国债衍生品周报 2025/11/28 咨询业务资格：沪证监许可【2012】1515号 研报作者：许亮 Z0002220 审核：唐韵 Z0002422 【免责声明】 本报告基于本公司认为可靠的、已公开的信息编制，但本公司对该等信息的准确性及完整性不作任何保证。本报告所载的意见、结论及预测仅反映报告发布时的观点、结论 和建议。在不同时期，本公司可能会发出与本报告所载意见、评估及预测不一致的研究报告。本公司不保证本报告所含信息保持在最新状态。本公司对本报告所含信息可在不发出通知的情 形下做出修改， 交易者（您）应当自行关注相应的更新或修改。本公司力求报告内容客观、公正，但本报告所载的观点、结论和建议仅供参考，交易者（您）并不能依靠本报告以取代行 使独立判断。对交易者（您）依据或者使用本报告所造成的一切后果，本公司及作者均不承担任何法律责任。本报告版权仅为本公司所有。未经本公司书面许可，任何机构或个人不得以翻 版、复制、发表、引用或再次分发他人等任何形式侵犯本公司版权。如征得本公司同意进行引用、刊发的，需在允许的范围内使用，并注明出处为"东亚期货"，且不得对本报告进行任何有 悖原意的引用、删节和修改。本公司保留追究相 ...

Core Viewpoint - The article discusses the upcoming expiration of over 2 trillion yuan in reverse repos and the implications for the liquidity environment in November, suggesting that the overall funding situation will remain stable due to supportive monetary policies [3][4]. Group 1: Market Operations - The People's Bank of China (PBOC) will see 20,680 billion yuan in reverse repos maturing this week, with specific amounts maturing each day from November 3 to 7 [3][4]. - On November 6, the PBOC conducted a reverse repo operation of 928 billion yuan at a fixed rate of 1.4%, resulting in a net withdrawal of 2,498 billion yuan due to the larger amount of maturing repos [5][6]. - The PBOC is expected to continue using various policy tools to inject medium- to long-term liquidity into the market, including an anticipated 1 trillion yuan in reverse repos and 900 billion yuan in Medium-term Lending Facility (MLF) maturing this month [6][7]. Group 2: Liquidity Analysis - Analysts believe that the liquidity pressure in November will be manageable, with a decrease in tax payments and a significant reduction in the scale of maturing certificates of deposit [7][8]. - Historical data indicates that the relationship between MLF and reverse repos often shows a "one rises, the other falls" pattern, suggesting that the PBOC will balance liquidity through these instruments [9][10]. - The overnight Shibor rate was reported at 1.3130%, showing a slight decrease, while the 7-day Shibor was at 1.4210%, also down slightly, indicating stable funding rates despite the net withdrawals [6][10].

Core Viewpoint - The People's Bank of China (PBOC) has resumed the operation of buying and selling government bonds, injecting 20 billion yuan into the banking system in October, which is aimed at supporting the real economy and stabilizing market expectations [3][5]. Group 1: Market Operations - In October, the PBOC conducted a net injection of 20 billion yuan through government bond transactions, marking the resumption of operations that had been paused since January 2025 [3][4]. - The resumption of bond trading is seen as a measure to enhance liquidity and support the coordination of monetary and fiscal policies [3][5]. - The current 10-year government bond yield has risen to around 1.8%, indicating favorable conditions for the resumption of bond trading compared to earlier this year [5][6]. Group 2: Liquidity Management - The PBOC's recent actions, including a 700 billion yuan reverse repurchase operation scheduled for November 5, aim to maintain ample liquidity in the banking system [6][7]. - There are significant upcoming maturities, including 700 billion yuan in three-month reverse repos and 9 billion yuan in medium-term lending facilities (MLF), which necessitate continued liquidity support [7][8]. - Analysts expect that the PBOC will likely conduct additional operations to ensure liquidity remains sufficient, especially as year-end pressures increase [7][8]. Group 3: Market Expectations - The low net buying scale of 20 billion yuan reflects the PBOC's cautious approach to avoid rapid declines in interest rates while still providing market support [5][8]. - The overall expectation is that the resumption of bond trading will not lead to significant monetary easing or a drastic drop in interest rates, maintaining a balanced liquidity environment [8].

Core Viewpoint - The People's Bank of China (PBOC) is set to conduct a 700 billion yuan reverse repurchase operation on November 5, indicating a continuation of liquidity support in the market [1][4]. Group 1: Reverse Repo Operations - The PBOC will conduct a 700 billion yuan reverse repo operation with a term of three months, effectively rolling over the same amount of maturing reverse repos [1]. - Market institutions expect the PBOC to conduct another six-month reverse repo operation in November, maintaining a net injection of liquidity [1][4]. - Since October last year, the PBOC has consistently used reverse repo operations to address medium to long-term funding gaps [4]. Group 2: Government Bond Operations - The PBOC resumed government bond trading operations in October, injecting 20 billion yuan, which is seen as a significant signal for the market despite the small amount [4][6]. - The resumption of government bond operations is expected to improve market expectations and contribute to a reversal of bearish sentiment in the bond market [6][7]. - The 10-year government bond yield has decreased from 1.8423% to 1.7984% following the announcement of resumed operations, indicating a positive market response [7]. Group 3: Market Impact and Future Outlook - The PBOC's actions are aimed at stabilizing the banking system's liquidity and maintaining a supportive monetary policy stance [4][5]. - Analysts suggest that the PBOC will continue to use a combination of reverse repos and medium-term lending facilities (MLF) to inject liquidity into the market [5]. - To maintain a stable scale of government bond holdings, the PBOC may need to purchase between 700 billion to 1 trillion yuan in government bonds this year [8].

Group 1 - The core viewpoint of the article highlights the recent monetary policy adjustments by the People's Bank of China (PBOC) and the Federal Reserve, indicating a trend towards easing liquidity in the financial markets [2][3]. - The PBOC has been actively injecting liquidity into the market, with net injections of 32 billion yuan, 3483 billion yuan, 3158 billion yuan, 4195 billion yuan, and 1301 billion yuan over the past week, reflecting a strategy to maintain stable funding conditions [2]. - The Federal Reserve has lowered the benchmark interest rate by 25 basis points to a range of 3.75%-4.00%, marking the second rate cut of the year, and plans to end balance sheet reduction by December 1 [3]. Group 2 - The National Development Bank ETF (159650) focuses on policy financial bonds, which are characterized by high credit ratings, large volumes, and good liquidity, making them attractive investment targets [4]. - The product features of the National Development Bank ETF (159650) include good liquidity, low credit risk, and lower volatility, presenting a reasonable risk-return profile suitable for short-duration allocations [4].

Group 1 - The central bank has resumed the trading of government bonds, enhancing confidence in the bond market [5][6] - The resumption is part of a broader strategy to enrich the monetary policy toolkit and improve the financial functions of government bonds [5][6] - The central bank's actions aim to ensure smooth transmission of monetary policy and stable operation of financial markets [5][6] Group 2 - The central bank's previous suspension of bond trading was due to an imbalance in market supply and demand and accumulated market risks [5][6] - The current bond market environment has improved, with rising risk appetite among investors and a significant increase in government bond yields [6] - The resumption of bond trading is expected to support the real economy and enhance the coordination between monetary and fiscal policies [6] Group 3 - The central bank's strategy includes a flexible approach to bond trading, considering market conditions and the shape of the yield curve [5][6] - The anticipated operations may involve a cautious approach, focusing on short-term bonds while selectively including medium to long-term bonds [6] - The impact on the bond market may lead to a short-term decline in interest rates, while also reinforcing the upper limit on long-term rates [6]

Core Viewpoint - The People's Bank of China (PBOC) will resume open market operations for government bond trading to support market demand and implement a moderately loose monetary policy [1] Group 1: Background - The peak of government bond issuance has passed, and current bond purchases aim to protect demand and avoid excessive volatility in the bond market, which could hinder the transmission of policies to lower overall financing costs [1] - The overall operation of the bond market is stable, and the direct impact of PBOC's bond purchases on the market is manageable [1] - Economic pressures persist, and purchasing bonds to inject liquidity is a necessary aspect of implementing a moderately loose policy [1] Group 2: Pathways - The PBOC may purchase bonds from bank inventories or in the secondary market [1] - Direct purchases from primary dealers' inventories can effectively target liquidity injection with minimal market impact, likely leading to a simultaneous reduction in reserve requirements [1] - Alternatively, purchasing bonds in the secondary market can provide liquidity to a broader range of entities, aligning with future monetary policy frameworks [1] Group 3: Direction - In the short term, net purchases of bonds are expected to dominate [1] - Given the constraints on social credit expansion due to weak economic momentum, government credit expansion remains a crucial driver for economic development [1] - The PBOC's bond trading tools can be used for both buying and selling, with future sales depending on actual needs [1] Group 4: Scale - The expected monthly net purchases of government bonds may not significantly exceed those in 2024 [1] - With government bond issuance for 2025 nearing completion, the demand for monetary policy support is expected to weaken [1] - The bond trading tools can largely be substituted by MLF and reverse repos, suggesting that while bond purchase scales may expand, it could coincide with a reduction in MLF and reverse repo operations [1] Group 5: Impact - Short-term effects may provide a temporary boost, but the positive impact may not be sustainable, with medium to long-term effects likely being neutral [1] - In 2024, PBOC's bond purchases contributed to lowering short-term rates and somewhat facilitated long-term declines, indicating a cautious approach in future bond trading implementation and communication with the market [1] - The core issue in the bond market remains the cost-effectiveness of fixed-income assets, with limited short-term upside for long-duration assets [1]

Core Insights - The People's Bank of China announced the resumption of government bond trading operations, which had been suspended earlier this year due to market imbalances and accumulated risks [1] - The 0-4 Year Local Government Bond ETF (159816) has seen a slight increase of 0.04%, with a latest price of 114.32 yuan and a net subscription of 7.5 million units during the trading session [1] - The current interest rate levels in the bond market are recognized by regulators, indicating limited risks for further increases in interest rates under unchanged fundamentals [1] Group 1 - The resumption of government bond trading is a recognition of the current bond market conditions, which are deemed stable [1] - The 0-4 Year Local Government Bond ETF closely tracks the CSI 0-4 Year Local Government Bond Index, which consists of local government bonds with a remaining maturity of 4 years or less [1] - The index is calculated using market capitalization weighting to reflect the overall performance of local government bonds within the specified maturity range [1] Group 2 - The 0-4 Year Local Government Bond ETF is positioned as the only short-duration local government bond ETF in the market, making it suitable for investors as a cash management tool [2]

Core Viewpoint - The 30-year government bond ETF has shown positive performance with a recent increase of 0.44%, indicating a favorable market sentiment towards long-term government bonds [1] Group 1: Market Performance - The 30-year government bond ETF recorded a turnover of 6.8% during the trading session, with a total transaction value of 2.131 billion yuan [1] - Over the past week, the average daily transaction value of the ETF reached 10.235 billion yuan [1] - The latest scale of the 30-year government bond ETF is 31.146 billion yuan, with a total of 262 million shares outstanding [1] Group 2: Fund Inflows - The ETF has experienced continuous net inflows over the past three days, with a maximum single-day net inflow of 431 million yuan, totaling 630 million yuan in net inflows [1] - The average daily net inflow for the ETF stands at 210 million yuan [1] Group 3: Central Bank Actions - The People's Bank of China (PBOC) has decided to resume open market operations for government bonds after a pause earlier this year due to market imbalances and risks [1] - Longjiang Securities suggests that if the central bank directly purchases short-term government bonds, it may mitigate impacts on the secondary market through major banks [1] - The central bank may gradually extend the duration of government bond purchases to stabilize the balance of government bond holdings and reduce future operational pressures [1]

Core Points - The People's Bank of China (PBOC) has implemented bond trading operations in the secondary market as part of its monetary policy toolbox, enhancing the financial function of government bonds and their role as a pricing benchmark for the yield curve [1] - The PBOC has conducted flexible two-way operations in government bond trading to ensure smooth monetary policy transmission and stable financial market operations, considering the needs for base currency issuance and changes in market supply and demand [1] - Due to significant pressures from imbalances in bond market supply and demand, the PBOC suspended government bond trading earlier this year, but plans to resume operations as the overall bond market is currently performing well [1]