Industry Investment Rating - The rating for treasury bonds is "Oscillation" [5] Core Viewpoints - The current primary contradiction in the market is between the strong risk appetite and the weak fundamental performance, leading to an oscillatory trend in treasury bonds. In the short term, there are no clear trend - based trading opportunities in the bond market, and short - term strategies should be adopted. Next week, the bond market will mainly oscillate, with some moments of potential increases, but the timing of long - positions is difficult to grasp, and attention should be paid to the interest rate safety margin [2][15]. - In the near term, the bond market lacks a trending market. The equity market will continue to be strong but will experience fluctuations. Meanwhile, the improvement in the fundamentals is slower than expected, causing the bond market to be insensitive to the rise of the stock market when interest rates adjust to a certain level. There will be short - term long - position opportunities in the market next week [16]. Summary by Directory 1. One - Week Review and Outlook 1.1 This Week's Trend Review - From August 25th to August 31st, treasury bond futures rebounded slightly. On Monday, after a sharp decline in the bond market, there was a rebound momentum, and the dovish stance of the Federal Reserve boosted the expectation of loose liquidity, resulting in a simultaneous rise in stocks and bonds. On Tuesday, the capital market was balanced, the stock market rose and then fell, and treasury bond futures strengthened, with TL performing particularly strongly. On Wednesday, the stock market rose and then fell, but due to the tightening of the capital market and the uncertainty of the subsequent stock market trend, the bond market's increase was limited. On Thursday, the stock market was weak in the morning, but the bond market sentiment did not improve. In the afternoon, the stock market rose rapidly, and treasury bond futures fell significantly. On Friday, the news was calm, the exchange rate appreciated significantly, the capital market was balanced, and stocks and bonds both rose. As of August 29th, the settlement prices of the 2512 contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were 102.420, 105.515, 107.820, and 116.560 yuan respectively, up 0.102, 0.145, 0.165, and 0.660 yuan from the previous weekend [14]. 1.2 Next Week's Outlook - The bond market will mainly oscillate next week. It is recommended to establish short - term long - positions on the left side before the stock market fluctuates and when the interest rate is relatively high, and exit quickly. Also, pay attention to short - hedging strategies, the strategy of steepening the yield curve, and stop - profit and wait for the strategy of widening the inter - delivery spread [2]. 2. Weekly Observation of Interest - Rate Bonds 2.1 Primary Market - This week, 101 interest - rate bonds were issued, with a total issuance volume of 502.597 billion yuan and a net financing of - 13.592 billion yuan, down 423.243 billion yuan and 669.452 billion yuan from last week respectively. 81 local government bonds were issued, with a total issuance volume of 351.597 billion yuan and a net financing of 243.508 billion yuan, down 1.7553 billion yuan and up 3.4708 billion yuan from last week respectively. 280 inter - bank certificates of deposit (NCDs) were issued, with a total issuance volume of 557.22 billion yuan and a net financing of - 194.56 billion yuan, up 0.911 billion yuan and 5.205 billion yuan from last week respectively [23]. 2.2 Secondary Market - Treasury bond yields showed a divergent trend. As of August 29th, the yields of 2 - year, 5 - year, 10 - year, and 30 - year treasury bonds were 1.40%, 1.64%, 1.84%, and 2.14% respectively, down 3.04bp, up 0.39bp, up 6.06bp, and up 6.25bp from the previous weekend. The spreads of 10Y - 1Y, 10Y - 5Y, and 30Y - 10Y widened by 6.18bp, 5.67bp, and 0.19bp respectively. The yields of 1 - year, 5 - year, and 10 - year policy - bank bonds were 1.54%, 1.77%, and 1.88% respectively, down 3.20bp, up 0.01bp, and up 1.27bp from the previous weekend [27][28]. 3. Treasury Bond Futures 3.1 Price, Trading Volume, and Open Interest - As of August 29th, the settlement prices of the 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures contracts were 102.420, 105.515, 107.820, and 116.560 yuan respectively, up 0.102, 0.145, 0.165, and 0.660 yuan from the previous weekend. The trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures this week were 41,387, 79,707, 111,765, and 181,645 lots respectively, down 21,136, 28,327, 35,187, and 47,596 lots from the previous weekend. The open interests of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were 83,540, 148,187, 214,900, and 153,379 lots respectively, down 12,037, 23,589, 14,531 lots and up 457 lots from the previous weekend [35][38]. 3.2 Basis and Implied Repo Rate (IRR) - This week, the opportunities for cash - and - carry arbitrage were not obvious. The capital market was generally loose, the market oscillated weakly, and the basis of futures generally oscillated within a narrow range. The IRR of the CTD bonds of each variety's main contracts was between 1.4% and 1.8%, and the current NCD rate was between 1.5% and 1.6%, so the opportunities for cash - and - carry arbitrage strategies were relatively few. The basis and IRR of TL fluctuated greatly, mainly due to the fluctuation of spot bond yields after the futures market closed, making it difficult to grasp trading opportunities [42]. 3.3 Inter - Delivery and Inter - Variety Spreads - As of August 29th, the inter - delivery spreads of the 2509 - 2512 contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were - 0.072, + 0.140, + 0.235, and + 0.460 yuan respectively, down 0.072, up 0.040, down 0.015, and down 0.080 yuan from the previous weekend. The market sentiment warmed up marginally this week, and the inter - delivery spreads generally oscillated and narrowed. As it is approaching the delivery month, the previously recommended strategy of widening the inter - delivery spread can gradually take profit [46]. 4. Weekly Observation of the Capital Market - This week, the central bank conducted 2.2731 trillion yuan of reverse repurchase operations and 600 billion yuan of 1 - year MLF operations. Due to the maturity of 2.077 trillion yuan of reverse repurchases, 300 billion yuan of 1 - year MLF, 400 billion yuan of 91 - day outright reverse repurchases, and 500 billion yuan of 182 - day outright reverse repurchases, the full - scale net withdrawal was 403.9 billion yuan. As of August 29th, R007, DR007, SHIBOR overnight, and SHIBOR 1 - week were 1.52%, 1.52%, 1.33%, and 1.51% respectively, down 4.42bp, 0.50bp, 8.70bp, and up 4.70bp from the previous weekend. The average daily trading volume of inter - bank pledged repurchase this week was 7.07 trillion yuan, 0.06 trillion yuan less than last week, and the overnight proportion was 85.46%, slightly lower than last week [50][53][55]. 5. Weekly Overseas Observation - The US dollar index and the 10Y US Treasury yield both oscillated within a narrow range. As of August 29th, the US dollar index rose 0.13% to 97.8477 from the previous weekend; the 10Y US Treasury yield was 4.23%, down 3bp from the previous weekend; the spread between Chinese and US 10Y treasury bonds was inverted by 238.7bp. Trump is gradually increasing his influence on the Federal Reserve, and the US Court of Appeals ruled that Trump's reciprocal tariff policy is illegal [61]. 6. Weekly Observation of High - Frequency Inflation Data - This week, industrial product prices showed a mixed trend. As of August 29th, the Nanhua Industrial Product Index, the Metal Index, and the Energy and Chemical Index were 3614.83, 6394.54, and 1664.76 points respectively, down 16.12, up 29.49, and down 18.61 points from the previous weekend. Agricultural product prices also showed a mixed trend. As of August 29th, the prices of pork, 28 key vegetables, and 7 key fruits were 19.94, 4.94, and 6.85 yuan/kg respectively, down 0.16, up 0.10, and up 0.03 yuan/kg from the previous weekend [65]. 7. Investment Recommendations - In the near term, the bond market will mainly oscillate. It is recommended to establish short - term long - positions on the left side before the stock market fluctuates and when the interest rate is relatively high, and exit quickly. Also, continue to pay attention to short - hedging strategies, and the strategy of steepening the yield curve (such as long 4TS and short T for the 10Y - 1Y spread at the short - to - medium end). Stop - profit and wait for the strategy of widening the inter - delivery spread [2][18][20].
债市整体震荡，做多需快进快出
Dong Zheng Qi Huo·2025-08-31 07:12