| 项目类别 | 数据指标 最新 | 最新 | 环比 项目 | | 环比 | | --- | --- | --- | --- | --- | --- | | 期货盘面 | T主力收盘价 | 108.535 | -0.09% T主力成交量 | 66747 | 10433↑ | | | TF主力收盘价 | 105.965 | -0.03% TF主力成交量 | 41155 | 628↑ | | | TS主力收盘价 | 102.496 | 0.01% TS主力成交量 | 27505 | 8855↑ | | | TL主力收盘价 | 116.110 | -0.28% TL主力成交量 | 101216 | 8267↑ | | 期货价差 | TL2512-2603价差 | 0.21 | -0.03↓ T12-TL12价差 | -7.58 | 0.23↑ | | | T2512-2603价差 | 0.27 | +0.02↑ TF12-T12价差 | -2.57 | 0.04↑ | | | TF2512-2603价差 | 0.03 | +0.00↑ TS12-T12价差 | -6.04 | 0.10↑ | | | TS2512- ...

【操作建议】 昨日债市震荡，收盘涨跌不一，不过短期在基金赎回费新规、重大会议落地前，债市仍缺乏方向。短期 关注今日新闻发布会新的政策指引、中美贸易谈判情况，建议单边策略观望为主。期现策略，由于IRR 回升，可以适当关注正套策略。 央行公告称，10月23日以固定利率、数量招标方式开展了2125亿元7天期逆回购操作，操作利率 1.40%，投标量2125亿元，中标量2125亿元。数据显示，当日2360亿元逆回购到期，据此计算，单日净 回笼235亿元。财政部、央行10月23日以利率招标方式进行了2025年中央国库现金管理商业银行定期存 款招投标，中标总量1200亿元，中标利率1.76%，起息日10月23日，到期日11月20日。银行间市场资金 面仍维持平稳，存款类机构隔夜回购利率已在1.31%附近徘徊数日。非银机构以存单及信用债等抵押融 入隔夜，报价亦连续多日维持在1.40%-1.45%区间。在央行呵护之下，市场流动性预期延续稳定乐观。 短期内缴税影响渐近，并与跨月叠加，资金难免有短暂收敛，但预期整体平衡偏松大局仍难改。 【政策面】 中国共产党第二十届中央委员会第四次全体会议，于2025年10月20日至23日在北京举行 ...

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].