国债期货日报：流动性改善，国债期货全线收跌-20251120

Report Industry Investment Rating No relevant content provided. Core Viewpoints The bond market fluctuates between stable growth and easing expectations. Affected by the stock market and uncertainties in global trade and Fed rate - cut expectations, short - term attention should be paid to policy signals at the end of the month [1][3]. Summary by Directory 1. 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 437.72 trillion yuan, with a 0.64 - trillion - yuan month - on - month increase and a 0.15% month - on - month change rate; M2 year - on - year is 8.20%, down 0.20% month - on - month; Manufacturing PMI is 49.00%, down 0.80% month - on - month [10]. - The US dollar index is 100.13, up 0.54 with a 0.54% month - on - month change rate; The US dollar against the offshore RMB is 7.1109, down 0.002 with a - 0.03% month - on - month change rate; SHIBOR 7 - day is 1.49, down 0.03 with a - 2.04% month - on - month change rate; DR007 is 1.51, down 0.01 with a - 0.71% month - on - month change rate; R007 is 1.51, down 0.02 with a - 1.24% month - on - month change rate; The 3 - month inter - bank certificate of deposit (AAA) is 1.58, with a 0.00 change and a - 0.09% month - on - month change rate; The AA - AAA credit spread (1Y) is 0.08, with a 0.00 change and a - 0.09% month - on - month change rate [10]. 2. Overview of Treasury Bonds and Treasury Bond Futures Market No specific text - based summary content provided, but there are figures on the closing price trend, price change rate, precipitation funds trend, position ratio, net position ratio, long - short position ratio, spread between national development bonds and treasury bonds, and treasury bond issuance of treasury bond futures main contracts [12][16][19][23]. 3. Overview of the Money Market Funding Situation No specific text - based summary content provided, but there are figures on Shibor interest rate trend, inter - bank certificate of deposit (AAA) maturity yield trend, inter - bank pledged repurchase transaction statistics, local bond issuance, inter - period spread trend of treasury bond futures, and spread between spot bond term spread and futures cross - variety [28][30][32]. 4. Spread Overview No specific text - based summary content provided, but there are figures on the spread between spot bond term spread and futures cross - variety such as (2TS - TF), (2TF - T), (3T - TL), and (2TS - 3*TF + T) [37][38][41]. 5. Two - Year Treasury Bond Futures No specific text - based summary content provided, but there are figures on the implied interest rate and treasury bond maturity yield of the two - year treasury bond futures main contract, TS main contract IRR and funding rate, and the three - year basis and net basis trends of the TS main contract [40][42][51]. 6. Five - Year Treasury Bond Futures No specific text - based summary content provided, but there are figures on the implied interest rate and treasury bond maturity yield of the five - year treasury bond futures main contract, TF main contract IRR and funding rate, and the three - year basis and net basis trends of the TF main contract [53][57]. 7. Ten - Year Treasury Bond Futures No specific text - based summary content provided, but there are figures on the implied yield and treasury bond maturity yield of the ten - year treasury bond futures main contract, T main contract IRR and funding rate, and the three - year basis and net basis trends of the T main contract [60][61]. 8. Thirty - Year Treasury Bond Futures No specific text - based summary content provided, but there are figures on the implied yield and treasury bond maturity yield of the thirty - year treasury bond futures main contract, TL main contract IRR and funding rate, and the three - year basis and net basis trends of the TL main contract [67][70][73]. Strategy - Unilateral: With the decline of repurchase interest rates and the fluctuation 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 - sellers can use far - month contracts for appropriate hedging [4].