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短线风险偏好回升，长期依旧看多债市
Dong Zheng Qi Huo·2025-07-13 08:13
  1. Report Industry Investment Rating - The rating for treasury bonds is "oscillation" [6] 2. Core View of the Report - In the short - term, risk appetite has rebounded, but in the long - term, the bond market is still bullish. Although the recent trend of treasury bonds is relatively weak, the logic of activities like "transfer trade" is not sustainable. The long - term fundamental situation remains unchanged. Once risk appetite starts to decline and there are incremental positive factors, the bond market will strengthen non - linearly. Therefore, it is recommended to lay out medium - term long positions on dips [2][14][16] 3. Summary by Relevant Catalogs 3.1 One - Week Review and Views 3.1.1 This Week's Trend Review - From July 7th to July 13th, treasury bond futures oscillated and adjusted. On Monday, with a calm market news and slightly tightened funding, treasury bond futures oscillated narrowly, and the 30Y interest rate rose slightly due to the news of ultra - long special treasury bond issuance. On Tuesday, as trade conflict intensity was within market expectations, rising certificate of deposit (CD) rates and a strong stock market led to an oscillating decline in treasury bond futures. On Wednesday, the stock market weakened while long - term treasury bond futures strengthened, and the short - term ones were relatively weak with a flattening yield curve. On Thursday, the market sentiment improved marginally in the morning but then the stock market soared, causing the bond market to weaken. In the afternoon, the expectation of real - estate stabilizing policies led to a plunge in treasury bond futures. On Friday, with balanced funding, the bond market fluctuated with the stock market. As of July 11th, the settlement prices of the main contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were 102.412, 105.975, 108.815, and 120.510 yuan respectively, down 0.096, 0.275, 0.295, and 0.690 yuan from last weekend [1][12] 3.1.2 Next Week's View - The market is still difficult to strengthen next week. With the arrival of the tax period, the funding will marginally tighten, and the expected strong economic data in June and high risk appetite will suppress the bond market. However, in the long - run, it is advisable to lay out medium - term long positions on dips. Strategies include holding long positions, paying attention to positive arbitrage opportunities in treasury bond futures, and stopping profit on the strategy of steepening the yield curve first and then looking for new opportunities [2][14][15][16] 3.2 Weekly Observation of Interest - Rate Bonds 3.2.1 Primary Market - This week, 70 interest - rate bonds were issued with a total issuance of 69 billion yuan and a net financing of 46.2369 billion yuan, up 17.6781 billion and 8.579 billion yuan respectively from last week. 45 local government bonds were issued with a total issuance of 23.179 billion yuan and a net financing of 11.0229 billion yuan, up 15.9651 billion and 8.858 billion yuan respectively. 454 CDs were issued with a total issuance of 42.713 billion yuan and a net financing of - 8.339 billion yuan, up 18.416 billion and down 8.057 billion yuan respectively [20] 3.2.2 Secondary Market - Treasury bond yields rose. As of July 11th, the yields of 2 - year, 5 - year, 10 - year, and 30 - year treasury bonds were 1.40%, 1.53%, 1.66%, and 1.87% respectively, up 4.28, 3.41, 2.05, and 1.95 basis points from last weekend. The 10Y - 1Y, 10Y - 5Y, and 30Y - 10Y spreads narrowed. The yields of 1 - year, 5 - year, and 10 - year policy - bank bonds were 1.50%, 1.61%, and 1.71% respectively, up 5.03, 4.51, and 3.13 basis points from last weekend [30] 3.3 Treasury Bond Futures 3.3.1 Price, Trading Volume, and Open Interest - Treasury bond futures oscillated and adjusted. As of July 11th, the settlement prices of the main contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were 102.412, 105.975, 108.815, and 120.510 yuan respectively, down 0.096, 0.275, 0.295, and 0.690 yuan from last weekend. The trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures this week were 38,238, 66,066, 72,274, and 98,226 lots respectively, up 7,022, 7,450, 1,993, and 16,442 lots from last weekend. The open interests were 124,636, 202,629, 244,640, and 150,356 lots respectively, with changes of - 673, + 9,156, + 4,737, and + 6,317 lots from last weekend [38][43] 3.3.2 Basis and Implied Repo Rate (IRR) - Positive arbitrage opportunities were not obvious this week. With balanced and loose funding, the basis of futures oscillated narrowly. The IRR of the cheapest - to - deliver (CTD) bonds of each main contract was around 1.8%, and the current CD rate was slightly higher than 1.6%, resulting in relatively few positive arbitrage opportunities [48] 3.3.3 Inter - Delivery and Inter - Variety Spreads - As of July 11th, the inter - delivery spreads of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures between the 2509 and 2512 contracts were - 0.100, - 0.105, - 0.040, and + 0.180 yuan respectively, with changes of + 0.024, - 0.020, + 0.045, and + 0.050 yuan from last weekend. The far - term contracts adjusted more this week [53] 3.4 Weekly Observation of Funding - The central bank net - withdrew 22.65 billion yuan through reverse repurchase operations this week. As of July 11th, R007, DR007, SHIBOR overnight, and SHIBOR 1 - week were 1.51%, 1.47%, 1.33%, and 1.48% respectively, up 0.86, 0.58, 2.80, and 5.20 basis points from last weekend. The average daily trading volume of inter - bank pledged repurchase was 8.21 trillion yuan, up 0.61 trillion yuan from last week, and the overnight proportion was 89.57%, slightly lower than last week [57][60][63] 3.5 Weekly Overseas Observation - The US dollar index strengthened slightly, and the 10Y US treasury bond yield rose slightly. As of July 11th, the US dollar index rose 0.91% to 97.8731 from last weekend, the 10Y US treasury bond yield was 4.43%, up 8 basis points from last weekend, and the yield spread between Chinese and US 10Y treasury bonds was inverted by 276.7 basis points [67] 3.6 Weekly Observation of High - Frequency Inflation Data - Industrial product prices rose this week. As of July 11th, the Nanhua Industrial Product Index, Metal Index, and Energy and Chemical Index were 3,612.73, 6,281.86, and 1,679.68 points respectively, up 55.22, 65.52, and 29.21 points from last weekend. Agricultural product prices also rose, with the prices of pork, 28 key vegetables, and 7 key fruits at 20.60, 4.42, and 7.45 yuan/kg respectively, up 0.02, 0.08, and 0.15 yuan/kg from last weekend [70] 3.7 Investment Suggestions - It is recommended to lay out medium - term long positions on dips [71]