债市震荡寻底，持续调整概率不高

1. Report Industry Investment Rating - The investment rating for treasury bonds is "Oscillation" [4] 2. Core Viewpoints of the Report - The bond market is currently in a phase of oscillating to find the bottom, and the probability of continuous adjustment is low. After the adjustment, the bond market valuation has gradually become reasonable. With limited incremental negatives such as policy efforts and a stronger stock market in the future, and the monetary policy remaining in a balanced and slightly loose state, the bond market will gradually become desensitized to negatives. It is expected that the market will start to focus on the fundamentals in late October [2]. - In the short - term, the bond market is expected to oscillate slightly weaker due to the fewer trading days next week and some institutions' potential concerns about the implementation of new regulations on public bond funds during the holiday. However, the impact of institutions holding cash for the holiday is relatively limited [2]. 3. Summary by Relevant Catalogs 3.1 One - Week Review and Views 3.1.1 This Week's Trend Review - From September 22 - 28, treasury bond futures oscillated downward. On Monday, the bond market sentiment was generally positive due to the central bank's 14 - day reverse repurchase operation, and the bond futures closed higher. On Tuesday, concerns about changes in public fund fees suppressed the bond market, and the decline of bond futures widened in the late session. On Wednesday, without the 14 - day reverse repurchase operation, the tightening of the capital side and the rising stock market led to stronger short - selling intentions of institutions, and bond futures oscillated downward. On Thursday, the bond market fell sharply in the morning due to strong equity performance, and rebounded in the afternoon. On Friday, with a calm market and a weakening stock market, bond futures rose slightly. As of September 26, 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, changing by - 0.006, + 0.050, + 0.075, and - 0.280 yuan compared to last weekend [1][11]. 3.1.2 Next Week's View - The bond market is expected to oscillate slightly weaker. The cross - quarter capital side has tightened, and new regulations on public funds have suppressed bond market sentiment. The yield curve continues to steepen. Although some institutions may hold cash for the holiday due to concerns about new regulations on public bond funds, the impact is limited. The bond market is in an oscillating bottom - finding phase, and the probability of continuous adjustment is low. It is recommended to adopt an oscillating approach in the short - term for the unilateral strategy, wait for market sentiment to improve to close the short - hedging strategy, and moderately focus on the strategy of steepening the curve [2][12][13]. 3.2 Weekly Observation of Interest - Bearing Bonds 3.2.1 Primary Market - This week, 106 interest - bearing bonds were issued, with a total issuance volume of 579.731 billion yuan and a net financing of - 6.239 billion yuan, a change of - 84.808 billion yuan and - 472.664 billion yuan compared to last week respectively. 78 local government bonds were issued, with a total issuance volume of 196.051 billion yuan and a net financing of 122.461 billion yuan, a change of + 7.532 billion yuan and + 91.606 billion yuan compared to last week respectively. 450 inter - bank certificates of deposit were issued, with a total issuance volume of 790.970 billion yuan and a net financing of - 178.240 billion yuan, a change of - 188.540 billion yuan and - 307.70 billion yuan compared to last week respectively [23][24]. 3.2.2 Secondary Market - Treasury bond yields generally increased. As of September 26, the yields of 2 - year, 5 - year, 10 - year, and 30 - year treasury bonds were 1.52%, 1.63%, 1.88%, and 2.22% respectively, a change of + 3.07, + 1.70, + 0.20, and + 2.40 basis points compared to last weekend. The 10Y - 1Y and 30Y - 10Y spreads widened, while the 10Y - 5Y spread narrowed. The yields of 1 - year, 5 - year, and 10 - year policy - bank bonds also increased [29][30]. 3.3 Treasury Bond Futures 3.3.1 Price, Trading Volume, and Open Interest - Treasury bond futures oscillated downward. As of September 26, the settlement prices of the main contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were 102.344, 105.530, 107.670, and 114.260 yuan respectively, a change of - 0.014, - 0.100, - 0.085, and - 0.620 yuan compared to last weekend. The trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures this week were 35,819, 71,161, 107,596, and 148,495 lots respectively, a change of - 1,326, - 6,772, - 16,083, and - 11,225 lots compared to last weekend. The open interests were 76,284, 148,793, 246,583, and 170,109 lots respectively, a change of - 80, + 3,357, + 2,011, and + 2,829 lots compared to last weekend [35][36][40]. 3.3.2 Basis and IRR - This week, the opportunity for cash - and - carry arbitrage was not obvious. The capital side was generally loose, the market oscillated, and the futures basis generally oscillated within a narrow range. The IRR of the CTD bonds of the main contracts of each variety was between 1.3% - 1.4%, and the current certificate of deposit rate was between 1.6% - 1.7%, so the opportunity for cash - and - carry arbitrage was relatively limited. The basis and IRR of TL fluctuated greatly, but trading opportunities were difficult to grasp. The short - hedging strategy should be held for now [43]. 3.3.3 Inter - Delivery and Inter - Variety Spreads - As of September 26, the inter - delivery spreads of the 2512 - 2603 contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were + 0.086, + 0.120, + 0.345, and + 0.340 yuan respectively, a change of + 0.006, - 0.020, - 0.020, and 0.000 yuan compared to last weekend [46]. 3.4 Weekly Observation of the Capital Side - This week (excluding the 28th), the central bank conducted 2.4674 trillion yuan of reverse repurchase operations and 600 billion yuan of MLF operations. With 1.8268 trillion yuan of reverse repurchase maturities and 300 billion yuan of 1 - year MLF maturities, the net investment was 940.6 billion yuan. As of September 26, R007, DR007, SHIBOR overnight, and SHIBOR 1 - week were 1.55%, 1.53%, 1.32%, and 1.50% respectively, a change of + 2.76, + 4.25, - 14.00, and + 1.30 basis points compared to last weekend. The average daily trading volume of inter - bank pledged repurchase this week was 7.27 trillion yuan, 0.10 trillion yuan more than last week, and the overnight proportion was 75.72%, slightly lower than last week [51][53][56]. 3.5 Weekly Overseas Observation - The US dollar index strengthened slightly, and the yield of 10Y US Treasury bonds increased. As of September 26, the US dollar index rose 0.55% to 98.1926 compared to last weekend. The yield of 10Y US Treasury bonds was 4.20%, an increase of 6 basis points compared to last weekend. The spread between Chinese and US 10Y Treasury bonds was inverted by 232.1 basis points. The US manufacturing PMI index in September declined, and Powell said that the uncertainty of inflation trends remains high, and he also thought that the valuation of the US stock market is quite high [60]. 3.6 Weekly Observation of High - Frequency Inflation Data - Industrial product prices all declined this week. As of September 26, the Nanhua Industrial Product Index, the Metal Index, and the Energy and Chemical Index were 3628.85, 6387.58, and 1663.68 points respectively, a change of - 3.80, - 24.08, and - 0.99 points compared to last weekend. Agricultural product prices showed mixed trends. As of September 26, the prices of pork, 28 key vegetables, and 7 key fruits were 19.42, 5.08, and 6.96 yuan/kg respectively, a change of - 0.06, + 0.10, and + 0.11 yuan/kg compared to last weekend [63]. 3.7 Investment Recommendations - Adopt an oscillating approach in the short - term [64].