国债期货日报：股债跷跷板效应明显，国债期货大多收跌-20251106

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - Affected by the central bank's restart of treasury bond trading and the continued expectation of the Fed's interest rate cut, most treasury bond futures closed lower the previous day. Overall, the increasing global trade uncertainty adds to the uncertainty of foreign capital inflows. The bond market fluctuates between the expectations of stable growth and monetary easing. Short - term attention should be paid to the policy signals at the end of the month [3]. - For trading strategies, in the unilateral trading, with the decline of repo rates and the fluctuating prices of treasury bond futures, the 2512 contract is neutral; in the arbitrage trading, attention should be paid to the decline of the basis of the 2512 contract; in the hedging, as there is medium - term adjustment pressure, short - side traders can use far - month contracts for appropriate hedging [4]. Summary by Relevant Catalogs 1. Interest Rate Pricing Tracking Indicators - Price indicators: China's CPI (monthly) had a month - on - month increase of 0.10% and a year - on - year decrease of 0.30%; China's PPI (monthly) 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 or 0.79%; M2 year - on - year growth was 8.40%, a decrease of 0.40 percentage points or 4.55% compared to the previous period; the manufacturing PMI was 49.00%, a decrease of 0.80 percentage points or 1.61% [10]. - Daily economic indicators: The US dollar index was 100.16, a decrease of 0.05 or 0.05%; the offshore US dollar - to - RMB exchange rate was 7.1310, with no change; SHIBOR 7 - day was 1.42, an increase of 0.01 or 0.57%; DR007 was 1.44, an increase of 0.01 or 0.81%; R007 was 1.53, an increase of 0.02 or 1.49%; the 3 - month inter - bank certificate of deposit (AAA) was 1.57, a decrease of 0.01 or 0.40%; the AA - AAA credit spread (1Y) was 0.09, with a decrease of 0.40% [10]. 2. Overview of Treasury Bonds and Treasury Bond Futures Markets - The overview includes multiple figures such as the closing price trend of the continuous main contract of treasury bond futures, the price change rate of each treasury bond futures variety, the trend of the settled funds of each treasury bond futures variety, the proportion of positions held in each treasury bond futures variety, the net position proportion of each treasury bond futures variety (top 20), the long - short position ratio of each treasury bond futures variety (top 20), the spread between China Development Bank bonds and treasury bonds, and the issuance of treasury bonds [13][16][19]. 3. Overview of the Money Market Funding Situation - It involves figures such as the trend of Shibor interest rates, the trend of the maturity yields of inter - bank certificates of deposit (AAA), the trading statistics of inter - bank pledged repurchase, and the issuance of local bonds [23][24]. 4. Spread Overview - This part contains figures showing the term spread of spot bonds and the cross - variety spread of futures, including 4TS - T, 2TS - TF, 2TF - T, 3T - TL, and 2TS - 3TF + T, as well as the cross - term spread trend of each treasury bond futures variety [28][32][33]. 5. Two - Year Treasury Bond Futures - It includes figures of 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 [35][39][46]. 6. Five - Year Treasury Bond Futures - Relevant figures are 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 [48][52]. 7. Ten - Year Treasury Bond Futures - It covers figures such as 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 [55][57]. 8. Thirty - Year Treasury Bond Futures - The 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 [62][67].