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].

行业 国债日报 日期 2025 年 10 月 13 日 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(国债集运) | | | 表1：国债期货10月10日交易数据汇总 | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 合约 | 前结算价 | 开盘价 | 收盘价 | 结算价 | 涨跌 | 涨跌幅 （%） | 成交量 | 持仓量 | 仓差 | | TL2512 | 114.530 | 114.590 | 113.970 | 114.020 | -0.560 | -0.49 | 108237 | 147131 | -1182 | | TL2603 | 114.180 | 114.280 | 113.640 | 113.690 | -0.540 | -0.47 | 11508 | 25041 | 444 | | TL2606 | 114.140 | 114.240 | 113.610 | 113 ...

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]

Report Industry Investment Rating No relevant content provided. Core Viewpoints - The tariff war escalation is a short - term external shock that may not change the underlying logic of bond market trading in the fourth quarter. The trading focus in the fourth quarter will still revolve around domestic policy variables, and the current external event mainly creates structural trading opportunities [5][16]. - The negative factors in the bond market have been digested by the market, and their impact is weakening. The bond market has shown signs of stabilizing from over - decline since mid - September [7][12]. - The bond market has many positive factors, such as the possibility of reserve requirement ratio and interest rate cuts, weak economic fundamentals, reduced supply pressure in the fourth quarter, slow implementation of policy tools, and the possibility of the central bank restarting treasury bond transactions [7][13]. - If the current tariff war escalation triggers market risk - aversion sentiment, it may reproduce trading opportunities similar to those in April this year [7][16]. Summary by Directory 1. Negative Factors - Multiple negative factors have dominated the bond market since July, but their impact has weakened as they have been digested by the market. By mid - September, the bond market showed signs of stabilizing from over - decline. This is reflected in the weakening of the stock - bond seesaw effect, the current yield reaching the annual pressure upper limit, and the warming of bond market participants' sentiment [7][12]. 2. Positive Factors - There is room for the market's expectation of interest rate cuts to be repaired. There is still a possibility of reserve requirement ratio or interest rate cuts this year, and if the market expectation is repaired, it may form a positive for the bond market [14]. - The economic fundamentals are still weak, with low CPI growth and manufacturing PMI below the boom - bust line, which provides support for the bond market [14]. - The supply pressure of the bond market in the fourth quarter may be relatively relieved, reducing the upward pressure on interest rates [14]. - The implementation of policy - based financial tools is slow, and the short - term impact on the bond market is limited [15]. - The central bank may restart treasury bond transactions due to the mention in relevant meetings and the potential maturity of some bonds [15]. 3. Bond Market Outlook - The tariff war escalation is an external shock. If it triggers market risk - aversion sentiment, it may lead to a decline in the 10 - year treasury bond yield similar to that in April this year, presenting trading opportunities [16]. - The tariff event is a short - term shock and may not change the fourth - quarter trading logic. The trading focus will still be on domestic policy variables, and the impact of policy adjustments may be the re - allocation of existing funds rather than a systematic contraction [5][16].

Open Market Operations - The central bank announced a 7-day reverse repurchase operation of 409 billion yuan at a fixed rate of 1.40% on October 10, with a total bid amount of 409 billion yuan and a successful bid amount of 409 billion yuan [1] - On the same day, 600 billion yuan in reverse repos matured, resulting in a net withdrawal of 191 billion yuan [1] Funding Conditions - The interbank market saw continued easing, with overnight repurchase rates for deposit institutions dropping close to 1.30% [3] - The overnight quotes on the anonymous click (X-repo) system also fell to 1.3%, indicating ample supply [3] - Non-bank institutions faced a three-day actual borrowing period for overnight funds due to a weekend holiday, with the latest quotes remaining above 1.5% [3] - The latest overnight financing rate in the U.S. was reported at 4.12% [3] Interbank Certificates of Deposit - The latest transaction for one-year interbank certificates of deposit among major banks was around 1.66%, showing a slight decrease from the previous day [7] Government Bond Futures - The closing prices for government bond futures showed a decline: 30-year main contract down 0.49%, 10-year down 0.06%, 5-year down 0.09%, and 2-year down 0.05% [13] Recent Developments in Government Bonds - The issuance of special long-term government bonds is nearing completion, with a 50-year special bond issued on October 10 at a weighted average yield of 2.2977%, slightly higher than the previous day's closing yield of 2.2975% [14] - The yield on 30-year government bonds increased by approximately 1 basis point following the issuance [14] - The People's Bank of China reported that as of August 2025, the loan balance for Shanghai's "Five Major Articles" reached 4.8 trillion yuan, a year-on-year increase of 13.7%, outpacing the growth rate of various loans by 6.6 percentage points [14] Regulatory and Market News - The former head of the China Securities Regulatory Commission's issuance review committee is under investigation for serious violations of duty [15] - Qualcomm is under investigation by China's market regulatory authority for failing to legally declare its acquisition of Autotalks, potentially violating antitrust laws [15] Global Macro Developments - Japan and the U.S. reaffirmed their commitment to trade agreements, with Japan's chief negotiator confirming ongoing discussions to strengthen economic ties [16] - Federal Reserve's Daly indicated that inflation is not as concerning as previously expected, with expectations for further rate cuts as part of risk management [16] - Bridgewater's founder Dalio warned about the rapid growth of U.S. government debt, likening the current atmosphere to the years leading up to World War II [16] Bond Market Highlights - The total amount raised by securities firms through bond issuance this year reached 1.27 trillion yuan, a year-on-year increase of 80.22% [18] - New home sales in major cities like Beijing and Shenzhen saw a year-on-year increase at the start of October, indicating structural differentiation in the real estate market [18] - Japan's Ministry of Finance plans to auction 4.3 trillion yen in short-term government bonds on October 17 [18] - Japan's 5-year government bond yield reached 1.24%, the highest since July 2008 [18]