国债期货周报：债市震荡修复，股债效应仍强-20250905

Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - The bond market is in a state of oscillatory repair, and the stock - bond effect remains strong. The current bond market trend is restricted by changes in market risk preference, and short - term capital liquidity is the core logic affecting bond market trading. It is recommended to focus on the performance of domestic fundamental data in August. If economic growth momentum continues to slow down and the exchange rate remains stable, it may boost the market's expectation of aggregate easing policies in the fourth quarter. The yield is expected to remain in a high - level oscillatory pattern in the short term, and it is advisable to wait and see for now [4][98] Summary According to the Table of Contents 1. Market Review - Performance of Treasury Futures Contracts: The main contracts of 30 - year, 10 - year, 5 - year, and 2 - year treasury futures rose by 0.75%, 0.43%, 0.28%, and 0.06% respectively this week. The trading volumes of TS, TF, T, and TL main contracts all decreased, while their positions all increased [13][17][23][31] - Yield Changes of Treasury Bonds: The yields of treasury bond cash bonds showed mixed trends this week. The yields to maturity of 1 - 2Y bonds increased by 0.9 - 2bp, those of 3 - 10Y bonds decreased by 1.2 - 2bp, and the yield to maturity of 30Y bonds increased by about 1bp to 2.03% [11][68] 2. News Review and Analysis - Domestic Policies: On September 1, the SCO Summit issued a statement on strengthening digital economy development. On September 3, the joint working group of the Ministry of Finance and the central bank held a meeting to discuss bond - related issues. Also on September 3, 12 provinces raised the minimum wage standard this year. On September 4, the Ministry of Commerce announced the first anti - circumvention investigation ruling in China [34][35] - Overseas Situations: On September 3, there was a global long - term treasury bond sell - off. The yield of 30 - year US treasury bonds exceeded 5%, and the yields of bonds in other countries also reached high levels. The Fed's Beige Book showed that the economic activity in most regions of the US remained almost unchanged. On September 4, the ADP employment data in the US in August was lower than expected, and the initial jobless claims reached a new high since June, increasing the probability of the Fed's interest rate cut in September [35][36] 3. Chart Analysis - Spread Changes - Yield Spreads of Treasury Bonds: The spread between 10 - year and 5 - year treasury bonds widened slightly, and the spread between 10 - year and 1 - year treasury bonds narrowed significantly. The spreads between 2 - year and 5 - year, 5 - year and 10 - year main contracts of treasury futures widened slightly. The inter - period spread of 10 - year contracts narrowed significantly, and that of 30 - year contracts widened. The inter - period spreads of 2 - year and 5 - year contracts narrowed slightly [44][48][52] - Main Contract Positions: The net short positions of the top 20 positions in the T main contract increased significantly [64] - Interest Rate Changes - Shibor and Treasury Bond Yields: The overnight, 1 - week, 2 - week, and 1 - month Shibor rates all declined, and the weighted average rate of DR007 fell to around 1.43%. The yields of treasury bond cash bonds showed mixed trends [68] - Sino - US Treasury Bond Yield Spreads: The spreads between 10 - year and 30 - year Sino - US treasury bonds narrowed slightly [73] - Central Bank Operations: The central bank conducted 106.84 billion yuan of reverse repurchases in the open market this week, with 227.31 billion yuan of reverse repurchases maturing, resulting in a net withdrawal of 120.47 billion yuan. The weighted average rate of DR007 fell to around 1.44% [75] - Bond Issuance and Maturity: This week, the bond issuance was 110.1925 billion yuan, the total repayment was 68.6488 billion yuan, and the net financing was 41.5438 billion yuan [80] - Market Sentiment - Exchange Rate: The central parity rate of the RMB against the US dollar was 7.1064, with a cumulative increase of 71 basis points this week. The spread between the offshore and onshore RMB exchange rates weakened [86] - US Bond Yields and VIX Index: The yield of 10 - year US treasury bonds oscillated upwards, and the VIX index declined slightly [91] - A - share Risk Premium Rate: The yield of 10 - year treasury bonds increased, and the A - share risk premium declined slightly [94] 4. Market Outlook and Strategy - Domestic Fundamentals: In August, the manufacturing PMI rebounded slightly but remained below the boom - bust line, and the non - manufacturing PMI expanded faster. In July, the profit of industrial enterprises above designated size decreased year - on - year, and the economic recovery slowed down. In the future, policies to stabilize growth may accelerate [97] - Overseas Situations: In August, the US ISM manufacturing PMI contracted for 6 consecutive months, and the service PMI rebounded. The labor market showed signs of weakness, and the probability of the Fed's interest rate cut in September increased [97] - Market Outlook and Strategy: The bond market is restricted by market risk preference. It is recommended to focus on domestic fundamental data in August. The yield is expected to remain in a high - level oscillatory pattern in the short term, and it is advisable to wait and see [98]