国债期货周报：债市底部震荡，多头动能偏弱-20251010

1. Report Industry Investment Rating - No relevant content provided 2. Core View of the Report - The current bond market has a mix of bullish and bearish factors. The economic data shows that the pattern of "strong supply and weak demand" may continue, and the foundation for the recovery of effective demand is not yet solid. The weak fundamentals provide some support for the current bond market. However, in an environment lacking incremental positive news, the market is sensitive to negative news, and the uncertainty of the new regulations for public bond funds continues to disrupt the market. It is expected that treasury bond futures will continue the pattern of weak oscillation in the short term. Strategically, a band - trading approach is recommended for unilateral operations, and attention should be paid to the reverse - arbitrage opportunities after significant adjustments in long - term bonds [103]. 3. Summary Based on the Directory 3.1 Weekly Key Points Summary Policy and Regulation - On October 9, the Ministry of Commerce announced export controls on certain overseas rare - earth items. Specific overseas exporters must obtain export licenses from the Ministry of Commerce before exporting to other countries and regions outside China. Export applications to overseas military users, importers, and end - users on the export control list and the watch list are generally not approved. - The National Development and Reform Commission and the State Administration for Market Regulation issued an announcement on governing price disorderly competition and maintaining a good market price order, proposing measures such as researching and evaluating industry average costs, strengthening price supervision, and standardizing tendering and bidding behaviors [9]. Fundamentals - Domestic: During the National Day and Mid - Autumn Festival holiday this year, the domestic consumer market showed good growth. Domestic tourism spending reached 809.006 billion yuan, an increase of 108.189 billion yuan compared to the 7 - day National Day holiday in 2024. The average daily sales revenue of consumption - related industries nationwide increased by 4.5% year - on - year. Among them, commodity consumption and service consumption increased by 3.9% and 7.6% respectively year - on - year, and digital products and automobile consumption grew rapidly. In September, the manufacturing PMI was 49.8%, up 0.4 percentage points month - on - month, and the manufacturing sentiment continued to improve; the non - manufacturing business activity index was 50.0%, down 0.3 percentage points, remaining at the critical point, indicating that the overall non - manufacturing business volume was stable [9]. - Overseas: On October 9 local time, a bill proposed by the US Republicans to end the government shutdown failed to get enough votes in the Senate. Affected by the government shutdown, important macro - data such as the US non - farm payrolls for September were postponed. The US ADP employment decreased by 32,000 in September, far lower than the expected increase of 50,000. A senior Hamas official announced a cease - fire agreement, stating that Hamas had received guarantees from mediators including the US that "the Gaza war is over" [10]. Exchange Rate - The central parity rate of the RMB against the US dollar was 7.1048, with a cumulative increase of 7 basis points this week [10]. Capital - This week, the central bank conducted 102.1 billion yuan in reverse repurchases in the open market, with 266.33 billion yuan in reverse repurchases maturing, resulting in a net capital withdrawal of 164.23 billion yuan. The weighted average interest rate of DR007 fell back to around 1.42% [10]. Summary - The yields of treasury bond cash bonds varied this week. The yields of 1 - 7Y bonds changed by - 1.5 - 0.01bp, and the yields of 10Y and 30Y bonds changed by about - 0.8bp and 0.4bp respectively, reaching 1.78% and 2.13%. Treasury bond futures also showed mixed performance. The main contracts of TS and TL fell by 0.02% and 0.03% respectively, while the main contracts of TF and T rose by 0.00% and 0.09% respectively [10]. 3.2 Market Review Weekly Data - The main contract of 30 - year treasury bond futures (TL2512) fell by 0.03%, with a trading volume of 57.9847 million; the main contract of 10 - year treasury bond futures (T2512) rose by 0.09%, with a trading volume of 40.07 million; the main contract of 5 - year treasury bond futures (TF2512) had a 0.00% change, with a trading volume of 29.3581 million; the main contract of 2 - year treasury bond futures (TS2512) fell by 0.02%, with a trading volume of 14.9342 million. The prices of the top two CTD bonds also had different changes [12]. Treasury Bond Futures Market Review - The trading volumes and open interests of the main contracts of TS, TF, T, and TL all decreased [31]. 3.3 News Review and Analysis - On October 9, the latest data from the Ministry of Industry and Information Technology showed that from January to August this year, the added value of industrial small and medium - sized enterprises above the designated size in China increased by 7.6% year - on - year, 3.3 percentage points higher than that of large enterprises. In August, the export index of small and medium - sized enterprises was 51.9%, remaining in the expansion range for 17 consecutive months. - The Ministry of Culture and Tourism announced that during the 2025 National Day and Mid - Autumn Festival holiday, the national culture and tourism market was generally stable and orderly. The number of domestic tourist trips reached 888 million, an increase of 123 million compared to the 7 - day National Day holiday in 2024, and domestic tourism spending reached 809.006 billion yuan, an increase of 108.189 billion yuan. - The National Development and Reform Commission and the State Administration for Market Regulation issued an announcement on governing price disorderly competition and maintaining a good market price order. - The Ministry of Industry and Information Technology and other three departments adjusted the technical requirements for the exemption of new energy vehicle purchase tax from 2026 - 2027. - The Ministry of Commerce announced export controls on certain overseas rare - earth items and related technologies and included 14 foreign entities in the unreliable entity list. - A senior Hamas official announced a cease - fire agreement. - A bill proposed by the US Republicans to end the government shutdown failed to pass in the Senate, and US President Trump planned to cut some federal projects favored by Democrats [34][35][36]. 3.4 Chart Analysis Spread Changes - The spread between 10 - year and 5 - year treasury bond yields and the spread between 10 - year and 1 - year treasury bond yields oscillated. The spread between the main contracts of 2 - year and 5 - year treasury bond futures and the spread between the main contracts of 5 - year and 10 - year treasury bond futures slightly widened. The inter - term spreads of 10 - year and 30 - year treasury bond futures oscillated, the inter - term spread of 5 - year treasury bond futures narrowed, and the inter - term spread of 2 - year treasury bond futures oscillated [42][51][55]. Treasury Bond Futures Main Position Changes - The net long positions of the top 20 holders of the T - bond futures main contract increased [68]. Interest Rate Changes - The overnight, 2 - week, and 1 - month Shibor rates all declined, while the 1 - week Shibor rate increased. The weighted average interest rate of DR007 fell back to around 1.42%. The yields of treasury bond cash bonds varied. The yields of 1 - 7Y bonds changed by - 1.5 - 0.01bp, and the yields of 10Y and 30Y bonds changed by about - 0.8bp and 0.4bp respectively, reaching 1.78% and 2.13%. The spread between Chinese and US 10 - year treasury bond yields slightly widened, and the spread between Chinese and US 30 - year treasury bond yields slightly narrowed [72][76]. Central Bank Open Market Operations - This week, the central bank conducted 102.1 billion yuan in reverse repurchases in the open market, with 266.33 billion yuan in reverse repurchases maturing, resulting in a net capital withdrawal of 164.23 billion yuan. The weighted average interest rate of DR007 fell back to around 1.42% [81]. Bond Issuance and Maturity - This week, the bond issuance was 29.9541 billion yuan, the total repayment was 28.6595 billion yuan, and the net financing was 1.2946 billion yuan [85]. Market Sentiment - The central parity rate of the RMB against the US dollar was 7.1048, with a cumulative increase of 7 basis points this week. The spread between the offshore and onshore RMB strengthened. The yield of 10 - year US treasury bonds oscillated, and the VIX index increased. The yield of 10 - year treasury bonds in China decreased, and the A - share risk premium slightly decreased [88][94][100]. 3.5 Market Outlook and Strategy - Domestic Fundamentals: During the "National Day" holiday, consumption grew steadily, with the average daily sales revenue of the consumer market increasing by 4.5% year - on - year. In September, the manufacturing PMI rose to 49.8, and the manufacturing sentiment slightly improved; the non - manufacturing PMI fell back to the critical point, and the overall production and business activities remained in the expansion range. Affected by the low base, the profits of industrial enterprises above the designated size in August improved significantly, with a year - on - year increase of 21.5%, but the sustainability remains to be observed. Overall, the fundamentals are in a weak recovery rhythm, and although the manufacturing sentiment has improved marginally, it is still in the contraction range. - Overseas: The US government has been in a shutdown due to the repeated failure of the appropriation bill to pass, and many key economic data such as the non - farm payrolls for September have been postponed. The market lacks clear guidance in the short term. However, the US ADP employment unexpectedly decreased in September, far lower than the expected increase, and the employment market suddenly cooled down. The market has increased its bets on at least two interest rate cuts by the Federal Reserve before the end of 2025. - Market Outlook: The current bond market has a mix of bullish and bearish factors. It is expected that treasury bond futures will continue the pattern of weak oscillation in the short term. - Strategy: A band - trading approach is recommended for unilateral operations, and attention should be paid to the reverse - arbitrage opportunities after significant adjustments in long - term bonds [103].