国债期货日报：股债跷跷板明显，国债期货全线收跌-20251126

Report Industry Investment Rating No relevant information provided. Core Viewpoints The stock - bond seesaw is obvious, and Treasury bond futures closed down across the board. Driven by the strong stock market, the rising risk appetite suppresses the bond market. There are also differences in the Fed's interest - rate cut expectations, and the increasing global trade uncertainty adds to the uncertainty of foreign capital inflows. Overall, the bond market fluctuates between stable - growth and easing expectations, and short - term attention should be paid to the policy signals at the end of the month [1][3]. Summary by Directory 1. Interest Rate Pricing Tracking Indicators - Price Indicators: China's CPI (monthly) had a 0.20% month - on - month and year - on - year increase, while China's PPI (monthly) had a 0.10% month - on - month increase and a - 2.10% year - on - year decrease [9]. - Monthly Economic Indicators: The social financing scale was 437.72 trillion yuan, with a 0.64 - trillion - yuan increase (0.15%) month - on - month. M2 year - on - year was 8.20%, down 0.20% (- 2.38%) month - on - month. The manufacturing PMI was 49.00%, down 0.80% (- 1.61%) month - on - month [10]. - Daily Economic Indicators: The US dollar index was 99.81, down 0.39 (- 0.39%) day - on - day. The offshore US dollar - to - RMB exchange rate was 7.0944, down 0.012 (- 0.16%) day - on - day. SHIBOR 7 - day was 1.43, down 0.01 (- 0.97%) day - on - day. DR007 was 1.45, down 0.02 (- 1.10%) day - on - day. R007 was 1.51, down 0.02 (- 1.24%) day - on - day. The 3 - month inter - bank certificate of deposit (AAA) was 1.58, up 0.01 (+ 0.44%) day - on - day. The AA - AAA credit spread (1Y) was 0.09, up 0.00 (+ 0.44%) day - on - day [10]. 2. Treasury Bonds and Treasury Bond Futures Market Overview - Macro Policy: On October 27, the central bank restarted open - market Treasury bond trading operations. On October 30, the China - US economic and trade teams reached three consensuses. The State Council Tariff Commission announced to continue suspending the 24% additional tariff on US goods for one year, while retaining the 10% tariff [1]. - Inflation: In October, CPI increased by 0.2% year - on - year [1]. - Market Closing Prices and Fluctuations: On November 25, 2025, the closing prices of TS, TF, T, and TL were 102.42 yuan, 105.98 yuan, 108.22 yuan, and 115.16 yuan respectively, with fluctuations of 0.01%, 0.00%, - 0.08%, and - 0.33% respectively [3]. - Net Basis Spreads: The average net basis spreads of TS, TF, T, and TL were - 0.056 yuan, - 0.066 yuan, - 0.088 yuan, and - 0.025 yuan respectively [3]. 3. Money Market Funding Situation - Fiscal Situation (January - October 2025): General public budget revenue increased by 0.8% year - on - year, with tax revenue improving for eight consecutive months, but non - tax revenue dragging down the overall growth rate. General public budget expenditure increased by only 2% year - on - year, slowing down for three consecutive months, mainly due to the lack of follow - up force from the front - loaded fiscal efforts in the first half of the year and the weakening of infrastructure expenditures [2]. - Financial Situation: At the end of October, social financing and credit expanded at a low level, with strong government bond issuance and weak corporate and household financing demand. M1 declined, and the M2 - M1 gap widened, indicating weak business vitality and a return from current to time deposits [2]. - Central Bank Operations: On November 25, 2025, the central bank conducted 3021 billion yuan of 7 - day reverse repurchase operations at a fixed interest rate of 1.4% [2]. - Money Market Interest Rates: The main repurchase rates for 1D, 7D, 14D, and 1M were 1.316%, 1.433%, 1.540%, and 1.520% respectively, and the repurchase rates had recently declined [2]. 4. Spread Situation - Inter - period Spreads of Treasury Bond Futures: The report mentions various inter - period spreads of Treasury bond futures, such as 4TS - T, 2TS - TF, etc. [29][33] - Implied Yields and Basis Spreads: It provides information on the implied yields and basis spreads of different - term Treasury bond futures (2 - year, 5 - year, 10 - year, and 30 - year) [36][48][55][62]. 5. Two - Year Treasury Bond Futures - Implied Interest Rate and IRR: The report shows the relationship between the implied interest rate of the two - year Treasury bond futures main contract and the Treasury bond yield, as well as the relationship between the TS main contract's IRR and the funding rate [36][37]. - Basis Spread Trends: It presents the three - year basis spread and net basis spread trends of the TS main contract [46]. 6. Five - Year Treasury Bond Futures - Implied Interest Rate and IRR: The relationship between the implied interest rate of the five - year Treasury bond futures main contract and the Treasury bond yield, and the relationship between the TF main contract's IRR and the funding rate are provided [48]. - Basis Spread Trends: The three - year basis spread and net basis spread trends of the TF main contract are shown [52]. 7. Ten - Year Treasury Bond Futures - Implied Yield and IRR: The report shows the relationship between the implied yield of the ten - year Treasury bond futures main contract and the Treasury bond yield, and the relationship between the T main contract's IRR and the funding rate [55]. - Basis Spread Trends: The three - year basis spread and net basis spread trends of the T main contract are presented [57]. 8. Thirty - Year Treasury Bond Futures - Implied Yield and IRR: The relationship between the implied yield of the thirty - year Treasury bond futures main contract and the Treasury bond yield, and the relationship between the TL main contract's IRR and the funding rate are provided [62][65]. - Basis Spread Trends: The three - year basis spread and net basis spread trends of the TL main contract are shown [68]. Strategies - Single - sided Strategy: With the decline in repurchase rates, Treasury bond futures prices fluctuate [4]. - Arbitrage Strategy: Pay attention to the decline in basis spreads [5]. - Hedging Strategy: There is medium - term adjustment pressure, and short - side investors can use far - month contracts for appropriate hedging [5].