国债期货日报：三季度货币政策执行报告公布，国债期货全线收涨-20251113

Report Industry Investment Rating No relevant content provided. Core Viewpoint of the Report The bond market oscillates between stable growth and easing expectations. It is affected by the stock market, Federal Reserve's interest - rate cut expectations, and global trade uncertainties that increase the uncertainty of foreign capital inflows. Short - term attention should be paid to policy signals at the end of the month [3]. Summary by Directory I. Interest Rate Pricing Tracking Indicators - China's CPI (monthly) has a 0.20% month - on - month and year - on - year increase, while China's PPI (monthly) has a 0.10% month - on - month increase and a - 2.10% year - on - year decrease [9]. - Social financing scale is 437.08 trillion yuan, with a month - on - month increase of 3.42 trillion yuan (+0.79%); M2 year - on - year is 8.40%, down 0.40% (-4.55%); Manufacturing PMI is 49.00%, down 0.80% (-1.61%) [10]. - The US dollar index is 99.48, with no change; the US dollar against the offshore RMB is 7.1207, down 0.003 (-0.04%); SHIBOR 7 - day is 1.47, down 0.03 (-1.80%); DR007 is 1.49, down 0.02 (-1.47%); R007 is 1.51, down 0.02 (-1.24%); the 3 - month inter - bank certificate of deposit (AAA) is 1.57, with no change (-0.24%); AA - AAA credit spread (1Y) is 0.08, with no change (-0.24%) [10]. II. Overview of the Treasury Bond and Treasury Bond Futures Market - Relevant figures include the closing price trend of the main continuous contracts of treasury bond futures, the price change rate of various treasury bond futures varieties, the capital precipitation trend of various treasury bond futures varieties, the position ratio of various treasury bond futures varieties, the net position ratio of the top 20 of various treasury bond futures varieties, the long - short position ratio of the top 20 of various treasury bond futures varieties, the spread between China Development Bank bonds and treasury bonds, and the issuance of treasury bonds [14][17][19][22]. III. Overview of the Money Market Fundamentals - Relevant figures include the Shibor interest rate trend, the maturity yield trend of inter - bank certificates of deposit (AAA), the trading statistics of inter - bank pledged repurchase, and the issuance of local bonds [28][29]. IV. Spread Overview - Relevant figures involve 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 [34][38]. V. Two - Year Treasury Bond Futures - Relevant figures include the implied interest rate of the main contract of two - year treasury bond futures and the treasury bond maturity yield, the IRR of the TS main contract and the capital interest rate, and the three - year basis trend and net basis trend of the TS main contract [40][45][53]. VI. Five - Year Treasury Bond Futures - Relevant figures include the implied interest rate of the main contract of five - year treasury bond futures and the treasury bond maturity yield, the IRR of the TF main contract and the capital interest rate, and the three - year basis trend and net basis trend of the TF main contract [55][59]. VII. Ten - Year Treasury Bond Futures - Relevant figures include the implied yield of the main contract of ten - year treasury bond futures and the treasury bond maturity yield, the IRR of the T main contract and the capital interest rate, and the three - year basis trend and net basis trend of the T main contract [62][64]. VIII. Thirty - Year Treasury Bond Futures - Relevant figures include the implied yield of the main contract of thirty - year treasury bond futures and the treasury bond maturity yield, the IRR of the TL main contract and the capital interest rate, and the three - year basis trend and net basis trend of the TL main contract [69][71][75]. Market Analysis - Macro - level: On October 27, the central bank restarted the open - market treasury bond trading operation, releasing a clear signal to stabilize expectations. On October 30, the China - US economic and trade teams reached a three - point consensus. The State Council Tariff Commission announced to continue suspending the implementation of the 24% additional tariff rate on the US for one year, while retaining the 10% additional tariff rate on the US. In October, CPI increased by 0.2% year - on - year [1]. - Funding - level: In the first half of the year, fiscal operations were generally stable, with revenues gradually recovering and key expenditures being effectively guaranteed. The central bank conducted a 7 - day reverse repurchase operation of 195.5 billion yuan at a fixed interest rate of 1.4% on November 12, 2025. The main term repurchase interest rates 1D, 7D, 14D, and 1M were 1.415%, 1.474%, 1.500%, and 1.523% respectively, and the repurchase interest rates have recently declined [2]. - Market - level: On November 12, 2025, the closing prices of TS, TF, T, and TL were 102.47 yuan, 105.97 yuan, 108.52 yuan, and 116.45 yuan respectively, with price change rates of 0.01%, 0.03%, 0.02%, and 0.09% respectively. The average net basis of TS, TF, T, and TL was - 0.009 yuan, - 0.037 yuan, - 0.028 yuan, and - 0.036 yuan respectively [2]. Strategy - Unilateral: With the decline of the repurchase interest rate and the oscillation of the treasury bond futures price, 2512 is neutral [4]. - Arbitrage: Pay attention to the decline of the 2512 basis [4]. - Hedging: There is an adjustment pressure in the medium - term, and short - sellers can use far - month contracts for appropriate hedging [4].