国债期货日报：PMI发布在即，国债期货涨跌分化-20251128

Report Investment Rating No information provided. Core Viewpoints The bond market fluctuates between stable growth and easing expectations. Affected by the stock market and bond fund fee regulations, along with differences in the Fed's interest - rate cut expectations and increased global trade uncertainties, the inflow of foreign capital is uncertain. 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环比 of 0.20% and同比 of 0.20%; China's PPI (monthly) has a环比 of 0.10% and同比 of - 2.10% [9]. - Monthly Economic Indicators: Social financing scale is 437.72 trillion yuan, with a环比 increase of 0.64 trillion yuan and a环比 change rate of + 0.15%; M2同比 is 8.20%, down 0.20% with a环比 change rate of - 2.38%; Manufacturing PMI is 49.00%, down 0.80% with a环比 change rate of - 1.61% [10]. - Daily Economic Indicators: The US dollar index is 99.55, down 0.03 with a环比 change rate of - 0.03%; The US dollar against the offshore RMB is 7.0739, down 0.004 with a环比 change rate of - 0.05%; SHIBOR 7 - day is 1.43, down 0.03 with a环比 change rate of - 1.93%; DR007 is 1.45, down 0.03 with a环比 change rate of - 1.90%; R007 is 1.51, down 0.02 with a环比 change rate of - 1.24%; The 3 - month inter - bank certificate of deposit (AAA) is 1.59, up 0.00 with a环比 change rate of + 0.21%; The AA - AAA credit spread (1Y) is 0.10, up 0.00 with a环比 change rate of + 0.21% [10]. 2. Overview of the Treasury Bond and Treasury Bond Futures Market - Closing Prices and Price Changes: On November 27, 2025, the closing prices of TS, TF, T, and TL are 102.39 yuan, 105.77 yuan, 107.90 yuan, and 114.42 yuan respectively, with price changes of 0.01%, - 0.01%, - 0.06%, and - 0.01% respectively [3]. - Net Basis Spreads: The average net basis spreads of TS, TF, T, and TL are - 0.034 yuan, 0.037 yuan, - 0.046 yuan, and - 0.787 yuan respectively [3]. 3. Overview of the Money Market Funding Situation - Fiscal Situation (2025 Jan - Oct): General public budget revenue has a year - on - year growth of 0.8%, with tax revenue improving for eight consecutive months, but non - tax revenue dragging down the overall growth rate. General public budget expenditure has a year - on - year increase of only 2%, slowing down for three consecutive months [2]. - Financial Situation: At the end of October, social financing and credit maintained low - level expansion, government bond issuance was still strong, and the financing demand of enterprises and residents was weak. M1 declined, and the M2 - M1 gap widened, indicating weak business vitality in the real economy [2]. - Central Bank Operations: On November 27, 2025, the central bank conducted a 356.4 billion - yuan 7 - day reverse repurchase operation at a fixed interest rate of 1.4% [2]. - Money Market Repo Rates: The main term repo rates for 1D, 7D, 14D, and 1M are 1.314%, 1.425%, 1.508%, and 1.520% respectively, and the repo rates have recently declined [2]. 4. Spread Overview - Inter - period Spreads and Cross - variety Spreads: The report presents various inter - period spreads and cross - variety spreads of treasury bond futures, such as 4TS - T, 2TS - TF, etc [27][37][38]. 5. Two - year Treasury Bond Futures - Implied Interest Rate and Yield: Implied interest rate and treasury bond maturity yield of the two - year treasury bond futures main contract are presented, along with the IRR of the TS main contract and its relationship with the funding rate [36][39]. - Basis and Net Basis Trends: The three - year basis and net basis trends of the TS main contract are shown [47]. 6. Five - year Treasury Bond Futures - Implied Interest Rate and Yield: Implied interest rate and treasury bond maturity yield of the five - year treasury bond futures main contract are presented, along with the IRR of the TF main contract and its relationship with the funding rate [49]. - Basis and Net Basis Trends: The three - year basis and net basis trends of the TF main contract are shown [53]. 7. Ten - year Treasury Bond Futures - Implied Yield and Yield: Implied yield and treasury bond maturity yield of the ten - year treasury bond futures main contract are presented, along with the IRR of the T main contract and its relationship with the funding rate [56]. - Basis and Net Basis Trends: The three - year basis and net basis trends of the T main contract are shown [57]. 8. Thirty - year Treasury Bond Futures - Implied Yield and Yield: Implied yield and treasury bond maturity yield of the thirty - year treasury bond futures main contract are presented, along with the IRR of the TL main contract and its relationship with the funding rate [63]. - Basis and Net Basis Trends: The three - year basis and net basis trends of the TL main contract are shown [69]. Strategies - Unilateral Strategy: With the decline of repo rates and the fluctuation of treasury bond futures prices, a neutral stance is taken on 2603 [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].