国债期货周报：风险偏好压制，期债震荡调整-20250822

1. Report Industry Investment Rating No information is provided in the report regarding the industry investment rating. 2. Core View of the Report - The bond market has not yet emerged from an independent market and is continuously suppressed by market risk appetite, with a significant "see - saw" effect between stocks and bonds [94]. - The next - stage monetary policy will continue the moderately loose tone but focus more on structural tools, and the scope for overall easing may be limited. The interest rate center lacks further downward momentum, and the rebound power of treasury bond futures is insufficient. The liquidity factor is expected to dominate the short - term bond market trading logic [94]. - It is expected that the treasury bond futures market will show a volatile and bearish pattern, and there are currently no trend - based long - buying opportunities [94]. 3. Summary According to the Table of Contents 3.1. Market Review - The main contracts of treasury bond futures all declined this week. The TL (30 - year) main contract fell 1.28%, the T (10 - year) main contract fell 0.59%, the TF (5 - year) main contract fell 0.27%, and the TS (2 - year) main contract fell 0.03% [11][15][21]. - The trading volume of the TS, TF, T, and TL main contracts all increased, while the open interest of the TS, T, TF, and TL main contracts all decreased [29]. 3.2. News Review and Analysis - Policy and regulatory news: The five - department joint notice expanded the withdrawal conditions for personal pensions; the central bank increased the re - loan quota for supporting agriculture and small businesses by 100 billion yuan; the Financial Regulatory Administration plans to introduce the "Administrative Measures for Commercial Bank Merger and Acquisition Loans" [7]. - Domestic economic data: In July, the added value of industrial enterprises above designated size increased by 5.7% year - on - year, social consumer goods retail sales increased by 3.7% year - on - year, fixed - asset investment decreased by 0.63% year - on - year, and the unemployment rate remained flat year - on - year. In July, RMB loans decreased by 5 billion yuan, with a year - on - year increase in the reduction of 31 billion yuan; the social financing increment in July was 116 billion yuan, a year - on - year increase of 38.93 billion yuan; the year - on - year growth rate of M1 in July was 5.6%, and that of M2 was 8.8%. China's official manufacturing PMI in July was 49.3, a month - on - month decrease of 0.4 percentage points [8]. - Overseas economic data: The preliminary value of the US S&P Global Manufacturing PMI in August was 53.3, the highest since May 2022. The US initial jobless claims last week increased by 11,000 to 235,000, the highest since June. The Fed's July meeting minutes showed that officials were divided on the issue of interest rate cuts [8]. 3.3. Chart Analysis - Spread Changes - The yield spread between 10 - year and 5 - year bonds narrowed slightly, while the spread between 10 - year and 1 - year bonds widened slightly [42]. - The spreads between the 2 - year and 5 - year, and 5 - year and 10 - year main contracts of treasury bond futures narrowed [46]. - The inter - term spread of the 10 - year contract narrowed, and the inter - term spread of the 30 - year contract widened slightly. The inter - term spread of the 2 - year contract fluctuated, and the inter - term spread of the 5 - year contract widened [50][57]. - Treasury Bond Futures Main Position Changes: The net long positions of the top 20 holders of the T main contract increased significantly [63]. - Interest Rate Changes - The overnight, 1 - week, 2 - week, and 1 - month Shibor rates all increased, and the weighted average DR007 rate fell back to around 1.47% and fluctuated [67]. - The yields of treasury bond cash bonds weakened across the board. The yields of 1 - 7 - year bonds increased by 2 - 5bp, and the yields of 10 - year and 30 - year bonds increased by 5bp and 6bp to 1.78% and 2.03% respectively [67]. - The yield spread between Chinese and US 10 - year treasury bonds widened, and the spread between 30 - year treasury bonds widened slightly [71]. - Open Market Operations: The central bank conducted 219.7 billion yuan in reverse repurchase operations in the open market this week, with 93.18 billion yuan in reverse repurchase maturities, resulting in a net injection of 126.52 billion yuan [74]. - Bond Issuance and Maturity: This week, the total bond issuance was 196.8063 billion yuan, the total repayment was 148.1147 billion yuan, and the net financing was 48.6917 billion yuan [77]. - Market Sentiment - The central parity rate of the RMB against the US dollar was 7.1321, with a cumulative depreciation of 50 basis points this week. The spread between the offshore and on - shore RMB narrowed [82]. - The yield of the 10 - year US treasury bond strengthened slightly, and the VIX index rose slightly [87]. - The yield of the 10 - year treasury bond in China increased significantly, and the A - share risk premium decreased slightly [90]. 3.4. Market Outlook and Strategy - Domestic: In July, the economic recovery slowed down, with marginal weakening on both the supply and demand sides. With the introduction of new policies in August, future economic data may pick up [93]. - Overseas: The US economic data has fluctuated recently, and the Fed is divided on the issue of interest rate cuts. The market is closely watching the speech of the Fed Chairman at the Jackson Hole meeting [93]. - Strategy: It is expected that the treasury bond futures market will show a volatile and bearish pattern, and there are currently no trend - based long - buying opportunities [94].