Core Viewpoint - The article discusses the challenges of making investment decisions in the face of market fluctuations and the tendency to hope for a return to previous price levels, which can hinder timely actions [1]. Group 1: Market Conditions - The central bank conducted a significant operation with 1,658 billion yuan in 7-day reverse repos and 6,000 billion yuan in 14-day reverse repos, resulting in a net injection of 4,115 billion yuan into the market [3][5]. - The interbank funding rates showed a notable decline, with DR001 dropping over 15 basis points to around 1.32% and DR007 decreasing by 7 basis points to approximately 1.53% [3]. - The 10-year government bond yield fluctuated slightly, closing at 1.799% after reaching a low of 1.795% during the day [5][6]. Group 2: Financing Trends - The interbank certificates of deposit have seen a negative net financing for four consecutive months, which is expected to set a record for the longest continuous net repayment period [6]. - The reasons for this trend include a large amount of maturing debt, an increase in recent issuance rates from 1.6% to 1.7%, and weak loan demand [6]. Group 3: Bond Market Performance - The bond market exhibited mixed performance, with the sentiment being cautious in the morning session, leading to slight increases in yields [5]. - The trading volume for various repo rates showed significant changes, with R001 at 25,029.28 billion yuan, down by 36,410.45 billion yuan, and R007 at 31,317.05 billion yuan, up by 28,680.99 billion yuan [4][8].

1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints of the Report - Bonds remain a weak asset currently. At the end of September, first focus on changes in the funding situation and the equity market, and approach with a cautious mindset. Also, look ahead to the main - line switching process in the fourth quarter. In 2025, the bond market switched to a relatively clear main - line logic each quarter, and the main - line logic weakened at the end of each quarter. The trading main - line in the fourth quarter may switch to institutional behavior changes and interest - rate cut expectations successively, and the yield curve may show a pattern of steepening first and then flattening [17][18][19] 3. Summary by Relevant Catalog 3.1 Funds Price: Tightening of Quarter - End Funding - From September 19th to September 25th, the central bank made a net open - market injection of nearly 60 billion yuan. On September 22nd, it conducted 30 billion yuan of 14 - day reverse repurchase operations. During the statistical period, the overall funds price increased, with the DR007 rising to 1.6%, the R007 rising to 1.8%, and the 1 - year inter - bank certificate of deposit yield rising to 1.7%, the highest since early June [8] 3.2 Primary Market: Increase in Special Bond Issuance Scale - From September 19th to September 25th, 119 interest - rate bonds were issued in the primary market, with an actual issuance total of 708.6 billion yuan and a net financing amount of 77.2 billion yuan. On September 19th, 82 billion yuan of 30 - year special treasury bonds were re - issued at a price of 99.67 yuan, with an annual yield of 2.17%, higher than the secondary - market transaction price. The issuance scale of local special bonds increased seasonally at the end of the month. As of September 25th, 1.23 trillion yuan of ultra - long - term special treasury bonds had been issued in 2025, with about 70 billion yuan remaining to be issued; 3.66 trillion yuan of new local special bonds had been issued, with about 240 billion yuan remaining to be issued [10][11] 3.3 Secondary Market: Uptick in Yield Curve - From September 19th to September 25th, the treasury bond yield curve rose again, with increased intraday volatility. The main constraint on the bond market during this statistical period came from the news front. The market expected that the redemption fee adjustment for public bond funds was imminent, which led institutions to actively redeem bond funds. Additionally, the stock - bond seesaw effect still existed, and the relatively strong and volatile equity market also dampened bond market sentiment [12] 3.4 Market Outlook - **Fundamentals**: The bond market currently has low sensitivity to fundamentals. From an asset - allocation perspective, weak fundamentals imply a low return rate in the real economy. However, in the stage of low bond coupons and capital losses, bond - type assets also struggle to provide higher comprehensive returns, so the bond market's sensitivity to fundamentals has declined [17] - **Policy**: Incremental policies will mainly cover three directions. First, after the release of August economic data, market expectations for pro - growth policies have increased, with promoting consumption and expanding infrastructure likely to be key areas. The real - estate sector may also see partial relaxation. Second, the fund redemption fee adjustment plan will be officially implemented. Third, there is still a high expectation that the central bank will restart open - market bond purchases to maintain liquidity and stabilize the bond market, which may occur alongside the redemption fee adjustment to smooth out bond market fluctuations. Based on 2024 experience, the central bank mainly buys short - term bonds, so the yield curve is likely to steepen, and caution is needed for long - term bonds [17] - **Funds**: There is still pressure on the cross - quarter funding situation [18]

Market Performance - The majority of government bond futures closed lower, with the 30-year main contract rising by 0.11% to 114.110 yuan, hitting a new low since November 28, 2024, at 113.35 yuan during intraday trading [1] - The 10-year main contract fell by 0.01%, reaching a new low of 107.345 yuan since March 19, with an intraday decline of 0.26% [1] - The 5-year and 2-year main contracts both decreased by 0.01% [1] - The yields on major interbank bonds mostly increased, with the 10-year government development bond "25国开15" yield rising by 0.3 basis points to 1.9570% [1] - The 10-year government bond "25附息国债11" yield decreased by 0.8 basis points to 1.8070%, with an intraday high of 1.8360% [1] - The 30-year government bond "25超长特别国债02" yield remained unchanged at 2.1140%, with an intraday high of 2.1425% [1] Funding Conditions - The central bank announced a 7-day reverse repurchase operation of 483.5 billion yuan at a fixed rate of 1.40% on September 25, with a total bid amount of 483.5 billion yuan [2] - On the same day, 487 billion yuan of reverse repos matured, resulting in a net withdrawal of 3.5 billion yuan [2] - The central bank also planned to conduct a 600 billion yuan medium-term lending facility (MLF) operation on September 25, with a one-year term [2] - With 300 billion yuan of MLF maturing in September, the net MLF injection for the month will reach 300 billion yuan, marking the seventh consecutive month of increased MLF operations [2] - Overall, the MLF and reverse repurchase operations in September released a total of 600 billion yuan in medium-term liquidity, maintaining the same net injection scale as August [2] - Despite the central bank's actions, interbank market liquidity remains limited, with overnight repurchase rates rising nearly 4 basis points to around 1.47% [2] Operational Recommendations - The central bank's excess MLF operations have not significantly eased funding conditions, leading to a cautious sentiment in the bond market [3] - The bond market outlook remains mixed, influenced by market risk appetite, policies to expand domestic demand, and quarter-end institutional behaviors [3] - The central bank's potential resumption of government bond trading remains uncertain, and quarter-end funding fluctuations are expected to increase [3] - Without additional negative factors, the 10-year government bond yield is expected to operate within a high range of 1.8-1.83%, but short-term rate declines may be limited around 1.75% [3] - The T2512 contract is anticipated to fluctuate between 107.4 and 108.35, with 107.4 providing some support [3] - Investors are advised to focus on range trading strategies and maintain a quick entry and exit approach, while also considering participation in TL contract basis narrowing strategies [3]

国债期货日报 2025/09/25 徐晨曦（投资咨询证号：Z0001908） 投资咨询业务资格：证监许可【2011】1290 号 观点：关注央行态度 盘面点评： 周四期债早盘低开低走，午后大幅反弹，尾盘TL翻红，其余品种微跌。现券收益率日内波动较大，日终与昨 日相差不大。公开市场逆回购4835亿，超额续作MLF 3000亿，净投放2965亿。资金面仍然趋紧，DR001回 升至1.48%。 日内消息： 1. 贝森特：不理解鲍威尔为何"退缩"，敦促年底前降息100-150个基点，正在面试11位美联储主席候选人。 | | 2025-09-25 | 2025-09-24 | 今日涨跌 | | 2025-09-25 | 2025-09-24 | 今日变动 | | --- | --- | --- | --- | --- | --- | --- | --- | | TS2512 | 102.3 | 102.324 | -0.024 | TS合约持仓(手） | 76969 | 75884 | 1085 | | TF2512 | 105.475 | 105.54 | -0.065 | TF合约持仓(手） | 151433 | ...

Report Industry Investment Rating There is no information provided regarding the report's industry investment rating. Core Viewpoint The bond market sentiment is fragile, and the recovery of risk appetite suppresses the bond market. Meanwhile, the continued expectation of the Fed's interest rate cuts and the increasing global trade uncertainty add to the uncertainty of foreign capital inflows. Overall, the bond market fluctuates between the expectations of stable growth and monetary easing. Short - term attention should be paid to the policy signals at the end of the month [3]. Summary by Relevant Catalogs I. Interest Rate Pricing Tracking Indicators - China's CPI (monthly) has a 0.00% month - on - month change and a - 0.40% year - on - year change; China's PPI (monthly) has a 0.00% month - on - month change and a - 2.90% year - on - year change [9]. - The social financing scale is 433.66 trillion yuan, with a month - on - month increase of 2.40 trillion yuan and a growth rate of 0.56%. M2 year - on - year is 8.80%, with no month - on - month change. The manufacturing PMI is 49.40%, with a month - on - month increase of 0.10% and a growth rate of 0.20% [10]. - The dollar index is 97.85, with a day - on - day increase of 0.62 and a growth rate of 0.64%. The offshore dollar - to - RMB exchange rate is 7.1193, with a day - on - day increase of 0.005 and a growth rate of 0.07%. SHIBOR 7 - day is 1.59, with a day - on - day increase of 0.13 and a growth rate of 8.76%. DR007 is 1.59, with a day - on - day increase of 0.11 and a growth rate of 7.52%. R007 is 1.51, with a day - on - day decrease of 0.05 and a decline rate of 3.26%. The 3 - month inter - bank certificate of deposit (AAA) is 1.60, with a day - on - day increase of 0.01 and a growth rate of 0.82%. The AA - AAA credit spread (1Y) is 0.09, with a day - on - day increase of 0.00 and a growth rate of 0.82% [11]. II. Overview of the Treasury Bond and Treasury Bond Futures Market The report provides multiple charts related to the treasury bond and treasury bond futures market, including the closing price trend of the main continuous contracts of treasury bond futures, the price change rates of various treasury bond futures varieties, the trend of the settled funds of various treasury bond futures varieties, the proportion of open interest of various treasury bond futures varieties, etc. [15][17][19] III. Overview of the Money Market Liquidity The report presents charts on the trading statistics of inter - bank pledged repurchase and the issuance of local government bonds, as well as the Shibor interest rate trend and the yield - to - maturity trend of inter - bank certificates of deposit (AAA) [28][34]. IV. Spread Overview The report includes charts on the inter - delivery spread trend of various treasury bond futures varieties and the term spread of spot bonds and the cross - variety spread of futures [32][36][37]. V. Two - Year Treasury Bond Futures The report provides charts on the implied interest rate of the main contract of two - year treasury bond futures and the yield to maturity of treasury bonds, the IRR of the TS main contract and the funding rate, and the three - year basis trend and net basis trend of the TS main contract [39][42][50]. VI. Five - Year Treasury Bond Futures The report offers charts on the implied interest rate of the main contract of five - year treasury bond futures and the yield to maturity of treasury bonds, the IRR of the TF main contract and the funding rate, and the three - year basis trend and net basis trend of the TF main contract [52][56]. VII. Ten - Year Treasury Bond Futures The report contains charts on the implied yield of the main contract of ten - year treasury bond futures and the yield to maturity of treasury bonds, the IRR of the T main contract and the funding rate, and the three - year basis trend and net basis trend of the T main contract [59][61]. VIII. Thirty - Year Treasury Bond Futures The report provides charts on the implied yield of the main contract of thirty - year treasury bond futures and the yield to maturity of treasury bonds, the IRR of the TL main contract and the funding rate, and the three - year basis trend and net basis trend of the TL main contract [66][72]. Strategy - Unilateral: As the repurchase rate rebounds, the price of treasury bond futures fluctuates [4]. - Arbitrage: Pay attention to the decline of the 2512 basis [4]. - Hedging: There is medium - term adjustment pressure, and short - position holders can moderately hedge with far - month contracts [4].

Group 1: Report Information - Report title: Treasury Bond Daily Report [1] - Date: September 25, 2025 [2] - Researchers: He Zhuoqiao, Huang Wenxin, Nie Jiayi [3] Group 2: Market Data - **Treasury futures trading data on September 24**: All contracts showed price declines with varying degrees of fall and changes in trading volume, open interest, and positions. For example, TL2512 had a closing price of 114.070, a decline of 0.470 and a decrease of 0.41%. [6] Group 3: Market Review and Recommendations - **Market conditions**: Due to the central bank's net withdrawal of funds and insufficient support, the bond market sentiment was weak, and treasury futures fell across the board. The yields of major interest - rate bonds in the inter - bank market rose, with larger increases in the medium - and long - term. The 10 - year treasury bond active bond 250011 yield rose 2.2bp to 1.82%. [8][9] - **Funding market**: The pressure on the money market increased slightly, with a net withdrawal of funds in the open market. There were 4185 billion yuan of reverse repurchase maturities, and the central bank conducted 4015 billion yuan of reverse repurchase operations, resulting in a net withdrawal of 170 billion yuan. Short - term interest rates mostly rose, while medium - and long - term funds remained stable. [10] - **Conclusion**: In August, the national economic activities weakened, with consumption slowing down and the decline in the real estate market expanding again. The necessity for China's monetary policy to follow the Fed's easing in September is low. The policy may focus on expanding fiscal and credit policies and real estate support, which will bring disturbances to the bond market. However, the suppression of the stock market on the bond market may ease. The bond market may still lack a breakthrough, and investors should be patient and wait for better allocation opportunities. Attention should be paid to the central bank's MLF renewal and cross - quarter funds, and the approaching long holiday may trigger risk - aversion sentiment and stabilize the bond market. [11][12] Group 4: Industry News - The central bank announced that the 1 - year and 5 - year LPR remained unchanged at 3.0% and 3.5% respectively, in line with market expectations. Some believe that policy rates and LPR may be cut by the end of the year. [13] - Deputy Premier He Lifeng met with a US congressional delegation, expressing the hope to promote the stable, healthy, and sustainable development of Sino - US economic and trade relations. [13] - As of the end of June this year, China's banking industry's total assets were nearly 470 trillion yuan, ranking first in the world. The stock and bond markets ranked second, and foreign exchange reserves ranked first for 20 consecutive years. During the 14th Five - Year Plan period, financial risks were generally controllable, and policies were optimized to support the real estate market and resolve financing platform debt risks. [14] - On September 22, the National Financial Regulatory Administration established a coordination mechanism for urban real estate financing, with over 7 trillion yuan in loans for "whitelist" projects, supporting the construction and delivery of nearly 20 million housing units. [15] Group 5: Data Overview - **Treasury futures**: Including information on the main contract's inter - period spread, inter - variety spread, and price trends [16][17][18] - **Money market**: Information on SHIBOR term structure changes, trends, and inter - bank repurchase rates [31][35] - **Derivatives market**: Information on Shibor3M and FR007 interest rate swap fixed - rate curves [37]

Core Viewpoint - The article discusses the varying market expectations and bond price fluctuations influenced by data, policies, and funding conditions at different stages [1]. Group 1: Market Conditions - The central bank conducted a 401.5 billion yuan reverse repurchase operation, with 418.5 billion yuan maturing, resulting in a net withdrawal of 17 billion yuan [3]. - The funding environment shifted from tight to loose, with long-term bond yields slightly rising [3]. - The overnight funding rate (DR001) was around 1.44%, while the 7-day rate (DR007) increased to approximately 1.59% due to month-end factors [3]. Group 2: Bond Market Performance - The bond market showed a stable sentiment in the morning, with the 10-year government bond yield starting at 1.7975% and slightly decreasing to around 1.795% [5]. - The afternoon saw a peak in yields, with the 10-year bond rate reaching up to 1.82% before closing at 1.815% after the central bank injected an additional 300 billion yuan into the Medium-term Lending Facility (MLF) [5][6]. - The article reflects on the bond market's struggles, contrasting the current situation with the previous year when the 30-year government bond yield was around 2.2% [6]. Group 3: Interest Rates Overview - The weighted rates for various repo codes were reported, with RO01 at 1.50%, R007 at 1.71%, and R014 at 1.84%, indicating changes in the market dynamics [4]. - The government bond yields for different maturities were detailed, with the 1-year yield at 1.3650%, 2-year at 1.5150%, and 10-year at 1.8150% [10].

【市场表现】 昨日受到央行呵护资金面的情绪利好，期债震荡回暖。展望后市，债市仍多空交织，一是市场风险偏 好、增量扩内需政策和季末机构行为仍有不确定性，二是央行是否重启国债买卖尚未有定论，三是季末 资金面波动预计放大。观察盘面，没有增量利空的话1.8%或为10年期国债利率运行的高点，但在尚未 出现强利多的情形下，短期利率下行也有限度，1.75%附近或有阻力，对应T2512合约预计在107.5- 108.35区间波动。单边策略上建议投资者以区间操作为主，回调至低位如果市场情绪有企稳迹象可以轻 仓试多，但需注意及时止盈。期现策略上，TL合约基差高位震荡，可适当参与基差收窄策略。 【资金面】 免责声明：本报告中的信息均来源于被广发期货有限公司认为可靠的已公开资料，但广发期货对这些信 息的准确性及完整性不作任何保证。在任何情况下，报告内容仅供参考，报告中的信息或所表达的意见 并不构成所述品种买卖的出价或询价，投资者据此投资，风险自担。本报告的最终所有权归报告的来源 机构所有，客户在接收到本报告后，应遵循报告来源机构对报告的版权规定，不得刊载或转发。 央行公告称，9月22日以固定利率、数量招标方式开展了2405亿元7天期 ...

Group 1: Open Market Operations - The central bank announced a 7-day reverse repurchase operation of 354.3 billion yuan at a fixed rate of 1.40% on September 19, with a net injection of 124.3 billion yuan for the day after accounting for 230 billion yuan maturing [1] - The total net injection for the week was 1,192.3 billion yuan, with 1,826.8 billion yuan of reverse repos maturing from September 22 to 26 [1] Group 2: Funding Conditions - The funding conditions improved on Friday, with the overnight repurchase weighted average rate dropping nearly 5 basis points to around 1.46% as the tax period ended [3] - Overnight funding quotes on the anonymous click (X-repo) system also fell to around 1.46%, although supply was slightly insufficient [3] Group 3: Interbank Certificates of Deposit - The latest transaction rate for one-year interbank certificates of deposit among major banks remained stable at 1.68% [7] Group 4: Treasury Futures - Treasury futures closed collectively lower, with the 30-year main contract down 0.76%, the 10-year down 0.21%, the 5-year down 0.13%, and the 2-year down 0.05% [13] Group 5: Regulatory and Economic Updates - The central bank announced adjustments to the 14-day reverse repurchase operations to better meet liquidity management needs starting September 19 [14] - The financial regulatory authority emphasized the need for banks and insurance institutions to increase financial support for key areas and effectively prevent financial risks [14] - Recent data showed that tax revenue from the manufacturing sector grew by over 5% year-on-year in the first eight months, highlighting its significant contribution to overall tax revenue [15]

Group 1: Liquidity and Market Behavior - The liquidity situation is tightening, with an increase in funding prices. R001 rose to 1.50% from 1.40%, and DR001 increased to 1.46% from 1.36%. R007 reached 1.52% from 1.47%, while DR007 rose to 1.51% from 1.46% [1] - The central bank has increased its fund injection, with a net injection of 562.3 billion yuan through reverse repos this week, alongside a 600 billion yuan long-term reverse repo operation [1] - The average daily trading volume of pledged repos decreased slightly to 7.16 trillion yuan from 7.49 trillion yuan, indicating a slight decline in interbank leverage [3] Group 2: Certificate of Deposit and Treasury Yield - The yield on certificates of deposit (CDs) has slightly increased, with the 3-month yield rising by 1.50 basis points to 1.58%, the 6-month yield up by 0.61 basis points to 1.64%, and the 1-year yield increasing by 0.50 basis points to 1.68% [2] - The net financing from CDs rebounded to 134.4 billion yuan from a previous -468 billion yuan, with the average issuance term extending to 6.4 months from 5.9 months [2] - The yield curve for government bonds has steepened slightly, with the 1-year treasury yield down by 1 basis point to 1.39%, while the 10-year and 30-year yields increased by 1.19 basis points to 1.88% and 1.56 basis points to 2.20%, respectively [2] Group 3: Government Bond Issuance - The net issuance of government bonds is expected to decline significantly next week, with a forecasted net issuance of -52.2 billion yuan, compared to a net issuance of 2.674 trillion yuan this week [3] - This week, the net issuance of treasury bonds was 287.1 billion yuan, while local government bonds had a net issuance of 30.9 billion yuan [3] - The total net payment for government bonds this week was 429.6 billion yuan, indicating a substantial outflow [3]