国债期货周报：利空持续释放，债市仍待企稳-20260109

1. Report Industry Investment Rating - No information provided regarding the industry investment rating in the given report. 2. Core Viewpoints of the Report - The bond market is gradually digesting potential negative factors, and sentiment is easing. In Q1, the issuance scale of government bonds is expected to be roughly the same as in the same period of 2025, but the specific proportion of ultra - long bonds remains to be confirmed. The strong performance of the equity market at the beginning of the year has increased short - term profit - taking needs, and the market may enter a consolidation phase, which is expected to relieve liquidity pressure. However, the fundamental support may weaken, as the manufacturing PMI in December exceeded expectations and the economic data of that month may improve marginally, reducing the need for further loose monetary policies in the short term. With multiple factors at play, interest rates are expected to continue their weak and volatile trend in the short term [103]. 3. Summary by Directory 3.1. Market Review - Weekly Data: The 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures' main contracts (TS2603, TF2603, T2603, TL2603) fell by 0.12%, 0.18%, 0.09%, and 0.48% respectively. The trading volumes of the TS, TF, and TL main contracts increased, while that of the T main contract decreased. The open interests of the TF, T, and TS main contracts decreased, and that of the TL main contract increased [14][29]. 3.2. News Review and Analysis - Key News: On January 6, the People's Bank of China planned to use various monetary policy tools flexibly and efficiently in 2026, and strengthen financial market supervision. The same day, China banned the export of dual - use items to Japanese military users. On January 7, eight ministries including the Ministry of Industry and Information Technology issued the "Implementation Opinions on the Special Action of 'Artificial Intelligence + Manufacturing'". On January 8, the central bank conducted a 1.1 - trillion - yuan repurchase operation. The US initial jobless claims last week rose to 208,000, and the US President Trump expected to "manage" Venezuela for many years and increase the military budget [35][36]. 3.3. Chart Analysis - Spread Changes - Treasury Yield Spreads: The spreads between 10 - year and 5 - year yields, and 10 - year and 1 - year yields widened. The spreads between 2 - year and 5 - year, and 5 - year and 10 - year main contract yields narrowed. The spreads between the current and next quarters of the 10 - year and 30 - year Treasury bond futures contracts widened, while those of the 2 - year and 5 - year contracts narrowed [44][50][56]. - Treasury Bond Futures Main Position Changes: The net short positions of the top 20 holders in the T Treasury bond futures main contract decreased significantly [67]. - Interest Rate Changes - Shibor rates for overnight and 1 - week terms increased, while those for 2 - week and 1 - month terms decreased. The weighted - average DR007 rate fell to around 1.47%. Most Treasury bond spot yields increased, with the 10 - year and 30 - year yields rising by about 3.75bp and 5.45bp to 1.88% and 2.31% respectively [71]. - The spreads between Chinese and US 10 - year and 30 - year Treasury bond yields fluctuated [76]. - Central Bank's Open - Market Operations: The central bank conducted 102.2 billion yuan of reverse repurchases in the open market, with 1.3236 trillion yuan due. The 1.1 - trillion - yuan repurchase was rolled over, and the treasury cash fixed - term deposit of 6 billion yuan matured, resulting in a net withdrawal of 1.2449 trillion yuan. The weighted - average DR007 rate fell to around 1.47% [81]. - Bond Issuance and Maturity: This week, bonds worth 976.86 billion yuan were issued, with a total repayment of 412.35 billion yuan, resulting in a net financing of 564.51 billion yuan [86]. - Market Sentiment - The central parity rate of the RMB against the US dollar was 7.0128, up 160 basis points this week. The spread between the offshore and onshore RMB narrowed. - The yield of the 10 - year US Treasury bond fluctuated, and the VIX index increased. - The yield of the 10 - year Chinese Treasury bond increased slightly, and the A - share risk premium decreased [91][94][99]. 3.4. Market Outlook and Strategy - Domestic Fundamentals: In December, macro - policies continued to take effect, inflation moderately rebounded, the CPI year - on - year increase continued to expand, and the PPI decline narrowed to 1.9%. For the whole year, the CPI was flat compared with the previous year, and the PPI was still in the negative range. In December, the official manufacturing and non - manufacturing PMIs both improved and returned above the boom - bust line. The central bank will continue to implement a moderately loose monetary policy in 2026 [102]. - Overseas Situation: The US job market continued to cool down. The ADP employment in December increased to 41,000 but was still lower than expected. The number of job openings in November dropped to a 14 - month low. The US ISM manufacturing PMI in December unexpectedly fell to 47.9, the lowest since 2024, while the non - manufacturing PMI rebounded, indicating the resilience of the service industry. The US raid on Venezuela caused geopolitical shocks [102].