国债期货日报：公募赎回扰动反复，国债期货全线收跌-20251127

Report Industry Investment Rating There is no information provided regarding the report's industry investment rating. Core Viewpoints The bond market is oscillating between stable growth and easing expectations. Influenced by the stock market, along with differences in the Fed's interest - rate cut expectations and increased global trade uncertainties, the inflow of foreign capital is uncertain. In the short term, attention should be paid to the policy signals at the end of the month [1][2][3]. Summary by Directory 1. Interest Rate Pricing Tracking Indicators - Price 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]. - Monthly Economic Indicators: Social financing scale is 437.72 trillion yuan, with a 0.64 trillion yuan increase and a 0.15% growth rate; M2 year - on - year is 8.20%, down 0.20% or - 2.38%; Manufacturing PMI is 49.00%, down 0.80% or - 1.61% [10]. - Daily Economic Indicators: The US dollar index is 99.58, down 0.23 or - 0.23%; The US dollar against the offshore RMB is 7.0775, down 0.017 or - 0.24%; SHIBOR 7 - day is 1.45, up 0.02 or + 1.40%; DR007 is 1.47, up 0.02 or + 1.40%; R007 is 1.51, down 0.02 or - 1.24%; The 3 - month inter - bank certificate of deposit (AAA) is 1.58, with no change in value and a - 0.02% change rate; The AA - AAA credit spread (1Y) is 0.10, up 0.01 or - 0.02% [10]. 2. Overview of the Treasury Bond and Treasury Bond Futures Market - Closing Prices and Fluctuations: On November 26, 2025, the closing prices of TS, TF, T, and TL were 102.37 yuan, 105.74 yuan, 107.85 yuan, and 114.29 yuan respectively, with fluctuations of - 0.05%, - 0.22%, - 0.36%, and - 0.86% [3]. - Net Basis Spreads: The average net basis spreads of TS, TF, T, and TL were - 0.027 yuan, 0.075 yuan, - 0.109 yuan, and 0.131 yuan respectively [3]. 3. Overview of the Money Market Funding Situation - Fiscal Situation: From January to October 2025, fiscal revenue showed a mild recovery, with general public budget revenue increasing by 0.8% year - on - year. Tax revenue improved for eight consecutive months, but non - tax revenue dragged down the overall growth rate. General public budget expenditure increased by only 2% year - on - year, slowing down for three consecutive months [2]. - Financial Situation: At the end of October, social financing and credit expanded at a low level, government bond issuance remained strong, and the financing demand of enterprises and residents was weak. 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 26, 2025, the central bank conducted 213.3 billion yuan of 7 - day reverse repurchase operations at a fixed interest rate of 1.4% [2]. - Money Market Rates: The main term repurchase rates of 1D, 7D, 14D, and 1M were 1.316%, 1.453%, 1.507%, and 1.519% respectively, and the repurchase rates have rebounded recently [2]. 4. Spread Overview The report provides multiple spread analysis charts, including the inter - term spread trends of various treasury bond futures varieties and the spread between spot bond term spreads and futures cross - variety spreads [29][36][39]. 5. Two - Year Treasury Bond Futures The report presents charts on the implied interest rate of the two - year treasury bond futures main contract and the treasury bond yield to maturity, the IRR of the TS main contract and the funding rate, and the three - year basis and net basis trends of the TS main contract [38][42][50]. 6. Five - Year Treasury Bond Futures Charts are provided on the implied interest rate of the five - year treasury bond futures main contract and the treasury bond yield to maturity, the IRR of the TF main contract and the funding rate, and the three - year basis and net basis trends of the TF main contract [52][56]. 7. Ten - Year Treasury Bond Futures The report includes charts on the implied yield of the ten - year treasury bond futures main contract and the treasury bond yield to maturity, the IRR of the T main contract and the funding rate, and the three - year basis and net basis trends of the T main contract [59][60]. 8. Thirty - Year Treasury Bond Futures Charts are presented on the implied yield of the thirty - year treasury bond futures main contract and the treasury bond yield to maturity, the IRR of the TL main contract and the funding rate, and the three - year basis and net basis trends of the TL main contract [66][73]. Strategies - Unilateral Strategy: As the repurchase rate falls and the treasury bond futures price oscillates, the 2603 strategy is neutral [4]. - Arbitrage Strategy: Pay attention to the decline of the 2603 basis [4]. - Hedging Strategy: There is medium - term adjustment pressure, and short - side investors can use far - month contracts for appropriate hedging [4].