国债期货日报：双降预期提升，国债期货全线收涨-20251022

Report Industry Investment Rating No relevant content provided. Core Viewpoints - The bond market fluctuates between stable growth and easing expectations, and short - term attention should be paid to policy signals at the end of the month. Repo rates are rising, and Treasury futures prices are fluctuating, with a neutral outlook for the 2512 contract. Attention should be paid to the decline in the basis of the 2512 contract. There is medium - term adjustment pressure, and short - sellers can use far - month contracts for moderate hedging [4]. - Affected by the strong stock market, the rising risk appetite suppresses the bond market. Meanwhile, the continued expectation of Fed rate cuts and increasing global trade uncertainties add to the uncertainty of foreign capital inflows [3]. Summary by Directory 1. Interest Rate Pricing Tracking Indicators - Price indicators: China's monthly CPI has a 0.10% month - on - month increase and a - 0.30% year - on - year decrease; China's monthly PPI has a 0.00% month - on - month change and a - 2.30% year - on - year decrease [9]. - Monthly economic indicators: Social financing scale is 437.08 trillion yuan, with a 3.42 - trillion - yuan month - on - month increase and a 0.79% growth rate; M2 year - on - year is 8.40%, with a 0.40% decrease and a - 4.55% change rate; Manufacturing PMI is 49.80%, with a 0.40% increase and a 0.81% growth rate [9]. - Daily economic indicators: The US dollar index is 98.94, with a 0.35 increase and a 0.36% growth rate; The offshore US dollar - to - RMB exchange rate is 7.1191, with a 0.003 decrease and a - 0.04% change rate; SHIBOR 7 - day is 1.43, with a 0.01 increase and a 0.56% growth rate; DR007 is 1.44, with a 0.01 increase and a 0.70% growth rate; R007 is 1.53, with a 0.02 increase and a 1.49% growth rate; The 3 - month yield of AAA - rated inter - bank certificates of deposit is 1.60, with a 0.01 increase and a 0.31% growth rate; The 1 - year AA - AAA credit spread is 0.09, with a 0.00 increase and a 0.31% growth rate [9]. 2. Overview of Treasury Bonds and Treasury Bond Futures Market - On October 21, 2025, the closing prices of TS, TF, T, and TL were 102.37 yuan, 105.72 yuan, 108.15 yuan, and 115.59 yuan respectively, with daily changes of 0.04%, 0.05%, 0.05%, and 0.16% [2]. - The average net basis of TS, TF, T, and TL is - 0.018 yuan, - 0.005 yuan, - 0.034 yuan, and - 0.240 yuan respectively [2]. 3. Overview of the Money Market Funding Situation - Fiscal data shows "moderate revenue recovery and strong expenditure expansion." In the first three quarters, general public budget revenue increased slightly by 0.5% year - on - year, relying on the recovery of individual income tax, value - added tax, and stamp duty, but its sustainability remains to be seen. Expenditure continued to increase, with high growth rates in social security, education, and debt interest payments, providing stable support for aggregate demand. Government - managed fund budget revenue is still weak, and the decline in land sales has narrowed but the recovery is limited, while fund expenditure increased by 23.9% year - on - year, indicating that the fiscal side is hedging against economic downward pressure by accelerating the expenditure pace [2]. - On October 21, 2025, the central bank conducted 159.5 billion yuan of 7 - day reverse repurchase operations at a fixed interest rate of 1.4% through quantity tendering [2]. - The main - term repo rates of 1D, 7D, 14D, and 1M are 1.317%, 1.426%, 1.504%, and 1.557% respectively, and the repo rates have recently rebounded [2]. 4. Spread Overview - The report presents various spread data through multiple figures, including the inter - period spread trends of Treasury bond futures varieties, the term spread of spot bonds, and the cross - variety spread of futures [27][31][32]. 5. Two - Year Treasury Bond Futures - The report shows the implied interest rate of the two - year Treasury bond futures main contract and the Treasury bond yield to maturity, the IRR of the TS main contract and the funding rate, and the three - year basis and net basis trends of the TS main contract through figures [34][37][45]. 6. Five - Year Treasury Bond Futures - The report shows the implied interest rate of the five - year Treasury bond futures main contract and the Treasury bond yield to maturity, the IRR of the TF main contract and the funding rate, and the three - year basis and net basis trends of the TF main contract through figures [47][51]. 7. Ten - Year Treasury Bond Futures - The report shows the implied yield of the ten - year Treasury bond futures main contract and the Treasury bond yield to maturity, the IRR of the T main contract and the funding rate, and the three - year basis and net basis trends of the T main contract through figures [54][55]. 8. Thirty - Year Treasury Bond Futures - The report shows the implied yield of the thirty - year Treasury bond futures main contract and the Treasury bond yield to maturity, the IRR of the TL main contract and the funding rate, and the three - year basis and net basis trends of the TL main contract through figures [61][63][67].