase was 137.8 billion yuan, the maturity scale was 0, and the interest rate was 1.4% for 7 days [2]. 3.5 Industry News - In September, China's exports (in US dollars) increased by 8.3% year - on - year, imports increased by 7.4% year - on - year, and the trade surplus was 90.45 billion US dollars. China's September rare - earth exports were 4,000.3 tons, and imports were 6,864.7 tons. On October 12, US Vice - President Vance released conciliatory signals regarding Trump's new tariff threat [2]. 3.6 Key Events to Watch - On October 16 at 02:00, the Fed will release the Beige Book of Economic Conditions. On October 16 at 20:30, the US September retail sales month - on - month rate will be announced [3].

Group 1: Report Overview - Report Type: Fixed Income Report - Release Date: October 13, 2025 - Analyst: Liang Weichao - SAC Registration Number: S1340523070001 - Email: liangweichao@cnpsec.com [1][2] Group 2: Investment Rating - No specific industry investment rating is provided in the report. Group 3: Core Viewpoints - The bond market is expected to move in a volatile manner in the fourth quarter. The 30 - 10 and 10 - 1 year Treasury yield spreads have reflected the risk preference repair, and the current bond market has allocation value. Supply pressure is expected to ease, there may be opportunities for monetary easing, and redemption pressure will persist. The bond market may alternate between repair and adjustment, with repair driven by allocation value and adjustment due to redemption pressure. If there is an opportunity for monetary easing, the emotional repair will accelerate, followed by faster unwinding and selling [3][10]. - After the holiday, liquidity enters the seasonal easing window at the beginning of the quarter. The marginal easing of the capital market has intensified, and the current capital price has fallen to the lowest level in the same period of history, with the central level dropping back to the policy rate. The continued decline in capital prices has promoted the warming of easing expectations and the repair of bond market sentiment [3][10]. - The short - end is in a high - allocation value range, and the long - short term spread has fully priced in the risk preference repair. The current pricing level is close to the historical average, so the long - short term spread is reasonably priced, which can control the risk of further upward movement of the long - end. The downward drive of the long - end depends on the decline of risk preference or the opportunity of monetary easing [3][12]. - Recently, the risk - aversion sentiment has increased, and bond market trading is "better to stop than to chase". The risk - aversion sentiment comes from international geopolitics with high uncertainty, the disturbance of redemption problems still exists during the market repair, and the yield is about to fall to the chip - intensive area. Therefore, although the bond market has recovered under the drive of risk - aversion sentiment, the yield is unlikely to return to the state of rapid decline, and chasing the rise requires caution [4][14]. Group 4: Summary by Directory 1. Is it time to chase or stop the risk - aversion sentiment? - **Market Outlook**: The bond market in the fourth quarter may move in a volatile manner. The yield spreads have reflected risk preference repair, and the market has allocation value. Supply pressure may ease, there may be monetary easing opportunities, and redemption pressure will continue. The market may alternate between repair and adjustment [10]. - **Liquidity Analysis**: After the holiday, liquidity enters the seasonal easing window at the beginning of the quarter. The capital price has fallen to the lowest level in the same period of history, and the continued decline has promoted the warming of easing expectations and bond market sentiment. This is related to the calendar effect of funds and the central bank's liquidity management [10]. - **Short - end and Term Spread Analysis**: The short - end is in a high - allocation value range as the risk of capital tightening is low. The long - short term spread has fully priced in the risk preference repair, and the current pricing is close to the historical average, which can control the long - end upward risk. The long - end downward drive depends on risk preference decline or monetary easing [12]. - **Risk - aversion and Trading Advice**: The risk - aversion sentiment comes from international geopolitics with high uncertainty. The redemption problem still disturbs the market, and the yield is about to fall to the chip - intensive area. Bond market trading is "better to stop than to chase" [14][15].

Report Information - Report Name: Treasury Bond Daily Report [1] - Date: October 13, 2025 [2] - Researchers: He Zhuoqiao, Huang Wenxin, Nie Jiayi [3] Investment Rating - Not provided Core Viewpoints - Market sentiment is weak, and treasury bond futures have fallen across the board. Although the economic data released in September showed marginal weakness, it had limited impact on the market. With multiple negative factors such as the strong stock market, the impact of the public - fund new regulations, and the resurgence of anti - involution expectations, the bond market sentiment remains weak. In October, the bond market may still face more negatives than positives. However, it may enter a window period for risk clearance after the negatives are realized, and the bond market is expected to stabilize. The counter - offensive phase may need to wait for the resurgence of easing expectations, and the optimal allocation opportunity may appear in the middle and late fourth quarter [8][11][12] Summary by Directory 1. Market Review and Operation Suggestions - **Market Performance**: Market sentiment is weak, and treasury bond futures have fallen across the board. The yields of major term interest - rate bonds in the inter - bank market show short - term increases and long - term decreases, with narrow fluctuations in the medium - to - long - term. By 16:30, the yield of the active 10 - year treasury bond 250011 reported 1.7725%, down 0.5bp [8][9] - **Funding Market**: At the beginning of the month, funds are stable and loose. There were 600 billion yuan of reverse repurchases due today, and the central bank injected 409 billion yuan, resulting in a net injection of 191 billion yuan. The inter - bank fund sentiment index is stable, and most short - term fund rates have declined. The weighted overnight rate of inter - bank deposits decreased by 0.87bp to 1.3184%, the 7 - day rate dropped 8.44bp to 1.4229%, and the medium - to - long - term funds eased. The 1 - year AAA certificate of deposit rate dropped about 8bp compared with before the holiday to 1.58% [10] - **Conclusion**: The bond market may still be in a difficult situation with more negatives than positives in October. After the negatives are realized, it may enter a risk - clearing window period and is expected to stabilize. The counter - offensive may need to wait for the resurgence of easing expectations, and it is recommended to wait patiently for better bond - market allocation opportunities, which may appear in the middle and late fourth quarter [11][12] 2. Industry News - The front page of Economic Information Daily states that the fourth quarter is a critical period for the annual economic finish and a crucial window for policy implementation. Relevant departments will introduce a series of policies to expand effective investment, high - level opening - up, and corporate innovation. Policies such as promoting private investment and expanding the scope of encouraged foreign investment are expected to be introduced in the fourth quarter [13] - During the National Day and Mid - Autumn Festival holidays this year, the consumer market showed good growth. Domestic tourism spending reached 809.006 billion yuan, an increase of 108.189 billion yuan compared with the 7 - day National Day holiday in 2024. The average daily sales revenue of the national consumer - related industries increased by 4.5% year - on - year. Among them, commodity consumption and service consumption increased by 3.9% and 7.6% respectively, and digital products and automobile consumption grew rapidly [13] - According to the Financial Times, US Treasury Secretary Janet Yellen has completed the final round of interviews for the candidate of the Federal Reserve Chairman. Donald Trump will make a final decision among four top candidates: former Federal Reserve Governor Kevin Warsh, current Governor Christopher Waller, White House economic advisor Kevin Hassett, and BlackRock Chief Investment Officer Rick Rieder [13] - China has made solid progress in extraterritorial jurisdiction. The Ministry of Commerce announced export controls on relevant overseas rare - earth items and rare - earth - related technologies, and included 14 foreign entities such as anti - drone technology companies in the unreliable entity list. The Ministry of Commerce, together with the General Administration of Customs, also issued four announcements to implement export controls on super - hard materials, some rare - earth equipment, raw materials and accessories, some medium - and heavy - rare - earths, lithium batteries, and artificial graphite anode materials [14] 3. Data Overview - **Treasury Bond Futures**: The report provides data on treasury bond futures trading on October 10, including contract information such as pre - settlement price, opening price, closing price, settlement price, price change, percentage change, trading volume, open interest, and open - interest change [6] - **Other Data**: It also includes information on the term - structure changes and trends of SHIBOR, the weighted interest - rate changes of inter - bank pledged repurchase and inter - bank deposit pledged repurchase, and the fixed - rate curves of Shibor3M and FR007 interest - rate swaps [29][33][35]

关税政策变化显著影响资产价格，中国出口至美国综合税率约为 30%， 虽有关税壁垒，但中美经济互补性强，预计高额关税不会完全落实，双 方将寻求新的利益平衡点。 四季度债市环境预计优于三季度，短期内贸易战担忧或支撑债市偏强走 势，10 年期国债收益率或修复至 1.7%左右，突破后有望下探至 1.65%，但央行干预或限制进一步下行。 过去三个季度债市对基本面反应不敏感，实则反映经济边际变化不大， 绝对位置较低，需深入理解经济指标与市场行为的复杂关系，不能仅依 赖表面数据。 当前中国 5%的经济增速处于历史较低水平，债市已对此做出反应，10 年期国债收益率低于 2%，未来债市进一步下行需基本面持续走弱。 四季度货币政策预计维持稳健，降息降准概率较低，但国债买卖落地将 利好债市，若贸易摩擦加剧或股市不佳，央行可能采取宽松政策救市。 政策性金融工具由中央层面主导，倾向于支持民营企业项目，但配套资 金不足限制了社融扩张，对整体经济刺激作用有限。 固收 交易贸易摩擦，债市三步走 20251011 摘要 四季度整体经济环境预计好于三季度，贸易摩擦、财政与货币政策共同 作用下，看好债市修复机会，活跃券收益率或达 1.7%，股票市 ...

Group 1 - The core theme of the article revolves around the ongoing competitive and cooperative relationship between China and the US, highlighting that while short-term friction is unavoidable, the bond will not be severed abruptly [1] - The bond market is positioned favorably, with expectations of a potential decline in long-term interest rates by up to 10 basis points, and a challenge to the 1.7% level for 10-year government bonds [1][19] - The marginal impact of changes in US-China relations on the bond market is diminishing, with recent market reactions being significantly less severe compared to previous trade tensions in April [1][14] Group 2 - Post-holiday large redemptions of bond funds by institutions are viewed as normal liquidity management rather than a sign of pessimism towards the bond market [2][17] - The bond market saw a decline in yields, with the 10-year government bond yield decreasing by 3.99 basis points to 1.82% during the week [2][19] - The overall balance of funds in the bond market remained stable, despite some fluctuations due to external factors such as new regulations and geopolitical tensions [20][21] Group 3 - The first week of October saw a slight decrease in the scale of wealth management products, with a total of 30.81 billion yuan, reflecting a weekly change of -567.56 million yuan [3][28] - The duration of public funds increased, indicating a slight rise in market consensus expectations [4][38] - The overall market sentiment towards the bond market remains cautious but stable, with institutions adjusting their strategies based on liquidity needs and market conditions [17][18]