Economic Data Insights - In December, China's export data exceeded market expectations by approximately 3.4 percentage points, driven by significant increases in imports from the US and ASEAN[6] - The Q4 economic growth rate reached 5.4%, successfully meeting the annual target of 5%[6] - Fixed asset investment saw a decline, particularly in manufacturing and infrastructure, but the year-on-year decline in real estate development investment continued to narrow[6] Financial Market Analysis - The total social financing growth rate stabilized, ending the contraction and remaining flat compared to previous values, indicating an improvement in credit conditions[6] - The market anticipates that the People's Bank of China may delay interest rate cuts due to improving economic data, with the next observation point for potential cuts being March 2025[6] - The bond market is expected to face adjustment pressure if the central bank postpones the interest rate cut schedule, as the current negative carry structure may suppress buying interest[6] Currency and Commodity Trends - The domestic bond market is experiencing volatility, while US Treasury yields have declined, leading to increased fluctuations in the RMB exchange rate[6] - Commodity prices are generally strong, contrasting with previous trends, and the equity market is outperforming the US stock market, indicating potential pressure from the dollar on domestic equities[6]

Group 1: Market Overview - The current bond market shows insufficient long positions, with a strong dollar environment likely leading to a flattening of the yield curve[7] - In the second week of January, macroeconomic data from overseas indicates a soft landing for economic growth, with ISM manufacturing and services PMIs exceeding market expectations[7] - The US economy demonstrates resilience against high-interest financial conditions, primarily due to its consumption-driven nature[7] Group 2: Monetary Policy and Funding - The central bank's open market operations (OMO) have been low, resulting in a tight funding environment despite seasonal declines in liquidity[7] - Concerns about the central bank's potential actions on the RMB exchange rate may lead to a temporary tightening of the funding environment[7] - The central bank announced a pause in government bond purchases starting January 2025, which will be reviewed based on market supply and demand[7] Group 3: Asset Performance - Domestic bond markets are experiencing volatility, while US Treasury bonds continue to strengthen, with the RMB exchange rate showing increased fluctuations[9] - The A-share market has weakened significantly, influenced by the strong dollar's pressure on domestic equity markets[9] - The 10-year government bond yield is fluctuating around 1.6%, reflecting market expectations of a 40 basis point rate cut[7]

跨品种套利跟踪 期现收益率 致掂米源： WIND，中蔡朋贞研究所 (0.30) (0.20) (0.10) 0.00 0.10 0.20 0.30 90 85 80 75 70 65 60 55 50 45 40 35 30 25 20 15 10 5 0 IRR SHIBOR 3M 10-2国债利差 4TS-T(右) 5年国债期货期现收益率(%,bp) 1.60 1.40 1.20 1.00 0.80 () 60 () 40 0.20 0.00 (0.20) (0.40) (0_60) r in ag n 201 a o ar a 00 a a a 1 2 2 1 a 20 n a strong the a a Prope 800 r and 国债期货IRR跟踪 IRR SHIBOR 3M 中泰期货 研究所 宏观经济与国债期货分析师 李荣凯 从业资格号：F3012937 交易咨询证书号：Z0015266 债市处于该位置后怎么看？从定价上看，债市隐含30bp降息，央行一次降息多少，20bp？从未来可交易点来看，未来宽松动作还没有落地，既然没有落地也就没有证伪降息不及预期，更 何况央行仍然在债券市场进行净买入操 ...