Workflow
风险偏好难回落,债市仍处逆风期
Dong Zheng Qi Huo·2025-09-07 08:14

Report Industry Investment Rating - The rating for treasury bonds is "oscillation" [4] Core Viewpoints - Next week, most fundamental data is expected to be weak, but the M1 growth rate may continue to rise, and the market is relatively insensitive to fundamental data. The bond market in Q3 has seasonal patterns, with adjustment pressure increasing in the middle and late months. The decline in constraints on domestic incremental policies after the Fed's rate cut and the potential for an anti - involution market may suppress bond market sentiment. It is recommended to take a bearish approach to the bond market next week, continue to focus on short - hedging strategies, and consider steepening the yield curve strategies [2] Summary by Directory 1. One - Week Review and Views 1.1 This Week's Trend Review - From September 1st to September 7th, treasury bond futures oscillated. On Monday, the bond market strengthened; on Tuesday, both stocks and bonds declined; on Wednesday, the bond market first rose and then the gains narrowed; on Thursday, the bond market rose due to the stock market decline; on Friday, the bond market fell sharply. As of September 5th, the settlement prices of the 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures main contracts were 102.388, 105.580, 107.920, and 116.300 yuan respectively, with changes of - 0.032, + 0.065, + 0.100, and - 0.260 yuan compared to last weekend [9] 1.2 Next Week's View - The bond market is expected to be weak next week. Fundamental data is concentrated, but the market is insensitive to it. The M1 growth rate may rise, and the risk appetite may increase. The approaching tax period will lead to marginal tightening of the capital side. The Fed's rate - cut expectation and the potential anti - involution market may suppress bond market sentiment. It is recommended to take a bearish approach, focus on short - hedging strategies, and consider steepening the yield curve strategies [2][11][12] 2. Weekly Observation of Interest - Bearing Bonds 2.1 Primary Market - This week, 39 interest - bearing bonds were issued, with a total issuance of 5629.61 billion yuan and a net financing of 3170.39 billion yuan. The net financing of treasury bonds increased, while that of local government bonds decreased, and that of inter - bank certificates of deposit increased [18] 2.2 Secondary Market - As of September 5th, the yields of 2 - year, 5 - year, 10 - year, and 30 - year treasury bonds showed a differentiated trend. The 10Y - 1Y and 30Y - 10Y spreads narrowed, while the 10Y - 5Y spread widened. The implied tax rate increased [22] 3. Treasury Bond Futures 3.1 Price, Trading Volume, and Position - As of September 5th, the settlement prices of the 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures main contracts changed compared to last weekend. The trading volumes and positions of each contract decreased compared to last weekend [32][35] 3.2 Basis and IRR - This week, the opportunity for cash - and - carry arbitrage was not obvious. The basis of treasury bond futures generally oscillated narrowly, and the IRR of the CTD bonds of each main contract was between 1.4% - 1.8%. The basis and IRR of TL fluctuated greatly, but trading opportunities were difficult to grasp [39] 3.3 Inter - period and Inter - variety Spreads - As of September 5th, the inter - period spreads of the 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures 2509 - 2512 contracts changed compared to last weekend [43] 4. Weekly Observation of the Capital Side - This week, the central bank's open - market reverse repurchase had a net withdrawal of 12047 billion yuan. The R007, DR007, SHIBOR overnight, and SHIBOR 1 - week rates all decreased. The average daily trading volume of inter - bank pledged repurchase increased, and the overnight proportion was slightly higher than last week [48][51][53] 5. Weekly Overseas Observation - The US dollar index oscillated narrowly, and the yield of the 10Y US treasury bond decreased. As of September 5th, the US dollar index fell 0.11% to 97.7357, and the yield of the 10Y US treasury bond was 4.10%, down 13BP from last weekend. The 8 - month non - farm payrolls data exceeded expectations, strengthening the rate - cut expectation [59] 6. Weekly Observation of High - Frequency Inflation Data - This week, industrial product prices fell, and agricultural product prices showed mixed trends. As of September 5th, the South China industrial product index, metal index, and energy and chemical index decreased, while the prices of pork, 28 key vegetables, and 7 key fruits changed differently compared to last weekend [62] 7. Investment Suggestions - The bond market is expected to be weakly oscillating. It is recommended to take a bearish approach [63]