Industry Investment Rating - The short - term trend of treasury bonds is rated as "volatile", and the medium - term trend is expected to turn bullish gradually [1][3][13][14][15] Core Viewpoints - This week (09.15 - 09.21), treasury bond futures fluctuated, first rising and then falling. Looking ahead to next week, the market is still a mix of bullish and bearish factors, with the bond market mainly in a volatile state. In the short term, it is advisable to adopt a volatile mindset and not chase the upward trend. In the medium - term, as the fundamental factors are favorable for the bond market, the bond market in Q4 is expected to gradually strengthen [2][3][12][13][14][15] Summary by Directory 1. One - week Review and Views 1.1 This Week's Trend Review: Treasury Bond Futures Fluctuated - From 09.15 to 09.21, treasury bond futures first rose and then fell, showing an overall volatile trend. As of September 19th, the settlement prices of the main contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were 102.358, 105.630, 107.755, and 114.880 yuan respectively, with changes of - 0.006, + 0.050, + 0.075, and - 0.280 yuan compared to last weekend [2][12] 1.2 Next Week's View: Short - term Volatility with a Gradual Turn to Bullish in the Medium - term - Next week, the market will be a mix of bullish and bearish factors, and the bond market will mainly fluctuate. In the long run, the fundamental factors are the main driving force for the bond market, and the bond market in Q4 is expected to strengthen. Strategies include: short - term volatile thinking, not chasing the upward trend; laying out medium - term long positions at low prices according to market sentiment; closing short - hedging strategies after the market returns to fundamentals; and moderately paying attention to the strategy of steepening the yield curve [3][13][14][15][16][17][18] 2. Weekly Observation of Interest - rate Bonds 2.1 Primary Market - This week, 85 interest - rate bonds were issued, with a total issuance volume of 664.539 billion yuan and a net financing amount of 466.425 billion yuan. The net financing amount of local government bonds decreased, while that of inter - bank certificates of deposit increased [20][23][24] 2.2 Secondary Market - Treasury bond yields generally increased. As of September 19th, the yields of 2 - year, 5 - year, 10 - year, and 30 - year treasury bonds were 1.49%, 1.62%, 1.88%, and 2.20% respectively, with changes of + 5.41, + 0.39, + 1.38, and + 1.75 basis points compared to last weekend. The spreads of 10Y - 1Y, 10Y - 5Y, and 30Y - 10Y all widened [28][29] 3. Treasury Bond Futures 3.1 Price, Trading Volume, and Open Interest - As of September 19th, the settlement prices of the main contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were 102.358, 105.630, 107.755, and 114.880 yuan respectively. The trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures this week were 37,145, 77,933, 123,679, and 159,719 lots respectively, with changes of + 2,940, + 6,401, + 20,560, and - 16,964 lots compared to last weekend. The open interests were 76,364, 145,436, 244,571, and 167,280 lots respectively, with changes of + 3,818, + 1,953, + 16,013, and + 14,208 lots compared to last weekend [37][40] 3.2 Basis and IRR - This week, the opportunities for cash - and - carry arbitrage were not obvious. The basis of futures generally fluctuated within a narrow range, and the IRR of the CTD bonds of each main contract was between 1.3% - 1.4% [44] 3.3 Inter - delivery and Inter - product Spreads - As of September 19th, the inter - delivery spreads of the 2512 - 2603 contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were + 0.066, + 0.120, + 0.335, and + 0.310 yuan respectively, with changes of - 0.008, - 0.010, + 0.005, and - 0.010 yuan compared to last weekend [47][48] 4. Weekly Observation of the Funding Situation - This week, the central bank's open - market operations had a net injection of 119.23 billion yuan. As of September 19th, R007, DR007, SHIBOR overnight, and SHIBOR 1 - week were 1.52%, 1.51%, 1.46%, and 1.49% respectively, with changes of + 3.29, + 2.64, + 9.40, and + 2.80 basis points compared to last weekend. The average daily trading volume of inter - bank pledged repurchase was 7.16 trillion yuan, 0.33 trillion yuan less than last week [53][55][57] 5. Weekly Overseas Observation - The US dollar index fluctuated within a narrow range, and the yield of 10 - year US Treasury bonds increased. As of September 19th, the US dollar index rose 0.03% to 97.6519 compared to last weekend's close, and the yield of 10 - year US Treasury bonds was 4.14%, up 8 basis points from last weekend. The spread between Chinese and US 10 - year Treasury bonds was inverted by 226.3 basis points [63] 6. Weekly Observation of High - frequency Inflation Data - This week, industrial product prices all rose, while agricultural product prices showed mixed trends. As of September 19th, the South China Industrial Product Index, Metal Index, and Energy and Chemical Index were 3,630.65, 6,411.66, and 1,664.67 points respectively, with changes of + 34.64, + 8.68, and + 23.30 points compared to last weekend. The prices of pork, 28 key vegetables, and 7 key fruits were 19.48, 4.98, and 6.85 yuan/kg respectively, with changes of - 0.40, - 0.09, and + 0.10 yuan/kg compared to last weekend [66] 7. Investment Recommendations - Adopt a volatile mindset in the short term, and lay out medium - term long positions according to market sentiment [67]
短线暂偏震荡，中期逐渐转多
Dong Zheng Qi Huo·2025-09-21 11:44