国债期货日报 | 2025-11-27 公募赎回扰动反复，国债期货全线收跌 市场分析 宏观面：（1）宏观政策：10月27日，央行时隔近十个月宣布重启公开市场国债买卖操作，向市场释放了明确的稳 预期信号;10月30日，中美经贸团队达成三方面成果共识，一是中方将与美方妥善解决TikTok相关问题;二是美方将 暂停实施其对华海事、物流和造船业301调查措施一年，同时将暂停实施其9月29日公布的出口管制50%穿透性规则 一年;三是美方取消10%"芬太尼关税"，对中国商品24%对等关税将继续暂停一年。国务院关税税则委员会宣布在一 年内继续暂停实施24%的对美加征关税税率，保留10%的对美加征关税税率。（2）通胀:10月CPI同比上升0.2%。 资金面：（3）财政：2025 年 1–10 月财政运行呈现"收入温和修复、支出节奏回落、基金收缩与专项债放缓并存" 的特征。一般公共预算收入同比增长 0.8%，税收连续八个月改善，增值税、个税和企业所得税均保持修复态势， 但非税收入拖累整体增速，收入完成进度略低于往年均值；一般公共预算支出同比仅增 2%，连续三个月放缓，主 要受上半年财政前置发力后劲不足以及基建类支出走弱影响，社 ...

日期 2025 年 11 月 27 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) 021-60635739 huangwenxin@ccb.ccbfutures.com 期货从业资格号：F3051589 研究员：聂嘉怡(股指) 行业 国债日报 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11月26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 | 115.460 | 115.250 | 114.460 | 114.600 | -1.000 | -0.8 ...

国债期货日报 2025/11/25 徐晨曦（投资咨询证号：Z0001908） 投资咨询业务资格：证监许可【2011】1290 观点：关注央行政策态度 盘面点评： 周二期债主力合约除TS外全线收跌，日线上T、TF、TS维持震荡态势，TL延续跌势。资金面宽松，DR001在 1.32%附近。公开市场逆回购3021亿，续作MLF 10000亿，净回笼54亿。 重要资讯： 1.国家主席习近平同美国总统特朗普通电话，强调台湾回归中国是战后国际秩序重要组成部分。特朗普表示， 中国当年为二战胜利发挥了重要作用，美方理解台湾问题对于中国的重要性。 2.国新办将于周四上午10时举行国务院政策例行吹风会，请工业和信息化部副部长谢远生和国家发展改革 委、商务部、文化和旅游部、市场监管总局有关负责人介绍增强消费品供需适配性进一步促进消费政策措施 有关情况。 行情研判： 今日A股大幅反弹，债市受到一定影响。公开市场开展1万亿MLF，超额续作1000亿，中长期流动性投放较为 稳定，政策信号有限。短期市场缺乏驱动因素，交易情绪疲弱，TL已回补下方缺口，不排除T亦有回补缺口的 可能，多单可逢低布局。中期维持乐观，中期多单继续持有。 | | 2 ...

Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints - The central bank's restart of treasury bond trading operations is expected to inject stable liquidity into the market, significantly boosting bond market sentiment. The positive progress in China-US trade talks has alleviated the market disturbance caused by trade policy uncertainties. The continuous repair of the economic fundamentals and the implementation of loose fiscal policies still require a low - interest - rate environment. The market generally expects the central bank to purchase medium - and short - term treasury bonds, which may lead to a decline in short - term interest rates and potentially drive long - term interest rates down. However, the potential suppression of long - term interest rates due to the recovery of risk appetite should be watched out for. It is recommended to buy on dips with a light position and closely monitor the implementation progress and impact of the new fund fee regulations [2]. 3. Summary by Relevant Catalogs 3.1 Futures Market Data - **Futures Prices and Volumes**: T主力收盘价 rose 0.05% to 108.630 with a volume of 68,993 (down 22,365); TF主力收盘价 remained unchanged at 106.065 with a volume of 54,366 (down 44,952); TS主力收盘价 fell 0.01% to 102.554 with a volume of 33,991 (down 22,127); TL主力收盘价 rose 0.19% to 116.150 with a volume of 128,226 (up 2,790) [2]. - **Futures Spreads**: Most futures spreads decreased, such as TL2512 - 2603价差 down 0.04 to 0.27, T2512 - 2603价差 down 0.01 to 0.32 [2]. - **Futures Positions**: T主力持仓量 decreased by 1,169 to 245,110; TF主力持仓量 decreased; TS主力持仓量 increased by 2,319 to 73,541; TL主力持仓量 decreased by 1,963 to 144,078. The net short positions of T, TF, and TS had different changes [2]. 3.2 CTD and Active Bond Quotes - **CTD Net Prices**: Some CTD net prices increased, like 220017.IB rose 0.0639 to 106.7228, 250003.IB rose 0.0308 to 99.7127; some decreased, such as 220016.IB fell 0.0032 to 101.9375 [2]. - **Active Bond Yields**: Yields of 1 - 7Y active bonds decreased, with 1y down 4.00bp to 1.3900, 3y down 4.00bp to 1.4200, 5y down 2.50bp to 1.5350, 7y down 1.75bp to 1.6550; 10y remained unchanged at 1.8130 [2]. 3.3 Interest Rates - **Short - term Interest Rates**: Most short - term interest rates decreased, such as silver - pledged overnight down 4.26bp to 1.2974, Shibor overnight down 9.70bp to 1.3170, silver - pledged 7 - day down 2.00bp to 1.4800, Shibor 7 - day down 2.80bp to 1.4840 [2]. - **LPR Rates**: 1y and 5y LPR rates remained unchanged at 3.00% and 3.5% respectively [2]. 3.4 Open Market Operations - The issuance scale was 212.5 billion, the maturity scale was 342.6 billion, and the interest rate was 1.4% for 7 - day reverse repurchase operations [2]. 3.5 Industry News - The Fed cut interest rates by 25 basis points to 3.75% - 4.00% and will end balance - sheet reduction on December 1st. - The US will cancel the 10% "fentanyl tariff" on Chinese goods, and both sides will make corresponding adjustments to trade - related measures in the new round of China - US trade consultations [2]. 3.6 Economic Situation - In China, the profits of industrial enterprises above designated size in September continued to rise, with a year - on - year increase of 3.2%. The GDP in the third quarter increased by 4.8% year - on - year, with a stable but slightly slower growth rate. Industrial added value increased significantly in September, social retail sales growth slowed down, and fixed - asset investment continued to shrink [2]. - In the US, the September CPI was lower than expected, core inflation was stable, and the ADP data showed a recovery in the employment market in October [2].

Core Viewpoint - The article discusses the recent performance of various U.S. Treasury bond contracts, indicating a slight decline across different maturities, reflecting market sentiment and interest rate expectations [1]. Summary by Category Treasury Bond Performance - The 30-year main contract decreased by 0.29% [1] - The 10-year main contract fell by 0.08% [1] - The 5-year main contract dropped by 0.05% [1] - The 2-year main contract experienced a minimal decline of 0.01% [1]

Report Industry Investment Rating No relevant content provided. Core View of the Report The bond market is influenced by the rebound in the stock market due to tariff black swan events, the continuous expectation of a Fed rate cut, and rising global trade uncertainties. It is oscillating between stable growth and easing expectations, and short - term attention should be paid to policy signals at the end of the month [3]. Summary According to the Table of Contents I. Interest Rate Pricing Tracking Indicators - China's CPI (monthly) has a 0.10% month - on - month increase and a - 0.30% year - on - year decrease; PPI (monthly) has a 0.00% month - on - month change and a - 2.30% year - on - year decrease [9]. - Social financing scale is 437.08 trillion yuan, with a month - on - month increase of 3.42 trillion yuan (+0.79%); M2 year - on - year is 8.40%, down 0.40% (-4.55%); Manufacturing PMI is 49.80%, up 0.40% (+0.81%) [9]. - The US dollar index is 98.35, down 0.33 (-0.33%); USD/CNH (offshore) is 7.1302, up 0.003 (+0.04%); SHIBOR 7 - day is 1.42, up 0.01 (+0.35%); DR007 is 1.42, up 0.01 (+0.39%); R007 is 1.53, up 0.02 (+1.49%); Inter - bank certificates of deposit (AAA) 3M is 1.58, down 0.01 (-0.67%); AA - AAA credit spread (1Y) is 0.09, up 0.00 (-0.67%) [9]. II. Overview of the Treasury Bond and Treasury Bond Futures Market - Relevant figures include the closing price trend of the main continuous contracts of treasury bond futures, the price change rate of each treasury bond futures variety, the precipitation fund trend of each treasury bond futures variety, the position ratio of each treasury bond futures variety, the net position ratio of the top 20 in each treasury bond futures variety, the long - short position ratio of the top 20 in each treasury bond futures variety, the spread between China Development Bank bonds and treasury bonds, and the issuance of treasury bonds [11][12][14]. III. Overview of the Money Market Funding Situation - Relevant figures include the Shibor interest rate trend, the maturity yield trend of inter - bank certificates of deposit (AAA), the transaction statistics of inter - bank pledged repurchase, and the issuance of local government bonds [22]. IV. Spread Overview - Relevant figures include the inter - term spread trend of each treasury bond futures variety, the term spread of spot bonds and the cross - variety spread of futures (4*TS - T), (2*TS - TF), (2*TF - T), (3*T - TL), (2*TS - 3*TF + T) [22][23][24]. V. Two - Year Treasury Bond Futures - Relevant figures include 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 [26][29][36]. VI. Five - Year Treasury Bond Futures - Relevant figures include 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 [38][43]. VII. Ten - Year Treasury Bond Futures - Relevant figures include 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 [45][47]. VIII. Thirty - Year Treasury Bond Futures - Relevant figures include 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 [52][54][58]. Strategy - Unilateral: The repurchase rate has declined, the price of treasury bond futures is oscillating, and the 2512 contract is neutral [4]. - Arbitrage: Pay attention to the decline of the 2512 basis [4]. - Hedging: There is an adjustment pressure in the medium term, and short - sellers can use far - month contracts for appropriate hedging [4].

1. Report Industry Investment Rating - No information provided 2. Core Viewpoints of the Report - The bond market is currently influenced by both bullish and bearish factors. The economic data shows that the pattern of "strong supply and weak demand" may continue, and the foundation for the recovery of effective demand is not yet solid. The economic growth in the third quarter is under pressure, which provides some support for the current bond market. However, in an environment lacking incremental positive news, the market is sensitive to negative news. The uncertainty of the new regulations on public bond funds continues to disrupt the market, and funds face significant redemption pressure. Bearish sentiment still dominates. It is expected that Treasury bond futures will continue to be in a volatile and weak pattern in the short term. In terms of strategy, it is recommended to wait and see on a single - side basis, and at the same time, pay attention to the long - end term spread trading opportunities brought by the steepening of the yield curve [2] 3. Summary by Relevant Catalogs 3.1 Futures Disk - T主力收盘价为107.845，涨幅0.17%，成交量91682，增加6223；TF主力收盘价为105.630，涨幅0.11%，成交量62260，减少6371；TS主力收盘价为102.372，涨幅0.04%，成交量29604，增加2631；TL主力收盘价为113.900，涨幅0.1%，成交量135369，增加7966 [2] 3.2 Futures Spreads - TL2512 - 2603价差为0.33，减少0.02；T2512 - 2603价差为0.31，减少0.02；TF2512 - 2603价差为0.11，减少0.02；TS2512 - 2603价差为0.09，增加0.00；T12 - TL12价差为 - 6.06，无变化；TF12 - T12价差为 - 2.22，减少0.04；TS12 - T12价差为 - 5.47，减少0.14；TS12 - TF12价差为 - 3.26，减少0.10 [2] 3.3 Futures Positions - T主力持仓量为221887，增加911；T前20名多头持仓量为211293，增加702；T前20名空头持仓量为210998，增加4693；T前20名净空仓为 - 295，减少3991；TF主力持仓量为131782，增加1521；TF前20名多头持仓量为122701，增加1684；TF前20名空头持仓量为132877，增加3549；TF前20名净空仓为10176，增加1865；TS主力持仓量为66797，减少1281；TS前20名多头持仓量为54560，减少1166；TS前20名空头持仓量为58212，减少305；TS前20名净空仓为3652，增加861；TL主力持仓量为145443，减少687；TL前20名多头持仓量为128270，减少377；TL前20名空头持仓量为141620，增加650；TL前20名净空仓为13350，增加1027 [2] 3.4 Top Two CTD (Clean Prices) - 220019.IB(6y）净价为105.3158，增加0.0147；250018.IB(6y)净价为99.0955，增加0.2108；2500801.IB(4y）净价为99.2763，增加0.0919；240020.IB(4y)净价为100.8844，增加0.1346；250012.IB(1.7y)净价为99.9309，增加0.0168；250017.IB(2y)净价为99.9036，增加0.0286；210014.IB(17y)净价为125.1262，减少0.5025；220008.IB(18y)净价为121.2945，增加0.6719 [2] 3.5 Active Treasury Bonds - 1y收益率为1.3825%，无变化；3y收益率为1.5300%，减少0.75bp；5y收益率为1.6250%，增加1.00bp；7y收益率为1.7525%，增加1.00bp；10y收益率为1.8075%，增加0.85bp [2] 3.6 Short - term Interest Rates - 银质押隔夜利率为1.3699%，增加6.99bp；Shibor隔夜利率为1.3790%，增加6.40bp；银质押7天利率为1.4667%，减少43.33bp；Shibor7天利率为1.4050%，减少11.80bp；银质押14天利率为1.6576%，减少29.24bp；Shibor14天利率为1.7020%，增加17.50bp [2] 3.7 LPR Rates - 1y LPR利率为3.00%，无变化；5y LPR利率为3.5%，无变化 [2] 3.8 Open Market Operations - 发行规模2422亿元，到期规模2761亿元，利率1.4%，期限7天，净投放 - 339亿元 [2] 3.9 Industry News - In September, the manufacturing PMI was 49.8%, a 0.4 - percentage - point increase month - on - month, indicating a continued improvement in the manufacturing's prosperity level; the non - manufacturing business activity index was 50.0%, a 0.3 - percentage - point decrease, remaining at the critical point, showing overall stability in the non - manufacturing business volume; the composite PMI output index was 50.6%, a 0.1 - percentage - point increase, remaining above the critical point, indicating an accelerating overall expansion of Chinese enterprises' production and business activities [2] - In August, local government bonds worth 980.1 billion yuan were issued nationwide, including 305.6 billion yuan in general bonds and 674.5 billion yuan in special bonds. From January to August, the total issuance of local government bonds nationwide was 7,683.8 billion yuan, including 1,829.7 billion yuan in general bonds and 5,854.1 billion yuan in special bonds [2] - The scale of new policy - based financial instruments is 500 billion yuan, all of which are used to supplement project capital. The National Development and Reform Commission is working with relevant parties to allocate the funds to specific projects. According to Wang Qing, the chief macro - analyst at Orient Jincheng, these 500 billion yuan in new policy - based financial instruments can leverage about 6 trillion yuan in investment [2] 3.10 Key Data to Watch - On October 1st at 20:15, the US ADP employment figure for September (in ten thousand people) - On October 3rd at 20:30, the US seasonally - adjusted non - farm payrolls for September (in ten thousand people) [3]

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The report maintains the view that the medium - term general direction of the treasury bond futures market is oscillating with a bearish bias [4]. 3. Summary by Directory 3.1. Weekly Focus and Market Tracking - Treasury bond futures contracts have been in a continuous weekly correction, with the ultra - long - end performing weakly. Before the National Day holiday, some profit - taking sales led to a decrease in the stock market's risk appetite and a rebound in the bond market [4][5]. - The treasury bond futures market showed an oscillating and relatively strong trend this week. Policy coordination and liquidity expectations dominated market sentiment. Long - term varieties were more active but their prices were under pressure, while short - term varieties were relatively stable [5]. - The central bank restarted the 14 - day reverse repurchase operation and adjusted its tender method, releasing a signal of liquidity support. However, the policy coordination effect weakened the supply shock. The new regulations on public fund sales increased the short - bond redemption pressure, and there were differences in the market's expectations for additional loose - money policies. Combined with the "stock - bond seesaw" effect, the bond market was under short - term pressure [5]. - The risk appetite has significantly decreased in recent trading days, but the bond market has not improved. In terms of the net long - position changes, private funds slightly reduced their positions, while wealth management subsidiaries and foreign capital slightly increased their positions, showing a divergence between speculative and allocation funds [5]. - Based on the initial information of the September EPMI, the macro - economic monthly环比 situation has warmed up, but the overall growth performance in the third quarter was relatively weak. There is still room for policy deployment, and inflation环比 has marginally improved. Policies to guide long - term funds into the market are in the ascendant [5]. - The treasury bond futures market shows a differentiated feature of short - term stability and intensified long - term fluctuations, with a significant change in the yield curve shape. The trading volume of the 30 - year treasury bond futures has significantly increased, indicating increased long - term selling pressure and intensified long - short game [9]. 3.2. Liquidity Monitoring and Curve Tracking No specific content provided other than the title and source information [12][13]. 3.3. Seat Analysis - In terms of the daily changes in the net long - position of different institutional types: private funds decreased by 6.67%, foreign capital decreased by 0.51%, and wealth management subsidiaries decreased by 1.51%. In terms of weekly changes: private funds decreased by 5.46%, foreign capital increased by 14.04%, and wealth management subsidiaries increased by 13.74% [14].

Report Summary 1. Report Industry Investment Rating - Not provided in the content 2. Core View - In June 2025, the two - year, five - year, ten - year, and thirty - year Treasury bond futures' main contracts had capital inflows, and the monthly K - lines closed positive. The conflict between Israel and Iran on June 13 and the cease - fire on June 24, along with the central bank's reverse repurchase operations releasing liquidity, provided support for the bond market, showing strong market sentiment [3]. 3. Summary by Directory 3.1 Futures Market Analysis - The two - year Treasury bond futures' main contract closed at 102.498 yuan this month, up 0.10% from last month, with lower trading volume than the previous month and the MACD having a death cross above the zero - axis [8]. - The five - year Treasury bond futures' main contract closed at 106.160 yuan this month, up 0.13% from last month, with the monthly K - line closing positive [10]. - The thirty - year Treasury bond futures' main contract closed at 120.42 yuan this month, up 0.85% from last month, with the monthly K - line closing positive, leaving an upper shadow, and approaching the previous high of 122.28 yuan. The trading volume was less than the previous month, and the MACD continued to converge in a death cross above the zero - axis [15]. 3.2 Spot Market Analysis - On June 19, the central bank conducted 2035 billion yuan of 7 - day reverse repurchase operations at a fixed interest rate of 1.40% [15]. - The overnight Shanghai Interbank Offered Rate (Shibor) dropped 0.3 basis points to 1.366%, and the 7 - day Shibor dropped 0.3 basis points to 1.505% [15]. - On June 24, the central bank conducted 4065 billion yuan of 7 - day reverse repurchase operations, with a net investment of 2092 billion yuan [15]. 3.3 Futures - Spot Combination Analysis - Liquidity support: The central bank's net investment of funds through reverse repurchase maintained abundant inter - bank liquidity, providing short - term support for the bond market. On June 26, the central bank conducted 5093 billion yuan of 7 - day reverse repurchase operations, with a net investment of 3058 billion yuan after deducting the maturing funds [16]. - Geopolitical risk disturbance: The Israel - Iran conflict on June 13 boosted risk - aversion sentiment, causing funds to flow to safe assets like Treasury bonds, especially long - term varieties. The cease - fire was announced on June 24 [17]. 3.4 Outlook for the Future - In June, the main contracts of Treasury bond futures rose, which was related to the market traders' enthusiasm and the geopolitical risks. The central bank's reverse repurchase operations released a signal of loose liquidity in the inter - bank market, and it is uncertain whether it will continuously support market liquidity [18]

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core View - The bond market has been oscillating strongly recently due to loose expectations, with interest rates remaining at a low level. Profit - taking selling may drive short - term interest rates to rise slightly. As the main trading line in the market is unclear due to policy uncertainties in the second half of the year, it is recommended to wait for the market to stabilize before making band allocations [2]. 3. Summary by Relevant Catalogs 3.1 Futures Disk - T, TF, TS, TL main contract closing prices decreased by 0.01%, 0%, 0.01%, 0.04% respectively; T, TS trading volumes decreased by 425 and 1470 respectively, while TF and TL trading volumes increased by 179 and 647 respectively [2]. 3.2 Futures Spreads - TL2512 - 2509, T2512 - 2509, TF2512 - 2509, TS2512 - 2509 spreads changed by - 0.03, + 0.02, + 0.00, - 0.00 respectively; T09 - TL09, TF09 - T09, TS09 - T09, TS09 - TF09 spreads changed by + 0.03, - 0.00, - 0.02, - 0.01 respectively [2]. 3.3 Futures Positions - T, TF, TS, TL main contract positions changed by - 131, - 3090, + 509, + 110 respectively; T, TF, TS, TL top 20 long positions changed by + 6074, + 3199, - 4278, + 4521 respectively; T, TF, TS, TL top 20 short positions changed by + 7100, + 4843, + 174, + 6212 respectively; T, TF, TS, TL top 20 net short positions changed by + 1026, + 1644, + 4452, + 1691 respectively [2]. 3.4 Top Two CTD - Net prices of some CTD bonds such as 250007.IB, 220010.IB, 240020.IB decreased, while 210014.IB increased [2]. 3.5 Active Treasury Bonds - Yields of 1y, 7y, 10y active treasury bonds decreased by 0.90bp, 0.30bp, 0.25bp respectively, while 3y, 5y yields increased by 0.40bp, 0.20bp respectively [2]. 3.6 Short - term Interest Rates - Silver - pledged overnight, 7 - day, 14 - day interest rates increased by 3.12bp, 5.00bp, 5.00bp respectively; Shibor overnight, 7 - day, 14 - day interest rates decreased by 0.10bp, 3.20bp, 0.60bp respectively [2]. 3.7 LPR Rates - 1y and 5y LPR rates remained unchanged [2]. 3.8 Open Market Operations - The issuance scale was 220.5 billion yuan, the maturity scale was 242 billion yuan, and the interest rate was 1.4% for 7 - day reverse repurchase, with a net回笼 of 21.5 billion yuan [2]. 3.9 Industry News - The 12th meeting of the Standing Committee of the 14th National Committee of the Chinese People's Political Consultative Conference opened on June 23; June LPR quotes remained unchanged; from January to May, national general public budget expenditures increased by 4.2% year - on - year, while revenues decreased by 0.3% year - on - year [2]. 3.10 Market Situation - Domestic: 5 - month economic data was weak, financial data was divided, and exports declined slightly. Overseas: US economic activity slowed down significantly in May, the labor market cooled, and the Fed may cut interest rates twice in the second half of the year [2].