债券研究 证 券 研 究 报 告 【债券深度报告】 曲线陡峭化下的机构行为特征 ——央行报表及债券托管量观察 ❖ 2025 年 11 月，中债登和上清所债券托管总量为 178 万亿，同比增速较 10 月 环比下行 0.7pct 至 13.8%的水平，环比增量从 10 月的 13124 亿上行至 14798 亿。 ❖ 一、11 月央行资产负债表和托管量解读 1、11 月央行资产负债表：规模上行至 47.30 万亿元。（1）从资产端来看，临 近年末央行"收短放长"，"对其他存款性公司债权"增量回升；11 月央行净买 入国债规模增加，考虑当月到期后央行持仓国债小幅增长。（2）从负债端来看， 临近年底居民和企业持现需求较强，11 月央行"货币发行"季节性增长。 2、11 月央行托管量：央行创新工具净投放规模合计为 5488 亿元，中债-其他 科目单月增量为 5907 亿，两者较为接近。 ❖ 二、杠杆率：套息空间驱动下，机构杠杆水平持续抬升 11 月资金面宽松叠加债市行情整体处于震荡区间，机构杠杆策略表现占优， 全市场质押式回购月均成交量从 10 月的 7.3 万亿上升至 11 月的 7.5 万亿，12 月以来进一步抬 ...

截至2025年12月26日亚洲时段，澳元兑美元报0.6711，较前一交易日上涨0.0014，涨幅0.1343%，当日 开盘0.6697，最高触及0.6714，最低下探0.6697。该货币对近期强势攀升，突破0.67关口创14个月新高， 年内累计涨幅超7%，核心受澳联储政策转向、大宗商品上涨及美元走弱主导。 大宗商品强势为澳元提供额外助力。作为商品货币，澳元受益于黄金、铜价创历史新高，澳大利亚作为 全球主要黄金出口国，相关出口额预计本财年达600亿澳元。同时澳洲私人消费强劲，10月家庭支出环 比增1.3%超预期，经济内生动能稳固，强化澳元基本面支撑。 后续市场焦点集中于三大方向：澳洲通胀与劳动力数据、澳联储2026年加息节奏、美联储降息路径及大 宗商品价格走势。机构普遍乐观，瑞银预测澳元或有10%-40%上涨空间，摩根大通则预计未来12个月交 易区间上移至0.66-0.70。 技术面显示澳元兑美元上行趋势明确。当前汇价站稳0.67关键关口，突破前期震荡区间，短期阻力位聚 焦0.6717近期高点，若站稳有望向0.70区间迈进；初步支撑位看向0.6625，该位置为前期重要突破位， 具备较强支撑力度。 澳美央行政策分 ...

日本总务省周五发布数据显示，受食品与能源价格上涨压力减弱影响，东京通胀降温幅度超出市场预 期，但这一态势预计不会阻碍日本央行进一步加息。东京剔除生鲜食品的核心消费者价格指数12 月同 比上涨 2.3%，较上月 2.8% 的涨幅大幅回落，而经济学家此前预期该数据仅降至 2.5%。整体通胀率从 上月的 2.7% 放缓至 2.0%，剔除生鲜食品与能源价格的核心核心通胀率则降至 2.6%。东京通胀数据向 来是日本全国通胀走势的先行指标。此次数据发布之际，市场正密切关注日本物价走向，以此判断央行 下一轮政策调整的时机。上周，日本央行货币政策委员会全票通过决议，将政策利率上调至 0.75%，创 下 1995 年以来的最高水平。尽管此次通胀数据大幅回落，但仍高于日本央行 2% 的通胀目标，这意味 着央行的进一步政策收紧路径未受影响。该结果也基本契合央行的基准预期，即物价上涨压力将逐步缓 解。 ...

澳元兑美元近期走势偏强，截至最新交易时段微跌0.0447%，波动区间0.6698-0.6710，今开与昨收均为0.6705。 美元指数结构性走弱为澳元兑美元上涨提供外部助力。 截至12月24日，美元指数年内跌幅超9%，持续处于低位，受美联储降息、内部政策分歧及经济数据隐忧等因素拖累。美元疲软提升澳元相对吸引力，与 澳元加息预期形成叠加，共同推动汇率走高。 技术面来看，澳元兑美元处于上升通道，看涨结构稳固。当前支撑位关注0.6620，跌破或下探0.6414；阻力位聚焦前期高点0.6707，突破后或冲击0.6740区 间。 需注意，圣诞假期临近导致外汇市场流动性收紧，交投清淡或加剧短期波动，且0.67关口上方存在获利了结压力。 澳大利亚储备银行近期如期维持政策利率3.6%不变，行长Bullock公开表示无需更多降息，未来或维持观望、不排除加息。这一表态推动市场对澳储行明 年首次会议加息的预期升至三成以上，2年期澳债收益率收涨近10个基点。美国联邦储备委员会年内已完成三次降息，利率区间降至3.5%-3.75%，市场对 其后续宽松的预期持续影响美元走势。 通胀风险与内需表现支撑澳储行政策立场。澳储行提及，内需超预期可 ...

澳大利亚就业人数意外下降，求职者减少，表明劳动力市场正在逐步放松，可能会使澳大利亚央行进一 步拉长按兵不动的时间。 澳大利亚统计局周四公布的数据显示，就业人数下降21300人，其中全职岗位减少较多，而此前预期为 增加20，000人。11月失业率维持在4.3%，低于经济学家此前预测的4.4%。 对政策敏感的3年期国债收益率延续跌势，料创下5月份以来的最大单日跌幅。澳元下跌，而股市扩大涨 势。 澳大利亚统计局周四公布的数据显示，就业人数下降21300人，其中全职岗位减少较多，而此前预期为 增加20，000人。11月失业率维持在4.3%，低于经济学家此前预测的4.4%。 对政策敏感的3年期国债收益率延续跌势，料创下5月份以来的最大单日跌幅。澳元下跌，而股市扩大涨 势。 澳大利亚央行肩负着维持稳定低通胀和充分就业的双重使命，使得眼下的形势异常微妙。政策制定者正 试图在不引发广泛失业的情况下，缓解持续的价格压力，经济中有限的闲置产能使这一平衡变得复杂。 这种局面暂时迫使澳大利亚央行在今年三次降息之后保持观望，成为发达经济体中宽松周期最短的国家 之一。该行本周再次维持利率不变，行长Michele Bullock警告利率下 ...

Core Viewpoint - Goldman Sachs Asset Management released its 2026 investment outlook report, indicating a divergence in central bank policies across major markets [1] Group 1: U.S. Market - The labor market is weak, leading Goldman Sachs to predict that the Federal Reserve may cut interest rates twice in 2026 [1] Group 2: European Market - The European Central Bank is likely to maintain interest rates at current levels for the foreseeable future [1] - The Bank of England may resume rate cuts in December due to improving inflation, a relatively weak labor market, and potential tax increases [1] Group 3: Japanese Market - High inflation and strong growth in Japan may prompt the Bank of Japan to raise interest rates [1] - Recent political changes and a shift towards expansionary fiscal policy further reinforce this direction [1]

1. Report Industry Investment Ratings - No specific industry investment ratings are provided in the report. 2. Core Viewpoints - The US dollar index has strengthened recently, suppressing the performance of risk assets, but domestic stock indices are resilient and continue to reduce volatility while waiting for stabilization [3]. - The 10 - year Treasury bond active bond 250016.IB may fluctuate between 1.75% - 1.82%, and with the restart of central bank Treasury bond trading and a loose monetary policy orientation, the top of interest rates and the bottom of Treasury bond futures are more solid [3]. - The buying power of gold and silver has increased, and their price centers are expected to continue to rise [3]. - Various commodities have different trends, and corresponding investment strategies are proposed for each commodity, such as buying on dips, holding long - positions, or conducting arbitrage operations [3]. 3. Summary by Relevant Catalogs Financial - **Stock Index Futures**: A - shares are in a re - pricing adjustment after the release of the third - quarter reports, with narrow - range callbacks and rebounds in the short term. It is recommended to wait and see mainly. In case of a deep one - day decline, a bullish put - option spread can be arranged [3]. - **Treasury Bond Futures**: The 10 - year Treasury bond active bond 250016.IB may fluctuate in the range of 1.75% - 1.82%. It is recommended to go long on dips in the unilateral strategy and pay attention to the positive arbitrage strategy due to the rising IRR [3]. - **Precious Metals**: The buying power of gold and silver has increased. Gold resistance is around $4190 (956 yuan), and it can be bought on dips below $4100 (936 yuan). Silver may rise to $52 (12000 yuan), and long - call options can be held [3]. - **Container Shipping Index (European Line)**: The main contract is in a short - term shock, and it is recommended to buy on dips for the December contract [3]. Black - **Steel**: It is recommended to hold the arbitrage of going long on coking coal and short on hot - rolled coils, and take a wait - and - see attitude for single - side operations [3]. - **Iron Ore**: It is recommended to take a wait - and - see attitude for single - side operations, with a reference range of 750 - 800, and an arbitrage of going long on coking coal and short on iron ore is recommended [3]. - **Coking Coal**: It is expected to fluctuate in the range of 1170 - 1290, and a 1 - 5 positive arbitrage is recommended [3]. - **Coke**: It is expected to fluctuate in the range of 1650 - 1780, and a 1 - 5 positive arbitrage is recommended [3]. Non - ferrous - **Copper**: The end of the US government shutdown may drive the copper price to rebound, with the main contract reference range of 85500 - 87500 [3]. - **Other Non - ferrous Metals**: Each metal has its own price range and corresponding investment suggestions, such as holding long - positions for tin, and taking a wait - and - see or other strategies for others [3]. New Energy - **Polysilicon**: The price is expected to fluctuate in the range of 50000 - 58000 due to decreased demand and falling silicon wafer prices [3]. - **Lithium Hydroxide**: The price is in a moderate - amplitude shock adjustment, and attention should be paid to the performance at the previous high [3]. Energy and Chemical - **PX, PTA, etc.**: Each chemical product has its own price range and investment strategies, such as taking a wait - and - see attitude, reducing long - positions, or conducting arbitrage operations [3]. Agricultural Products - **Soybeans, Hogs, etc.**: Different agricultural products have different price trends and investment suggestions, such as holding a 3 - 7 reverse arbitrage for hogs and paying attention to support or pressure levels for others [3].

Global Central Bank Dynamics - The People's Bank of China is advancing the internationalization of the Renminbi and researching foreign exchange futures, aiming to develop the Renminbi derivatives market and promote its trading with neighboring and Belt and Road countries [1] - The Federal Reserve has lowered the federal funds rate target range by 25 basis points to 3.75%-4.00%, marking the second consecutive rate cut following September's meeting [1] - The European Central Bank has maintained its benchmark interest rate at 2%, indicating no urgent need for policy adjustments as inflation has reached its target [2] - The Bank of Japan has kept its benchmark interest rate at 0.5%, with expectations of gradual inflation increases [2] - The Bank of Canada has also reduced its benchmark rate by 25 basis points to 2.25%, continuing its trend of rate cuts [2] Market Observations - Nomura Securities has canceled its expectations for another rate cut by the Federal Reserve in December, following the Fed's recent rate decision and Powell's press conference [4] - The market currently estimates a 72% probability of another rate cut by the end of the year, down from approximately 91% prior to the Fed's decision [5] - Analysts from Barclays and other institutions warn that traders may be underestimating the likelihood of a rate cut by the Bank of England [5] - The European Central Bank's President Lagarde has signaled that there will be no rate cuts in the coming months, reinforcing the rationale for maintaining current rates [6]

Core Viewpoint - The bond market is experiencing a downward trend in yields due to the People's Bank of China's (PBOC) upcoming resumption of open market operations for government bonds, which is expected to benefit the financial system's liabilities in the short term, although the preference for risk among investors may limit the extent of interest rate declines [1][2]. Group 1: Market Dynamics - As of October 30, the interbank bond market yields have shown a downward trend, with the 3-month government bond yield decreasing by 2 basis points to 1.30%, the 2-year yield stabilizing around 1.41%, and the 10-year yield falling by 1 basis point to 1.81% [2]. - The resumption of government bond trading by the PBOC, which had been paused for 10 months, is expected to significantly impact the market, especially in the context of increased issuance of government and local bonds [2][3]. - Analysts suggest that the current yield curve may have adjusted to a level acceptable to the PBOC, with limited interest rate risk and potential for further steepening of the curve [2][3]. Group 2: Investor Sentiment - There is a cautious optimism among institutions regarding the extent of the bond market's upward movement, as the expectation of the PBOC's actions had already been priced in by the market [3][4]. - The market is advised to remain rational about the potential for further declines in interest rates, particularly for long-term bonds, as the impact of the PBOC's bond purchases may already be reflected in current yield levels [3][4]. - The focus for investors will shift to the potential for further monetary easing, with discussions around whether the resumption of bond purchases signals a broader easing of monetary policy [2][3]. Group 3: Strategic Recommendations - Institutions are encouraged to monitor potential adjustment pressures following the positive news regarding bond purchases, as the market may switch to a support logic for short-term bonds [4]. - It is suggested that investors consider small-scale operations in response to the PBOC's bond purchase news, with a more favorable market environment anticipated towards the end of the year [4]. - The bond market is expected to remain in a volatile range, with the 10-year government bond likely oscillating between 1.8% and 1.9%, and investors may consider reverse interest rate strategies [4].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The report analyzes the bond market in August 2025 from multiple perspectives, including the central bank's balance sheet and custody volume, institutional leverage, institutional behavior by type, and bond types. It presents the latest trends in central bank monetary policy and institutional investment strategies, and predicts short - term investment opportunities and risks in the bond market [8]. - In the short term, due to the approaching of the end - of - September to early - October period to achieve the annual 5% growth target, with the implementation of growth - stabilizing policies and cross - quarter capital fluctuations, institutional sentiment remains cautious, and there may be redemption disturbances. The remaining issuance quota of bonds is relatively low, indicating that there is still room for fiscal stimulus [7][9]. 3. Summary by Directory 3.1 August Central Bank Balance Sheet and Custody Volume Interpretation - **Balance Sheet Changes**: In August 2025, the central bank's balance sheet size increased from 45.9 trillion yuan to 46.3 trillion yuan. On the asset side, the main increase was in "claims on other depository corporations", and the main decrease was in "claims on other financial corporations". On the liability side, the main increase was in "government deposits", and the main decrease was in "deposits of other depository corporations" [14]. - **Impact on Custody Volume**: The net investment of the central bank's innovative tools in August was 2608 billion yuan, which was close to the monthly increase of 2754 billion yuan in the "ChinaBond - Other" (central bank) account. The main incremental bond types were local government bonds and policy - bank bonds [32]. 3.2 Leverage Ratio - In August, the overall capital market was stable, but the bond market was in a head - wind period. The average monthly leverage ratio dropped to 107.4%. The stock - bond seesaw effect continued to suppress the bond market performance, and institutional leverage willingness weakened. The average monthly trading volume of pledged repurchase remained at 7.6 trillion yuan [37]. 3.3 By Institution Type - **Banks**: Large banks reduced their allocation of 7 - 15y local government bonds and extended the maturity of their Treasury bond purchases. Rural commercial banks' entry - point expectations rose, and their secondary - market trading demand weakened [52][54]. - **Insurance**: Since August, under the influence of "rush to stop sales", insurance companies have increased their bond purchases at high prices, mainly increasing their holdings of local government bonds and Treasury bonds [67]. - **General Funds**: In August, the custody volume of general funds decreased again this year, mainly reducing their holdings of certificates of deposit and commercial bank financial bonds. Fund redemptions occurred repeatedly, while bank wealth management's bond allocation was in line with the seasonal level [76][80][84]. - **Foreign Investors**: The decline in the comprehensive return of foreign investors' investment in certificates of deposit narrowed, and the net outflow speed slowed down. They mainly reduced their holdings of certificates of deposit, Treasury bonds, and policy - bank bonds [93]. 3.4 By Bond Type - In August, the incremental increase in the bond market's custody volume decreased month - on - month. Interest - rate bonds were the main supporting factor, with increments of 8261 billion yuan, 5172 billion yuan, and 4616 billion yuan for Treasury bonds, local government bonds, and policy - bank bonds respectively. Certificates of deposit were the main reduction item, with a reduction of 3556 billion yuan [94].