国债期货日报：等待央行买债落地中，国债期货涨跌分化-20251104

1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - Affected by the central bank's restart of treasury bond trading and the continuation of the Fed's interest - rate cut expectation, treasury bond futures showed a mixed performance yesterday. Overall, the increasing global trade uncertainty adds to the uncertainty of foreign capital inflows. The bond market oscillates between the expectations of stable growth and monetary easing. Short - term attention should be paid to policy signals at the end of the month [3] 3. Summary According to Relevant Catalogs I. Interest Rate Pricing Tracking Indicators - Price indicators: China's CPI (monthly) had a 0.10% month - on - month change and a - 0.30% year - on - year change; China's PPI (monthly) had a 0.00% month - on - month change and a - 2.30% year - on - year change [9] - Monthly economic indicators: The social financing scale was 437.08 trillion yuan, with a month - on - month increase of 3.42 trillion yuan (+0.79%); M2 year - on - year was 8.40%, with a - 0.40% change (-4.55%); the manufacturing PMI was 49.00%, with a - 0.80% change (-1.61%) [10] - Daily economic indicators: The US dollar index was 99.88, with a +0.15 change (+0.15%); the offshore US dollar to RMB exchange rate was 7.1169, with a +0.006 change (+0.09%); SHIBOR 7 - day was 1.41, with a - 0.03 change (-1.88%); DR007 was 1.42, with a - 0.04 change (-2.50%); R007 was 1.53, with a +0.02 change (+1.49%); the 3 - month interbank certificate of deposit (AAA) was 1.56, with a +0.00 change (+0.11%); the AA - AAA credit spread (1Y) was 0.09, with a +0.00 change (+0.11%) [11] II. Overview of the Treasury Bond and Treasury Bond Futures Market - The report presents multiple charts related to the treasury bond and treasury bond futures market, including the closing price trend of the main continuous contracts of treasury bond futures, the price change rate of each variety of treasury bond futures, the precipitation of funds in each variety of treasury bond futures, the position ratio of each variety of treasury bond futures, etc. [15][16][19] III. Overview of the Money Market Liquidity - The report includes charts on the Shibor interest rate trend, the yield - to - maturity trend of interbank certificates of deposit (AAA), the trading statistics of inter - bank pledged repurchase, and the local government bond issuance situation [25][26] IV. Spread Overview - The report shows charts on the inter - period spread trend of each variety of treasury bond futures and the term spread of spot bonds and cross - variety spreads of futures [31][34][35] V. Two - Year Treasury Bond Futures - The report provides charts on the implied interest rate and treasury bond yield - to - maturity of the main contract of two - year treasury bond futures, 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 [37][39][48] VI. Five - Year Treasury Bond Futures - The report offers charts on the implied interest rate and treasury bond yield - to - maturity of the main contract of five - year treasury bond futures, 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 [50][55] VII. Ten - Year Treasury Bond Futures - The report includes charts on the implied yield and treasury bond yield - to - maturity of the main contract of ten - year treasury bond futures, 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 [57][58] VIII. Thirty - Year Treasury Bond Futures - The report presents charts on the implied yield and treasury bond yield - to - maturity of the main contract of thirty - year treasury bond futures, 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 [64][66][70] 4. Strategies - Unilateral: With the decline of repurchase rates 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 traders can use far - month contracts for appropriate hedging [4]