央行买债不及预期，国债期货涨跌分化

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View The bond market is oscillating between the expectations of stable growth and monetary easing. The stock market trends, the continued expectation of Fed rate cuts, and the increased uncertainty in global trade are affecting foreign capital inflows. In the short - term, attention should be paid to policy signals at the end of the month [3]. 3. Summary by Directory I. Interest Rate Pricing Tracking Indicators - Price indicators: China's CPI increased by 0.2% month - on - month and year - on - year, while PPI rose 0.1% month - on - month and dropped 2.1% year - on - year [9]. - Monthly economic indicators: Social financing scale reached 437.72 trillion yuan, up 0.64 trillion yuan (0.15%) from the previous month; M2 year - on - year growth was 8.2%, down 0.2 percentage points; Manufacturing PMI was 49.2%, up 0.2 percentage points [10]. - Daily economic indicators: The US dollar index was 98.86, down 0.47 (-0.47%); USD/CNH (offshore) was 7.0585, down 0.012 (-0.18%); SHIBOR 7 - day was 1.43, down 0.01 (-0.56%); DR007 was 1.44, unchanged; R007 was 1.51, down 0.02 (-1.24%); AAA - rated 3 - month interbank certificates of deposit yield was 1.61, up 0.01 (+0.47%); AA - AAA 1 - year credit spread was 0.09, down 0.01 [10]. II. Overview of Treasury Bonds and Treasury Bond Futures Market - Closing prices on December 3, 2025: TS, TF, T, and TL closed at 102.42 yuan, 105.85 yuan, 108.04 yuan, and 113.61 yuan respectively. Their daily changes were 0.03%, 0.07%, 0.06%, and - 0.26% respectively [3]. - Average net basis: TS, TF, T, and TL had average net basis of - 0.051 yuan, - 0.123 yuan, - 0.135 yuan, and - 0.103 yuan respectively [3]. III. Overview of the Money Market Funding Situation - Fiscal situation from January to October 2025: General public budget revenue increased 0.8% year - on - year, with tax revenue improving for eight consecutive months, but non - tax revenue dragging down the overall growth. The revenue completion progress was slightly lower than the historical average. General public budget expenditure increased only 2% year - on - year, slowing down for three consecutive months, mainly due to the lack of impetus after the front - loaded fiscal spending in the first half of the year and the weakening of infrastructure spending. Social security and education spending still grew relatively fast [2]. - Financial situation at the end of October: Social financing and credit expanded at a low level, government bond issuance remained strong, while corporate and household financing demand was weak. M1 declined, and the M2 - M1 gap widened, indicating weak business vitality and a shift from current to time deposits. Long - term bond yields faced upward pressure, and the yield curve steepened [2]. - Central bank operation on December 3, 2025: The central bank conducted 793 billion yuan of 7 - day reverse repurchase operations at a fixed interest rate of 1.4% [2]. - Money market: The main repo rates for 1D, 7D, 14D, and 1M were 1.301%, 1.426%, 1.465%, and 1.520% respectively, and the repo rates had recently declined [2]. IV. Spread Overview - The report shows various spread trends, including inter - period spreads of treasury bond futures and spreads between spot and futures contracts of different varieties [27][33][34]. V. Two - Year Treasury Bond Futures - The report presents the implied interest rate of the two - year treasury bond futures main contract, the relationship between 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 [36][37][46]. VI. Five - Year Treasury Bond Futures - It shows the implied interest rate of the five - year treasury bond futures main contract, the relationship between 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 [48][52]. VII. Ten - Year Treasury Bond Futures - The report includes the implied yield of the ten - year treasury bond futures main contract, the relationship between 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 [55][56]. VIII. Thirty - Year Treasury Bond Futures - It presents the implied yield of the thirty - year treasury bond futures main contract, the relationship between 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 [62][64][68]. 4. Strategies - Unilateral strategy: With the decline in repo rates, treasury bond futures prices are oscillating [4]. - Arbitrage strategy: Pay attention to the decline of the 2603 basis [4]. - Hedging strategy: There is medium - term adjustment pressure, and short - position holders can moderately hedge with far - month contracts [4].