周度报告-国债期货 中短债企稳，超长债尚需观察 | [Table_Rank] 走势评级： | 国债：震荡 | | | | | | | --- | --- | --- | --- | --- | --- | --- | | 报告日期： | 2025 | 年 | 12 | 月 | 07 | 日 | [Table_Summary] ★一周复盘：国债期货走势分化，超长债大跌 本周（12.01-12.07）国债走势分化，TL 大跌。周一，消息面平 静，股指震荡上涨，但国债期货经过大幅下跌后存在反弹需 求，中短端品种表现较强。周二，消息面平静，但市场较为担 忧可能出现政策、供给、机构卖出老券兑现利润等风险，国债 期货下跌，TL 跌幅较大。周三，资金面均衡，中短端品种小幅 走强，但市场稳增长政策预期有所上升，TL 情绪较弱，跌幅较 大。周四，市场消息面平静，但国债市场情绪面较弱，国债期 货大幅下跌，午盘市场虽期待监管介入而小幅拉升，但随即市 场再度下跌。直至期货市场收盘后，现券利率才小幅下行。周 五，周四尾盘现券利率有所下行，国债期货高开。临近政治局 会议，市场降准降息预期上升，中短端品种上涨，TL 也由跌转 涨。截至 1 ...

国债期货日报 | 2025-12-04 央行买债不及预期，国债期货涨跌分化 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 ...

Report Industry Investment Rating No information provided. Core Viewpoints The bond market this week showed characteristics of weak and stable oscillations, being repeatedly driven by the stock - bond seesaw and sentiment. The market is influenced by factors such as macro - policies, inflation, fiscal and financial conditions, and central bank operations. The overall trend is weakly oscillating [1][2][3]. Summary by Related Catalogs Market Analysis Macro - economic Aspect - On October 27, the central bank restarted open - market treasury bond trading operations, releasing a clear signal to stabilize expectations. On October 30, the China - US economic and trade teams reached consensus on three aspects, including resolving the TikTok issue, the US suspending relevant investigations and export control rules, and canceling the "fentanyl tariff". China will continue to suspend the 24% additional tariff on US goods for one year and retain the 10% tariff [1]. - In October, the CPI increased by 0.2% year - on - year [1]. Fiscal Aspect - From January to October 2025, fiscal operations showed the characteristics of "moderate revenue recovery, a slowdown in expenditure rhythm, and a co - existence of fund contraction and a slowdown in special bonds". General public budget revenue increased by 0.8% year - on - year, with tax revenue improving for eight consecutive months, but non - tax revenue dragging down the overall growth rate. General public budget expenditure increased by only 2% year - on - year, slowing down for three consecutive months, mainly due to insufficient follow - up force from the front - loaded fiscal efforts in the first half of the year and weak infrastructure spending [2]. Financial Aspect - At the end of October, social financing and credit maintained low - level expansion, while government bond issuance remained strong, and the financing demand of enterprises and residents was weak. M1 declined, and the M2 - M1 gap widened, reflecting weak business vitality in the real economy and a return from current to time deposits. Interest - rate products faced upward pressure on long - term yields and a steeper yield curve [2]. Central Bank Operations - On November 21, 2025, the central bank conducted 375 billion yuan of 7 - day reverse repurchase operations at a fixed interest rate of 1.4% through quantity bidding [2]. Money Market - The main term repurchase rates for 1D, 7D, and 14D were 1.32%, 1.44%, and 1.53% respectively, and the repurchase rates have recently declined [2]. Market Conditions - On November 21, 2025, the closing prices of TS, TF, T, and TL were 102.46 yuan, 105.86 yuan, 108.43 yuan, and 115.57 yuan respectively. Their weekly price changes were - 0.02%, - 0.05%, - 0.05%, and - 0.75% respectively [3]. - The average net basis spreads of TS, TF, T, and TL were 0.01 yuan, 0.03 yuan, 0.00 yuan, and 0.17 yuan respectively [3]. Strategies - **Unilateral Strategy**: With the decline in repurchase rates and the oscillating treasury bond futures prices, the 2512 contract is neutral [4]. - **Arbitrage Strategy**: Pay attention to the widening of the 2512 basis spread [4]. - **Hedging Strategy**: There is medium - term adjustment pressure, and short - position holders can use far - month contracts for appropriate hedging [4].

1. Report Industry Investment Rating No information provided. 2. Core Viewpoints - The economic fundamentals' continuous repair and the implementation of broad fiscal policies require a low - interest - rate environment. The market generally expects the central bank to purchase medium - and short - term bonds, which may lead to a decline in short - term interest rates and potentially drive long - term interest rates down. However, there is a need to be vigilant about the potential suppression of long - term interest rates by the recovery of risk appetite. It is recommended to buy on dips with a light position [2]. 3. Summary by Relevant Catalogs 3.1 Futures Market - **Futures Prices and Volumes**: T, TF, and TL main contract closing prices decreased by 0.09%, 0.03%, and 0.28% respectively, while the TS main contract rose 0.01%. T, TF, and TL main contract trading volumes increased by 10433, 628, and 8267 respectively, and the TS main contract volume increased by 8855 [2]. - **Futures Spreads**: The spreads of TL2512 - 2603, T2512 - 2603, TF2512 - 2603, and TS2512 - 2603 changed by - 0.03, + 0.02, + 0.00, and + 0.01 respectively. Other spreads also had corresponding changes [2]. - **Futures Positions**: T, TF, and TL main contract positions decreased by 1354, 835, and 2186 respectively, while the TS main contract position increased by 894. The net short positions of T decreased by 165, while those of TF, TS, and TL increased by 1591, 621, and 88 respectively [2]. 3.2 CTD and Active Bonds - **CTD Net Prices**: Most CTD net prices decreased, such as 220017.IB decreasing by 0.1185, 250018.IB decreasing by 0.0744, etc., while 250012.IB increased by 0.0038 [2]. - **Active Bond Yields**: The yields of 1y, 3y, 7y, and 10y active bonds changed by 0bp, + 1bp, + 0.05bp, and + 0.25bp respectively, while the yields of 5y decreased by 0.15bp [2]. 3.3 Interest Rates - **Short - term Interest Rates**: The silver - pledged overnight and Shibor overnight rates decreased by 4.23bp and 0.20bp respectively, while the silver - pledged 7 - day rate increased by 1.50bp and the Shibor 7 - day rate decreased by 0.20bp [2]. - **LPR Rates**: The 1y and 5y LPR rates remained unchanged [2]. 3.4 Open Market Operations - The issuance scale of open - market operations was 92.8 billion yuan, the maturity scale was 342.6 billion yuan, and the net investment was - 249.8 billion yuan [2]. 3.5 Industry News - China announced specific measures to implement the consensus of the China - US economic and trade consultations in Kuala Lumpur, including canceling and suspending a number of reciprocal tariff measures [2]. - China's October S&P Services PMI was 52.6, and the Composite PMI was 51.8 [2]. - Premier Li Qiang attended the opening ceremony of the 8th China International Import Expo and stated that China will adhere to high - quality development and high - level opening - up [2]. 3.6 Market Situation - On Thursday, the yields of treasury bond cash bonds weakened collectively, and treasury bond futures showed short - term strength and medium - to long - term weakness. The DR007 weighted average rate fluctuated around 1.43%. The central bank's net investment in open - market treasury bond trading in October was 2 billion yuan [2]. - Domestically, the manufacturing PMI in October decreased by 0.8% to 49%, while the non - manufacturing PMI returned to the expansion range. Overseas, the US ADP added 42,000 new jobs in October, but the labor market recovery outlook remains unclear. The Fed cut interest rates by 25 basis points in October and will end the balance - sheet reduction on December 1st [2]. 3.7 Key Events to Watch - On November 6th at 22:00, the Bank of England will announce its interest - rate decision, meeting minutes, and monetary policy report. - On November 10th at 07:50, the Bank of Japan will announce the summary of the opinions of the deliberation members of the October monetary policy meeting [3].

Market Performance - Treasury futures closed lower across the board, with the 30-year main contract down 0.34%, the 10-year main contract down 0.12%, the 5-year main contract down 0.07%, and the 2-year main contract down 0.02% [1] - The yields on major interbank bonds showed mixed performance, with long-term bonds underperforming; the yield on the 10-year government bond "25附息国债16" rose by 0.95 basis points to 1.8370%, and the yield on the 30-year government bond "25超长特别国债06" increased by 1 basis point to 2.1950% [1] Funding Conditions - The central bank announced a 7-day reverse repurchase operation of 212.5 billion yuan at a fixed rate of 1.40%, with the same amount being the bid and awarded [2] - On the same day, 236 billion yuan of reverse repos matured, resulting in a net withdrawal of 23.5 billion yuan [2] - The interbank market remains stable, with overnight repurchase rates hovering around 1.31% for several days, while non-bank institutions have been borrowing against certificates of deposit and credit bonds at rates between 1.40% and 1.45% [2] Policy Developments - The Fourth Plenary Session of the 20th Central Committee of the Communist Party of China was held from October 20 to 23, 2025, outlining major goals for the "14th Five-Year Plan" period, including significant achievements in high-quality development and technological self-reliance [3] - By 2035, the goals include a substantial increase in economic, technological, and national defense strength, with the aim of achieving a per capita GDP at the level of moderately developed countries [3] Operational Suggestions - The bond market experienced fluctuations with mixed closing results, lacking direction ahead of major meetings and new regulations [4] - It is suggested to focus on new policy guidance from upcoming press conferences and the status of China-U.S. trade negotiations, with a recommendation for a wait-and-see approach for unilateral strategies [4]

Report Industry Investment Rating No relevant content provided. Core View of the Report The bond market sentiment is fragile. The recovery of risk appetite suppresses the bond market. Meanwhile, the expectation of continued interest rate cuts by the Federal Reserve and the increasing global trade uncertainty add to the uncertainty of foreign capital inflows. Overall, the bond market fluctuates between the expectations of stable growth and monetary easing. Short - term attention should be paid to policy signals at the end of the month [3]. Summary According to the Directory 1. Interest Rate Pricing Tracking Indicators - China's CPI (monthly) has a 0.00% month - on - month change and a - 0.40% year - on - year change; China's PPI (monthly) has a 0.00% month - on - month change and a - 2.90% year - on - year change [9]. - Social financing scale is 433.66 trillion yuan, with a month - on - month increase of 2.40 trillion yuan and a growth rate of 0.56%; M2 year - on - year is 8.80%, with no month - on - month change; manufacturing PMI is 49.40%, with a month - on - month increase of 0.10% and a growth rate of 0.20% [10]. - The US dollar index is 98.48, with a day - on - day increase of 0.63 and a growth rate of 0.64%; the offshore US dollar against the Chinese yuan is 7.1292, with a day - on - day increase of 0.010 and a growth rate of 0.14%; SHIBOR 7 - day is 1.58, with a day - on - day decrease of 0.01 and a decline rate of 0.38%; DR007 is 1.60, with a day - on - day increase of 0.02 and a growth rate of 0.96%; R007 is 1.51, with a day - on - day decrease of 0.05 and a decline rate of 3.26%; the yield of inter - bank certificates of deposit (AAA) for 3 months is 1.61, with a day - on - day increase of 0.00 and a growth rate of 0.12%; the AA - AAA credit spread (1Y) is 0.09, with a day - on - day increase of 0.00 and a growth rate of 0.12% [11]. 2. Overview of the Treasury Bond and Treasury Bond Futures Market The report provides multiple figures about the treasury bond futures market, including the closing price trend, price change rate, precipitation of funds, position ratio, net position ratio, long - short position ratio, spread between national development bonds and treasury bonds, and treasury bond issuance [15][17][19]. 3. Overview of the Money Market Fundamentals It provides figures on bank - to - bank pledged repurchase transaction statistics and local government bond issuance [29]. 4. Spread Overview It includes figures on Shibor interest rate trends, yields of inter - bank certificates of deposit (AAA) at maturity, cross - period spreads of treasury bond futures, and spreads between spot bond term spreads and futures cross - variety spreads [32][35]. 5. Two - Year Treasury Bond Futures The report provides figures on the implied interest rate and treasury bond yield of the two - year treasury bond futures main contract, the IRR of the TS main contract and the funding rate, and the three - year basis and net basis trends of the TS main contract [52][55]. 6. Five - Year Treasury Bond Futures It provides figures on the implied interest rate and treasury bond yield of the five - year treasury bond futures main contract, the IRR of the TF main contract and the funding rate, and the three - year basis and net basis trends of the TF main contract [57][61]. 7. Ten - Year Treasury Bond Futures The report provides figures on the implied yield and treasury bond yield of the ten - year treasury bond futures main contract, the IRR of the T main contract and the funding rate, and the three - year basis and net basis trends of the T main contract [64][66]. 8. Thirty - Year Treasury Bond Futures It provides figures on the implied yield and treasury bond yield of the thirty - year treasury bond futures main contract, the IRR of the TL main contract and the funding rate, and the three - year basis and net basis trends of the TL main contract [71][77]. Strategy - Unilateral: As the repurchase rate rises, the price of treasury bond futures fluctuates [4]. - Arbitrage: Pay attention to the decline of the 2512 basis [4]. - Hedging: There is medium - term adjustment pressure, and short - side investors can use far - month contracts for appropriate hedging [4].

Report Summary 1. Investment Rating The report does not provide an investment rating for the industry. 2. Core Views - The bond market showed a mixed performance last week. Although social financing data increased year-on-year, it was mainly driven by government bonds, and credit demand remained weak. The manufacturing PMI was below the boom-bust line, strengthening the market's judgment of weak economic conditions and supporting the bond market. Geopolitical tensions and external uncertainties increased risk aversion, which was also beneficial to the bond market. However, the Lujiazui Forum did not introduce unexpectedly loose measures, cooling the market's expectations of the central bank's bond trading. The bond market generally rose due to the unchanged LPR in June, the weak stock market, and the relatively stable capital situation. The market's expectations for loose policies in the second half of the year increased, and trading in ultra-long-term bonds was active, but overall, it was still affected by the policy vacuum period [3]. 3. Summary by Section 3.1 Interest Rate Pricing Tracking Indicators - The monthly Chinese CPI decreased by -0.10% year-on-year, and the PPI decreased by -3.30% year-on-year. The social financing scale was 426.16 trillion yuan, with a month-on-month increase of 2.16 trillion yuan and a growth rate of +0.51%. M2 decreased by -0.10% month-on-month, with a decline rate of -1.25%. The manufacturing PMI was 49.50%, with a month-on-month increase of 0.50% and a growth rate of +1.02%. The daily updated indicators included the US Dollar Index, USD/CNH (offshore), SHIBOR 7-day, DR007, R007, AAA-rated negotiable certificates of deposit (NCD) 3M, and AA-AAA credit spread (1Y) [8]. 3.2 Overview of Treasury Bonds and Treasury Bond Futures Market - On June 23, 2025, the closing prices of TS, TF, T, and TL were 102.53 yuan, 106.28 yuan, 109.16 yuan, and 121.29 yuan respectively. The price changes were -0.01%, 0.00%, -0.01%, and -0.04% respectively. The average net basis spreads of TS, TF, T, and TL were -0.068 yuan, -0.049 yuan, -0.087 yuan, and -0.396 yuan respectively [2]. 3.3 Overview of Money Market Capital - On June 23, 2025, the central bank conducted a 7-day reverse repurchase operation of 220.5 billion yuan at a fixed interest rate of 1.5%. The main term repurchase rates, including 1D, 7D, 14D, and 1M, were 1.367%, 1.497%, 1.713%, and 1.620% respectively, and the repurchase rates had recently declined [2]. 3.4 Overview of Spreads - The report provides various spread trend charts, including the inter - delivery spread trends of treasury bond futures, the term spread between spot bonds and cross - variety spreads in futures (4*TS - T), (2*TS - TF), (2*TF - T), (3*T - TL), and (2*TS - 3*TF + T) [7][39][43]. 3.5 Two - Year Treasury Bond Futures - The report presents charts of the implied interest rate of the TS main contract and the treasury bond yield to maturity, the implied repo rate (IRR) of the TS main contract and the capital rate, the basis spread trend of the TS main contract in the past three years, and the net basis spread trend of the TS main contract in the past three years [46][49][59]. 3.6 Five - Year Treasury Bond Futures - The report presents charts of the implied interest rate of the TF main contract and the treasury bond yield to maturity, the implied repo rate (IRR) of the TF main contract and the capital rate, the basis spread trend of the TF main contract in the past three years, and the net basis spread trend of the TF main contract in the past three years [55][59][61]. 3.7 Ten - Year Treasury Bond Futures - The report presents charts of the implied interest rate of the T main contract and the treasury bond yield to maturity, the implied repo rate (IRR) of the T main contract and the capital rate, the basis spread trend of the T main contract in the past three years, and the net basis spread trend of the T main contract in the past three years [66][69][71]. 3.8 Thirty - Year Treasury Bond Futures - The report presents charts of the implied interest rate of the TL main contract and the treasury bond yield to maturity, the implied repo rate (IRR) of the TL main contract and the capital rate, the basis spread trend of the TL main contract in the past three years, and the net basis spread trend of the TL main contract in the past three years [74][77][80].