国债期货周报：债市情绪修复，但不利因素尚存-20260122

Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - Recent regulatory cooling of the equity and some commodity markets, along with the unchanged loose monetary policy and the central bank's clear indication of room for increasing aggregate policies this year, have led to a further repair of bond market sentiment. However, the probability of a short - term policy rate cut is low, and the capital side will face more disturbances next week. The long - end is constrained by supply concerns and fundamental expectations, and the downward momentum of yields is insufficient. Therefore, it is recommended that investors wait and see on the single - side and be cautious about chasing up. In terms of arbitrage, the long - end slope has become steeper this week, but at the current term spread level, it is not advisable to over - participate. The spread between new and old 30Y bonds is relatively high, so investors may moderately pay attention to shorting the basis of 30Y active bonds [8]. Summary According to Relevant Catalogs First Part: Weekly Core Points Analysis and Strategy Recommendations - Comprehensive Analysis - Last December's foreign trade data showed strong resilience, and the overall financial data was also better than expected. In the financial data structure, the corporate sector performed particularly well, indicating that the corporate sector's expectations may have turned positive first. In contrast, due to weak income expectations and unstable housing prices, the credit expansion of the household sector continued to slow down, and the improvement of the deposit term - deposit trend was also limited [6]. - At the press conference on Thursday, incremental information was released. On the one hand, the structural interest rate cut was implemented, and the central bank lowered the interest rates of various structural monetary policy tools by 0.25 percentage points, increased the quotas of some structural monetary policy tools, and expanded the scope of support. On the other hand, central bank officials clearly stated that there is still room for "reserve requirement ratio cuts and interest rate cuts" this year. The loose tone of monetary policy remains unchanged, and there is still room for increasing aggregate policies, which is friendly to the bond market. However, the implementation of structural "broad credit" reduces the probability of increasing aggregate easing in the short term. The central bank also said it would "guide the overnight interest rate to run around the policy rate," which means the policy rate still restricts the downward movement of short - term bond yields [7]. - Strategy Recommendations - Single - side: Wait and see [9] - Arbitrage: Moderately pay attention to shorting the basis of 30Y active bonds [9] Second Part: Relevant Data Tracking - Enterprise Sector Social Financing Growth Continues to Recover - In December, the new RMB loans were 910 billion yuan, 80 billion yuan less than the same period last year; the loan balance increased by 6.4% year - on - year, unchanged from the previous month. Structurally, the household sector continued to "shrink its balance sheet," with loans decreasing by 91.6 billion yuan, 441.6 billion yuan less than the same period last year; enterprises and institutions had new loans of 1.07 trillion yuan, 580 billion yuan more than the same period last year. Among them, medium - and long - term loans related to investment increased by 330 billion yuan, 290 billion yuan more than the same period last year, ending five consecutive months of year - on - year decrease [10][13]. - In December, the social financing scale was 2.2075 trillion yuan, 646.2 billion yuan less than the same period last year; the stock of social financing increased by 8.3% year - on - year, a 0.2 - percentage - point decline from the previous month. Structurally, the government bond financing scale was only 683.3 billion yuan, a significant decrease of 1.0733 trillion yuan compared with the same period last year, which was the main reason for the year - on - year decrease in social financing. The combined financing of corporate bonds, non - financial enterprise stocks, and non - standard financing was 159.5 billion yuan, 246.9 billion yuan more than the same period last year [13]. - Divergence in M2 and M1 Growth Rates - In December, M2 increased by 0.5 percentage points year - on - year to 8.5%. In terms of the deposit structure, the seasonal increase in year - end fiscal expenditure led to a significant decrease in fiscal deposits and their conversion into household and corporate deposits, which was one of the important supports for M2. However, the unexpected increase in M2 growth is likely related to the increase in the settlement of foreign exchange by the private sector at the end of the year after the reversal of exchange - rate expectations [18]. - In contrast to the rise in M2 growth, M1 increased by 3.8% year - on - year in December, a 1.1 - percentage - point decline from the previous month. The relatively high base in the same period last year was one of the reasons for the decline in M1 growth. Considering the credit data structure, the decrease in the degree of currency activation may reflect that there are still blockages in the domestic currency circulation in the household sector [18]. - Foreign Trade Performance Exceeds Expectations - According to the customs statistics in US dollars, in December last year, China's goods exports increased by 6.6% year - on - year, a 0.7 - percentage - point increase from the previous month; imports increased by 5.7%, a 3.8 - percentage - point increase; the trade surplus rose to 114.14 billion US dollars. Foreign trade continued to show resilience and performed better than expected [25]. - Regulatory Authorities Guide the Cooling of the Equity Market - Compared with the relatively high price - earnings ratio, the risk premium shows that compared with the 10 - year Treasury bond yield, the current valuation of the Wind All - A Index is roughly at a neutral level since 2017 and is not overvalued. With the lack of profit elasticity at the numerator end, the low market risk - free rate at the denominator end is an important support for the equity market valuation [27]. - This week, the increase in the margin ratio for margin trading in the equity market and the "anti - monopoly" measures for some commodities last week are specific measures to cool down the risk - asset market at the policy level, which is relatively favorable for the bond market. However, from the perspectives of A - share trading volume, leveraged funds, and rolling price - earnings ratio, the expectations in the equity market are still positive and have not fundamentally changed [32]. - The Capital Side Tightens First and Then Eases - This week, the market capital price first rose and then fell. After the central bank's continuous large - scale net injection of short - term liquidity, the capital side became loose again starting from Thursday. As of the close on Friday, DR001 and DR007 were at 1.3199% and 1.4430% respectively. The overnight and 7 - day non - bank capital spreads were 5.35bp and 7.07bp respectively. In terms of long - term funds, the issuance rate of 1 - year inter - bank certificates of deposit of joint - stock banks was generally in the range of 1.63 - 1.65% this week [39]. - Next week, the market capital side will face dual disturbances. First, next Wednesday and Thursday are the peak periods for tax payments, and January is a large tax - paying month, so the potential capital gap is relatively large. Second, local bond issuance will reach a small peak again, and the announced data shows that the net financing scale for the week is about 217.219 billion yuan [39]. - Change in the Spread between New and Old Ultra - long - term Bonds - Recently, the spread between the CTD bond of the TL main contract and the active bond of the same term (including tax) has generally fluctuated between 6 - 8bp. It tended to decline in the first four trading days of this week but widened again to above 7bp on Friday. After excluding the impact of value - added tax, the current spread between new and old ultra - long - term bonds is relatively high, which may be related to the relatively large subsequent supply of ultra - long - term government bonds [44]. - Valuation of the Treasury Bond Futures Market - Calculated based on the ChinaBond valuation and futures settlement price, as of the close on Friday, the IRRs of the TS, TF, T, and TL main contracts were 1.4206%, 1.5414%, 1.3811%, and 1.9495% respectively. Static analysis shows that the IRR of the TL main contract is significantly high, which may be related to the divergence of its CTD bond's trend from the active bond of the same term on Friday. The valuations of other - term main contracts are relatively reasonable [50].