丨证券研究报告丨 固定收益丨点评报告 [Table_Title] 如何看待债市的"不可能三角" 报告要点 [Table_Summary] 当前债市下跌行情源于"不可能三角"约束，即财政拉长发债久期、央行不买长债与不改变银 行利率风险指标三者难以同时成立。展望 2026 年，央行国债买卖将趋于常态化，以"高频少 量"买入短债为主，其影响偏中性；财政层面，利率上行虽会促使地方政府发债久期缩短，但 受存量结构影响，这一过程将非常缓慢；银行虽可能因监管指标微调而释放部分配债空间，但 在资产负债期限错配深化的背景下，其承接长债的能力依然有限。综合来看，在超长债供给压 力被市场完全消化前，债市难有趋势性机会，预计长端收益率将延续震荡偏弱走势。 分析师及联系人 [Table_Author] 赵增辉 赖逸儒 马月 SFC：BVN394 SFC：BVZ968 SAC：S0490524080003 SAC：S0490524120005 SAC：S0490525080001 请阅读最后评级说明和重要声明 %% %% %% %% research.95579.com 1 [Table_Title2] 如何看待债市的"不可能三角" [ ...

国债期限利差进一步走阔 2025.12. 04 本文字数：2800，阅读时长大约5分钟 作者 | 第一财经 亓宁 最近债圈的日子"不好过"。12月4日早盘，股债市场齐跌，持续阴跌的债市迎来更大幅度调整，超 长债抛压尤为明显。 30年期国债期货合约全天跌超1%，创近期单日最大跌幅；30年超长债收益率一度上行4BP（基 点），"25超长特别国债06"收益率已经来到2.28%附近。 不同于前期"股债跷跷板"效应下的债市波动，四季度以来债市接连阴跌，期限利差不断走阔。对于 债市进一步大跌，有市场人士对第一财经表示，作为交易主线之一的央行国债买卖不及预期已被市场 消化，但持续下跌加上短期无明显利好，机构抛售兑现老券浮盈叠加买盘力量弱，极易形成负反馈。 不少机构分析，短期恐慌情绪难免，但在长期趋势下，此轮深跌也为后续反弹留下空间。12月将有 10000亿元3个月期买断式逆回购到期，央行4日晚间公告称将于5日进行等量续作。 4日主要利率债缘何进一步深跌？"主要是交易行为导致的踩踏，基本面解释不了。"一位债市人士对 记者表示，前期持续阴跌加上短期内看不到明显利好，市场恐慌情绪升温，部分机构选择落袋为安， 但买盘力量明显偏弱， ...

超长债供需失衡压力大。 最近债圈的日子"不好过"。12月4日早盘，股债市场齐跌，持续阴跌的债市迎来更大幅度调整，超长债 抛压尤为明显。 30年期国债期货合约全天跌超1%，创近期单日最大跌幅；30年超长债收益率一度上行4BP（基 点），"25超长特别国债06"收益率已经来到2.28%附近。 不同于前期"股债跷跷板"效应下的债市波动，四季度以来债市接连阴跌，期限利差不断走阔。对于债市 进一步大跌，有市场人士对第一财经表示，作为交易主线之一的央行国债买卖不及预期已被市场消化， 但持续下跌加上短期无明显利好，机构抛售兑现老券浮盈叠加买盘力量弱，极易形成负反馈。 不少机构分析，短期恐慌情绪难免，但在长期趋势下，此轮深跌也为后续反弹留下空间。12月将有 10000亿元3个月期买断式逆回购到期，央行4日晚间公告称将于5日进行等量续作。 国债期限利差进一步走阔 临近年末，尽管资金面整体延续宽松态势，但持续阴跌的债市没有修复迹象，反而迎来了进一步深跌。 12月4日，截至收盘，国债期货全线下跌，30年期主力合约跌1.04%，创下2024年11月22日以来新低； 10年期主力合约跌0.35%，5年期主力合约跌0.24%，2年期主力 ...

研究员：何卓乔(宏观贵金属) 18665641296 hezhuoqiao@ccb.ccbfutures.com 期货从业资格号：F3008762 行业 国债日报 日期 2025 年 12 月 4 日 研究员：黄雯昕(国债集运) 021-60635739 huangwenxin@ccb.ccbfutures.com 期货从业资格号：F3051589 研究员：聂嘉怡(股指) 021-60635735 niejiayi@ccb.ccbfutures.com 期货从业资格号：F03124070 宏观金融团队 请阅读正文后的声明 ＃summary＃ 每日报告 | | 表1：国债期货12月3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 | 114.690 | 114.450 | 114.600 | 114.600 | -0.090 | -0.08 ...

Group 1: Economic Indicators - The weekly ECI supply index is at 49.95%, up 0.01 percentage points from last week, while the demand index is at 49.86%, down 0.01 percentage points[6] - The monthly ECI supply index for November is 49.96%, down 0.04 percentage points from October, and the demand index is 49.88%, down 0.02 percentage points[7] - The ECI investment index is at 49.87%, down 0.01 percentage points from last week, and the consumption index is at 49.65%, also down 0.01 percentage points[6] Group 2: Real Estate and Consumption - The transaction area of commercial housing in 30 major cities fell by 31.7% year-on-year as of November 29, indicating continued weakness in real estate sales[7] - Passenger car sales averaged 71,131 units per day in the week ending November 23, down 4,871 units year-on-year, with total retail sales of 1.384 million units in November, a decline of 11.0% year-on-year[22] - The Ministry of Industry and Information Technology issued a plan on November 26 to enhance the adaptability of supply and demand for consumer goods, aiming to promote consumption growth[7] Group 3: Export and Trade - The new export orders index in the November PMI rose by 1.7 percentage points month-on-month, suggesting a potential year-on-year increase in export growth[7] - The total export value of South Korea for the first 20 days of November increased by 8.20% year-on-year, showing a recovery compared to October[34] Group 4: Monetary Policy and Market Trends - The ELI index is at -0.61%, down 0.01 percentage points from last week, indicating a focus on long-term effects of government bond transactions rather than short-term scales[11] - The central bank's net liquidity withdrawal this week was 164.2 billion yuan, with a total reverse repurchase operation of 1,511.8 billion yuan[46]

Report Summary 1. Report Industry Investment Ratings No industry investment ratings are provided in the report. 2. Core Viewpoints - The US dollar index has strengthened recently due to better - than - expected US October manufacturing PMI and employment market data, suppressing the performance of risk assets, but domestic stock indices are resilient and continue to reduce volatility and wait for stabilization [3]. - The 10 - year Treasury bond active bond 250016.IB may fluctuate between 1.75% - 1.82%. With the restart of the central bank's Treasury bond trading, the top of interest rates and the bottom of bond futures are more solid. The bond market pricing may tilt towards fundamentals [3]. - In the context of tight supply of gold and silver, the buying power has increased, driving the prices of precious metals to rise strongly [3]. 3. Summary by Related Catalogs Financial Sector - **Stock Index**: After the release of the third - quarter reports, the A - share market is in a repricing adjustment. There may be short - term narrow - range corrections and rebounds, with limited downside risk. It is recommended to wait and see. If there is a deep decline in a single day, a bullish spread of put options can be arranged [3]. - **Treasury Bond**: The short - term capital market is tightened, but the bond market sentiment is positive. In the unilateral strategy, investors are advised to buy on dips. In the spot - futures strategy, due to the rising IRR, positive arbitrage opportunities can be considered [3]. - **Precious Metals**: It is recommended to buy gold below $4100. For silver, call options with a strike price below the market price can be bought [3]. Black Sector - **Steel**: For the January 2026 contract, the supply of iron elements is loose. It is recommended to hold a long - coking coal and short - hot - rolled coil arbitrage position and wait and see on a single - side basis [3]. - **Iron Ore**: Shipments and arrivals have decreased significantly, port stocks have increased, and molten iron production has dropped sharply. It is recommended to short on rallies, with a reference range of 750 - 800. An arbitrage strategy of long - coking coal and short - iron ore is recommended [3]. - **Coking Coal**: The coal price at the origin is running strongly, and the price of Mongolian coal is firm. It is recommended to buy coking coal 2601 on dips, with a reference range of 1250 - 1350 [3]. - **Coke**: Mainstream coking enterprises have started the fourth round of price increases, and coking coal provides cost support. It is recommended to buy coke 2601 on dips, with a reference range of 1700 - 1850 [3]. Non - ferrous Sector - **Copper**: The end of the US government shutdown may drive the copper price to rebound. The support level of the main contract is around 84000, and the resistance level is around 86500 [3]. - **Other Metals**: Each metal has its own price range and trading suggestions, such as aluminum (21000 - 21800), zinc (22300 - 23000), etc. [3] New Energy Sector - **Polysilicon and Carbonate Lithium**: Polysilicon prices are expected to oscillate between 50000 - 58000, and carbonate lithium is in a wide - range oscillatory adjustment [3]. Chemical Sector - **PX and PTA**: PX is expected to oscillate between 6200 - 6800 in the short term, and PTA is expected to oscillate between 4300 - 4800. It is recommended to reduce long positions [3]. - **Other Chemicals**: Each chemical product has its own trading suggestions, such as short - fiber (short on rallies), ethanol (hold out - of - the - money call options with a strike price not less than 4100), etc. [3] Agricultural Sector - **Grains and Oils**: Corn is recommended to be shorted on rebounds, and palm oil is in a weak operation with a support level at 8600 [3]. - **Livestock and Poultry**: For pigs, a 3 - 7 reverse arbitrage position can be held. For eggs, inter - month reverse arbitrage opportunities and short - selling opportunities on rallies can be considered [3]. - **Fruits and Others**: Apples may hit the previous high of 9300, and red dates are in a low - level oscillation [3].

Report Industry Investment Rating No relevant content provided. Core View - The probability of a bond market rebound is high. For 30 - year Treasury bonds, the 30 - 10 spread is expected to compress periodically with the bond market rebound. For 20 - year CDB bonds, the variety spread is expected to compress again in the short term [2][3][11][12] Summary by Directory Weekly Review Ultra - long Bond Review - Last week, the central bank announced 20 billion yuan of Treasury bond transactions in October. The A - share market reached 4000 points again, the bond market had a slight correction, and ultra - long bonds declined slightly. The trading activity of ultra - long bonds increased slightly and was very active. The term spread and variety spread of ultra - long bonds narrowed [1][4][10] Ultra - long Bond Investment Outlook - **30 - year Treasury Bonds**: As of November 7, the spread between 30 - year and 10 - year Treasury bonds was 34BP, at a historically low level. With economic downward pressure increasing in September, Q3 GDP at 4.8% year - on - year (down 0.4% from Q2), and deflation risks existing (September CPI at - 0.3% and PPI at - 2.3%), the bond market is likely to rebound. The 30 - 10 spread is expected to compress periodically [2][11] - **20 - year CDB Bonds**: As of November 7, the spread between 20 - year CDB bonds and 20 - year Treasury bonds was 15BP, at a historically extremely low level. Considering the economic situation and central bank's actions, the bond market is likely to rebound, and the variety spread of 20 - year CDB bonds is expected to compress again in the short term [3][12] Ultra - long Bond Basic Overview - The balance of outstanding ultra - long bonds is 23.9 trillion yuan. As of October 31, the ultra - long bonds with a remaining term over 14 years totaled 23.9836 trillion yuan, accounting for 15.0% of all bonds. Local government bonds and Treasury bonds are the main varieties. By remaining term, the 30 - year variety has the highest proportion [13] Primary Market Weekly Issuance - Last week, the issuance volume of ultra - long bonds was small. From November 3 to 7, 2025, 6.29 billion yuan of ultra - long bonds were issued, a significant decrease compared with the previous week. By variety, Treasury bonds were 2 billion yuan, local government bonds were 4.14 billion yuan, etc. By term, 15 - year bonds were 0.86 billion yuan, 20 - year bonds were 2.01 billion yuan, etc. [19] This Week's Planned Issuance - The announced issuance plan for this week is 13.22 billion yuan, including 2.7 billion yuan of ultra - long Treasury bonds, 10.42 billion yuan of ultra - long local government bonds, and 0.1 billion yuan of ultra - long medium - term notes [25] Secondary Market Trading Volume - Last week, the trading of ultra - long bonds was very active. The trading volume was 1.0951 trillion yuan, accounting for 12.1% of all bonds. The trading activity increased slightly compared with the previous week. By variety, the trading volume of ultra - long Treasury bonds was 790.6 billion yuan, etc. [28] Yield - Last week, due to the central bank's announcement of Treasury bond transactions and the A - share market reaching 4000 points, the bond market had a slight correction and ultra - long bonds declined slightly. The yields of 15 - year, 20 - year, 30 - year, and 50 - year Treasury bonds changed by 3BP, 2BP, 2BP, and 3BP to 2.05%, 2.15%, 2.16%, and 2.23% respectively. Similar changes occurred in CDB bonds, local bonds, and railway bonds [34] Spread Analysis - **Term Spread**: Last week, the term spread of ultra - long bonds narrowed, and the absolute level was low. The spread between 30 - year and 10 - year Treasury bonds was 34BP, down 1BP from the previous week, at the 14% percentile since 2010 [41] - **Variety Spread**: Last week, the variety spread of ultra - long bonds narrowed, and the absolute level was low. The spread between 20 - year CDB bonds and Treasury bonds was 15BP, and the spread between 20 - year railway bonds and Treasury bonds was 17BP, with changes of 0BP and - 2BP respectively from the previous week, at the 12% percentile since 2010 [47] 30 - year Treasury Bond Futures - Last week, the main contract TL2512 of 30 - year Treasury bond futures closed at 115.95 yuan, a decrease of 0.63%. The total trading volume was 573,900 lots (down 104,798 lots), and the open interest was 180,600 lots (down 2,293 lots), with a significant decrease in trading volume and a slight decrease in open interest compared with the previous week [49]

Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints - The economic fundamentals in China have been weakening since June, with investment accelerating its decline and exports being the main support. However, the export leading indicators in October were significantly weaker, suggesting that the front - loading of exports may have exhausted some future demand. With weak domestic demand, there is still considerable pressure on the fundamentals, and market expectations for monetary easing may rise again [11]. - Currently, the central bank is implementing a combination of loose monetary and fiscal policies. The resumption of treasury bond trading has brought direct buying demand to the bond market. Based on past experience, the credit - easing effect of loose fiscal policies may not be significant in the short term, and the impact on the bond market should be limited. Overall, the negative factors in the bond market have basically been released, and November is a period of accumulating positive factors. Although there are some uncertain disturbances, the overall bond market environment has improved. If there are market over - adjustments due to short - term disturbances, it is recommended to actively seize allocation opportunities [12]. 3. Summary by Directory 3.1 Market Review and Operation Suggestions - **Market Performance**: A - shares opened lower and closed higher, suppressing the bond market, which fluctuated downward. Most treasury bond futures declined. The yields of major inter - bank spot interest - rate bonds changed slightly. By 16:30 pm, the yield of the 10 - year treasury bond active bond 250016 was reported at 1.789%, down 0.1bp [8][9]. - **Funding Market**: At the beginning of the month, the funding situation was stable and loose. There were 557.7 billion yuan of maturities in the open market, and the central bank injected 65.5 billion yuan, resulting in a net withdrawal of 492.2 billion yuan. Additionally, a 700 - billion - yuan 3 - month outright reverse repurchase was conducted to offset the maturity of the same - term reverse repurchase. The inter - bank funding sentiment index declined. The weighted overnight rate of inter - bank deposits fluctuated around 1.31%, the 7 - day rate rose slightly by 1.16bp to 1.4378%, and the medium - and long - term funding was stable. The 1 - year AAA certificate of deposit rate fluctuated between 1.62% and 1.63% [10]. 3.2 Industry News - The central bank's release of the liquidity injection data for various tools in October showed that the net injection through open - market treasury bond trading was 20 billion yuan, indicating the resumption of treasury bond trading operations since January this year, which is conducive to releasing liquidity and stabilizing market expectations. On November 5, the central bank announced a 700 - billion - yuan 3 - month outright reverse repurchase operation, which was an equivalent renewal considering the 700 - billion - yuan maturity of the same - term variety in the same month. Market institutions generally expect the central bank to conduct another 6 - month outright reverse repurchase operation in November, and are optimistic about the continued net injection of outright reverse repurchases in that month [13]. - The U.S. federal government's "shutdown" entered its 35th day on November 4, tying the longest "shutdown" record in U.S. history. The U.S. Supreme Court will hear a case on the legality of Trump's tariff policy this Wednesday. The U.S. Treasury Secretary said that if China continues to restrict rare - earth exports, the U.S. may impose additional tariffs on China. China's Ministry of Foreign Affairs responded that dialogue and cooperation are the correct approaches. The China - EU export control dialogue and consultation were held in Brussels, and both sides agreed to maintain communication to promote the stability and smoothness of the industrial and supply chains [14]. 3.3 Data Overview - **Treasury Bond Futures Market**: The report presents data on treasury bond futures trading on November 5, including contract information such as previous settlement price, opening price, closing price, settlement price, change, change rate, trading volume, open interest, and change in open interest. It also mentions the spread between main - contract treasury bond futures across different periods and varieties, as well as the trend of main - contract treasury bond futures [6]. - **Money Market**: Although no specific data content is provided, it is mentioned that the data source is Wind and the research and development department of Jianxin Futures [24].

Report Industry Investment Rating - No specific industry investment rating is provided in the content [1][2][3] Core View of the Report - The central bank's resumption of Treasury bond purchases is generally neutral for the bond market. In the short term, it helps accelerate the stabilization of the bond market; in the medium term, it is beneficial for the market to form an expectation of an "upper limit" on interest rates; in the long term, it better coordinates with fiscal policy tools. However, the market lacks positive factors for a significant decline in interest rates [2][3][6] Summary by Related Catalogs Event - On November 4, 2025, the People's Bank of China announced that the net investment in open - market Treasury bond transactions in October was 20 billion yuan [3][4][5] Analysis of Net Investment Scale - The 20 - billion - yuan net investment scale is not large, but it is the result of operations in the last few trading days of October. The central bank's average monthly net purchase of Treasury bonds from August to December last year was 200 billion yuan, so the significance of the 20 - billion - yuan net purchase should not be underestimated [3][5] Motivation for Resuming Treasury Bond Purchases - The central bank emphasized the supply - demand relationship when resuming Treasury bond purchases. It chose October instead of September, probably to coordinate with fiscal policy rather than to inject liquidity, and the operation mode is likely to assist the market in digesting the supply of interest - rate bonds [3][5] Implication of the Central Bank's Action - The central bank's resumption of Treasury bond purchases implies that the current bond market yield is within its desirable range, and it is unlikely to break this state due to its own actions [3][5] Expectation of the Central Bank's Net Bond - Buying Scale - It is expected that the social financing scale will grow moderately in the remaining two months of this year, and a reasonable assumption is that the central bank's net bond - buying scale should be roughly the same as that of the same period last year [3] Central Bank's Attitude towards Market Attention - The central bank does not want the market to over - focus on the scale of Treasury bond purchases. It has been guiding the market to view monetary policy operations from the perspective of "emphasizing price rather than quantity" [3]

Group 1 - The People's Bank of China (PBOC) injected 700 billion yuan of liquidity through a reverse repurchase operation to maintain ample liquidity in the banking system [1] - The operation is a continuation of the 700 billion yuan reverse repurchase that will mature on November 7, indicating a stable liquidity environment [1] - Analysts expect the PBOC to conduct another 6-month reverse repurchase operation this month, with a possibility of increasing the amount [1] Group 2 - In October, the PBOC net injected 20 billion yuan of liquidity through open market operations, reflecting a cautious approach to managing market liquidity [2] - The PBOC's resumption of government bond trading is aimed at stabilizing market expectations without causing a rapid decline in interest rates [2] - Future expectations include potential increases in the scale of net bond purchases to counteract the pressure from maturing monetary tools [2]