国债期货日报：股债跷跷板效应影响下，国债期货全线收跌-20251024

Report Industry Investment Rating No relevant content provided. Core Viewpoints - Affected by the stock - bond seesaw effect, treasury bond futures closed down across the board. The recovery of risk appetite driven by the stock market suppressed the bond market. The continued expectation of the Fed's interest rate cut and the increase in global trade uncertainty added to the uncertainty of foreign capital inflows. Overall, the bond market oscillated between the expectations of stable growth and easing, and short - term attention should be paid to policy signals at the end of the month [1][3] - The current fiscal data shows a pattern of "moderate revenue recovery and strong expenditure expansion". The central bank carried out a 7 - day reverse repurchase operation of 212.5 billion yuan. The repurchase rates in the money market have recently rebounded [2] Summary by Directory 1. Interest Rate Pricing Tracking Indicators - Price indicators: China's monthly CPI had a month - on - month increase of 0.10% and a year - on - year decrease of 0.30%; monthly PPI had a month - on - month change of 0.00% and a year - on - year decrease of 2.30% [9] - Monthly economic indicators: The social financing scale was 437.08 trillion yuan, with a month - on - month increase of 3.42 trillion yuan and a growth rate of 0.79%; M2 year - on - year was 8.40%, a decrease of 0.40% and a decline rate of 4.55%; the manufacturing PMI was 49.80%, an increase of 0.40% and a growth rate of 0.81% [9] - Daily economic indicators: The US dollar index was 98.93, with a month - on - month increase of 0.04 and a growth rate of 0.04%; the offshore US dollar to RMB exchange rate was 7.1263, with a month - on - month increase of 0.002 and a growth rate of 0.03%; SHIBOR 7 - day was 1.42, a decrease of 0.01 and a decline rate of 0.35%; DR007 was 1.43, a decrease of 0.01 and a decline rate of 0.42%; R007 was 1.53, an increase of 0.02 and a growth rate of 1.49%; the 3 - month inter - bank certificate of deposit (AAA) was 1.60, with a month - on - month change of 0.00 and a decline rate of 0.16%; the AA - AAA credit spread (1Y) was 0.09, with a month - on - month change of 0.00 and a decline rate of 0.16% [9] 2. Overview of the Treasury Bond and Treasury Bond Futures Market - On October 23, 2025, the closing prices of TS, TF, T, and TL were 102.34 yuan, 105.65 yuan, 108.04 yuan, and 115.21 yuan respectively, with price changes of - 0.02%, - 0.07%, - 0.12%, and - 0.34% respectively [2] - The average net basis spreads of TS, TF, T, and TL were - 0.001 yuan, - 0.006 yuan, 0.041 yuan, and 0.096 yuan respectively [2] 3. Overview of the Money Market Funding Situation - The fiscal data shows "moderate revenue recovery and strong expenditure expansion". The general public budget revenue in the first three quarters increased slightly by 0.5% year - on - year, relying on the recovery of individual income tax, value - added tax, and stamp duty, but the sustainability remains to be observed. The expenditure continued to increase, with social security, education, and debt interest payments maintaining high growth rates. The government - managed fund budget revenue was still weak, the decline in land sales narrowed but the recovery was limited, while the fund expenditure increased by 23.9% year - on - year [2] - On October 23, 2025, the central bank carried out a 7 - day reverse repurchase operation of 212.5 billion yuan at a fixed interest rate of 1.4% through quantity tendering [2] - The main term repurchase rates of 1D, 7D, 14D, and 1M were 1.318%, 1.417%, 1.512%, and 1.556% respectively, and the repurchase rates have recently rebounded [2] 4. Spread Overview No specific spread data is further described in the text, but it is mentioned that there are relevant charts such as the inter - period spread trend of treasury bond futures varieties, the term spread of spot bonds and the cross - variety spread of futures [27][28][33] 5. Two - Year Treasury Bond Futures No specific data and analysis on two - year treasury bond futures are further described in the text, only relevant charts such as the implied interest rate of the two - year treasury bond futures main contract and the treasury bond maturity yield are mentioned [36] 6. Five - Year Treasury Bond Futures No specific data and analysis on five - year treasury bond futures are further described in the text, only relevant charts such as the implied interest rate of the five - year treasury bond futures main contract and the treasury bond maturity yield are mentioned [47] 7. Ten - Year Treasury Bond Futures No specific data and analysis on ten - year treasury bond futures are further described in the text, only relevant charts such as the implied yield of the ten - year treasury bond futures main contract and the treasury bond maturity yield are mentioned [54] 8. Thirty - Year Treasury Bond Futures No specific data and analysis on thirty - year treasury bond futures are further described in the text, only relevant charts such as the implied yield of the thirty - year treasury bond futures main contract and the treasury bond maturity yield are mentioned [61] Strategies - Unilateral: With the rebound of the repurchase rate and the oscillation of treasury bond futures prices, the 2512 contract is neutral [4] - Arbitrage: Pay attention to the decline of the 2512 basis [4] - Hedging: There is medium - term adjustment pressure, and short - side investors can use far - month contracts for appropriate hedging [4]