债市做多情绪升温，重点观察央行态度

债市做多情绪升温，重点观察央行态度 本周（07.27-08.02）国债期货震荡偏强。周一，市场消息面平静，资金面边际略收敛，中短端品种震荡略偏弱。盘中TL一度冲高，不过尾盘再度回落。周二，资金面边际收敛，股市震荡走弱，科技股大幅调整，国债期货小幅下跌，曲线继续走平。周三，早盘资金略偏紧，午后边际转松；股市由弱转强，股债跷跷板行情再现，国债期货由强转弱，TL跌幅最大。周四，日间国债期货波动不大，政治局会议未有超预期政策表述，尾盘国债期货快速拉升。周五，7月官方制造业PMI不及预期，股市高开低走，国债期货全天偏强运行。截至7月31日收盘，两年、五年、十年和三十年期国债期货主力合约结算价分别为102.632、106.525、109.385和115.360元，分别较上周末变动+0.022、+0.085、+0.125和+0.640元。 ★债市做多情绪升温，重点观察央行态度 政治局会议对货币政策的表述实际上是中性的，资金再平衡带动债市走强。机构不会轻易放弃做多债市的尝试，不过债市能否突破性上涨，关键还是看央行能否放行，若宽货币预期难以持续升温，债市难以走出流畅的上涨行情。7月公开市场国债买卖额度、央行Q2货政报告则是观察货币政策态度的重要窗口。 策略方面：1）单边策略：市场利空不明显，机构不会轻易放弃做多尝试，整体建议顺势而为。2）曲线策略：做平曲线策略建议止盈。3）期现策略：10Y利率已经接近1.7%，若认为央行货币政策态度未变，市场存在监管风险，建议短线关注套保/正套类策略进行防御。 ★总结与展望 建议做平曲线策略止盈。 ★风险提示： 货币政策、监管部门态度转变。 目录 1、一周复盘及观点...................................................................................................................................................................41.1本周走势复盘：国债期货震荡偏强...................................................................................................................................41.2下周观点：债市做多情绪升温，重点观察央行态度......................................................................................................42、利率债周度观察...................................................................................................................................................................52.1一级市场..............................................................................................................................................................................52.2二级市场..............................................................................................................................................................................63、国债期货...............................................................................................................................................................................83.1价格及成交、持仓..............................................................................................................................................................83.2基差、IRR..........................................................................................................................................................................103.3跨期、跨品种价差............................................................................................................................................................114、资金面周度观察.................................................................................................................................................................125、海外周度观察.....................................................................................................................................................................136、通胀高频数据周度观察...................................................................................................................................................137、总结与展望.........................................................................................................................................................................148、风险提示.............................................................................................................................................................................14 图表目录 图表1：当周下周国内重点数据一览.............................................................................................................................................................4图表2：本周利率债净融资额为1198.27亿元..............................................................................................................................................5图表3：本周国债净融资额上升.....................................................................................................................................................................5图表4：本周地方债净融资额下降.................................................................................................................................................................6图表5：本周同业存单净融资额上升.............................................................................................................................................................6图表6：本周国债收益率多数下行.................................................................................................................................................................6图表7：关键期限国债估值变化.....................................................................................................................................................................6图表8：10Y-1Y利差收窄，10Y-5Y和30Y-10Y走阔..................................................................................................................................7图表9：隐含税率震荡回升.............................................................................................................................................................................7图表10：分机构净买卖时序：国债............................................................................................................................................