Report Industry Investment Rating - The trend rating for treasury bonds is "oscillation" [1] Core Viewpoints of the Report - Affected by the escalation of the Sino-US trade war, treasury bond futures will strengthen in the short term, and the curve is expected to flatten. However, policies such as the new fund fee regulations have not been implemented, and the stock-bond pattern has changed, so the bond market is unlikely to have a trend of strengthening [2][13] Summary According to the Directory 1. One-week Review and Views 1.1 This Week's Trend Review - From October 6th to 12th, treasury bond futures oscillated. On Thursday, due to the strong overseas risk appetite during the holiday, the bond market was weak in the morning, but it rose overall throughout the day. On Friday, the bond market sentiment was okay in the morning, but the issuance of the 50-year ultra-long special treasury bonds was poor at noon, causing treasury bond futures to decline. On Saturday, the trade war escalated again, and the spot bond yields of treasury bonds dropped significantly. As of October 10th, the settlement prices of the main contracts of 2-year, 5-year, 10-year, and 30-year treasury bond futures were 102.352, 105.655, 107.960, and 114.020 yuan respectively, with changes of -0.022, +0.000, +0.075, and +0.020 yuan compared to the previous weekend [1][11] 1.2 Next Week's Views - After the holiday, the bond market sentiment improved compared to late September, with 7 - 10Y varieties performing strongly. Affected by the escalation of the Sino-US trade war, treasury bond futures will strengthen in the short term, and the curve is expected to flatten. However, policies such as the new fund fee regulations have not been implemented, and the bond market is unlikely to have a trend of strengthening. The Sino-US trade conflict has heated up again, and treasury bonds will have a short-term favorable period. This round of the treasury bond's upward trend may not be "one-step", and there may still be some room for increase in the short term [2][13] 2. Weekly Observation of Interest Rate Bonds 2.1 Primary Market - This week, 14 interest rate bonds were issued, with a total issuance volume of 286.254 billion yuan and a net financing amount of 193.297 billion yuan, an increase of 213.981 billion yuan and 142.396 billion yuan respectively compared to last week. Two local government bonds were issued, with a total issuance volume of 10.254 billion yuan and a net financing amount of -24.565 billion yuan, a decrease of 62.019 billion yuan and 87.766 billion yuan respectively compared to last week. 158 interbank certificates of deposit were issued, with a total issuance volume of 230.880 billion yuan and a net financing amount of 95.930 billion yuan, an increase of 193.590 billion yuan and 227.480 billion yuan respectively compared to last week [20] 2.2 Secondary Market - The yields of treasury bonds showed a differentiated trend. As of October 10th, the yields of 2-year, 5-year, 10-year, and 30-year treasury bonds were 1.50%, 1.61%, 1.85%, and 2.28% respectively, with changes of +0.80, -0.14, -1.08, and +5.65 bp compared to the previous weekend. The spreads of 10Y - 1Y and 10Y - 5Y narrowed, while the spread of 30Y - 10Y widened. The yields of 1-year, 5-year, and 10-year policy bank bonds were 1.60%, 1.80%, and 2.04% respectively, with changes of -5.26, -2.26, and +0.89 bp compared to the previous weekend [25] 3. Treasury Bond Futures 3.1 Price, Transaction, and Position - Treasury bond futures oscillated. As of October 10th, the settlement prices of the main contracts of 2-year, 5-year, 10-year, and 30-year treasury bond futures were 102.352, 105.655, 107.960, and 114.020 yuan respectively, with changes of -0.022, +0.000, +0.075, and +0.020 yuan compared to the previous weekend. The trading volumes of 2-year, 5-year, 10-year, and 30-year treasury bond futures this week were 32,254, 55,914, 78,817, and 116,178 lots respectively, with changes of +1,706, -15,123, -18,511, and -30,040 lots compared to last week. The positions of 2-year, 5-year, 10-year, and 30-year treasury bond futures this week were 74,944, 147,637, 251,416, and 173,754 lots respectively, with changes of -5,116, -1,919, +2,992, and +2,975 lots compared to last week [33][36] 3.2 Basis and IRR - The short-selling hedging strategy is considered to be closed. The trade conflict has heated up, and the market risk preference is expected to weaken in the short term, and treasury bond futures will have a short-term favorable period. However, the market's negative factors have not been fully exhausted, and the new fund fee regulations are likely to be implemented this year, which will still disturb the bond market. There are no obvious positive arbitrage opportunities this week [40] 3.3 Inter-period and Inter-variety Spreads - As of October 10th, the inter-period price differences of the 2512 - 2603 contracts of 2-year, 5-year, 10-year, and 30-year treasury bond futures were +0.088, +0.100, +0.295, and +0.330 yuan respectively, with changes of -0.004, -0.030, -0.025, and -0.010 yuan compared to the previous weekend [44] 4. Weekly Observation of the Funding Situation - This week, the central bank conducted 113.70 billion yuan of 7-day reverse repurchase operations, and due to 266.33 billion yuan of reverse repurchase expiring, a net withdrawal of 152.63 billion yuan was achieved. As of October 10th, R007, DR007, SHIBOR overnight, and SHIBOR 1-week were 1.49%, 1.42%, 1.32%, and 1.45% respectively, with changes of -12.68, -1.47, -6.00, and +4.60 bp compared to the previous weekend. The average daily trading volume of interbank pledged repurchase this week was 7.53 trillion yuan, an increase of 3.26 trillion yuan compared to last week, and the overnight proportion was 61.77%, lower than the previous week's level [48][50][52] 5. Weekly Overseas Observation - The US dollar index strengthened, and the yield of 10Y US treasury bonds declined. As of October 10th, the US dollar index rose 1.13% to 98.8223 compared to the previous weekend; the yield of 10Y US treasury bonds was reported at 4.05%, a decrease of 8 bp compared to the previous weekend; the spread between Chinese and US 10Y treasury bonds was inverted by 219.9 bp. During the holiday, the US government shutdown led to an increase in market risk aversion, and the expectation of interest rate cuts increased. After the holiday, the Sino-US trade conflict escalated again [58] 6. Weekly Observation of High-Frequency Inflation Data - Industrial product prices showed a mixed trend. As of October 10th, the Nanhua Industrial Product Index, the metal index, and the energy and chemical index were 3,573.12, 6,449.77, and 1,604.70 points respectively, with changes of -0.72, +100.37, and -26.52 points compared to the previous weekend. Agricultural product prices also showed a mixed trend. As of October 10th, the prices of pork, 28 key vegetables, and 7 key fruits were 18.85, 4.88, and 7.06 yuan/kg respectively, with changes of -0.46, -0.13, and +0.12 yuan/kg compared to the previous weekend [61] 7. Investment Suggestions - The bond market is strengthening in the short term, and it is recommended to take a bullish approach [62]
债市阶段性走强，后续风险仍存
Dong Zheng Qi Huo·2025-10-12 07:44