2025年09月22日申万期货品种策略日报-国债 | | | | | 申银万国期货研究所 唐广华（从业资格号：F3010997；交易咨询号：Z0011162） tanggh@sywgqh.com.cn 021-50586292 | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | 昨日收盘价 | TS2512 102.364 | TS2603 102.290 | TF2512 105.675 | TF2603 105.550 | T2512 107.835 | T2603 107.490 | TL2512 114.8 | TL2603 114.48 | | | 前日收盘价 | 102.410 | 102.340 | 105.820 | 105.695 | 108.080 | 107.750 | 115.62 | 115.31 | | | 涨跌 | -0.046 | -0.050 | -0.145 | -0.145 | -0.245 | -0.260 | -0.820 | -0.830 | | | 涨跌幅 | ...

Market Performance - The futures market saw a decline in government bond futures, with the 30-year main contract dropping by 0.86% to 114.760, marking a new closing low since March 19 [1] - The 10-year main contract fell by 0.27% to 107.490, while the 5-year and 2-year contracts decreased by 0.15% and 0.04% respectively [1] - The yield on major interbank bonds increased, particularly for mid to long-term bonds, with the 10-year government bond yield rising nearly 4 basis points [1] Funding Conditions - The central bank conducted a 7-day reverse repurchase operation on September 10, with a fixed rate of 1.40% and a total of 304 billion yuan, resulting in a net injection of 749 billion yuan for the day [2] - The overnight repurchase weighted rate for deposit institutions slightly increased, remaining above 1.42%, while non-bank institutions saw rates for pledged certificates and credit bonds rise close to 1.50% [2] - Despite the central bank's shift to net injections, liquidity remains tight due to factors like maturing certificates and government bond issuances [2] Operational Suggestions - The recent increase in redemption fees for bond funds has contributed to a weak sentiment in the bond market, which may remain sensitive to negative news in the short term [3] - Investors are advised to observe funding trends and await clearer positive signals from the central bank, particularly after the release of August economic data [3] - The bond market sentiment is currently weak, with the 10-year government bond yield not stabilizing at 1.8%, suggesting potential further declines in bond prices [3]

Group 1 - The core viewpoint of the article is that since mid-August, the marginal contraction of the funding environment has led to an increase in bond market interest rates, influenced by strong stock market performance and rising demands for exchange rate stability [1][2][3] - The funding environment has contracted due to several factors, including strong stock market performance causing a shift of household deposits into the stock market, which disrupts liquidity [6][10] - The demand for exchange rate stability has increased, leading to tighter funding conditions as maintaining higher funding and short-term interest rates helps alleviate pressure on the RMB exchange rate [7][10] Group 2 - As of August 22, the DR001 rate has risen to 1.41%, indicating a tightening of the funding environment despite the central bank's liquidity injections remaining unchanged [2][3] - The net funding outflow from major banks has decreased to 3.88 trillion yuan as of August 21, down by 0.95 trillion yuan from the previous week, reflecting the impact of the funding contraction [10] - The central bank's second-quarter monetary policy report maintains a loose monetary policy stance but emphasizes the need to prevent "funds from being diverted," indicating increased uncertainty in the funding environment [10][13] Group 3 - The bond market faces uncertainty regarding funding rates, with limited marginal easing, making it difficult to drive bond market interest rates down [13] - The strong sentiment in the stock market and the clear "see-saw effect" between stocks and bonds indicate rising risk appetite, which suppresses bond market performance [13] - The previous deflation expectations have been corrected, and the insufficient recovery of interest rates suggests that a stable outlook for the bond market is not yet in sight, requiring further waiting for buying opportunities [13]

Group 1 - The recent liquidity pressure in the market is attributed to tax payment periods, with DR001 rising above 1.50%, an increase of approximately 20 basis points over three trading days [1][2] - The People's Bank of China (PBOC) has conducted a significant reverse repurchase operation, injecting 580.3 billion yuan into the market, with a net injection of 465.7 billion yuan on the day [1][2] - Analysts expect that after the tax payment period ends, liquidity rates may return to the stable and loose levels seen in early August [2][5] Group 2 - The liquidity sentiment index from Minsheng Bank has risen, reaching 57.2, indicating a tightening market condition, while the CNEX market liquidity sentiment index has surpassed 60 [2][4] - The PBOC's continuous net injections signal a supportive monetary policy, especially given the limited tax payment scale in August [4][5] - If the PBOC maintains a net injection of 300-400 billion yuan post-tax period, bond market yields may stabilize or slightly decline [5]

Group 1: Monetary Policy and Market Operations - The central bank conducted a 7-day reverse repurchase operation of 150.5 billion yuan at a fixed rate of 1.40%, with a total bid amount of 150.5 billion yuan and a net withdrawal of 369.6 billion yuan for the day [1][3] - The overnight repo weighted average rate (DR001) rose nearly 20 basis points to around 1.37% [3] - The yield on one-year interbank certificates of deposit remained stable at approximately 1.63% [6] Group 2: Bond Market Trends - The yields on medium to short-term bonds in the interbank market increased significantly, while the yields on 10-year government bonds and active policy bank bonds rose by less than 1 basis point [8] - Government bond futures closed lower across the board, with the 30-year main contract down 0.21%, the 10-year down 0.11%, the 5-year down 0.09%, and the 2-year down 0.03% [10] Group 3: Economic Developments - The Chinese government is implementing a free trade policy in Hainan, characterized by "one line open, one line controlled, and free flow within the island" [11] - A large-scale investment initiative in Germany aims to invest 631 billion euros by 2028 to boost the economy and enhance competitiveness, involving 61 companies including Siemens and Deutsche Bank [13]

【市场表现】 国债期货收盘全线下跌，30年期主力合约跌0.18%，10年期主力合约跌0.08%，5年期主力合约跌 0.05%，2年期主力合约跌0.03%。银行间主要利率债收益率纷纷上行。截至17：00，30年期国债"25超 长特别国债02"收益率上行0.6bp报1.8820%，10年期国开债"25国开10"收益率上行0.7bp报1.7500%，10年 期国债"25附息国债11"收益率上行0.5bp报1.6710%，2年期国债"25附息国债06"收益率上行1.5bp报 1.4075%。 【资金面】 央行公告称，7月14日以固定利率、数量招标方式开展了2262亿元7天期逆回购操作，操作利率1.40%， 投标量2262亿元，中标量2262亿元。数据显示，当日1065亿元逆回购到期，据此计算，单日净投放1197 亿元。流动性整体收敛，存款类机构隔夜质押式回购利率上行超8个bp，目前位于1.42%位置。七天质 押式回购利率则上行超6个bp，现位于1.53%位置。长期资金方面，全国和主要股份制银行一年期同业 存单最新成交在1.67%附近，较上日上行近2个bp。将进入税期，资金利率波动放大。14日央行公告， 为保持银行体系 ...

Core Viewpoint - The article discusses the current state of the bond market, highlighting the impact of liquidity conditions and geopolitical events on bond yields and market sentiment [1][3]. Group 1: Market Conditions - The liquidity in the market is slightly tightening, with long-term bond yields experiencing a minor increase [1]. - The central bank conducted a 22.05 billion yuan reverse repurchase operation, with a net withdrawal of 12.15 billion yuan due to maturing reverse repos and treasury cash deposits [1]. - The interbank funding rates remain stable, with DR001 around 1.37% and DR007 around 1.51% [1]. Group 2: Bond Market Performance - The 10-year government bond yield opened slightly lower at 1.636% and fluctuated to a low of 1.632% before recovering to around 1.64% [3]. - Recent reports indicate that the yields on 20-year and 50-year government bonds have decreased by 5 basis points over the past week, with the 50-year bond yield dropping by 12 basis points in June [4]. - The average wealth per capita in China is projected to grow by approximately 5% year-on-year in 2024, while the median wealth is expected to decline by 6.3% [4]. Group 3: Geopolitical Impact - The article notes concerns over escalating tensions in the Middle East, particularly following U.S. airstrikes on Iranian nuclear facilities, which have influenced market sentiment [3]. - The overall sentiment across various asset classes remains stable despite these geopolitical tensions, with the stock market showing a low open but recovering throughout the day [2][3].

1. Report Industry Investment Rating - The rating for treasury bonds is "Oscillating" [4] 2. Core Viewpoints of the Report - This week (May 12 - May 18), treasury bond futures fluctuated weakly due to factors such as the unexpected progress of China - US trade negotiations and marginal convergence of the capital market. Looking ahead to next week, the capital market is expected to see a slight increase in interest rates during the tax period, and the market sentiment will remain weak. Although the curve is expected to steepen in the long - term, the process will be tortuous, and there is a possibility of flattening in the short - term [13][15] 3. Summary According to the Directory 3.1 One - Week Review and Views 3.1.1 This Week's Trend Review - Treasury bond futures fluctuated weakly. On Monday, due to the unexpected statement of China - US trade negotiations, futures opened lower, then strengthened slightly and finally weakened significantly. On Tuesday, they turned from weak to strong. On Wednesday, they declined slightly. On Thursday, long - term futures performed strongly. On Friday, the curve flattened bearishly in the morning and the decline narrowed in the afternoon. As of May 16, the settlement prices of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures main continuous contracts were 102.368, 105.695, 108.460, and 118.880 yuan respectively, with changes of +0.012, +0.005, - 0.015, and - 0.520 yuan compared to last weekend [13] 3.1.2 Next Week's Views - The capital market will be the focus. During the tax period, the capital market is expected to be slightly tighter, and the market sentiment will be weak. Although the curve is expected to steepen in the long - term, the process is tortuous, and there may be a slight flattening in the short - term. The capital interest rate is expected to rise slightly during the tax period, and the market's concern about the capital market persists [15] 3.2 Weekly Observation of Interest - Bearing Bonds 3.2.1 Primary Market - This week, 77 interest - bearing bonds were issued, with a total issuance of 939.5 billion yuan and a net financing of 707.974 billion yuan. The net financing of local government bonds increased slightly, while that of inter - bank certificates of deposit decreased [23] 3.2.2 Secondary Market - Treasury bond yields increased. As of May 16, the yields of 2 - year, 5 - year, 10 - year, and 30 - year treasury bonds were 1.48%, 1.55%, 1.68%, and 1.88% respectively, up 4.73, 6.80, 4.60, and 4.25 bp from last weekend. The 10Y - 1Y spread widened, while the 10Y - 5Y and 30Y - 10Y spreads narrowed [27] 3.3 Treasury Bond Futures 3.3.1 Price, Trading Volume, and Open Interest - Treasury bond futures fluctuated weakly. The trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures increased, while the open interests decreased [35][38] 3.3.2 Basis and IRR - The opportunity for the cash - and - carry strategy decreased significantly. The basis of each variety is expected to gradually return to a normal level [42] 3.3.3 Inter - Delivery and Inter - Variety Spreads - The inter - delivery spreads of each variety generally widened in the opposite direction and are expected to gradually converge to 0 in the oscillation. However, the time for deploying this strategy is limited [47] 3.4 Weekly Observation of the Capital Market - This week, the central bank's open - market operations had a net withdrawal of 475.1 billion yuan. As of May 16, capital interest rates such as R007, DR007, SHIBOR overnight, and SHIBOR 1 - week all increased. The average daily trading volume of inter - bank repurchase increased [51][53] 3.5 Weekly Overseas Observation - The US dollar index strengthened slightly, and the 10Y US Treasury yield rose slightly. As of May 9, the US dollar index increased by 0.56% to 100.9828, and the 10Y US Treasury yield rose 6 bp to 4.43%. The spread between China and the US 10Y Treasury bonds was inverted by 275 bp [60] 3.6 Weekly Observation of High - Frequency Inflation Data - This week, industrial product prices rose across the board, while agricultural product prices showed mixed trends [64] 3.7 Investment Recommendations - Next week, with weak market sentiment, short - term defense is recommended. Aggressive investors can consider buying long - term varieties on dips. In the long - term, the curve is expected to steepen, but the process is tortuous. The opportunity for the cash - and - carry strategy has decreased significantly, and attention can be paid to the strategy of the basis returning to 0. The strategy of widening the inter - delivery spread can be tried, with a quick - in - quick - out approach [2][65]

当市场突破关键点位时，我们是不知道到底是真突破还是假突破的，只有事后才能看的清楚，用一种傻瓜式的操作就是，一旦突破，就立刻执行入场或出 场的相应操作，而如果是假突破的，则再立刻反向操作。 ——笔记哥《应对》 -------------------------- 资金面边际收敛，长债收益率涨跌不一。 央行今日公开市场开展373亿元7天期逆回购操作，操作利率为1.50%。今日1903亿元逆回购到期。净回笼1530亿元。 资金面延续昨日收敛态势，DR001与DR007均上行约10BP。 | | | | 银行间资金 | (2024. 12. 5) | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 回购代码 | 加权利率 | 变化 | 利率走势 | 最高利率 | 变化 | 成交量 | 变化量 | 成交量占 | | | (%) | (bp) | (近30天) | (%) | (bp) | (亿元) | (亿元) | 比 (%) | | R001 | 1.62 | | | 2. 63 | 3 | 73192.00 | -1916. 97 ...

离场后，无论是冲动性离，还是计划性离场，过去的都让他们过去，这笔交易已经结束，下笔交易跟这笔交易没有任何的关联或关系，不要把上笔交易的 盈利或亏损，作为下笔交易入场的原因。 下笔交易的入场，与上笔交易无关，只与交易系统的信号有关 ，只要新的信号出现，就入场，没有，就等待。 ——笔记哥《交易》 【笔记20241113— 牛X=川老板+马老板（-供给担忧-股市小幅上涨+地产政策未超预期-资金面收敛=中上)】 资金面均衡，长债收益率明显上行。 央行今日公开市场开展2330亿元7天期逆回购操作，操作利率为1.50%。今日173亿元逆回购到期。净投放2157亿元。 资金面较昨日有所改善，但任然较为收敛。 | | | | 银行间资金 | (2024. 11. 13) | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 回购代码 | 加权利率 | 变化 | 利率走势 | 藏尚利率 | 变化 | 成交量 | 变化量 | 成交量占 | | | (%) | (bp) | (近30天) | (%) | (bp) | (亿元) | (亿元) | 比 ...