国债期货12月报：关注“两会”政策信息-20260227

Report Summary 1. Report Industry Investment Rating No information provided regarding the industry investment rating. 2. Core Viewpoints - In the short - term, due to the approaching "Two Sessions" and the lack of clear fiscal strength and direction, the long - end sentiment of the bond market is expected to be cautious. Without strong positive factors, the bond market may fluctuate, and institutional behavior at the end of the month may amplify market volatility. - In the medium - term, the report maintains an optimistic view on the bond market, considering that the fiscal policy may not exceed market expectations, the probability of monetary policy tightening due to structural price repair is low, and external uncertainties remain. - The current yield curve has a relatively flat short - to - medium - term slope and a steeper long - term slope. Future curve trading may rely on event - driven factors such as interest rate cuts or unexpected real - estate policies [3][87]. 3. Summary by Directory Market Logic - Fundamentals and "Two Sessions": The macro - economic data for January and February will be released in March. High - frequency data shows that during the Spring Festival, tourism consumption increased but per - capita spending decreased, the movie "Spring Festival season" was cold, real - estate sales were divided (new home sales declined while some core city second - hand home sales improved), and external demand is expected to support the total demand. After the "Two Sessions", large - scale economic stimulus is less likely, and the deficit rate is expected to be around 4.0% (narrow) and 8.5% (broad). External uncertainties still exist [7][8][14][16]. - Price Indicators: In January, CPI and core CPI showed a mixed trend. CPI and core CPI year - on - year growth rates decreased, but core CPI month - on - month growth continued to recover. Among the eight major categories of prices, other supplies and services and household items and services had relatively large price increases. PPI also showed an upward trend, mainly driven by upstream raw material prices, but different industries had significant differences. In the future, price indicators are expected to continue to recover moderately, but the impact on the bond market may be limited [17][21][26]. - Monetary Supply and Credit Demand: In January, the money supply was better than expected, with M1 and M2 year - on - year growth rates increasing. New social financing also increased year - on - year. However, there were differences between different sectors. The household sector's demand for loans was weak, and the corporate sector's credit expansion slowed down. Overall, the money supply was stronger than the financing demand, which is favorable for the bond market, but the probability of monetary policy intensification is not high [36][41]. - Market Liquidity: In February, the market liquidity was balanced and loose. The central bank maintained a supportive stance, with a large net investment in long - term funds. The stable liquidity is beneficial to the bond market, but without an increase in the expectation of policy rate cuts, the downward space for market capital prices is limited. The central bank's future regular treasury bond trading operations may affect the market's demand for long - term bonds [44][51][60]. - Contract Transfer: The transfer of the main futures contracts was slow. The low IRR of the current - quarter contracts in mid - to - early February and the expected seasonal increase in capital prices during the Spring Festival may be the reasons. As the delivery month approached, the concentrated transfer of long - positions around the Spring Festival led to a rapid decline in the inter - period spread, which then recovered [61]. Investment Strategy - Unilateral Trading: During the post - holiday bond market adjustment, investors can consider buying T - contract long positions at low prices. - Arbitrage: It is recommended to wait and see for now, waiting for new event - driven factors [5][87].