Report Industry Investment Rating - Not provided in the document Core Viewpoints - The economic growth in October continued the slowdown trend in the third quarter, with some economic indicators significantly affected by the external environment. The 500 billion new policy - based financial instruments have been fully deployed by the end of October, which may effectively boost investment growth in the fourth quarter, and it is expected that the annual economic growth target of 5% can be achieved without worry [104]. - The overall fundamental data in October was weak, with indicators such as exports, social financing, and social retail showing varying degrees of decline. The inflation level rebounded slightly, but its sustainability remains to be observed. It is expected that the economy will continue a weak recovery trend in the fourth quarter, supporting the bond market. The central bank will maintain a moderately loose policy tone, and the space for further monetary easing this year is limited. In the short term, interest rates may fluctuate within a narrow range [105]. Summary by Directory 1. Market Review - Weekly Data: The 30 - year TL2512 contract fell 0.51%, the 10 - year T2512 contract rose 0.01%, the 5 - year TF2512 contract fell 0.02%, and the 2 - year TS2512 contract rose 0.01%. The trading volume of the TS, TF, T, and TL main contracts increased, while the open interest decreased [13][30]. - Treasury Bond Futures Market Review: The 30 - year main contract fell 0.51%, the 10 - year main contract rose 0.01%, the 5 - year main contract fell 0.02%, and the 2 - year main contract rose 0.01% [16][22]. 2. News Review and Analysis - Key News Review: From January to October this year, the national fiscal revenue was 18.65 trillion yuan, a year - on - year increase of 0.8%. In October, the national fiscal revenue was 2.26 trillion yuan, a year - on - year increase of 3.2%. From January to October, the national fiscal expenditure was 22.58 trillion yuan, a year - on - year increase of 2%. In October, the bank settlement and sales surplus was 177 billion US dollars, and the cross - border capital inflow increased. The new LPR remained stable for the sixth consecutive month, and there is still a possibility of a decline in the future. The yield of Japan's newly issued 10 - year treasury bonds reached a new high since June 2008. The Fed's decision - making on interest rate cuts in October was highly controversial. The number of non - farm payrolls in the US in September increased significantly, but the unemployment rate rose to a new high since October 2021 [33][34][35]. 3. Chart Analysis - Spread Changes - Treasury Yield Spread: The spread between the 10 - year and 5 - year treasury yields narrowed, and the spread between the 10 - year and 1 - year treasury yields widened [41]. - Main Contract Spread: The spread between the 2 - year and 5 - year main contracts narrowed, and the spread between the 5 - year and 10 - year main contracts widened [50]. - Treasury Bond Futures Near - Far Month Spread: The inter - period spreads of the 10 - year, 30 - year, 5 - year, and 2 - year contracts all narrowed [54][61]. - Treasury Bond Futures Main Position Changes: The net short positions of the top 20 positions in the T treasury bond futures main contract increased slightly [67]. - Interest Rate Changes - Shibor and Treasury Yields: Overnight and 1 - week interest rates decreased, while 2 - week and 1 - month Shibor rates increased. The weighted average DR007 rate fell to around 1.44%. The yields of treasury bonds fluctuated within a narrow range, with the 10 - year and 30 - year yields rising by about 0.6bp and 0.9bp to 1.81% and 2.16% respectively [71]. - China - US Treasury Yield Spread: The spreads between the 10 - year and 30 - year China - US treasury yields both narrowed slightly [78]. - Central Bank Open Market Operations: The central bank conducted 1.676 trillion yuan in reverse repurchases, with 1.122 trillion yuan in reverse repurchases maturing and 120 billion yuan in treasury cash deposits maturing, resulting in a net injection of 434 billion yuan. The weighted average DR007 rate fell to around 1.44% [81]. - Bond Issuance and Maturity: This week, the total bond issuance was 1.203854 trillion yuan, and the total repayment was 1.263495 trillion yuan, with a net financing of - 59.641 billion yuan [87]. - Market Sentiment - The central parity rate of the RMB against the US dollar was 7.0875, with a cumulative depreciation of 50 basis points this week. The spread between the offshore and onshore RMB widened [90]. - The yield of the 10 - year US treasury bond decreased, and the VIX index increased significantly [96]. - The yield of the 10 - year treasury bond in China increased, and the A - share risk premium increased slightly [101]. 4. Market Outlook and Strategy - Domestic: In October, economic indicators such as social retail, industrial added value, and fixed - asset investment showed a slowdown. Social financing and credit decreased slightly year - on - year, and the support of government bonds for social financing continued to weaken. The export growth rate turned negative. The 500 billion new policy - based financial instruments have been fully deployed, which may boost investment in the fourth quarter, and the annual economic growth target of 5% is expected to be achieved [104]. - Overseas: The US government shutdown ended, and a large amount of economic data will be released. The non - farm payrolls in September increased significantly, but the unemployment rate rose. The Fed's decision - making on interest rate cuts was controversial, and the expectation of an interest rate cut in December decreased significantly [104].
国债期货周报：基本面偏弱运行，债市窄幅震荡-20251121
Rui Da Qi Huo·2025-11-21 10:38