国债期货周报：央行买债落地，期债震荡调整-20251107

Group 1: Report Industry Investment Rating - No relevant content provided Group 2: Core Viewpoints of the Report - The central bank's bond - buying operation in October released a loose signal, and the market generally expects the central bank to purchase mainly medium - and short - term bonds. In the short term, short - end interest rates are expected to continue to decline and may drive long - end interest rates down. However, the potential suppression of long - end interest rates due to the recovery of risk appetite should be vigilant. It is recommended to try long positions with light positions on dips [104]. Group 3: Summary by Directory 1. Market Review - Weekly Data: The 30 - year (TL2512), 10 - year (T2512), 5 - year (TF2512), and 2 - year (TS2512) Treasury bond futures had weekly declines of 0.63%, 0.22%, 0.15%, and 0.07% respectively. The trading volumes of TS, TF, T, and TL main contracts all decreased. The positions of TS, T, and TL main contracts decreased, while the position of the TF main contract increased [13][30]. - Treasury Bond Futures Market Review: The main contracts of 30 - year, 10 - year, 5 - year, and 2 - year Treasury bond futures all declined this week [16][22]. 2. News Review and Analysis - Key News: In November, there were multiple events. The Ministry of Finance established a Debt Management Department; the central bank conducted an equal - amount roll - over of 700 billion yuan of 3 - month repurchase operations; the Ministry of Finance issued 4 billion US dollars of sovereign bonds in Hong Kong; China announced measures to implement the consensus of the Sino - US economic and trade consultations; China's October export decreased by 1.1% year - on - year, and imports increased by 1%; the US employment situation was severe, leading to an increase in the expectation of interest rate cuts; the US federal government continued to shut down, causing concerns about the subsequent monetary policy [33][34][35]. 3. Chart Analysis - Spread Changes - Yield Spread: The spread between 10 - year and 5 - year yields, and between 10 - year and 1 - year yields narrowed. The spreads between 2 - year and 5 - year, 5 - year and 10 - year main contracts also narrowed. The spreads between near - and far - month contracts of 10 - year, 30 - year, and 5 - year Treasury bond futures narrowed, while the 2 - year contract's spread fluctuated [43][49][60]. - Main Contract Positions: The net short positions of the top 20 positions in the T main contract increased significantly [67]. - Interest Rate Changes: The 1 - week, 2 - week, and 1 - month Shibor rates decreased, the overnight Shibor rate increased, and the DR007 weighted average rate fell to around 1.41%. The yields of Treasury bond cash bonds weakened, with the 1 - 7Y maturity yields rising by 1.5 - 3.0bp, and the 10Y and 30Y yields rising by 1.8bp and 1.4bp to 1.81% and 2.16% respectively. The spreads between Chinese and US 10 - year and 30 - year Treasury bond yields narrowed slightly [71][77]. - Central Bank Operations: The central bank had a net withdrawal of 157.22 billion yuan in the open market this week, and the DR007 weighted average rate fell slightly to around 1.41% [81]. - Bond Issuance and Maturity: This week, the bond issuance was 109.7884 billion yuan, the total repayment was 68.5032 billion yuan, and the net financing was 41.2852 billion yuan [85]. - Market Sentiment: The central parity rate of the RMB against the US dollar increased by 44 basis points this week, and the spread between the offshore and onshore RMB widened. The 10 - year US Treasury bond yield fluctuated upward, the VIX index rose, and the A - share risk premium increased slightly [89][95][100]. 4. Market Outlook and Strategy - Market Outlook: Domestically, the economy shows a pattern of "strong production, weak demand" and "strong external demand, weak domestic demand". Overseas, the US service industry PMI rose to an eight - month high, but the manufacturing PMI was far below expectations. The employment market sent mixed signals, and the US federal government shutdown increased the uncertainty of the December interest rate - cut decision [103]. - Strategy: It is recommended to try long positions with light positions on dips, considering the expected decline in short - end interest rates and the potential impact on long - end rates, while being vigilant about the recovery of risk appetite [104].