国债期货周报：贸易冲突再起，债市震荡修复-20251017

Report Summary 1. Report Industry Investment Rating No information provided in the report. 2. Core Viewpoints of the Report - Amid renewed tariff conflicts, market sentiment is significantly affected by trade risks in the short term. The current fundamentals are constrained by insufficient effective demand. With external demand impacted by tariffs, the recovery of domestic demand is crucial for consolidating economic recovery. It is expected that monetary and fiscal policies will further coordinate their efforts. Recently, market risk appetite has declined due to risk aversion, and the bond market has shown an oscillatory recovery trend under the stock - bond "seesaw" effect, alleviating the previous fragile sentiment. Strategically, a band - operation approach is recommended, while closely monitoring Sino - US trade progress and policy trends such as new regulations for bond funds [97]. 3. Summary by Directory 3.1 Market Review - Performance of Treasury Bond Futures Contracts: This week, all treasury bond futures contracts strengthened. The 30 - year, 10 - year, 5 - year, and 2 - year main contracts (TL2512, T2512, TF2512, TS2512) rose by 1.67%, 0.29%, 0.12%, and 0.02% respectively. The trading volumes of TS and TF main contracts decreased, while those of T and TL main contracts increased. The open interests of TF, T, and TL main contracts increased, while that of the TS main contract decreased [12][15][21][29]. - Yield of Treasury Bond Spot: This week, the yields of short - term treasury bond spots were weak, while those of medium - and long - term ones were strong. The changes in the yields to maturity from 1 - 7Y were around - 0.2 - 1bp. The yields to maturity of 10Y and 30Y decreased by about 0.2 and 2.3bp to 1.74% and 2.07% respectively [8]. 3.2 News Review and Analysis - Domestic News: In September, China's exports (in US dollars) increased by 8.3% year - on - year, imports increased by 7.4% year - on - year, and the trade surplus was 904.5 billion US dollars. The central bank planned to conduct a 6000 - billion - yuan 6 - month - term repurchase operation, resulting in a net injection of 4000 billion yuan for the month. In September, China's CPI rose 0.1% month - on - month and decreased 0.3% year - on - year, with the core CPI rising 1% year - on - year. The PPI remained flat month - on - month and decreased 2.3% year - on - year. At the end of September, M2 increased by 8.4% year - on - year, and M1 increased by 7.2% year - on - year [32]. - Overseas News: Fed Chairman Jerome Powell hinted that the central bank might end balance - sheet reduction in the next few months. The expected deterioration of the labor market supported investors' expectations of another interest - rate cut this month. The US Treasury Secretary said that if China stopped its strict rare - earth export control plan, the US might extend the three - month exemption from additional tariffs on China. There were differences among Fed officials regarding the pace of interest - rate cuts [33]. 3.3 Chart Analysis - Spread Changes: This week, the spread between 10 - year and 5 - year bonds widened, while the spread between 10 - year and 1 - year bonds narrowed. The spreads between the 2 - year and 5 - year main contracts, and between the 5 - year and 10 - year main contracts widened. The spread between the current and next quarters of the 10 - year contract oscillated, and that of the 30 - year contract narrowed. The spread between the current and next quarters of the 5 - year contract narrowed, and that of the 2 - year contract widened [41][47][51][58]. - Changes in Main Positions of Treasury Bond Futures: The net short positions of the top 20 holders of the T main contract increased significantly [64]. - Interest Rate Changes: The 2 - week Shibor rate decreased, while the overnight, 1 - week, and 1 - month Shibor rates increased. The weighted average DR007 rate fell to around 1.41%. The spreads between Chinese and US 10 - year and 30 - year treasury bond yields both narrowed slightly [68][72]. - Open - Market Operations: This week, the central bank conducted 7894 billion yuan in reverse repurchases and had 11710 billion yuan in reverse - repurchase maturities, resulting in a net withdrawal of 3819 billion yuan. The weighted average DR007 rate fell to around 1.41% [77]. - Bond Issuance and Maturity: This week, the total bond issuance was 13,313.04 billion yuan, and the total repayment was 9909.84 billion yuan, with a net financing of 3404.23 billion yuan [79]. - Market Sentiment: The central parity rate of the US dollar against the RMB was 7.0949, with a cumulative increase of 99 basis points this week. The spread between the offshore and onshore RMB narrowed. The yield of the 10 - year US treasury bond oscillated downward, and the VIX index rose significantly. The yield of the 10 - year treasury bond in China decreased, and the A - share risk premium decreased slightly [85][88][93]. 3.4 Market Outlook and Strategy - Domestic Fundamentals: In September, inflation continued to recover, with the core CPI rising to 1% year - on - year driven by gold prices, and the year - on - year decline of PPI continuing to narrow. Social financing grew steadily in September, but the support of government bonds for social financing weakened. Credit growth was lower than expected, and enterprises' long - term investment willingness remained weak. Some residents' deposits flowing back promoted a significant rebound in the M1 growth rate. In September, the year - on - year growth rate of imports rebounded unexpectedly, and exports to major economies such as ASEAN and the EU continued to grow [96]. - Overseas Situation: The US announced plans to impose an additional 100% tariff on China, but then released multiple signals of easing. The US government remained shut down, and many key economic data were postponed. The market's expectation of the Fed's continued interest - rate cut in October remained firm [96].