国债期货周报：单边暂缺驱动，关注移仓节奏-20251117

Report Industry Investment Rating No relevant content provided. Core View of the Report - The bond market is expected to oscillate in the short term. The overall weakness of macro - financial and economic indicators in October, the downward trend of the overseas labor market, and the central bank's attitude of protecting liquidity are all favorable to the bond market. However, the low probability of monetary policy intensification due to weak financial data, the "buy the dip" behavior in the stock market, and the potential impact of the pending new regulations on public bond fund redemption fees make the short - term unilateral trend of the bond market still tangled [5]. - For arbitrage, with a neutral - bullish view and the 30Y - 7Y term spread at a relatively high historical level in the past three years, it is recommended to continue to hold an appropriate amount of (TL - 3T) positions. As the delivery month approaches and the valuation of the current - quarter contract becomes reasonable, short - sellers accelerating the roll - over may drive the spread to strengthen. It is advisable to try to go long on the current - quarter to next - quarter spread of the T contract when the opportunity arises [5]. Summary by Directory First Part: Weekly Core Points Analysis and Strategy Recommendation Macroeconomic Indicators - In October, major domestic macro - economic indicators generally declined on a high - base effect, with contractions in both production and demand [7]. - The continuous weakening of some domestic demand indicators recently implies that the multiplier effect of previous policies is not obvious, and the self - repair momentum of the domestic economy is not strong [10]. Credit Expansion - Credit expansion continued to slow down in October. New RMB loans were 220 billion yuan, a year - on - year decrease of about 280 billion yuan. Social financing scale was 815 billion yuan, a year - on - year decrease of 597 billion yuan. However, corporate direct financing performed well, with corporate bond financing and non - financial corporate stock financing increasing by 189.4 billion yuan compared to the same period last year [14][17]. M1 and Deposits - M2 growth rate in October was 8.2% year - on - year, a 0.2 - percentage - point decline from the previous month. M1 growth rate was 6.2% year - on - year, a 1.0 - percentage - point decline from the previous month, showing an initial inflection point. After the quarter, household and non - financial corporate deposits declined seasonally, while non - bank financial institution deposits increased significantly [25]. - In October, new fiscal deposits were 72 billion yuan, a year - on - year increase of 12.48 billion yuan. The slowdown in fiscal expenditure may be one of the reasons for the decline in M1 growth rate. In the future, the seasonal increase in government expenditure at the end of the year is expected to support the cash flow of enterprises and households [26]. Market Liquidity - This week, the market liquidity tightened as expected due to the large net payment scale of government bonds. Next week, the net financing of government bonds is still relatively high, and the tax payment period from the 17th to the 19th is expected to bring some short - term disturbances to the liquidity. However, considering the central bank's attitude of protecting liquidity, the actual pressure on market funds is expected to be controllable [37]. Central Bank's Monetary Policy Report - The central bank's third - quarter monetary policy implementation report continues the loose tone, being more positive than the second - quarter report. However, it continues to downplay the importance of aggregate financial indicators. There are also concerns about the marginal decline in the efficiency of monetary policy [42]. Treasury Bond Futures Valuation and Roll - over - The valuation of Treasury bond futures contracts is still differentiated. The IRR of the next - quarter contracts of TS, TF, T, and TL is generally higher than that of the current - quarter contracts and the market funds price [48]. - The roll - over progress of the main contracts this week accelerated but was still slower than the historical average. The slow roll - over may be the reason why the inter - delivery spread did not generally strengthen this week. It is recommended to try to go long on the current - quarter to next - quarter spread of the T contract when the opportunity arises [54]. Second Part: Relevant Data Tracking - This part tracks various data related to Treasury bond futures, including trading volume, open interest, inter - contract spreads, net positions, Treasury bond spot yields, and related international financial data such as the US 10 - year Treasury bond yield, Sino - US 10 - year Treasury bond spread, US dollar index, and US dollar - RMB offshore exchange rate [58][61][65].