国债期货日报：M1M2剪刀差收窄，国债期货涨跌分化-20251017

Report Industry Investment Rating No relevant content provided. Core View of the Report The bond market is influenced by the rebound in the stock market due to tariff black swan events, the continuous expectation of a Fed rate cut, and rising global trade uncertainties. It is oscillating between stable growth and easing expectations, and short - term attention should be paid to policy signals at the end of the month [3]. Summary According to the Table of Contents I. Interest Rate Pricing Tracking Indicators - China's CPI (monthly) has a 0.10% month - on - month increase and a - 0.30% year - on - year decrease; PPI (monthly) has a 0.00% month - on - month change and a - 2.30% year - on - year decrease [9]. - Social financing scale is 437.08 trillion yuan, with a month - on - month increase of 3.42 trillion yuan (+0.79%); M2 year - on - year is 8.40%, down 0.40% (-4.55%); Manufacturing PMI is 49.80%, up 0.40% (+0.81%) [9]. - The US dollar index is 98.35, down 0.33 (-0.33%); USD/CNH (offshore) is 7.1302, up 0.003 (+0.04%); SHIBOR 7 - day is 1.42, up 0.01 (+0.35%); DR007 is 1.42, up 0.01 (+0.39%); R007 is 1.53, up 0.02 (+1.49%); Inter - bank certificates of deposit (AAA) 3M is 1.58, down 0.01 (-0.67%); AA - AAA credit spread (1Y) is 0.09, up 0.00 (-0.67%) [9]. II. Overview of the Treasury Bond and Treasury Bond Futures Market - Relevant figures include the closing price trend of the main continuous contracts of treasury bond futures, the price change rate of each treasury bond futures variety, the precipitation fund trend of each treasury bond futures variety, the position ratio of each treasury bond futures variety, the net position ratio of the top 20 in each treasury bond futures variety, the long - short position ratio of the top 20 in each treasury bond futures variety, the spread between China Development Bank bonds and treasury bonds, and the issuance of treasury bonds [11][12][14]. III. Overview of the Money Market Funding Situation - Relevant figures include the Shibor interest rate trend, the maturity yield trend of inter - bank certificates of deposit (AAA), the transaction statistics of inter - bank pledged repurchase, and the issuance of local government bonds [22]. IV. Spread Overview - Relevant figures include the inter - term spread trend of each treasury bond futures variety, the term spread of spot bonds and the cross - variety spread of futures (4TS - T), (2TS - TF), (2TF - T), (3T - TL), (2TS - 3TF + T) [22][23][24]. V. Two - Year Treasury Bond Futures - Relevant figures include the implied interest rate of the main contract of two - year treasury bond futures and the maturity yield of treasury bonds, the IRR of the TS main contract and the funding rate, the three - year basis trend of the TS main contract, and the three - year net basis trend of the TS main contract [26][29][36]. VI. Five - Year Treasury Bond Futures - Relevant figures include the implied interest rate of the main contract of five - year treasury bond futures and the maturity yield of treasury bonds, the IRR of the TF main contract and the funding rate, the three - year basis trend of the TF main contract, and the three - year net basis trend of the TF main contract [38][43]. VII. Ten - Year Treasury Bond Futures - Relevant figures include the implied yield of the main contract of ten - year treasury bond futures and the maturity yield of treasury bonds, the IRR of the T main contract and the funding rate, the three - year basis trend of the T main contract, and the three - year net basis trend of the T main contract [45][47]. VIII. Thirty - Year Treasury Bond Futures - Relevant figures include the implied yield of the main contract of thirty - year treasury bond futures and the maturity yield of treasury bonds, the IRR of the TL main contract and the funding rate, the three - year basis trend of the TL main contract, and the three - year net basis trend of the TL main contract [52][54][58]. Strategy - Unilateral: The repurchase rate has declined, the price of treasury bond futures is oscillating, and the 2512 contract is neutral [4]. - Arbitrage: Pay attention to the decline of the 2512 basis [4]. - Hedging: There is an adjustment pressure in the medium term, and short - sellers can use far - month contracts for appropriate hedging [4].