期货研究报告 投资咨询业务资格：证监许可【2011】1778 号 国债期货 | 日报 2025 年 12 月 30 日 国债期货 专业研究·创造价值 国债期货窄幅震荡整理 核心观点 今日国债期货均窄幅震荡整理。目前国债期货处于上行驱动以及下行 驱动均较为有限的阶段。一方面，货币政策中长期偏向宽松，政策利率下调 预期仍存，国债期货支撑力量较强。另一方面，央行的降息节奏大概率保持 较强定力，短线上降息预期推动的反弹动能有限，同时明年一季度国债密集 发行带来的供给压力制约国债上行高度。总的来说，国债期货上有压力下 有支撑，预计短期内震荡整理为主。 （仅供参考，不构成任何投资建议） 宝城期货投资咨询部 从业资格证号：F3035632 投资咨询证号：Z0014648 电话：0571-87006873 邮箱：longaoming@bcqhgs.com 作者声明：本人具有中国期货 业协会授予的期货从业资格证 书，期货投资咨询资格证书， 本人承诺以勤勉的职业态度， 独立、客观地出具本报告。本 报告清晰准确地反映了本人的 研究观点。本人不会因本报告 中的具体推荐意见或观点而直 接或间接接收到任何形式的报 酬。 专业研究·创造价 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The bond market is expected to show a warming trend in the fourth quarter compared to the third quarter, but it is still a relatively weak asset and is likely to be dominated by a volatile market. Investors are advised to be cautiously optimistic and flexibly seize trading opportunities [5][58]. - In the short term, the resurgence of trade frictions provides some support for the bond market, but the conflict may still fluctuate. Attention should also be paid to the potential short - term disturbances caused by the reform of public fund sales fees and the potential selling pressure from banks [5][58]. - It is recommended to prioritize the layout of medium - and short - term bond varieties, such as 5 - 6 - year policy financial bonds and local bonds, and 7 - year and 10 - year China Development Bank bonds, which have sufficient spread protection [5][58]. 3. Summary by Directory 3.1 Bond Market Weekly Review - From October 13th to 17th, the bond market showed a volatile pattern under the influence of multiple factors such as tariff disturbances, fundamental data, policy signals, and market sentiment, with the yield curve shifting downward overall. The yield of the 10 - year Treasury active bond decreased by about 0.5bp to 1.7475% [2][8]. - Treasury yield performance was differentiated, and most of the key - term spreads of Treasury bonds narrowed [10][14]. 3.2 Bond Market Data Tracking 3.2.1 Funding Situation - From October 13th to 17th, the central bank's open - market operations had a net withdrawal of 49.79 billion yuan. The next week's reverse - repurchase maturity is 67.31 billion yuan, less than the previous week. The funding rate has increased, and the funding situation remains in a tight balance [16][17]. - The SHIBOR rate showed a differentiated performance, with the overnight, 1 - week, 2 - week, 1 - month, and 3 - month rates changing by 0.40bp, 1.20bp, - 2.10bp, 0.10bp, and - 0.10bp respectively as of October 17th compared to October 11th [28]. 3.2.2 Supply Side - From October 13th to 17th, the total issuance of interest - rate bonds increased, with the net financing amount also increasing. The government bond issuance scale increased month - on - month, while the net financing amount decreased month - on - month. The issuance scale of inter - bank certificates of deposit increased, with the net financing amount increasing month - on - month and the issuance rate rising [34][35][43]. 3.3 Next Week's Outlook - The supply pressure of Treasury bonds will increase next week. The planned issuance of Treasury bonds is 633 billion yuan, and the planned issuance of local government bonds is 196.7 billion yuan [3][56]. - The funding situation is likely to remain relatively loose. Before the tax - payment period disturbance, the funding situation is expected to maintain a relatively loose state [4][57]. 3.4 Bond Market Strategy - The bond market is expected to remain in a volatile pattern in the fourth quarter. It is recommended to prioritize the layout of medium - and short - term varieties and look for varieties with similar maturities and wider spreads [5][58]. 3.5 Global Asset Classes - The U.S. Treasury yield curve steepened. The 10Y - 2Y term spread widened by 3bp to 56bp [59]. - The U.S. dollar index declined slightly, and the central parity rate of the U.S. dollar against the RMB was lowered. The prices of gold and silver rose significantly, while the price of crude oil declined slightly [59][60][63].

Debt Issuance Pressure - The estimated net issuance of U.S. Treasury bonds for Q3 2025 is approximately $1.12 trillion, second only to Q2 2020, indicating significant supply pressure[2] - This figure exceeds the actual financing amount of $1.01 trillion in Q3 2023, suggesting a substantial increase in issuance pressure[11] - The projected fiscal deficit for Q3 2025 is $0.6 trillion, with a TGA net increase of $0.52 trillion contributing to the net issuance estimate[11] Historical Context - The supply panic in Q3 2023 was primarily due to actual financing of $1.01 trillion significantly exceeding the expected $0.85 trillion[27] - The low TGA balance at the start of Q3 2023 (actual $148 billion vs. expected $408.6 billion) contributed to the unexpected financing pressure[27] - Historical data suggests that the overall debt maturity pressure for Q3 2025 is not significantly elevated compared to previous periods[37] Interest Rate Dynamics - Rising Treasury yields in 2023 were influenced by stronger-than-expected economic data and hawkish Federal Reserve policies[3] - If similar yield increases occur in Q3 2025, it may prompt the Federal Reserve to accelerate its easing cycle[36] - The market anticipates that the significant increase in bond supply for Q3 2025 will not lead to a repeat of the panic seen in Q3 2023 due to better expectations[28] Debt Structure Adjustments - Adjusting the issuance structure by increasing short-term debt may alleviate some pressure on long-term bond supply, but not entirely[51] - The total estimated debt issuance for FY 2025 is $30.6 trillion, with Q3 2025 expected to account for $8.32 trillion of this total[45] - The proportion of short-term debt has been increasing, with the long-term debt issuance ratio dropping to around 16%[47]

Group 1 - The first issuance of a 50-year special government bond in 2023 had a weighted average winning rate of 2.1%, which is higher than the yield of similar maturity bonds in the interbank market and up by approximately 19 basis points from the low point in February [2][3] - The Ministry of Finance issued a total of 390 billion yuan in government bonds on May 23, with a cumulative issuance of 4.69 trillion yuan in the first four months of this year, exceeding the same period last year by over 1 trillion yuan [2][7] - The issuance of the 50-year special government bond was met with weak demand, as indicated by the higher winning rate compared to the secondary market, suggesting a lack of strong market sentiment [3][5] Group 2 - Following the announcement of the bidding results, long-term bond yields in the secondary market rose significantly, with the 24 special government bond yield increasing to 2.07% before settling at 2.055% [4] - The market experienced a "first suppress then rise" pattern due to supply shocks from government bonds, with the 10-year bond weighted rate at 1.67% aligning with expectations, while the 50-year bond's rate was 7 basis points higher than the secondary market [5][8] - The central bank's actions, including a 500 billion yuan MLF operation, indicate a focus on maintaining liquidity in the face of increased government bond supply [8][9] Group 3 - The issuance of government bonds has surged this year, with a total of 10.56 trillion yuan in interest rate bonds issued in the first four months, marking an increase of 3.31 trillion yuan compared to the same period last year [7] - The government plans to issue 1.3 trillion yuan in super long-term special government bonds this year, an increase of 300 billion yuan from last year, alongside 500 billion yuan in special bonds to support state-owned banks [7][9] - Analysts suggest that the market's focus will shift to the balance of supply and demand, with the central bank's stance on monetary policy being crucial for maintaining a stable funding environment [6][8]