债市超跌修复，国债期货涨跌分化

Report Industry Investment Rating No relevant content provided. Core View of the Report The bond market is in a state of shock between the expectations of stabilizing growth and easing. In the short term, attention should be paid to the policy signals at the end of the month. The bond market has experienced an over - decline and is in a repair phase, with the prices of treasury bond futures showing a differentiated trend. Influenced by the stock market, the Politburo meeting released a signal of loose money, the LPR remained unchanged, and the Fed's interest - rate cut expectations continued. Meanwhile, the increasing uncertainty in global trade added to the uncertainty of foreign capital inflows [1][3]. Summary of Each Section According to the Table of Contents 1. Interest Rate Pricing Tracking Indicators - China's CPI (monthly) had a month - on - month decrease of 0.10% and a year - on - year increase of 0.70%; China's PPI (monthly) had a month - on - month increase of 0.10% and a year - on - year decrease of 2.20% [9]. - The social financing scale was 440.07 trillion yuan, with a month - on - month increase of 2.35 trillion yuan and a growth rate of 0.54%; M2 year - on - year growth rate was 8.00%, a decrease of 0.20% compared to the previous period, with a decline rate of 2.44%; the manufacturing PMI was 49.20%, with a month - on - month increase of 0.20% and a growth rate of 0.41% [10]. - The US dollar index was 98.22, with a month - on - month increase of 0.22 and a growth rate of 0.22%; the US dollar against the offshore RMB was 6.9911, with a month - on - month decrease of 0.017 and a decline rate of 0.24%; SHIBOR 7 days was 1.59, with a month - on - month increase of 0.03 and a growth rate of 1.99%; DR007 was 1.69, with a month - on - month increase of 0.09 and a growth rate of 5.83%; R007 was 1.51, with a month - on - month increase of 0.00 and a decline rate of 0.31%; the inter - bank certificate of deposit (AAA) 3M was 1.61, with a month - on - month increase of 0.01 and a growth rate of 0.47%; the AA - AAA credit spread (1Y) was 0.09, with a month - on - month increase of 0.00 and a growth rate of 0.47% [11]. 2. Overview of the Treasury Bond and Treasury Bond Futures Market - On December 30, 2025, the closing prices of TS, TF, T, and TL were 102.49 yuan, 105.82 yuan, 107.94 yuan, and 111.83 yuan respectively, with price changes of 0.01%, - 0.01%, - 0.02%, and 0.17% respectively [3]. - The average net basis of TS, TF, T, and TL was 0.102 yuan, 0.048 yuan, 0.088 yuan, and 0.510 yuan respectively [3]. 3. Overview of the Money Market Liquidity - In November, the general public budget revenue slowed down year - on - year under the influence of a high base, but the annual revenue progress was still relatively fast, and the pressure to complete the first - account budget was not great. The fiscal support ability remained. The expenditure side showed a significant narrowing of the decline, with the pre - budgeted funds gradually turning into actual expenditures, and the structure was more inclined towards people's livelihood and investment in human resources. Infrastructure - related expenditures improved marginally but were still weak overall. Government - funded revenues continued to be dragged down by the real estate market, but the acceleration of special bond issuance drove the year - on - year growth of expenditures to turn positive, providing support for the broad fiscal situation [2]. - The financial data in November was generally weak. Credit was still supported by bills and short - term loans, and the long - term financing needs of residents and enterprises continued to decline, with loans significantly less than the same period last year. Although the social financing growth rate remained at 8.5%, it was mainly due to corporate bonds and off - balance - sheet financing offsetting the weakness of government bonds and loans, reflecting that the willingness of the private sector to increase leverage remained insufficient. The growth rates of M1 and M2 declined simultaneously, and the decline of current deposits was faster, indicating weak capital turnover and economic vitality in the real sector [2]. - On December 30, 2025, the central bank conducted a 7 - day reverse repurchase operation of 312.5 billion yuan at a fixed interest rate of 1.4% through quantity tender [2]. - The main - term repurchase rates of 1D, 7D, 14D, and 1M were 1.247%, 1.589%, 1.869%, and 1.585% respectively, and the repurchase rates had rebounded recently [2]. 4. Spread Overview The report provides various charts showing the term spreads of spot bonds and cross - variety spreads of futures, such as (2TS - TF), (2TF - T), (3T - TL), (2TS - 3*TF + T) [32][33][37]. 5. Two - Year Treasury Bond Futures The report presents charts of the implied interest rate and the maturity yield of the two - year treasury bond futures' main contract, 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 [35][38][43]. 6. Five - Year Treasury Bond Futures The report shows the implied interest rate and the maturity yield of the five - year treasury bond futures' main contract, 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 [47][51]. 7. Ten - Year Treasury Bond Futures The report provides the implied yield and the maturity yield of the ten - year treasury bond futures' main contract, 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 [54][55]. 8. Thirty - Year Treasury Bond Futures The report presents the implied yield and the maturity yield of the thirty - year treasury bond futures' main contract, 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 [61][63]. Strategies - Unilateral: As the repurchase rate rebounds, the prices of treasury bond futures fluctuate [4]. - Arbitrage: Pay attention to the decline of the 2603 basis [4]. - Hedging: There is an adjustment pressure in the medium term. Short - position holders can use far - month contracts for moderate hedging [4].