机构行为趋稳，债市延续修复

Report Industry Investment Rating - The investment rating for treasury bonds is "oscillation" [1] Core Viewpoints - Institutional trading behavior is stabilizing, and the bond market continues to recover. The long - end bonds rose despite the strong performance of equities and commodities this week. The market's microstructure is expected to be stable next week, and the long - end varieties are expected to outperform the short - end [2][12]. - The manufacturing PMI in December is expected to be weak, and the impact of fundamentals on the bond market is still neutral to positive, but the trading intensity of the bond market on fundamentals should not be overestimated [2][13]. - The capital market is balanced, and the long - end performance is expected to be stronger than the short - end. The curve is expected to flatten [13][14]. Summary by Directory 1. One - Week Review and Views 1.1 This Week's Trend Review - From December 22 - 28, treasury bond futures moderately recovered. On Monday, the LPR rate was not cut, and the market's expectations were disappointed. On Tuesday, the bond market strengthened significantly but weakened slightly at the end of the session. On Wednesday, the bond market fluctuated narrowly. On Thursday, short - term bonds performed strongly in the morning but declined as the stock market rose. On Friday, the bond market fluctuated moderately higher. As of December 28, the settlement prices of the main contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were 102.546, 106.030, 108.280, and 112.850 yuan respectively, up 0.066, 0.105, 0.200, and 0.560 yuan from last weekend [1][11]. 1.2 Next Week's Views - Institutional behavior is stabilizing, and the bond market will continue to recover. The weakening of institutional trading behavior's fragility, the expected weak manufacturing PMI, and the stable capital market will drive the bond market to strengthen. The long - end varieties are expected to outperform the short - end [12][13]. 2. Weekly Observation of Interest - Rate Bonds 2.1 Primary Market - This week, 9 interest - rate bonds were issued, with a total issuance of 210.077 billion yuan and a net financing of 174.846 billion yuan, a change of - 166.050 billion yuan and + 153.932 billion yuan from last week respectively. 6 local government bonds were issued, with a total issuance of 2.037 billion yuan and a net financing of - 3.174 billion yuan, a change of - 38.000 billion yuan and - 31.248 billion yuan from last week respectively. 427 inter - bank certificates of deposit were issued, with a total issuance of 560.290 billion yuan and a net financing of - 321.910 billion yuan, a change of - 432.900 billion yuan and - 252.250 billion yuan from last week respectively [15]. 2.2 Secondary Market - Treasury bond yields showed a divergent trend. As of December 26, the yields of 2 - year, 5 - year, 10 - year, and 30 - year treasury bonds were 1.34%, 1.59%, 1.84%, and 2.22% respectively, a change of - 3.44, - 1.20, + 0.91, and - 0.10 bp from last weekend. The spreads of 10Y - 1Y and 10Y - 5Y widened, while the spread of 30Y - 10Y narrowed [20]. 3. Treasury Bond Futures 3.1 Price, Trading Volume, and Open Interest - Treasury bond futures moderately recovered. As of December 28, the settlement prices of the main contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were 102.546, 106.030, 108.280, and 112.850 yuan respectively, up 0.066, 0.105, 0.200, and 0.560 yuan from last weekend. The trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures this week were 33,286, 64,319, 79,154, and 121,251 lots respectively, a change of + 97, - 2,458, - 1,225, and - 20,549 lots from last week. The open interests were 81,462, 168,368, 253,519, and 168,309 lots respectively, a change of + 4,571, + 24,377, + 18,603, and + 2,963 lots from last week [31][34]. 3.2 Basis and IRR - The basis of TL fluctuated significantly this week, while the basis of other varieties fluctuated slightly. It is expected that the basis will converge slightly next week. It is recommended to pay attention to the positive arbitrage opportunities of contracts such as TF2603 [38]. 3.3 Inter - period and Inter - variety Spreads - As of December 26, the inter - period spreads of the 2603 - 2606 contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were - 0.044, + 0.025, - 0.020, and - 0.220 yuan respectively, a change of - 0.004, + 0.025, 0.000, and - 0.030 yuan from last weekend [42]. 4. Weekly Observation of the Capital Market - This week, the central bank conducted 422.7 billion yuan of reverse repurchase operations, with 457.5 billion yuan of reverse repurchases maturing, resulting in a net withdrawal of 34.8 billion yuan. There were also 300 billion yuan of MLF and 120 billion yuan of treasury cash fixed - term deposits maturing, and the central bank conducted 400 billion yuan of MLF operations and 210 billion yuan of treasury cash fixed - term deposit tenders. As of December 26, R007, DR007, SHIBOR overnight, and SHIBOR 1 - week were 1.53%, 1.52%, 1.26%, and 1.45% respectively, a change of + 1.16, + 8.24, - 1.53, and + 1.69 bp from last weekend. The average daily trading volume of inter - bank pledged repurchase was 8.49 trillion yuan, 3.714 billion yuan more than last week, and the overnight proportion was 88.28%, lower than last week [44][47][49]. 5. Weekly Overseas Observation - The US dollar index weakened slightly, and the yield of 10 - year US Treasury bonds declined slightly. As of December 26, the US dollar index fell 0.69% to 98.0341 from last weekend, the yield of 10 - year US Treasury bonds was 4.14%, down 2 bp from last weekend, and the spread between Chinese and US 10 - year Treasury bonds was inverted by 230.2 bp [55]. 6. Weekly Observation of High - Frequency Inflation Data - Industrial product prices rose across the board this week. As of December 26, the South China Industrial Product Index, Metal Index, and Energy and Chemical Index were 3,558.94, 6,870.35, and 1,541.90 points respectively, up 98.48, 198.29, and 44.69 points from last weekend. Agricultural product prices showed mixed trends. As of December 26, the prices of pork, 28 key vegetables, and 7 key fruits were 17.43, 5.80, and 7.95 yuan/kg respectively, a change of - 0.10, - 0.07, and + 0.27 yuan/kg from last weekend [57]. 7. Investment Suggestions - The bond market is expected to moderately recover. Unilateral strategy: The bond market is expected to continue its moderate recovery. Short - hedging strategy: Gradually exit short - hedging positions. Cash - and - carry strategy: Pay attention to the positive arbitrage strategy of TF2603. Curve strategy: The curve is expected to flatten, and investors are advised to participate in the flattening strategy with a light position [2][15][18]