短期内国债期货上下空间有限

Report Industry Investment Rating No relevant content provided. Core View of the Report Since August, Treasury bond futures have been fluctuating and declining. On one hand, the domestic macro - economy shows resilience, and the policy statement on comprehensive interest rate cuts is weak. On the other hand, the risk appetite in the stock market has significantly rebounded, suppressing the demand for purchasing Treasury bonds. Since July, domestic macro - economic indicators have weakened marginally, indicating a persistent problem of insufficient effective domestic demand. The policy side needs to continue to support the demand side, and the moderately loose monetary policy tone remains unchanged. The LPR has remained unchanged in August, for three consecutive months. In the short term, the monetary policy is mainly structurally loose, and the necessity of an interest rate cut has decreased. The central bank's open - market operations are flexible, keeping liquidity within a reasonable and sufficient range. Overall, the upside and downside space for Treasury bond futures is limited, and they are expected to consolidate through fluctuations [4][55]. Summary by Relevant Catalogs 1 Market Review 1.1 Treasury Bond Futures Historical Trends Since August, Treasury bond futures have been fluctuating and declining due to the resilient domestic macro - economy, weak policy statements on comprehensive interest rate cuts, and a significant rebound in stock market risk appetite, which suppresses the demand for Treasury bonds. As of August 27, the 1 - year Treasury bond yield is around 1.36%, close to the 1.4% policy rate, and the difference between the 10 - year Treasury bond yield and the policy rate is about 44BP, indicating little implied interest rate cut expectation in the market [11][13]. 1.2 Treasury Bond Futures Spread Trends Due to changes in the central bank's interest rate cut expectations, the monthly spread trends of Treasury bond futures prices have diverged recently. The impact on the inter - period spreads of long - term Treasury bond futures is relatively small, while that on short - term Treasury bond futures is relatively large. The inter - period spread of 2 - year Treasury bond futures has clearly risen and then fallen, mainly because the weakening of interest rate cut expectations has a more significant impact on short - term contracts [15]. 2 Domestic Macro: Domestic Demand has Slowed, and Price Indexes have Stabilized 2.1 Business Climate Index: Manufacturing PMI Weakened in July In July, the PMI dropped to 49.3%, a 0.4 - percentage - point decrease from the previous month. Large - scale enterprises' PMI was 50.3%, a 0.9 - percentage - point decrease; medium - scale enterprises' PMI was 49.5%, a 0.9 - percentage - point increase; and small - scale enterprises' PMI was 46.4%, a 0.9 - percentage - point decrease. Among the 5 sub - indexes of the manufacturing PMI, the production index and the supplier delivery time index were above the critical point, while the new order index, raw material inventory index, and employment index were below it. The manufacturing PMI is expected to fluctuate narrowly around the boom - bust line in the short term [22][23]. 2.2 Price Indexes: Inflation Stabilized in July In July, the CPI increased by 0.4% month - on - month, up from a 0.1% decline in the previous month, and was flat year - on - year. The core CPI increased by 0.8% year - on - year, with the increase expanding for three consecutive months. The PPI decreased by 0.2% month - on - month, with the decline narrowing by 0.2 percentage points compared to the previous month, and decreased by 3.6% year - on - year, the same as the previous month. With the promotion of consumption - stimulating and anti - involution policies, CPI and PPI are expected to recover moderately [28][29][30]. 2.3 Social Financing and Credit: Credit Data was Weak in July The main contributor to social financing increment is government bonds. In the first seven months, the cumulative social financing increment was 23.99 trillion yuan, 5.12 trillion yuan more than the same period last year. In July, social financing increased by 1.16 trillion yuan, 389.3 billion yuan more than the same period last year. Entity credit decreased by 426.3 billion yuan, 345.5 billion yuan more than the same period last year. Both residential medium - and long - term loans and short - term loans decreased more year - on - year. Policy support is needed to boost domestic demand [32][33][36]. 3 Monetary Policy: LPR Interest Rates Remained Unchanged in August After the interest rate cut and reserve requirement ratio cut in May, the LPR has remained unchanged for three consecutive months. In the short term, the possibility of a comprehensive interest rate cut is low, and the policy is mainly a structural credit policy, focusing on boosting consumption and supporting technological innovation. The time for an interest rate cut is expected to be in the fourth quarter [45][46]. 4 Central Bank's Open - Market Operations As of the 28th of August, the central bank injected 6266.7 billion yuan and withdrew 6571.8 billion yuan in open - market operations, with a net withdrawal of 305.1 billion yuan. The central bank's open - market operations are flexible, keeping market liquidity within a reasonable and sufficient range [52]. 5 Summary Since August, Treasury bond futures have been fluctuating and declining. The domestic macro - economy shows resilience, and the necessity of an interest rate cut has decreased in the short term. The central bank's open - market operations are flexible. Overall, the upside and downside space for Treasury bond futures is limited, and they are expected to consolidate through fluctuations [55].