南华国债期货周度报告：降波蓄势-20251115

Report Industry Investment Rating - Maintain a positive outlook on the bond market for the rest of the year [2] Core Viewpoints - The bond market has no reason to turn bearish in the short term, despite a potentially weak sentiment among long - position holders in the second half of the week [2][22] - More realistic expectations are increased liquidity injection and more proactive policy guidance rather than double cuts within the year [2][23] - For allocation portfolios, it is advisable to ignore short - term fluctuations and hold positions for observation [2][23] - Keep an eye on the 30 - 10 curve strategy opportunities for arbitrage [2] Summary by Relevant Catalogs Weekly Focus Domestic Macroeconomics - October's financial credit and economic data were released [3] Monetary Policy - The central bank announced an 800 - billion - yuan 6 - month outright reverse repurchase this month, with 300 billion yuan maturing, resulting in a net injection of 500 billion yuan [3] Overseas Macroeconomics - Overseas concerns about the US stock AI bubble continued, and US tech stocks adjusted significantly [4] - There were increasing policy differences among Federal Reserve voting members [4] - The US federal government ended the shutdown, but the September unemployment data might not be released [4] Geopolitical Disturbances - Remarks by the new Japanese prime minister led to frictions in Sino - Japanese relations [5] Market Data Futures Data - 10 - year Treasury bond futures (T2512.CFE): Friday settlement price of 108.390, weekly decline of 0.08%; T2603.CFE: 108.165, - 0.06% [12] - 5 - year Treasury bond futures (TF2512.CFE): 105.850, - 0.07%; TF2603.CFE: 105.845, - 0.03% [12] - 2 - year Treasury bond futures (TS2512.CFE): 102.446, - 0.03%; TS2603.CFE: 102.392, - 0.04% [12] - 30 - year Treasury bond futures (TL2512.CFE): 116.070, 0.03%; TL2603.CFE: 115.850, 0.05% [12] Spread Data - Inter - delivery spread: T2512 - T2603: 0.225, - 0.043; TF2512 - TF2603: 0.005, - 0.800; TS2512 - TS2603: 0.054, 0.080 [12] - Inter - variety spread: 2TS - T: 301.394, - 0.019; 2TF - T: 103.310, - 0.055; TS - TF: 99.042, 0.018 [12] Spot Bond Yield - 1Y Treasury bond: 1.41%, 0.79 BP increase; 2Y: 1.43%, - 0.57 BP; 3Y: 1.44%, - 0.49 BP; 5Y: 1.58%, - 0.58 BP; 7Y: 1.71%, unchanged; 10Y: 1.81%, - 0.09 BP; 30Y: 2.15%, - 1.10 BP [12] - 1Y China Development Bond: 1.61%, 0.05 BP increase; 3Y: 1.73%, - 1.56 BP; 5Y: 1.77%, - 2.45 BP; 7Y: 1.90%, - 1.97 BP; 10Y: 1.94%, - 0.83 BP; 30Y: 2.30%, - 2.05 BP [12] Funding Rates - Inter - bank pledged repurchase rates: DROO1: 1.37%, 4.08 BP increase; DR007: 1.47%, 5.43 BP; DR014: 1.52%, 4.51 BP [12] - SHIBOR rates: SHIBOR1M: 1.52%, - 0.80 BP; SHIBOR3M: 1.58%, - 0.40 BP [12] Market Thinking - This week, the bond market fluctuated downward with gradually narrowing volatility. Both the futures and spot markets saw reduced volatility in the second half of the week, with the intraday amplitude of spot bond yields narrowing to within 1bp and trading volume declining [20] - The bond market ignored the bearish inflation data and showed strength on Monday. However, futures bonds did not break through upward. On Thursday, as the Shanghai Composite Index hit a new high, the price of the 10 - year Treasury bond futures main contract reached the lower limit after the central bank restarted Treasury bond trading [20]