国债期货日报：股债跷跷板延续，国债期货大多收跌-20251107

Report Industry Investment Rating No relevant content provided. Core View 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 uncertainty in global trade adds to the uncertainty of foreign capital inflows. The bond market fluctuates between the expectations of stable growth and monetary easing. In the short term, attention should be paid to the policy signals at the end of the month [3]. Summary by Related Catalog I. Interest Rate Pricing Tracking Indicators - The monthly China CPI had a 0.10% month - on - month change and a - 0.30% year - on - year change; the monthly China PPI had a 0.00% month - on - month change and a - 2.30% year - on - year change [9]. - The social financing scale was 437.08 trillion yuan, with a month - on - month increase of 3.42 trillion yuan and a rate of +0.79%. M2 year - on - year was 8.40%, down 0.40% from the previous value with a rate of - 4.55%. The manufacturing PMI was 49.00%, down 0.80% from the previous value with a rate of - 1.61% [10]. - The dollar index was 99.70, down 0.46 with a rate of - 0.46%. The offshore dollar - to - RMB exchange rate was 7.1272, down 0.004 with a rate of - 0.05%. SHIBOR 7 - day was 1.42, with no change in value and a rate of - 0.14%. DR007 was 1.43, down 0.01 with a rate of - 0.86%. R007 was 1.53, up 0.02 with a rate of +1.49%. The 3 - month inter - bank certificate of deposit (AAA) was 1.57, up 0.00 with a rate of +0.18%. The AA - AAA credit spread (1Y) was 0.08, down 0.01 with a rate of +0.18% [11]. II. Overview of Treasury Bonds and Treasury Bond Futures Market The report presents multiple graphs including the closing price trend of the main continuous contract of treasury bond futures, the price change rates of various treasury bond futures varieties, the trend of the settled funds of various treasury bond futures varieties, the proportion of open interest of various treasury bond futures varieties, the net open interest proportion of the top 20 traders in various treasury bond futures varieties, the long - short open interest ratio of the top 20 traders in various treasury bond futures varieties, the spread between China Development Bank bonds and treasury bonds, and the issuance of treasury bonds [14][16][17][20]. III. Overview of the Money Market Funding Situation The report shows graphs about the Shibor interest rate trend, the yield - to - maturity trend of inter - bank certificates of deposit (AAA), the trading statistics of inter - bank pledged repurchase, the issuance of local government bonds, the inter - term spread trend of various treasury bond futures varieties, and the spread between the spot - bond term spread and the futures cross - variety spread (4TS - T) [24][25][29]. IV. Spread Overview The report presents graphs of the spread between the spot - bond term spread and the futures cross - variety spread (2TS - TF), (2TF - T), (3T - TL), and (2TS - 3TF + T) [33][34][38]. V. Two - Year Treasury Bond Futures The report shows graphs of the implied interest rate and the 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, the three - year basis trend of the TS main contract, and the three - year net basis trend of the TS main contract [36][39][47]. VI. Five - Year Treasury Bond Futures The report includes graphs of the implied interest rate and the 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, the three - year basis trend of the TF main contract, and the three - year net basis trend of the TF main contract [49][53]. VII. Ten - Year Treasury Bond Futures The report shows graphs of the implied yield and the 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, the three - year basis trend of the T main contract, and the three - year net basis trend of the T main contract [56][57]. VIII. Thirty - Year Treasury Bond Futures The report presents graphs of the implied yield and the 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, the three - year basis trend of the TL main contract, and the three - year net basis trend of the TL main contract [63][65][69]. Strategy - For single - side trading, with the decline of the repurchase rate and the fluctuating price of treasury bond futures, the outlook for the 2512 contract is neutral [4]. - For arbitrage, attention should be paid to the decline of the basis of the 2512 contract [4]. - For hedging, as there is an adjustment pressure in the medium term, short - position traders can use far - month contracts for appropriate hedging [4].