国债期货日报 2025/09/12 徐晨曦（投资咨询证号：Z0001908） 投资咨询业务资格：证监许可【2011】1290 周五期债日内走势震荡，长期品种收涨。现券收益率短端上行，长端下行。公开市场净投放417亿，资金面稳 定，DR001上在1.36%附近。 日内消息： 1.美国当周首申失业金人数26.3万人，跃升至近四年高位。美国8月CPI同比上涨2.9%符合预期，环比上涨 0.4%超预期。 2.财政部2年、7年期国债加权中标利率分别为1.44%、1.78%，边际中标利率分别为1.47%、1.81%。 行情研判： A股今日创新高后回落，债市几乎未受影响，长债出现弱反弹。央行继续在公开市场投放，资金面稳定。一级 市场2Y、7Y国债发行尚可。2Y新债可能在未来成为TS2512的CTD，关注期价是否就此承压。目前市场对于 央行重启买债的预期增强，但在一级市场表现尚可的情况下，央行可能并不急于行动。若无央行的正面表 态，债市情绪难以大幅转强，市场可能维持弱势震荡。操作上暂时观望。 国债期货日度数据 | | 2025-09-12 | 2025-09-11 | 今日涨跌 | | 2025-09-12 | 2025-0 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Views of the Report - The current economic fundamentals are still favorable for the bond market, but the subsequent continuous implementation of growth - stabilizing policies will marginally be negative for the bond market [1][9]. - The central bank is expected to continue to support liquidity, keeping the overall capital situation stable, but it will also prevent capital idling [1][11]. - Some banks may have a need to raise the price of inter - bank certificates of deposit (CDs), and the capital movement of non - bank institutions may slow down marginally [2][13]. - The bond market is difficult to break out of the volatile trend. It is recommended to control the duration, seize the allocation and trading opportunities after adjustments, and focus on structural opportunities such as taxable bonds and new - old bonds [2][22]. 3. Summary According to the Table of Contents 3.1 9 - Month Bond Market Outlook: Seize Structural Opportunities after Adjustments - **Fundamentals and Policies**: The current economic situation has difficulties and challenges, which are favorable for the bond market. However, the subsequent continuous implementation of growth - stabilizing policies such as "anti - involution", major infrastructure projects, and fertility subsidies will be marginally negative for the bond market [9]. - **Liquidity**: The central bank is expected to continue to support liquidity to maintain stable capital prices and prevent financial market risks. It may also provide long - term funds and take other measures, but will prevent capital idling [11]. - **Inter - bank CDs**: In September, banks' demand for supplementing liabilities through CDs increases, but the issuance demand may be weaker than the seasonal level. The price increase of CDs may be structural [13]. - **Non - bank Institutions' Capital Movement**: The risk premium of equities relative to treasury bonds has decreased, reducing the marginal attractiveness to insurance funds. The long - term and ultra - long - term treasury bond yields have higher cost - effectiveness compared to lending rates, increasing the marginal attractiveness to bank funds [16]. - **Investment Strategy**: The bond market is likely to remain volatile. It is recommended to control the duration, allocate medium - and short - term credit bonds, and seize opportunities after adjustments. Taxable bonds and new - old bonds have certain investment opportunities [22]. 3.2 August Bond Market Review 3.2.1 Bond Market Trend Review - **First Week**: The 10Y treasury bond rate dropped 2bp to 1.69%. The market digested the impact of VAT adjustment, and the demand for old bonds increased. The capital was loose, and the issuance results of the first batch of taxed local bonds were better than expected [24]. - **Second Week**: The 10Y treasury bond rate rose 6bp to 1.75%. The market risk appetite increased, the equity market rose, and the bond market sentiment was under pressure [25]. - **Third Week**: The 10Y treasury bond rate rose 4bp to 1.78%. The stock - bond seesaw effect continued, and the bond market basically continued to decline. After the MLF was over - renewed, the capital pressure eased [26]. - **Fourth Week**: The 10Y treasury bond rate rose 6bp to 1.84%. The equity market was strong at the end of the month, the bond market yield fluctuated widely, and the curve steepened [27]. 3.2.2 Capital Situation - The central bank net - injected 5466 billion yuan through four major tools. The capital situation in August was reasonably abundant. The average monthly values of R001, R007, DR001, and DR007 decreased. The 3M inter - bank CD issuance rate fluctuated upward, and the 3M national - share bank bill rate changed in a complex way [28][31]. 3.2.3 Secondary Market Trends - In August, the bond market showed a bear - steep trend. Except for the 1y treasury bond rate, other key - term treasury bond rates rose. Most key - term treasury bond spreads widened [37]. 3.2.4 Bond Market Sentiment - In August, the inter - bank leverage ratio and bond fund duration both decreased. The turnover rate of ultra - long bonds decreased, and the spreads of 50Y - 30Y and 20Y - 30Y treasury bonds narrowed [49]. 3.2.5 Bond Supply - In August, the net financing of interest - rate bonds increased compared to July but decreased compared to the same period last year. The net financing of treasury bonds and policy - financial bonds increased, while that of local government bonds decreased. The net repayment of inter - bank CDs slightly expanded [56][64]. 3.3 Economic Data - In July, the decline in industrial enterprise profits continued to narrow. Since August, new - home sales and freight rates have been weak, while movie consumption has been relatively strong. Industrial production has weakened marginally [68]. 3.4 Overseas Bond Market - The US core inflation reached a new high since February. The Fed officials released signals of interest - rate cuts. In August, US bonds, as well as the bond markets in South Korea and Singapore, rose [78][79]. 3.5 Major Asset Performance - In August, the CSI 300 index strengthened significantly. The performance of major assets was: CSI 1000 > CSI 300 > Convertible Bonds > Shanghai Gold > Shanghai Copper > Chinese - funded US Dollar Bonds > China Bonds > US Dollar > Rebar > Live Pigs > Crude Oil [82]. 3.6 Policy Review - **August 28**: The "Opinions on Promoting High - Quality Urban Development" was released, aiming to achieve important progress in building modern people - centered cities by 2030 and basically complete the construction by 2035 [86]. - **August 27**: The Ministry of Commerce will introduce policies to expand service consumption in the next month, focusing on policy promotion, key areas, and consumption scenarios [89]. - **August 26**: The "Opinions on Deeply Implementing the 'Artificial Intelligence +' Initiative" was issued, setting goals for the development of artificial intelligence from 2027 to 2035 [90]. - **August 25**: Shanghai optimized and adjusted real - estate policies, including housing purchase restrictions, housing provident fund policies, and mortgage loan interest - rate mechanisms [91]. - **August 22**: The State Council emphasized the effectiveness of large - scale equipment renewal and consumer goods trade - in policies and the development of the sports industry [92]. - **August 20**: The "Guiding Opinions on Regulating the Construction and Operation of Existing Government - Social Capital Cooperation Projects" was issued to ensure the construction of ongoing projects and the stable operation of existing projects [93]. - **August 19**: The People's Bank of China Shanghai Head Office called for greater efforts in financial reform and innovation and the implementation of monetary policies [94].

Core Viewpoint - The People's Bank of China (PBOC) is actively managing liquidity through increased reverse repurchase operations, signaling a commitment to stabilize market expectations and credit conditions amid a peak in government bond issuance [1][2][3]. Group 1: PBOC Operations - On July 15, the PBOC conducted a reverse repurchase operation of 342.5 billion yuan with a fixed interest rate of 1.4%, resulting in a net injection of 173.5 billion yuan for the day [1]. - The PBOC also announced a total of 1.4 trillion yuan in buyout reverse repurchase operations, with 800 billion yuan for 3-month and 600 billion yuan for 6-month terms, indicating a proactive approach to liquidity management [1][2]. - The total amount of buyout reverse repos maturing in July is 1.2 trillion yuan, with a net injection of 200 billion yuan for the month, marking the second consecutive month of increased operations [1][2]. Group 2: Market Conditions - Analysts note that the current liquidity environment is under pressure due to a significant tax payment period and increased government bond issuance, with expected net financing exceeding 1 trillion yuan [3][4]. - The liquidity disturbances are manageable, with analysts suggesting that the impact of tax payments on liquidity is historically controllable, typically within a fluctuation range of ±2 basis points for representative rates [3][4]. - The overall market sentiment remains stable, with the PBOC's actions expected to maintain a steady interest rate environment, although the balance between liquidity disturbances and market expectations will be crucial for asset pricing [4]. Group 3: Bond Market Outlook - The bond market is anticipated to benefit from the PBOC's reverse repurchase operations, potentially leading to a recovery if liquidity remains stable or improves [5]. - As of July 15, the yields on 30-year and 10-year government bonds have decreased slightly, indicating a positive response to the PBOC's liquidity measures [5]. - Analysts recommend a strategy of increasing allocations to high-grade credit bonds as opportunities arise, while closely monitoring interest rate changes and policy actions [5].