国债期货周报：利空消息扰动，债市波幅加剧-20251128

1. Report Industry Investment Rating No relevant information provided. 2. Core Viewpoints of the Report - In October, economic growth continued the slowdown trend from the third quarter, with some economic indicators significantly affected by the external environment. The 500 billion new policy - based financial instruments had been fully disbursed by the end of October, which may effectively boost investment in the fourth quarter. It is expected that the annual economic growth target of 5% can be achieved. - Overseas, the release of the US October CPI and some employment data was hindered due to data collection issues during the shutdown. The number of initial jobless claims last week hit a 7 - month low. The Fed's economic beige book showed that recent US economic activity was stable, but there were downward risks in the labor market. Since November, the US interest - rate cut rhythm has been inconsistent, and the dovish tone within the Fed has become more prominent, increasing the expectation of an interest - rate cut in December. - The economic indicators in October declined across the board, and the fundamentals were slightly under pressure. It is expected that the economy will continue the weak recovery trend in the fourth quarter, which will support the bond market. The central bank maintains a moderately loose policy tone, but the space for further monetary easing this year is limited. During the policy vacuum period, the bond market sentiment is generally weak and sensitive to news, and it may continue to fluctuate within a range in the short term, waiting for directional guidance from uncertain factors such as the central bank's Treasury bond trading scale in November and the new fund redemption rules [99][100]. 3. Summary According to the Table of Contents 3.1 Market Review - Weekly Data: The 30 - year, 10 - year, 5 - year, and 2 - year Treasury bond futures' active contracts (TL2512, T2512, TF2512, TS2512) fell by 0.93%, 0.45%, 0.10%, and 0.08% respectively. The trading volumes were 520,100, 442,800, 320,200, and 164,100 respectively [12]. - Treasury Bond Futures Market Review: The closing prices of the 30 - year, 10 - year, 5 - year, and 2 - year Treasury bond futures' main contracts all declined. The trading volume of the TS main contract decreased slightly, while those of the TF, T, and TL main contracts increased. The open interest of all main contracts (TS, TF, T, TL) increased [15][21][29]. 3.2 News Review and Analysis - Key News: On November 24, the National Development and Reform Commission planned to formulate standards for identifying costs in disorderly price competition. On November 25, the central bank conducted 1 trillion yuan of MLF operations, with a net investment of 100 billion yuan. On November 27, it was reported that from January to October, the total profit of national large - scale industrial enterprises increased by 1.9% year - on - year, but in October, it decreased by 5.5% year - on - year. On November 28, many regions in China were researching and planning policies to support the sale of completed properties. In addition, there were news about the progress of the Russia - Ukraine peace plan and the US jobless claims data [32][33]. 3.3 Chart Analysis - Spread Changes: This week, the spread between the 10 - year and 5 - year Treasury bond yields narrowed, while the spread between the 10 - year and 1 - year yields widened. The spreads between the 2 - year and 5 - year, and 5 - year and 10 - year main contracts both narrowed. The spread between the current and next quarters of the 10 - year contract widened, while that of the 30 - year contract narrowed. The spreads between the current and next quarters of the 5 - year and 2 - year contracts widened [42][48][52]. - Treasury Bond Futures Main Position Changes: The net short positions of the top 20 positions in the T Treasury bond futures main contract decreased [65]. - Interest Rate Changes: The overnight Shibor rate decreased, while the 1 - week, 2 - week, and 1 - month Shibor rates increased. The DR007 weighted average rate fell to around 1.46%. The yields of short - term Treasury bonds were strong, while those of medium - and long - term bonds were weak. The 1 - 3 - year yields decreased by 0.5 - 1.5 bp, the 5 - 7 - year yields increased by about 3 bp, and the 10 - year and 30 - year yields increased by about 1.9 and 2.7 bp respectively, reaching 1.83% and 2.18%. The spreads between the 10 - year and 30 - year US and Chinese Treasury bond yields both narrowed slightly [69][76]. - Central Bank Open - Market Operations: This week, the central bank conducted 151.18 billion yuan of reverse repurchases, with 167.6 billion yuan due; it also conducted 200 billion yuan of MLF operations, with 90 billion yuan due, achieving a net investment of 13.58 billion yuan [79]. - Bond Issuance and Maturity: This week, the total bond issuance was 141.494 billion yuan, the total repayment was 119.1457 billion yuan, and the net financing was 22.3482 billion yuan [81]. - Market Sentiment: The central parity rate of the RMB against the US dollar was 7.0789, with a cumulative increase of 86 basis points this week. The spread between the offshore and onshore RMB widened. The 10 - year US Treasury bond yield decreased, and the VIX index dropped significantly. The 10 - year Treasury bond yield in China increased significantly, and the A - share risk premium decreased slightly [85][91][96]. 3.4 Market Outlook and Strategies - Domestic Fundamentals: In October, social retail sales, industrial added value, and fixed - asset investment showed a downward trend, and the growth rates of social financing and credit decreased year - on - year. The support of government bonds for social financing continued to weaken, and the actual loan demand of enterprises and residents remained weak. The growth rates of M1 and M2 declined, and the activation of deposits slowed down. The year - on - year export growth rate turned negative, falling by 1.1% compared with the same period last year. - Overseas Situation: The release of the US October CPI and some employment data was affected. The number of initial jobless claims last week was at a 7 - month low. The Fed's economic beige book showed stable economic activity but downward risks in the labor market. The expectation of an interest - rate cut in December increased. - Market Outlook: The economic indicators in October declined, and the fundamentals were under pressure. It is expected that the economy will continue the weak recovery trend in the fourth quarter, supporting the bond market. The central bank maintains a moderately loose policy, but the space for further monetary easing is limited. In the short term, the bond market may continue to fluctuate within a range, waiting for directional guidance from uncertain factors [99][100].