国债期货日报：美国就业疲软，国债期货涨跌分化-20251121

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, weak US employment, divergent expectations of Fed rate cuts, and rising global trade uncertainties increase the uncertainty of foreign capital inflows. Short - term attention should be paid to policy signals at the end of the month [2][4]. Summary by Directory 1. Interest Rate Pricing Tracking Indicators - China's CPI (monthly) has a 0.20% increase both month - on - month and year - on - year, while China's PPI (monthly) has a 0.10% month - on - month increase and a 2.10% year - on - year decrease [10]. - The social financing scale is 437.72 trillion yuan, with a 0.64 trillion yuan (+0.15%) month - on - month increase; M2 year - on - year is 8.20%, with a 0.20% (-2.38%) decrease; the manufacturing PMI is 49.00%, with a 0.80% (-1.61%) decrease [11]. - The US dollar index is 100.22, with a 0.09 (+0.09%) increase; the US dollar against the offshore RMB is 7.1179, with a 0.007 (+0.10%) increase; SHIBOR 7 - day is 1.46, with a 0.03 (-1.82%) decrease; DR007 is 1.49, with a 0.03 (-1.81%) decrease; R007 is 1.51, with a 0.02 (-1.24%) decrease; the 3 - month inter - bank certificate of deposit (AAA) is 1.58, with a 0.00 (+0.20%) increase; the AA - AAA credit spread (1Y) is 0.08, with a 0.00 (+0.20%) increase [11]. 2. Overview of the Treasury Bond and Treasury Bond Futures Market - On November 20, 2025, the closing prices of TS, TF, T, and TL are 102.46 yuan, 105.94 yuan, 108.49 yuan, and 115.87 yuan respectively, with price changes of 0.00%, 0.06%, 0.06%, and - 0.21% respectively [4]. - The average net basis of TS, TF, T, and TL are 0.004 yuan, 0.000 yuan, - 0.030 yuan, and 0.337 yuan respectively [4]. 3. Overview of the Money Market Fundamentals - From January to October 2025, the general public budget revenue increased by 0.8% year - on - year, and the general public budget expenditure increased by 2% year - on - year [3]. - At the end of October, social financing and credit maintained low - level expansion, government bond issuance remained strong, and the financing demand of enterprises and residents was weak. M1 declined, and the M2 - M1 gap widened [3]. - On November 20, 2025, the central bank conducted a 300 - billion - yuan 7 - day reverse repurchase operation at a fixed interest rate of 1.4% [3]. - The main term repurchase rates for 1D, 7D, 14D, and 1M are 1.364%, 1.460%, 1.546%, and 1.518% respectively, and the repurchase rates have recently declined [3]. 4. Spread Overview - There are various spread data in the report, including the inter - period spread trends of various treasury bond futures, and the term spreads between spot bonds and cross - variety spreads of futures [32][36][37]. 5. Two - Year Treasury Bond Futures - There are data on the implied interest rate of the two - year treasury bond futures main contract and the treasury bond yield to maturity, as well as the IRR of the TS main contract and the capital interest rate [39][41]. 6. Five - Year Treasury Bond Futures - There are data on the implied interest rate of the five - year treasury bond futures main contract and the treasury bond yield to maturity, as well as the IRR of the TF main contract and the capital interest rate [52]. 7. Ten - Year Treasury Bond Futures - There are data on the implied yield of the ten - year treasury bond futures main contract and the treasury bond yield to maturity, as well as the IRR of the T main contract and the capital interest rate [59]. 8. Thirty - Year Treasury Bond Futures - There are data on the implied yield of the thirty - year treasury bond futures main contract and the treasury bond yield to maturity, as well as the IRR of the TL main contract and the capital interest rate [66]. Strategy - Unilateral: With the decline of the repurchase rate and the fluctuation of treasury bond futures prices, the 2512 contract is neutral [5]. - Arbitrage: Pay attention to the decline of the 2512 basis [5]. - Hedging: There is an adjustment pressure in the medium term, and short - sellers can use far - month contracts for appropriate hedging [5].