国债期货周度报告：十五五规划出台，但增量政策有限-20251027

Report Summary 1. Report Industry Investment Rating No relevant information provided in the report. 2. Core Viewpoint of the Report The report suggests a trading strategy of shorting the 10 - year Treasury bond futures after a rebound. The bond market faces pressure but not severely. The market has fully priced in the pessimistic economic expectations, and although the economic data theoretically supports the bond market, the market focuses more on the "15th Five - Year Plan" and the expectation of fiscal increment implementation. It is expected that there will be no greater fiscal increment this year, but the launch of the "15th Five - Year Plan" boosts long - term confidence [5]. 3. Summary by Relevant Catalogs 3.1. Treasury Bond Futures and Deliverable Bond Market - The prices of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures changed by - 0.043%, - 0.151%, - 0.231%, and - 0.605% respectively [5][6]. - The currently active contract is the 2512 contract. The CTD bonds, corresponding net basis, and IRR for each maturity are as follows: 2 - year (250012.IB, net basis 0.018, IRR 1.29%); 5 - year (250003.IB, net basis - 0.019, IRR 1.54%); 10 - year (250018.IB, net basis - 0.03, IRR 1.61%); 30 - year (210014.IB, net basis - 0.066, IRR 1.77%) [5][6]. - The IRR quantiles of CTD bonds for each maturity are 4.7%, 25%, 41.4%, and 66.1% respectively (statistical period: the past 252 trading days) [5]. - The yields of 1 - year, 2 - year, 5 - year, and 10 - year Treasury bonds changed by +2.8bps, - 0.2bps, +2.7bps, and +2.4bps respectively this week [5][6]. - The central bank made a net injection of 7.81 billion yuan in the open market this week [5][8]. 3.2. Treasury Bond Spot Data and Funding Rates - The report presents multiple charts related to Treasury bond spot data and funding rates, including the ChinaBond Treasury bond yield to maturity, the ChinaBond yield term structure, and open - market operations [35][38][39]. 3.3. Fundamental Situation - Monthly Macro Data: The predicted CPI for October is 0.0%, indicating no significant improvement in inflation expectations and not driving the bond market down. The manufacturing PMI is 49.8%, remaining below the boom - bust line for several months, suggesting weak economic recovery momentum. The social financing data as of the end of September is 30.06 trillion yuan. The Fourth Plenary Session of the 20th CPC Central Committee emphasized key areas, and the market interprets it as limited "incremental policy" expectations [5]. - High - frequency Meso - level Data: High - frequency data shows that the recent sectoral prosperity is similar to that of previous years. Based on the comparison of meso - level data with the same period in the past five years, a scoring system is used to measure the prosperity change, with positive scores indicating improvement, negative scores indicating deterioration, and zero scores indicating little change [56][58][59].