股市继续上涨,债市表现偏弱
Dong Zheng Qi Huo·2025-08-24 01:44
- Report Industry Investment Rating - The rating for treasury bonds is "oscillating" [5] 2. Core View of the Report - In the short - term, the bond market is weak, and the stock market is expected to remain strong. The performance of the bond market will be dominated by the capital side and the equity market, and the cost - effectiveness of going long on the bond market is limited compared to the stock market [2] 3. Summary by Directory 3.1 One - Week Review and Outlook 3.1.1 This Week's Trend Review - From August 18th to 22nd, treasury bond futures continued to decline. Influenced by factors such as the central bank's monetary policy report, tax payment periods, and stock market trends, the settlement prices of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures 2512 contracts decreased by 0.066 yuan, 0.300 yuan, 0.570 yuan, and 1.310 yuan respectively compared to last weekend [1][12] 3.1.2 Next Week's Outlook - The bond market is expected to remain weak. The capital side and the equity market will dominate the bond's trend. The central bank will conduct a 600 billion yuan MLF operation next Monday with a net capital injection of 300 billion yuan, but the capital side may tighten marginally during tax payment and end - of - month periods. The expectation of broad - based monetary policy may rise, but its positive impact on the bond market is limited. The stock market is expected to remain strong, and the cost - effectiveness of going long on the bond market is limited [2][13][14] 3.2 Weekly Observation of Interest - Bearing Bonds 3.2.1 Primary Market - This week, 136 interest - bearing bonds were issued, with a total issuance of 925.84 billion yuan and a net financing of 655.86 billion yuan, an increase of 370.148 billion yuan and 312.066 billion yuan respectively compared to last week. The net financing of local government bonds increased, while that of inter - bank certificates of deposit decreased [19][20] 3.2.2 Secondary Market - Most treasury bond yields increased. As of August 22nd, the yields of 2 - year, 5 - year, 10 - year, and 30 - year treasury bonds increased by 3.53bp, 5.58bp, 4.26bp, and 4.50bp respectively compared to last weekend. The 10Y - 1Y and 30Y - 10Y spreads widened, while the 10Y - 5Y spread narrowed [24][25] 3.3 Treasury Bond Futures 3.3.1 Price, Trading Volume, and Open Interest - Treasury bond futures continued to decline. As of August 22nd, the settlement prices of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures 2512 contracts decreased compared to last weekend. The trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures increased, while the open interests of 2 - year, 5 - year, and 10 - year decreased, and that of 30 - year increased [34][38] 3.3.2 Basis and IRR - The opportunity for cash - and - carry arbitrage was not obvious this week. The basis of treasury bond futures generally fluctuated within a narrow range, and the IRR of the CTD bonds of each variety's main contract was between 1.4% - 1.8%. The basis and IRR of TL fluctuated greatly, but trading opportunities were difficult to grasp [43] 3.3.3 Inter - delivery and Inter - variety Spreads - As of August 22nd, the inter - delivery spreads of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures 2509 - 2512 contracts generally widened. The previously recommended strategy of widening the inter - delivery spread can be gradually closed for profit [46][47] 3.4 Weekly Observation of the Capital Side - This week, the central bank's open - market reverse repurchase operation had a net injection of 136.52 billion yuan. As of August 22nd, R007, DR007, SHIBOR overnight, and SHIBOR 1 - week changed by - 1.91bp, - 3.67bp, + 2.00bp, and - 0.20bp respectively compared to last weekend. The average daily trading volume of inter - bank pledged repurchase decreased by 1.02 trillion yuan compared to last week [51][53][55] 3.5 Weekly Overseas Observation - The US dollar index oscillated weakly, and the 10Y US treasury bond yield declined. As of August 22nd, the US dollar index decreased by 0.12% to 97.7244 compared to last weekend, and the 10Y US treasury bond yield decreased by 7BP to 4.26%. The 10Y treasury bond yield spread between China and the US was inverted by 247.7BP [60] 3.6 Weekly Observation of High - Frequency Inflation Data - Industrial product prices declined uniformly, and agricultural product prices showed mixed trends. As of August 22nd, the South China Industrial Product Index, Metal Index, and Energy and Chemical Index decreased by 27.09 points, 101.16 points, and 4.31 points respectively compared to last weekend. The prices of pork, 28 key vegetables, and 7 key fruits changed by + 0.05 yuan/kg, + 0.09 yuan/kg, and - 0.09 yuan/kg respectively compared to last weekend [63][64] 3.7 Investment Recommendations - In the short - term, the bond market sentiment is weak, and caution is needed when trading for rebounds. It is recommended to focus on short - hedging strategies, use T or TL for hedging in a strong stock market environment, pay attention to the strategy of steepening the yield curve, and close the strategy of widening the inter - delivery spread for profit [16][17]