证券研究报告 | 固定收益定期 gszqdatemark 2025 12 28 年 月 日 分析师 杨业伟 首先，从直接的外资配债行为来看，主要对存单产生负面影响，但冲击已经到 后半程，预计明年 1 季度后冲击将逐步退出。由于中外利率持续倒挂以及远 期汇率影响，外资对国债和政金债的配置与利率相关性在近年显著下降。而且 在近期汇率升值过程中，外资也并未增加政府债券配置。外资对国债和政金债 的持有规模从今年 4 月的 2.92 万亿下降至 11 月的 2.75 万亿，显示升值并未 吸引外资流入增配利率债。相对来说，外资对国内债券配置变化近年更多体现 为存单。此前汇率存在贬值压力时期，外汇市场远期升水较高，即期市场外资 流入，并增配存单以获取外部市场的收益。但近期随着人民币汇率升值，汇率 远期升水下降，升水率从 2024 年中 4%左右下降至目前 1.6%左右，外资持 有存单和远期汇率锁定的收益低于外部例如 1 年美债收益率，导致外资持续 流出。外资持有存单规模从今年 4 月的 1.30 万亿下降至 11 月的 0.69 万亿。 因而汇率升值从外资配置需求来看，主要降低存单配置力量。但考虑到目前外 资持有存单规模已 ...

五 2025 年 12 月 28 日 二 〇 二 请务必阅读正文之后的免责条款部分 1 国债期货周报 年 度 唐立 投资咨询从业资格号：Z0021100 Tangli2@gtht.com 虞堪 投资咨询从业资格号：Z0002804 yukan@gtht.com 国 泰 君 安 期 货 研 究 所 报告导读： 摘要： 本周国债期货市场呈现震荡上行的格局，短端温和修复、长端日内波动加剧，收益率曲线形态受 资金面宽松与政策预期扰动，呈现阶段性趋平与陡峭化交替特征。 中期因央行货币政策相对克制、通胀预期转变、中长期资金入市导向、十五五政策预期无法证伪 等原因，维持大方向看震荡偏空的观点。 风险提示： 货币政策力度不及预期、权益市场情绪超预期、固收产品赎回超预期 期货研究 期货研究 （正文） 1. 周度聚焦与行情跟踪 本周国债期货市场呈现震荡上行的格局，短端温和修复、长端日内波动加剧，收益率曲线形态受资金 面宽松与政策预期扰动，呈现阶段性趋平与陡峭化交替特征。央行四季度例会仍表明结构性货币工具的重 要性，料后续降准降息空间并不大。 中期因央行货币政策相对克制、通胀预期转变、中长期资金入市导向、十五五政策预期无法证伪等原 ...

Report Industry Investment Rating - Not provided in the report Core Viewpoints - IRS reflects the market's expectation of the future capital cost center, but past experience has proven that the expectation reflected by IRS is not always correct [1][2][10] - Recently, the appreciation of the RMB is the main reason for the increasing expectation of capital easing and the continuous decline of IRS. The leveraged carry trade strategy is still effective, but in the medium - term, it is still maintained that "this round of RMB appreciation is beneficial to the inter - bank liquidity, but the magnitude should not be overestimated" [1][3][13] Summary by Directory 1 IRS's Expectation of the Capital Market: Neither Completely Believe Nor Completely Disbelieve - IRS reflects the market's expectation of the future capital cost center. Taking FR007IRS1 - year as an example, it uses a fixed cost to avoid the uncertainty of FR007 fluctuations in the next year, and this fixed cost is the expected value of the average FR007 in the next year [2][10] - Past experience shows that the capital expectation reflected by IRS is not always correct. For example, after the Politburo meeting in December 2024 and the Central Economic Work Conference in December 2024, the market's expectation of the central bank's monetary policy easing in 2025 rapidly increased, and FR007S1Y deviated significantly downward from FR007. But after July 2025, FR007S1Y began to be slightly higher than FR007 for a long time [2][11] 2 Narrow - Sense Liquidity 2.1 Central Bank Operations - Short - term liquidity: In the past week (12/22 - 12/26), the central bank's pledged reverse repurchase had a net withdrawal of 348 billion yuan. As of December 26, the central bank's reverse repurchase balance was 622.7 billion yuan, indicating a relatively loose capital situation [14] - Medium - term liquidity: In December, the due amount of outright reverse repurchases was 1.4 trillion yuan, and the MLF due was 300 billion yuan. The central bank continued to make net investments in MLF and outright reverse repurchases, with a total net investment of 30 billion yuan [15] - Long - term liquidity: Since the net investment amount of medium - term liquidity tools in December was at a relatively low level since August 2025, there are higher expectations for the amount of treasury bond trading in December [16] 2.2 Institutions' Financing and Lending Situations - Fund supply: On December 26, the net lending of large - scale banks was about 3.9 trillion yuan (flow concept), a decrease of about 258 billion yuan compared with December 19. The net lending balance of large - scale banks was 4.9 trillion yuan, an increase of about 136.2 billion yuan compared with December 19. The net lending balance of money market funds was 800 billion yuan, a decrease of about 74 billion yuan compared with December 19. The net lending of joint - stock banks was 416.7 billion yuan, a decrease of about 180.1 billion yuan compared with December 19 [19] - Fund demand: On December 26, the balance of repurchase - to - be - bought bonds in the inter - bank market was about 13 trillion yuan, an increase of 166.2 billion yuan compared with December 19. The leverage ratios of the whole market and non - legal person products increased [26] 2.3 Repo Market Transaction Situation - Capital volume and price: In the past week, the inter - bank pledged repo market had a large volume and stable prices. The median daily trading volume of the inter - bank pledged repo was about 8.6 trillion yuan, an increase of 56.7 billion yuan compared with December 15 - 19. The median of R001 was 1.36%, unchanged from last week. Due to the impact of new share subscriptions on the Beijing Stock Exchange, the financing friction in the exchange increased [29] - Capital sentiment index: The overall capital situation was loose, and the financing difficulty was low. The sentiment index was around 50 most of the time [32] 2.4 Interest Rate Swaps - The median of the 1 - year FR007IRS this week was 1.49%, a decrease of 4.2bp compared with last week, and the interest rate was in the bottom 3% since 2020 [39] 3 Government Bonds 3.1 Next Week's Net Payment of Government Bonds - In the past week, the net payment of government bonds was 366.7 billion yuan, with the net payment of treasury bonds being 374.1 billion yuan and the net repayment of local government bonds being 7.4 billion yuan. In the next week, only 26 billion yuan of local government bonds will be issued on December 29 [40] 3.2 Current Issuance Progress of Government Bonds - As of December 26, the net financing progress of treasury bonds was 98.6%, an increase of 2.7% in the past week, and the remaining net financing space in 2025 was about 90.2 billion yuan. The issuance of local government bonds has been completed [42] 4 Inter - bank Certificates of Deposit 4.1 Absolute Yield - On December 26, SHIBOR overnight, 7 - day, 1 - month, 3 - month, 6 - month, 9 - month, and 1 - year quotes were 1.26%, 1.45%, 1.58%, 1.6%, 1.63%, 1.64%, and 1.65% respectively. The maturity yields of 1 - month, 3 - month, 6 - month, 9 - month, and 1 - year inter - bank certificates of deposit of AAA - rated commercial banks in the ChinaBond were 1.62%, 1.6%, 1.62%, 1.64%, and 1.64% respectively. Except for the 6 - month term, which increased by 1bp compared with December 19, the quotes of other terms remained unchanged [46] 4.2 Issuance and Stock Situations - In the past week (December 22 - 26), the total primary issuance volume of inter - bank certificates of deposit was 560.29 billion yuan, an increase of 435.5 billion yuan compared with December 15 - 19. In terms of issuance terms, the proportions of 1 - month, 3 - month, 6 - month, 9 - month, and 1 - year were 17%, 17%, 23%, 10%, and 33% respectively [49] 4.3 Relative Valuation - On December 26, the spread between the 1 - year AAA - rated inter - bank certificate of deposit maturity yield and R007 was 11bp, in the 28% quantile since 2020; the spread between the 10 - year treasury bond maturity yield and the 1 - year AAA - rated inter - bank certificate of deposit was 20bp, in the 51% quantile since 2020 [52]

Domestic Economic Indicators - Industrial enterprise profits from January to November increased by 0.1% year-on-year, while profits in November alone fell by 13.1% due to weakening production and profit margins[1] - The average operating rate of blast furnaces in December recorded 78.88%, a decrease of 3.42 percentage points from the previous month[1] - Retail sales of passenger cars in December decreased by 19.5% year-on-year, with a month-on-month increase of 2.9%[1] International Economic Indicators - The U.S. GDP for Q3 2025 grew at an annualized rate of 4.3%, driven primarily by increased consumer spending, exports, and government expenditure[4] - Core PCE inflation in the U.S. rose to an annualized rate of 2.9%, indicating a marginal increase in inflationary pressures[4] - Gold prices reached a new high of $4549.95 per ounce, while silver prices hit a record high of $79.33, reflecting a strong performance in precious metals markets[1] Market Trends - The Baltic Dry Index (BDI) averaged 2339.2, showing a month-on-month increase of 6.2% and a year-on-year increase of 113.6%[1] - The average price of copper increased by 3.65% week-on-week, driven by a combination of weak dollar and improved global demand expectations[3] - The issuance of local government bonds is planned at 580 billion yuan for January 2026, with a total of 4.58 trillion yuan issued this year, exceeding the annual quota[3]

下周看点颇多，新年即将到来，美联储将发布12月会议纪要，外界将关注有关未来政策路径讨论的细 节。随着贵金属周五全线爆发，本轮行情能走多远受到越来越多关注。美国总统特朗普与乌克兰总统泽 连斯基将进行会晤，俄乌局势能否迎来关键转折点或成为短期内油价走势的关键。 欧洲三大股指走高，英国富时100指数周涨0.99%，德国DAX 30指数周涨1.09%，法国CAC 40指数周涨 1.22%。 本周国际市场风云变幻，贵金属市场迎来井喷。美股全线上涨，道指周涨1.20%，纳指周涨1.22%，标 普500指数周涨1.40%。 国际油价结束连续两周下跌，外界关注地缘政治因素。WTI原油近月合约周涨0.39%，报56.74美元/ 桶，布伦特原油近月合约周涨0.28%，报60.64美元/桶。 尽管近期的供应中断推动油价从12月16日的近五年低点反弹，但当前油价仍大概率录得2020年以来最大 年度跌幅。受原油产量攀升引发市场对明年供应过剩的担忧影响，布伦特原油与西得克萨斯中质原油今 年以来的跌幅已分别达到18%和20%。Aegis Hedging宙斯盾对冲基金在周五发布的报告中表示："地缘 政治溢价虽为油价提供了短期支撑，但并未从根 ...

炒股就看金麒麟分析师研报，权威，专业，及时，全面，助您挖掘潜力主题机会！ 固收彬法 作者：孙彬彬/隋修平/汪梦涵 摘 要 12月央行释放精准呵护信号，实际投放却略有收敛，展望明年1月，资金扰动显著增加，信贷/政府债开 门红叠加大税期和春节取现，怎么看？ 从季节性观察，1月第二周流动性开始收敛，关键是资金利率上行斜率和非银分层情况。从近期央行表 述看，货币政策精准盯市、熨平波动、配合财政、稳定债市的诉求较强，明年1月央行引导资金收敛的 诉求显著弱于2021、2023和2025，因此我们认为1月央行可能加大国债买卖力度以及降准，降息的可能 性也不低。 对于存单，考虑到资金面波动较小、存单到期量显著收敛、银行1月惯性增配等因素，我们认为CD利率 上限更清晰。 一、1月资金面怎么看？ 1、回顾12月流动性，有三个细节点值得关注：首先，从现实出发，资金已经是全年最乐观的状态；其 次，央行在金融时报中发言反复释放精准呵护信号，但行动却呈现环比谨慎的迹象；三是同银行间资金 宽松不类似，非银资金并未呈现明显的回落迹象，相较于4月之后4-5BP的R001-DR001资金分层，12月 分层有所加大。 2、如何理解央行言行和资金指 ...

日本央行加息，0.75%的政策利率，看着数字是1995年以来的新高，但放在全球主要经济体里，这点涨幅多少有点"洒洒水"的意思。 消息一出，日元对美元汇率不升反降，直接从155附近滑向了157。 其实市场早就预料到了，利好已经提前被"吃干抹净"。更深层的原因，在于日本经济正陷在一个自我矛盾的泥潭里，货币政策独木难支。 日本央行想通过加息来遏制通胀、稳定汇率。过去三十年的超宽松时代，日元几乎是全球最廉价的融资货币，无数套利交易者借日元、买美债，玩得不亦乐 乎。 日本央行咬牙做出加息的决定，本质上是想要给跌跌不休的日元汇率续命，但是这个操作加深了国际货币市场对日元的担忧，抛售日元成为短期最热门的交 易。 日本政府又不得不下场干预日元汇率，目前欧元兑日元周一再创历史新高，人民币兑日元也开始走强，可以直白一点的说，这一波加息的操作直接让日本政 府猝不及防。 为什么明明是为了挽救日元的操作最终成为了压死日元的最后一根稻草？相对来说人民币为什么会强势升值？ 一场"走钢丝"上的货币政策表演 日本家庭的金融资产规模高达2200万亿日元，其中竟然有约一半，是以现金或低收益存款的形式"躺"在账户里的。 过去几十年，无论经济是冷是热 ...

在"我国各部门杠杆率的变动及分析"专栏中，报告介绍，2024年，我国宏观杠杆率为298.8%，较上年高 9.9个百分点。分部门看，政府部门成为加杠杆主力，非金融企业部门（以下简称企业部门）加杠杆速 度边际放缓，住户部门杠杆率稳中有降。2024年，政府部门杠杆率为61.3%，较上年高6.7个百分点，占 总杠杆率增幅的67.0%；企业部门杠杆率为167.7%，较上年高4.0个百分点；住户部门杠杆率为69.8%， 较上年低0.7个百分点。 报告指出，我国宏观杠杆率结构持续优化，主要体现在以下三个方面： 央广网北京12月27日消息（记者 冯方）近日，中国人民银行发布了《中国金融稳定报告（2025）》。 报告表示，我国宏观杠杆率结构持续优化，其中，企业部门杠杆结构继续优化，政府部门杠杆率上升推 动经济持续回升向好，住户部门杠杆率稳中有降。 一是企业部门杠杆结构继续优化。2024年货币政策坚持支持性的立场，货币信贷合理增长，推动社会综 合融资成本稳中有降，引导信贷结构调整优化，提升服务实体经济质效。2024年，企业部门杠杆率为 167.7%，较上年高4.0个百分点，占宏观杠杆率全部增幅的40.5%。同时，企业部门杠杆结构 ...

Core Viewpoint - The article discusses the contrasting monetary policies of major central banks, particularly focusing on the Bank of Japan's (BOJ) interest rate hikes and the potential for the European Central Bank (ECB) to shift towards tightening, which could impact the Japanese yen's value against the dollar and euro [2][4][6]. Group 1: Monetary Policy Changes - The Bank of Japan has initiated interest rate hikes, while the Federal Reserve is expected to lower rates, creating a complex market dynamic where long-term interest rates in Japan rise, but the yen depreciates due to expectations of slower BOJ rate increases [2]. - The ECB has maintained its policy rate but signals a potential shift towards tightening, which could fundamentally alter the conditions supporting the yen's exchange rate [6]. - Market participants are increasingly betting on a policy shift from the ECB, with euro long positions reaching a two-year high, indicating a potential capital shift from dollars to euros [6]. Group 2: Economic Implications - The Federal Reserve's cautious approach to future rate cuts suggests that the pace of easing will slow, with only one more cut expected in 2026, indicating a more stable economic outlook [8]. - The difference in policy flexibility between the BOJ and Western central banks is highlighted, with the BOJ being more cautious and slower to react to economic changes, which could lead to a significant lag in its rate hikes compared to the West [8]. - The Japanese government is becoming increasingly vigilant about yen depreciation, with recent verbal interventions aimed at curbing the yen's decline, reflecting a shift in sentiment compared to previous optimism [9].

Happy Friday, traders. Welcome to our weekly market wrap, where we take a look back at these last five trading days with a focus on the market news, economic data, and headlines that had the most impact on gold prices and other key correlated assets— and may continue to in the future. Here’s what you need to know: Gold hit fresh all-time highs and is set to close the week just under $4,550/oz, up more than $200/oz from Sunday evening’s open. A much-stronger-than-expected Q3 GDP print did not cool the ...