[Table_Author] 分析师：杨杰峰 执业证号：S1250523060001 电话：18190773632 邮箱：yangjf@swsc.com.cn 分析师：叶昱宏 执业证号：S1250525070010 电话：18223492691 邮箱：yeyuh@swsc.com.cn 联系人：李茂怡 电话：15528164673 邮箱：limaoyi@swsc.com.cn 相关研究 请务必阅读正文后的重要声明部分 [Table_ReportInfo] 2026 年 03 月 02 日 证券研究报告•固定收益定期报告 债券 ETF 周度跟踪（2.24-2.27） 两会在即，布局超长债与转债 ETF 弹性机会 摘要 西南证券研究院 S 各类债券 ETF资金净流入情况：短期仍受股市行情牵制。上周利率债类 ETF、 信用债类 ETF、可转债类 ETF净流入资金分别-32.93亿元、-62.10亿元、+9.30 亿元，债券 ETF 市场合计净流入金额-85.73 亿元。整体来看，年后第一周 A 股强势表现对资金吸引力仍大，此外上周上海出台地产新政，其他城市后续或 跟进，短期内对债市情绪有所牵制，利率债类、信用债类 ...

债券研究 证 券 研 究 报 告 【债券日报】 权益走强叠加美伊冲突爆发，债市收益率先上后下 ——利率债市场周度复盘 具体看，本周央行全口径净回笼 4614 亿元，资金情绪指数基本在 50 附近，1y 国股行存单发行利率下行至 1.59%。 周三（2 月 25 日），央行净投放 3095 亿元，资金面由紧转松，上海地产政策 优化落地，权益震荡偏强，股债跷板效应叠加机构止盈驱动，收益率震荡回调， 10 年国债回到 1.8%上方。 周四（2 月 26 日），央行净回笼 795 亿元，权益市场高位回调，受"沪七条" 以及两会前政策博弈，止盈情绪升温，现券情绪偏弱，10y 国债收益率最高上 行至 1.8140%。 周五（2 月 27 日），央行净投放 2690 亿元，央行下调远期售汇业务的外汇风 险准备金率，午间政治局会议通稿公布增量内容不多，债市情绪修复，配置盘 有序进场，券商转为净买入，现券收益率多数下行，10y 国债活跃券回到 1.8% 附近。 周六（2 月 28 日），央行延续净投放，跨月资金平稳宽松，调休日上午债市成 交清淡，午后美伊局势升级，避险情绪升温驱动收益率加速下行，10y 国债活 跃券下行 1.2 ...

1. Report Industry Investment Rating The provided content does not mention the industry investment rating. 2. Core Viewpoints of the Report - The stock - bond seesaw effect has generally strengthened since 2025, but there are periods of weakening. The restoration of the stock - bond seesaw effect requires the continuous strengthening of the pricing factors of stocks or bonds. The market trends of the stock and bond markets have their own dominant factors, and the stock - bond seesaw is not the only pricing factor for bonds [3][43][46]. - The bond market strategy is to hold bonds during the holiday and appropriately increase the account's income elasticity. The report is optimistic about the future market and suggests starting to prepare for the whole - year trading market, shifting from a configuration - oriented to a trading - oriented approach [48][52]. - In the first week of February, the bond market strengthened with oscillations due to the weakening of the equity market and the central bank's support. The 30 - 10y spread of treasury bonds has compression potential, and there are opportunities in long - term credit bonds [7][72][77]. 3. Summary by Directory 3.1 Stock - Bond Seesaw "Failure" Re - discussion - **Overall Strengthening of the Stock - Bond Seesaw Effect in 2025**: The strengthening is mainly due to the significant boost in market risk appetite by the strong performance of the equity market and the significant widening of the stock - bond price ratio. For example, from September 2024 to October 2025, the share of open - ended bond funds decreased by 3.18%, while that of open - ended stock funds increased by 22.92%. As of February 2026, the margin trading balance in the Shanghai and Shenzhen stock markets reached 2.67 trillion yuan [10][14][15]. - **Weakening of the Stock - Bond Seesaw Effect in Some Windows**: There are two situations: stock - bond co - rising and stock - bond co - falling. Stock - bond co - rising occurs when the bond market has clear bullish factors (mostly related to easing expectations), and the yield is in a downward channel. Stock - bond co - falling is mostly related to the redemption of "fixed - income +" products. For example, in November 2025 and February 2026, the redemption of "fixed - income +" products led to an increase in bond yields [22][32]. - **End of the Stock - Bond Seesaw "Failure"**: The restoration of the stock - bond seesaw effect is driven by different factors, such as the "anti - involution" logic in July 2025 leading to the bond market following the adjustment, and the early "spring rally" in the equity market and the cooling of the bond market's easing expectations in late December 2025 - early January 2026 [41]. - **Summary**: The "failure" of the stock - bond seesaw is more common after the bond market's cost - performance returns. To restore the seesaw effect, the pricing factors of stocks or bonds need to be continuously strengthened. The subsequent trend of the "failure" during the "fixed - income +" redemption stage after the stock market decline needs to be observed [43][46]. 3.2 Bond Market Strategy - **Under - expected Bond Market Gains after the Decline in Risk Appetite**: The bond market gains were under - expected due to the redemption of "fixed - income +" funds and the lack of a clear trading theme in the short - term bond market [48]. - **Optimistic Outlook for the Future Market**: The central bank's pre - holiday capital injection is relatively active, and the capital fluctuation pressure is controllable. However, the institutions' cross - holiday capital arrangements are relatively late, and short - term frictions in the last week need attention. The power of allocation - type funds is relatively strong, and the pricing influence of the equity market on bonds is weakened. The bond market yield is still in the cost - performance range [52][61][66]. - **Operation Suggestions**: Continue to layout convex - type varieties, conduct spread mining according to the convex points. Focus on 5y China Development Bank bonds in the short - term, 8y Export - Import Bank of China bonds and 10y local government bonds in the medium - term. Insurance funds can configure long - term local government bonds at high yield fluctuations. It is recommended to hold bonds during the holiday and appropriately increase the account's elasticity, and layout long - term offensive varieties with good liquidity [69][72]. 3.3 Interest - Rate Bond Market Review - **Market Performance**: In the first week of February, the equity market was weak, and the bond market strengthened with oscillations. The 10y treasury bond yield was blocked at 1.80% multiple times, and the 30y treasury bond led the rise, driving the compression of the 30 - 10y spread. The 1y treasury bond active bond yield rose 2BP to 1.3100%, the 10y treasury bond active bond yield fell 0.8BP to 1.8020%, and the 30y treasury bond yield fell 3.45BP to 2.2255% [7]. - **Funding Situation**: The central bank's net withdrawal of funds was 656 billion yuan this week, and the funding situation was generally loose. The 1y inter - bank certificate of deposit issuance price of national joint - stock banks fell to 1.58%, and the weighted price of DR007 fell to 1.4613% [8]. - **Primary Issuance**: The net financing of policy - financial bonds decreased, while the net financing of treasury bonds, local government bonds, and inter - bank certificates of deposit increased [92]. - **Benchmark Changes**: The term spreads of treasury bonds and China Development Bank bonds both narrowed. The short - end yields of treasury bonds rose 2.08BP, and the long - end yields fell 0.1BP. The short - end yields of China Development Bank bonds fell 1.32BP, and the long - end yields fell 2.2BP [89].

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - In the week from January 5 - 9, 2026, the ultra - long credit bonds showed a downward trend. Affected by multiple factors such as the stock - bond seesaw effect, the withdrawal of impulsive funds, and the supply pressure of long - term bonds, the yields of ultra - long credit bonds generally increased. The number of outstanding ultra - long credit bonds with yields above 2.8% increased to 174 [2][13]. - The supply of ultra - long industrial bonds dropped to a low point. This week, the total supply of new ultra - long credit bonds was 5.03 billion, with issuers highly concentrated in urban investment platforms. The interest rate of new ultra - long urban investment bonds rose to around 3%, but the subscription enthusiasm remained low [3][22]. - The ultra - long credit bond index continued to decline. The sharp rise of the stock market this week impacted the bond market pricing. Most medium - and long - term general credit bond full - price index prices fell, with the price of AA + credit bonds over 10 years dropping by 0.05%. However, the trading activity of ultra - long credit bonds rebounded, and the average trading yield of general credit bonds over 10 years rose above 2.65%. After the New Year, the number of trading transactions of ultra - long credit bonds rebounded to over 350 [4][29][31]. - From a more microscopic perspective, the spread between 7 - 10 - year active ultra - long credit bonds and government bonds of similar maturities was 58bp this week, with good coupon value. In late January, the opening of amortized - cost bond funds may bring local benefits to the ultra - long credit bond market [5][43]. 3. Summary According to the Directory 3.1 Stock Market Characteristics - Ultra - long credit bonds declined. Affected by multiple factors, the yields of ultra - long credit bonds generally increased, and the number of outstanding ultra - long credit bonds with yields above 2.8% increased to 174 compared with last week [2][13]. 3.2 Primary Issuance Situation - The supply of ultra - long industrial bonds dropped to a low point. This week, the total supply of new ultra - long credit bonds was 5.03 billion, with issuers highly concentrated in urban investment platforms [3][22]. - In terms of issuance interest rates, in the context of overall bond market fluctuations and fragile investor sentiment, the market demanded a higher risk premium for ultra - long credit bonds. The interest rate of new ultra - long urban investment bonds rose to around 3% this week. Despite the continuous increase in coupon rates, the subscription enthusiasm for ultra - long urban investment bonds remained low, and market concerns about the uncertainty of ultra - long urban investment bonds with maturities spanning the debt - resolution node intensified [3][22]. 3.3 Secondary Trading Performance - The ultra - long credit bond index continued to decline. The sharp rise of the stock market this week impacted the bond market pricing. Most medium - and long - term general credit bond full - price index prices fell, with the price of AA + credit bonds over 10 years dropping by 0.05% [4][29]. - The trading activity of ultra - long credit bonds rebounded. The supply pressure of government bonds and the warming of stock market sentiment continuously disturbed long - term interest rates. The secondary - market trading yield of ultra - long credit bonds continued to fluctuate. The average trading yield of general credit bonds over 10 years rose above 2.65%. After the New Year, the number of trading transactions of ultra - long credit bonds rebounded to over 350, partly driven by the market pattern of "credit is better than interest rates" this week. Due to the overcrowded trading of short - and medium - term credit products, some asset allocations shifted to the long - end [4][31]. - Corresponding to the secondary - market trading performance, the TKN ratio of general credit bonds over 10 years rebounded to 60%. The certain high coupon attracted funds to flow from more volatile long - term interest - rate bonds to credit bonds [4][36]. - In terms of investor structure, wealth - management funds have the motivation to extend the duration to increase returns, but their behavior is constrained by net - value fluctuations and tends to be cautious during the interest - rate increase period. Public funds with stronger trading attributes have recently shown a continuous attitude of reducing or holding off on long - duration credit bonds. Traditional allocation players such as insurance companies have承接, but the intensity has weakened, and they may reserve more positions for newly issued local government bonds [4][41].

1. Report Industry Investment Rating No information regarding the industry investment rating is provided in the report. 2. Core View of the Report In the second week of December 2025, significant meetings were held, focusing on the effectiveness of existing policies with limited new increments. After the previous adjustment, the bond market's cost - effectiveness became prominent. In the first half of the week, the bond market overcame negative factors, with the 10 - year and 30 - year Treasury bonds showing significant recovery, and China Development Bank bonds performing better than Treasury bonds. On Friday, the expectation of fiscal expansion led to profit - taking pressure, driving the bond market to correct again, and the 30 - year Treasury bond almost erased its previous gains. Throughout the week, the yield of the 1 - year Treasury bond active bond decreased by 1.25BP to 1.3875%, the yield of the 10 - year Treasury bond active bond increased by 1.4BP to 1.8425%, and the yield of the 30 - year Treasury bond decreased by 0.45BP to 2.2470%. The central bank had a net injection of 47 billion yuan, the capital sentiment index was generally below 50, the capital market was stable and loose, the issuance price of 1 - year certificates of deposit of state - owned and joint - stock banks dropped to 1.6517%, and the weighted price of DR007 rose to 1.4691% [4][7]. 3. Summary by Directory 3.1 Interest - rate Bond Market Review: Bond Market First Strong Then Weak after "Double Cut" Mentioned in Important Meetings - **Monday (December 8)**: The central bank had a net injection of 147 billion yuan in the morning. With better - than - expected exports in November and the adjustment of insurance business risk factors, the equity market opened high and moved higher. After the Politburo meeting in the afternoon, there was limited new information, and bond yields first decreased and then increased under the influence of easing expectations. The long - term and ultra - long - term bonds remained weak. The 7 - year Treasury bond yield increased by 0.25BP to 1.7325%, the 10 - year Treasury bond active bond yield increased by 0.40BP to 1.8325%, and the 30 - year Treasury bond yield increased by 0.85BP to 2.2600% [2][9][11] - **Tuesday (December 9)**: The central bank had a net withdrawal of 390 billion yuan in the morning. DR001 dropped below 1.3%. With the weak adjustment of the equity market and the conclusion of the Politburo meeting, the bond market sentiment stabilized marginally. China Development Bank bonds performed better than Treasury bonds. The 7 - year Treasury bond yield decreased by 0.75BP to 1.7250%, the 10 - year Treasury bond active bond yield increased by 0.25BP to 1.8350%, and the 30 - year Treasury bond yield decreased by 0.65BP to 2.2535% [2][12] - **Wednesday (December 10)**: The central bank had a net injection of 1015 billion yuan in the morning. Inflation data met expectations, the expectation of real - estate incremental policies increased, and the expectation of loose money spread. The bond market continued to recover throughout the day. The 30 - year Treasury bond active bond yield decreased by 1.65BP. The 7 - year Treasury bond yield decreased by 0.85BP to 1.7165%, the 10 - year Treasury bond active bond yield remained unchanged at 1.8350%, and the 30 - year Treasury bond yield decreased by 1.75BP to 2.2360% [2][13] - **Thursday (December 11)**: The central bank had a net withdrawal of 622 billion yuan in the morning. With the continued adjustment of the equity market, the bond market continued to recover due to the stock - bond seesaw effect. At the end of the day, the Central Economic Work Conference mentioned "double cut", and the bond - buying sentiment briefly flared up, with yields accelerating the recovery. The 30 - year Treasury bond yield decreased by nearly 3BP. The 7 - year Treasury bond yield decreased by 1.65BP to 1.7000%, the 10 - year Treasury bond active bond yield decreased by 2.00BP to 1.8150%, and the 30 - year Treasury bond yield decreased by 2.80BP to 2.2080% [2][14] - **Friday (December 12)**: The central bank had a net withdrawal of 193 billion yuan. The equity market opened low and moved high. The Financial Times quoted experts saying that the supply of ultra - long - term special Treasury bonds would increase next year. Profit - taking pressure drove most bond yields up. Treasury bonds with maturities over 5 years increased by 2 - 4BP, and the 30 - year Treasury bond almost erased all its previous gains. The 7 - year Treasury bond yield increased by 2.75BP to 1.7275%, the 10 - year Treasury bond active bond yield increased by 2.75BP to 1.8425%, and the 30 - year Treasury bond yield increased by 3.9BP to 2.2470% [3][15][16] 3.2 Capital Market The central bank had a net injection of 47 billion yuan through open - market operations (OMO), the capital sentiment index was generally below 50, and the capital market was stable and loose. The issuance price of 1 - year certificates of deposit of state - owned and joint - stock banks dropped to 1.65%, and the weighted price of DR001 dropped below 1.3% to 1.2747% [4][8] 3.3 Primary Issuance The net financing of Treasury bonds, policy - bank financial bonds, and local government bonds increased, while the net financing of inter - bank certificates of deposit decreased [5] 3.4 Benchmark Changes The term spreads of both Treasury bonds and China Development Bank bonds widened. Specifically, the yields of short - term Treasury bonds decreased by 1.37BP, and those of short - term China Development Bank bonds decreased by 1.99BP. The yields of long - term Treasury bonds decreased by 0.84BP, and those of long - term China Development Bank bonds decreased by 1.75BP. The short - term varieties of both Treasury bonds and China Development Bank bonds performed better than the long - term ones. In terms of the absolute level of term spreads, the 10Y - 1Y spread of Treasury bonds widened by 0.53BP to 45.17BP, and the 10Y - 1Y spread of China Development Bank bonds widened by 0.24BP to 37.90BP [21]

Report Industry Investment Rating No relevant content provided. Core View of the Report In the fourth week of November, the expectation of the Fed's interest rate cut increased, the risk appetite of the equity market recovered. The resonance of disturbances such as the stock - bond seesaw effect, concerns about the implementation of the fund fee rate new regulations, and the Vanke bond extension event led to an upward trend in most medium - and long - term yields, while the short - term yields remained stable due to loose funds. The yield curve showed a bearish steepening under the negative impacts such as the new fund regulations [8]. Summary by Directory I. Interest Rate Bond Market Review: The Yield Curve Shows a Bearish Steepening under the Negative Impacts such as the New Fund Regulations - **Overall situation**: In the fourth week of November, multiple factors such as the Fed's interest rate cut expectation, equity market risk preference, new fund regulations, and the Vanke event affected the bond market. The 1 - year Treasury bond active bond yield remained flat at 1.4%, the 10 - year Treasury bond active bond yield rose 1.65BP to 1.8290%, and the 30 - year Treasury bond rose 2.45BP to 2.1830%. The central bank net回笼 1642 billion yuan this week, the fund sentiment index was basically below 50, the funds were stable and loose, the issuance price of 1 - year national and state - owned bank certificates of deposit rose to 1.6525%, and the weighted price of DR007 rose to 1.4668% [5][8]. - **Daily performance**: - **Monday (November 24)**: The expectation of the Fed's interest rate cut drove the recovery of overseas risky assets, the equity market rebounded after hitting the bottom. The bond yields first declined and then rose, with a daily fluctuation of less than 0.5BP. The 7 - year Treasury bond performed well. The central bank's excess renewal of MLF led to a net injection of 100 billion yuan at the end of the day [2][8][11]. - **Tuesday (November 25)**: After the overnight China - US presidential call, the geopolitical influence eased, the risk preference of the equity market recovered, suppressing the bond market sentiment. Coupled with the new regulations on public fund sales, the bond yields generally rose. The short - term remained stable due to looser funds, while the medium - and long - term performed weakly [2][8][12]. - **Wednesday (November 26)**: The risk preference of the equity market remained high, suppressing the bond market performance. The new regulations on public fund sales, the Vanke event, and the expectation of the central bank's small - scale bond purchase impacted the bond market sentiment. The bond yields generally rose, with the short - term stable due to loose funds and the medium - and long - term weak [2][8][13]. - **Thursday (November 27)**: The funds were stable and loose. Boosted by consumer policies, the equity market opened high and moved high. Affected by the stock - bond seesaw, the Vanke extension, and the redemption of some products, the bond market sentiment was weak, and the long - term performance was significantly weaker than the short - term [2][8][14]. - **Friday (November 28)**: The funds tightened first and then loosened. Xinhua News Agency reported that the six major banks stopped selling five - year large - denomination certificates of deposit and lowered the interest rate of three - year products. Coupled with the weak fundamental expectation, it supported the bullish sentiment in the bond market. Most bond yields declined, and the medium - and long - term performed better than the short - term [2][8][16]. (1) Funding Situation: The Central Bank Conducted OMO with Net Withdrawal, and the Funds Were Stable and Loose The central bank's OMO had a net withdrawal this week, and the fund sentiment index was basically below or around 50, indicating that the funds were in a stable and loose state [5][8][19]. (2) Primary Issuance: The Net Financing of Local Bonds and Inter - Bank Certificates of Deposit Increased, while that of Treasury Bonds and Policy - Financial Bonds Decreased The net financing of local bonds and inter - bank certificates of deposit increased significantly, while the net financing of treasury bonds decreased slightly, and that of policy - financial bonds decreased marginally [25][28][29]. (3) Benchmark Changes: The Term Spreads of Treasury Bonds and China Development Bank Bonds Both Widened The short - term yields of treasury bonds rose 0.09BP, and those of China Development Bank bonds rose 0.55BP. The long - term yields of treasury bonds rose 2.46BP, and those of China Development Bank bonds rose 3.25BP. The 10Y - 1Y spread of treasury bonds widened 2.37BP to 43.95BP, and that of China Development Bank bonds widened 2.70BP to 34.94BP [18][30][38].

Report Industry Investment Rating No information provided in the content. Core Viewpoints of the Report - The resonance of the central bank's outright reverse repurchase and the stock - bond seesaw effect has led to a recovery in the net inflow of bond ETFs. The high - level correction of the equity market last week boosted the bond market, with most types of bond ETFs seeing net inflows [2][5]. - The share of convertible bond ETFs, which had shrunk for many weeks, turned positive significantly. It is expected to be a contrarian position - adding operation during the equity correction period in a slow - bull trend [2][17]. - The overall share of benchmark market - making credit bond ETFs had a small outflow, while the net value increased across the board, which is related to the year - end chasing - up market of underlying credit bonds [2][30]. - The overall share of science and technology innovation bond ETFs increased slightly compared with the previous week, and the net value trend was flat [35][37]. - Funds were buying convertible bond ETFs on dips, as the net value of convertible bond ETFs led the decline while the net inflow ranked high [38]. Summary According to the Directory 1.1 各类债券 ETF 资金净流入情况 - The net inflow of bond ETFs recovered. Last week, the net inflow of interest - rate bond ETFs, credit bond ETFs, and convertible bond ETFs was +37.39 billion yuan, +65.43 billion yuan, and +35.52 billion yuan respectively, with a total net inflow of 138.34 billion yuan in the bond ETF market. As of November 21, 2025, the bond ETF fund scale was 718.778 billion yuan, up 1.77% from the previous week's close and 299.83% from the beginning of the year, accounting for 12.82% of the total market ETF scale [2][5]. - Most types of bond ETFs saw net inflows, with treasury bond ETFs leading in net inflow for three consecutive weeks. Only policy - financial bond ETFs (-0.97 billion yuan) and benchmark market - making credit bond ETFs (-3.23 billion yuan) had small net outflows [2][6]. 1.2 各类债券 ETF 份额走势 - The share of convertible bond ETFs, which had shrunk for many weeks, turned positive significantly. As of the close last week, the shares of treasury bond, policy - financial bond, local bond, credit bond, and convertible bond ETFs increased by 4.83%, -0.20%, 0.95%, 2.32%, and 5.49% respectively compared with the previous week, and the share of bond - type ETFs increased by 3.5% [2][17]. - After continuous net outflows for many weeks, funds flowed into convertible bond ETFs, and it is expected to be a contrarian position - adding operation during the equity correction period in a slow - bull trend [2][17]. 1.3 主要债券 ETF 份额及净值走势 - The shares of major bond ETFs generally increased. As of the close on November 21, 2025, the shares of selected targets changed by 5.15 million shares, -0.15 million shares, no change, 117.60 million shares, and 197.40 million shares respectively compared with the previous week's close [21]. - The 30 - year treasury bond ETF was bought on dips. Affected by long - term interest rate fluctuations and the equity market, the 30 - year treasury bond ETF and convertible bond ETF corrected, with the latter having a more significant decline. The net value of the 30 - year treasury bond ETF turned down while the share showed a net inflow, which may be related to its safe - haven asset attribute during the stock market correction and the central bank's liquidity - caring behavior [2][26]. 1.4 基准做市信用债 ETF 份额及净值走势 - The overall share of benchmark market - making credit bond ETFs had a small outflow. As of the close on November 21, 2025, the shares of 8 credit bond ETFs had little change or a small decrease [27][30]. - The net value of benchmark market - making credit bond ETFs increased across the board, which is related to the year - end chasing - up market of underlying credit bonds. Due to the difficult - to - mine long - end interest - rate bond returns this year, the year - end performance demand promoted credit bond allocation, especially the 3 - 5 - year credit bonds with higher yields, which pushed up the net value of benchmark market - making credit bond ETFs since October [2][30]. 1.5 科创债 ETF 份额及净值走势 - The overall share of science and technology innovation bond ETFs increased slightly compared with the previous week. The net inflow of shares last week was 17.99 million shares, an increase of 0.72% compared with the previous week. Some products had significant net inflows or outflows [35]. - The net value trend of science and technology innovation bond ETFs was flat. As of the close on November 21, 2025, the average net values of the first - batch and second - batch science and technology innovation bond ETFs changed little compared with the previous week [37]. 1.6 单只债券 ETF 市场表现情况 - Funds were buying convertible bond ETFs on dips. Last week, the net values of convertible bond ETFs and Shanghai - Stock - Exchange convertible bond ETFs led the decline due to the adjustment of the equity market. In terms of the premium - discount rate, benchmark treasury bond ETFs, convertible bond ETFs, and 30 - year treasury bond ETFs led in premium rates [38]. - In terms of scale changes, convertible bond ETFs (+26.78 billion yuan), short - term financing ETFs (+25.83 billion yuan), and benchmark treasury bond ETFs (+20.12 billion yuan) ranked in the top three in net inflow, which confirmed the logic of funds allocating convertible bond ETFs on dips [38].

Report Information - Report Title: Treasury Bond Daily Report [1] - Date: November 14, 2025 [2] - Research Team: Macro Financial Team [4] - Researchers: He Zhuoqiao, Huang Wenxin, Nie Jiayi [3] Industry Investment Rating - Not mentioned in the report Core Viewpoints - The negative factors in the bond market have basically been released, and November has entered a stage of accumulating positive factors. The bond market environment has improved, with support at the bottom of Treasury bond futures and rising expectations of easing due to the slowdown of economic momentum. Investors should pay attention to this week's economic activity data and the central bank's outright reverse repurchase operations and seize opportunities to buy on dips [12]. Summary by Directory 1. Market Review and Operation Suggestions - **Market Performance**: The stock - bond seesaw reappeared. The stock market reached a new high, suppressing the bond market, and Treasury bond futures closed down across the board. Yields of major term interest - bearing Treasury bonds in the inter - bank market rose across the board. The yield of the 10 - year Treasury bond active bond 250016 reached 1.8040%, up 0.3bp [8][9]. - **Funding Market**: With continuous central bank injections, the pressure on bank funds has been significantly relieved. The central bank conducted a net injection of 972 billion yuan today, and it has been a consecutive net injection this week. The inter - bank funding sentiment index declined slightly, indicating a marginal easing of funding pressure. Overnight weighted interest rates and 7 - day interest rates in the inter - bank market both decreased, while medium - and long - term funds remained stable [10]. - **Conclusion**: The domestic economic fundamentals face pressure, with economic indicators weakening since June, especially the accelerating decline in investment and the decline in exports in October. Currently, there is an increase in loose monetary and fiscal policies, and the restart of Treasury bond trading has brought direct buying demand. The impact of loose fiscal policies on the bond market is expected to be limited in the short term. Overall, the bond market environment has improved, but there are still some uncertain disturbances [11][12]. 2. Industry News - Chinese Vice - Premier He Lifeng met with relevant American figures, stating that China and the US have broad cooperation space in the economic and trade field and should jointly promote the stable development of bilateral economic and trade relations [13]. - During the 8th China International Import Expo, Vice - Minister of Commerce Sheng Qiuping held a symposium for foreign - funded retail enterprises, welcoming them to develop in China [13]. - The US House of Representatives will vote on a temporary appropriation bill, which may end the 43 - day federal government shutdown. The government shutdown may reduce Q4 economic growth by two percentage points [13]. - US Treasury Secretary Besent said that the Trump administration will announce "substantial" tariff news in the next few days and plans to implement tariff exemptions on commodities such as coffee and bananas. The government is also discussing a "tariff dividend" plan to provide a $2000 tax refund to families with an annual income of less than $100,000 [13]. - White House National Economic Council Director Hassett said that he would accept the nomination to replace Powell as the Fed Chairman if nominated and hopes for a larger - scale interest rate cut at the December policy meeting [14]. 3. Data Overview - **Treasury Bond Futures Market**: The report presents data on Treasury bond futures trading on November 13, including contract information such as opening price, closing price, settlement price, price change, trading volume, open interest, and open interest change. It also mentions various cross - period and cross - variety spreads of Treasury bond futures main contracts [6]. - **Money Market**: The report shows the term structure change and trend of SHIBOR, as well as the change in the weighted interest rate of inter - bank pledged repurchase and the change in the pledged repurchase rate between banks and depository institutions [28][32]. - **Derivatives Market**: The report shows the fixed - rate curves (average) of Shibor3M interest rate swaps and FR007 interest rate swaps [34].

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - Currently, the negative factors in the bond market have basically been released, and November has entered a stage of accumulating positive factors. Although there are some uncertain disturbances, the overall bond market environment has improved. Considering that the central bank has started bond purchases, the bottom of treasury bond futures is supported. Coupled with the slowdown in economic momentum, the expectation of monetary easing is expected to heat up again. It is advisable to pay attention to next week's economic activity data and the central bank's outright reverse repurchase operations and seize the opportunity to layout on dips [12]. 3. Summary by Relevant Catalogs 3.1 Market Review and Operation Suggestions - **Market Performance**: Today's weak export data and the A-share market's rise and then fall had limited support for the bond market. With the central bank's continuous net withdrawal of funds in recent days, the liquidity tightened slightly, and treasury bond futures fell across the board. The yields of major inter - bank interest - rate bonds across all maturities rose. By 16:30 pm, the yield of the active 10 - year treasury bond 250016 reported 1.8070%, up 0.6bp [8][9]. - **Funding Market**: At the beginning of the month, the central bank continued to withdraw funds, and the liquidity tightened marginally. Today, there were 3551 billion yuan of open - market operations due, and the central bank injected 1417 billion yuan, resulting in a net withdrawal of 2134 billion yuan. This was the fifth consecutive day of net withdrawal this week. The inter - bank funds sentiment index rose slightly, indicating marginal tightening of liquidity. Among them, the weighted overnight rate of inter - bank deposits among banks rose slightly by 1.5bp to 1.33%, the 7 - day rate fell slightly by 1.24bp to 1.413%, and the medium - and long - term funds were stable. The 1 - year AAA certificate of deposit rate fluctuated narrowly around 1.62 - 1.63% [10]. - **Conclusion**: Since June, various domestic economic indicators have continued to weaken. In particular, the investment side has accelerated its decline, and the export, which was the main support for the economy, also turned negative in October. The combination of falling exports and weak domestic demand still poses significant pressure on the economic fundamentals. Currently, the central bank is implementing loose monetary and fiscal policies. The resumption of treasury bond trading has brought direct buying demand to the bond market. Referring to past experience, the credit - easing effect of loose fiscal policies may not be significant in the short term, and the impact on the bond market should be limited [11][12]. 3.2 Industry News - **Foreign Trade Data**: On November 7, the General Administration of Customs released data showing that in October, China's exports (in US dollars) decreased by 1.1% year - on - year, compared with a growth of 8.3% in the previous period; imports increased by 1%, compared with a growth of 7.4% in the previous period; the trade surplus was 900.7 billion US dollars, compared with 904.5 billion US dollars in the previous period [13]. - **Central Bank Operations**: The central bank released the liquidity injection situation of various tools in October, showing a net injection of 20 billion yuan through open - market treasury bond trading. This means that the treasury bond trading operation that was suspended since January this year has resumed, which is conducive to releasing liquidity and stabilizing market expectations. In addition, the central bank announced that it would conduct a 700 - billion - yuan 3 - month outright reverse repurchase operation on November 5 [13]. - **US Economic Situation**: The severe employment situation in the United States has led to an increase in expectations of an interest - rate cut. Revelio Labs reported that the number of non - farm payrolls in the United States decreased by 9100 in October, compared with an increase of 33000 in the previous month. In addition, the number of job cuts by Challenger Gray & Christmas in the United States in October reached 153100, a year - on - year surge of 175.3%, the highest level for the same period since 2003. The CME FedWatch tool shows that the probability of the Federal Reserve cutting interest rates again in December exceeds 70%. The continuous shutdown of the US federal government has led to the suspension of the release of official inflation data, causing some Federal Reserve officials to worry about the future direction of monetary policy [13][14]. - **Real Estate News**: Recently, many real - estate enterprises have made significant progress in debt restructuring. As of now, 21 troubled real - estate enterprises have had their debt restructuring and reorganization approved or completed, with a total debt - resolution scale of about 1.2 trillion yuan, which will greatly relieve the short - term public debt repayment pressure of these enterprises. Industry insiders believe that the approval of debt restructuring and reorganization of troubled real - estate enterprises will accelerate the process of clearing real - estate risks [14]. 3.3 Data Overview - **Treasury Bond Futures Market**: The report provides trading data of treasury bond futures on November 7, including the previous settlement price, opening price, closing price, settlement price, change, change percentage, trading volume, open interest, and change in open interest of various contracts [6].

1. Report Information - Industry: Treasury Bonds [1] - Date: November 7, 2025 [2] - Researchers: He Zhuoqiao (Macro Precious Metals), Huang Wenxin (Treasury Bonds & Container Shipping), Nie Jiayi (Stock Index Futures) [3] 2. Core View - The stock - bond seesaw continues, with the strengthening of the A - share market suppressing the bond market, and most treasury bond futures falling. The yields of major on - the - run interest rate bonds in the inter - bank market have fully rebounded. The money market at the beginning of the month is stable and loose. Considering the economic fundamentals and policies, the negative factors in the bond market have basically been released, and November is a period of accumulating positive factors. Although there are some uncertain disturbances, the overall bond market environment has improved, and it is recommended to actively seize allocation opportunities if there is market over - adjustment [8][9][10][11][12] 3. Summary by Section 3.1 Market Review and Operation Suggestions - **Market Performance** - Stock - bond seesaw: The strengthening of the A - share market suppresses the bond market, and most treasury bond futures decline [8] - Interest rate bonds: The yields of major on - the - run interest rate bonds in the inter - bank market have fully rebounded. By 16:30 pm, the yield of the 10 - year on - the - run treasury bond 250016 reported 1.8010%, up 0.85bp [9] - Money market: At the beginning of the month, the money market is stable and loose. There was 342.6 billion yuan of maturity in the open market today, and the central bank injected 92.8 billion yuan, resulting in a net withdrawal of 249.8 billion yuan. The inter - bank money sentiment index is stable, with the weighted overnight rate of inter - bank deposits fluctuating narrowly around 1.31, the 7 - day rate dropping slightly by 1.25bp to 1.4253%, the medium - and long - term funds being stable, and the 1 - year AAA certificate of deposit rate rising slightly by 1bp to 1.64% [10] - **Conclusion** - Economic fundamentals: Since June, domestic economic indicators have continued to weaken, especially the investment side has accelerated its decline. Currently, exports are the main support, but the export leading indicators in October have significantly weakened, and the bond market may face pressure from the decline in exports and weak domestic demand. Market expectations of monetary easing may heat up again [11] - Policy: The current combination of loose monetary policy and loose fiscal policy is being intensified. The resumption of treasury bond trading brings direct buying demand to the bond market. Based on past experience, the credit - easing effect of loose fiscal policy may not be significant in the short term, and the impact on the bond market should be limited [11][12] - Suggestion: The negative factors in the bond market have basically been released, and November is a period of accumulating positive factors. Although there are some uncertain disturbances, the overall bond market environment has improved. If there is market over - adjustment due to phased disturbances, it is recommended to actively seize allocation opportunities [12] 3.2 Industry News - The central bank's release of the liquidity injection situation of various tools in October shows that the net injection of treasury bond trading in the open market is 2 billion yuan, indicating that the treasury bond trading operation suspended since January this year has resumed, which is conducive to releasing liquidity and stabilizing market expectations. The central bank also announced a 70 - billion - yuan 3 - month outright reverse repurchase operation on November 5, which is an equal - amount roll - over considering the maturity amount in the same month. Market institutions generally expect the central bank to conduct another 6 - month outright reverse repurchase operation in November, and are optimistic about the continued net injection of outright reverse repurchases in that month [13] - The U.S. federal government shutdown has entered the 35th day, tying the longest shutdown record in U.S. history. The U.S. Supreme Court will hear the case of whether Trump's tariff policy is legal this Wednesday. The U.S. Treasury Secretary said that if China continues to block rare - earth exports, the U.S. may impose additional tariffs on China. The Chinese Ministry of Foreign Affairs responded that dialogue and cooperation are the right way. The China - EU export control dialogue and consultation were held in Brussels, and both sides agreed to maintain communication [14] 3.3 Data Overview - **Treasury Bond Futures Market**: The report presents data on treasury bond futures trading on November 6, including contract information such as previous settlement price, opening price, closing price, settlement price, change, change rate, trading volume, open interest, and change in open interest for multiple contracts [6] - **Money Market**: The report includes information on the SHIBOR term structure change, SHIBOR trend, inter - bank pledged repo weighted interest rate change, and inter - bank deposit pledged repo interest rate change [29][31] - **Derivatives Market**: The report shows the Shibor3M interest rate swap fixing curve (mean) and FR007 interest rate swap fixing curve (mean) [34]