国债策略月报-20251201

Report Industry Investment Rating - Not provided in the content Core Viewpoints - In December, with loose funds but weak expectations of interest rate cuts, a marginally weakening but overall resilient economy, and inflation continuing to rise moderately, the bond market is expected to maintain a narrow - range oscillation within the year [6] Summary by Directory 1. Bond Market Performance: Favorable Factors Materialized, Bond Market Bearish - Market Yield and Contract Price: In early November, after the favorable policy of central bank's bond trading was implemented, with MLF and outright reverse repurchase continuing net injection, the capital was loose. However, the market's expectation of central bank's interest rate cut was low, resulting in a "buy - the - rumor, sell - the - news" situation in the bond market. The bond yields oscillated slightly upward, and the yield curve steepened. As of November 28, the yields of 2 - year, 5 - year, 10 - year, and 30 - year bonds were 1.42%, 1.62%, 1.84%, and 2.19% respectively, up 1.61BP, 5.21BP, 4.58BP, and 4.20BP from October 31. The closing prices of TS, TF, T, and TL main contracts were 102.378 yuan, 105.745 yuan, 107.94 yuan, and 114.49 yuan respectively, down 0.16%, 0.30%, 0.68%, and 1.88% from October 31 [4][9] - Trading Volume and Open Interest: On November 28, the trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year bonds were 30770, 58008, 66598, and 97157 respectively, with changes of - 3531, 349, - 12082, and - 22444 compared to October 31. The open interests were 67266, 144566, 234480, and 168934 respectively, with changes of - 16912, - 33502, - 50216, and - 13910 [14] - Net Basis Spread: The net basis spread showed a narrow - range oscillation [15] - Inter - delivery Spread: The inter - delivery spread of TS decreased slightly, and the long - end inter - delivery spread also declined slightly [17][20] 2. Policy Dynamics: Low Expectations of Interest Rate Cuts - Reverse Repurchase: In November, reverse repurchase was flexibly deployed, with a cumulative net injection of 48056 billion yuan, a maturity of 53618 billion yuan, and a net withdrawal of 5562 billion yuan. The reverse repurchase balance at the end of November was 15118 billion yuan. As of November 28, R001, R007, DR001, and DR007 were 1.43%, 1.52%, 1.30%, and 1.47% respectively, with changes of 1.83BP, 2.99BP, - 1.51BP, and 1.17BP from October 31 [24] - Outright Reverse Repurchase: In November, the central bank carried out 7000 billion yuan of 3 - month outright reverse repurchase and 8000 billion yuan of 6 - month outright reverse repurchase. After considering the maturity amount, the two - term outright reverse repurchase had a net additional operation of 5000 billion yuan, injecting medium - term liquidity into the market for the sixth consecutive month [28] - MLF: In November, the central bank carried out 10000 billion yuan of 1 - year MLF operations. With 9000 billion yuan of MLF maturing in the same month, there was a net injection of 1000 billion yuan, marking the ninth consecutive month of increased MLF operations [32] - Treasury Bond Trading: In October, the central bank resumed the suspended treasury bond trading operation since January 2025, with a net purchase of 200 billion yuan of treasury bonds [33][34] - LPR: In November, the 1 - year LPR was 3.0%, and the 5 - year - plus LPR was 3.5%, both remaining unchanged from the previous period, in line with market expectations [36] - PSL: In October, the PSL had a net withdrawal of 55 billion yuan, with a balance of 10093 billion yuan [36] - Liquidity: In November, the overall capital was loose. The 1 - year inter - bank certificate of deposit of joint - stock banks declined slightly, and the bill rate continued to be weak [39][40][43] 3. Bond Supply and Demand: Government Bonds Mostly Issued - Bond Issuance: In November, the total issuance of government bonds was 19571 billion yuan, with a maturity of 6786 billion yuan and a net issuance of 12785 billion yuan. As of November, the cumulative net issuance of treasury bonds was 62348 billion yuan, with an issuance progress of 93.62%; the cumulative net issuance of local bonds was 71231 billion yuan, with an issuance progress of 92.51% [6][49] - Special Bond Issuance: In November, 4922 billion yuan of new special bonds were issued. From January to November, the cumulative issuance was 44568 billion yuan, with an issuance progress of 96.9%, and the remaining quota for the year was 1432 billion yuan [6] - Bond Market Trends: The issuance multiple of local bonds in October remained low. Treasury bond yields rose slightly, US bond yields oscillated weakly, and credit bond spreads widened slightly [53][54][59][60] 4. Strategy Viewpoints: Low Expectations of Interest Rate Cuts, Bond Market Oscillation Continues - The bond market is expected to maintain a narrow - range oscillation within the year due to loose funds, weak interest - rate - cut expectations, a marginally weakening but resilient economy, and moderately rising inflation [6]