国债期货周报：部分止盈并关注风险资产走势-20260126

Group 1 - Report Title: Treasury Bond Futures Weekly: Partially Take Profits and Pay Attention to the Trend of Risk Assets [1] - Researcher: Shen Chen CFA [1] - Futures Practitioner Certificate Number: F3053225 [1] - Investment Consulting Certificate Number: Z0015885 [1] Group 2 - Report Industry Investment Rating: Not provided - Core View: The economic data released this week showed that the GDP deflator repaired faster, and the production side had sufficient resilience, but the improvement on the domestic demand side was limited, with investment and consumption both weaker than expected. The economic data was not necessarily negative for the bond market. After the central bank made it clear that there was still some room for overall easing this year and the yields at the medium - short end had fallen first, more allocation funds entered the market this week, driving the yields at the long end to start a compensatory decline. The current attitude of the central bank towards liquidity injection was warm, and the risks at the medium - short end were relatively controllable, but before the expectation of a policy rate cut significantly increased, the odds of going long at the medium - short end were still limited. The yield of 30Y treasury bonds had fallen by nearly 9bp from the previous high. Considering factors such as the improvement of the domestic "re - inflation" expectation and the concern about the supply of government bonds not being completely eliminated, the stage when the yield at the ultra - long end declined most smoothly might have passed. In the short term, the performance of the ultra - long end would largely depend on the trend of risk assets. [5] - Strategy Recommendation: - Unilateral: Partially take profits on the previous long positions of TL contracts at high prices [6] - Arbitrage: Moderately pay attention to the transaction of shorting the basis of the 30Y active bonds [6] Group 3: First Part - Weekly Core Points Analysis and Strategy Recommendation Economic Data - The Ministry of Finance Deputy Minister Liao Min stated that in 2026, a more proactive fiscal policy would continue to be implemented, and the specific details of subsequent fiscal policies to expand domestic demand were worth close attention [8] - The economic data for December last year and the fourth quarter showed differentiation. The fourth - quarter GDP deflator was - 0.65%, still in the negative range but up 0.44 percentage points from the third quarter. In December, supported by external demand, industrial production had sufficient resilience, and the industrial capacity utilization rate in the fourth quarter rose 0.3 percentage points to 74.9%. However, as a nominal indicator, the repair momentum on the domestic demand side was still weak. In December, the growth rate of domestic fixed - asset investment continued to decline, with the year - on - year growth rates of manufacturing and broad infrastructure investment at - 10.5% and - 16.0% respectively, down 6.1 and 4.1 percentage points from the previous month. The improvement in consumer goods retail was also limited, with the year - on - year growth rate of durable goods consumption by units above the designated size at - 4.3%, also continuing the negative growth trend [13][14] Central Bank's Liquidity Support - The central bank's attitude towards protecting liquidity was clear. On Friday, it over - renewed the due MLF by 70 billion yuan this month. Together with the outright reverse - repurchase operation, it had net injected 1 trillion yuan of medium - and long - term liquidity in a single month, and smooth cross - month of funds was still expected [16] Market Capital Situation - This week, the overall market capital situation was still balanced, and the disturbances caused by the tax period and the increased supply of local bonds were limited. As of Friday's close, DR001 and DR007 were at 1.3983% and 1.4935% respectively. The overnight and 7 - day non - bank capital spreads were 6.71bp and 4.25bp respectively. In terms of long - term funds, the issuance rate of 1Y inter - bank certificates of deposit by joint - stock banks fluctuated and declined this week, and as of Friday, it had fallen to around 1.61%. Next week, as it was the cross - month period and the issuance and payment of government bonds would further increase (more than 515 billion yuan), it was expected that the market capital situation would tighten [23] Futures Bond Valuation - Calculated according to the ChinaBond valuation and the futures settlement price, as of Friday's close, the IRRs of the TS, TF, T, and TL main contracts were 1.4223%, 1.5724%, 1.4680%, and 0.9765% respectively. Statically, the IRR of the TL main contract was relatively low, and the valuations of the main contracts for other tenors were relatively reasonable [29] Ultra - long Bond Spread - Last week, it was suggested that investors could use a moderate reverse thinking for potential negative factors such as the supply pressure of ultra - long bonds and not be overly pessimistic. After the bond market sentiment eased, as of Friday, the spread between the CTD bond of the TL main contract and the active bond of the same tenor (including tax) fell to 5.9bp, down 1.35bp from last Friday. However, affected by factors such as different trading times, the valuation of the TL contract had relatively large fluctuations compared with the spot bonds recently, and the basis had not significantly converged according to the ChinaBond valuation and the futures settlement price [33] Group 4: Second Part - Related Data Tracking Treasury Bond Futures Contract Spreads - It includes the spreads between TS, TF, T, and TL contracts [37] Trading Volume and Open Interest - It shows the trading volume and open - interest data of TS, TF, T, and TL contracts [40] Spot Bond Yields and Spreads - It involves the treasury bond spot yield curve (ChinaBond), treasury bond term spreads (ChinaBond), spreads between treasury bonds and local bonds (ChinaBond), and spreads between 10Y treasury bonds and China Development Bank bonds (ChinaBond) [43] US Treasury Bond Yields and Exchange Rates - It includes the 10 - year US treasury bond yield, the spread between Chinese and US 10 - year treasury bonds, the US dollar index, and the offshore US dollar - to - RMB exchange rate [46]