国债期货日报：股债跷跷板明显，国债期货大多收跌-20260106

Report Industry Investment Rating No relevant content provided. Core Viewpoints - Affected by the stock market, the Political Bureau meeting signaled loose monetary policy, LPR remained unchanged, and the Fed's interest - rate cut expectation continued. With rising global trade uncertainty increasing the uncertainty of foreign capital inflows, the bond market oscillates between stable growth and loose expectations. Short - term attention should be paid to the policy signals at the end of the month [1][3]. - The current fiscal policy stabilizes the total amount, adjusts the structure, and provides support. In the short term, it supports the economy, but stronger impetus depends on the implementation of quasi - fiscal funds and next year's policy reinforcement. In the context of weakening demand and expected policy easing, subsequent stable growth relies more on monetary policy [2]. Summary by Directory 1. Interest Rate Pricing Tracking Indicators - Price indicators: China's CPI monthly环比 is - 0.10% and同比 is 0.70%; China's PPI monthly环比 is 0.10% and同比 is - 2.20% [9]. - Monthly economic indicators: Social financing scale is 440.07 trillion yuan, with a环比 increase of 2.35 trillion yuan and a环比 growth rate of 0.54%; M2同比 is 8.00%, down 0.20% from the previous period; Manufacturing PMI is 50.10%, up 0.90% from the previous period with a环比 growth rate of 1.83% [10]. - Daily economic indicators: The US dollar index is 98.33, down 0.11 with a环比 change rate of - 0.11%; The offshore US dollar - to - RMB exchange rate is 6.9760, up 0.005 with a环比 change rate of 0.07%; SHIBOR 7 - day is 1.42, down 0.01 with a环比 change rate of - 0.35%; DR007 is 1.43, up 0.00 with a环比 change rate of 0.18%; R007 is 1.51, up 0.00 with a环比 change rate of - 0.31%; The 3 - month yield of inter - bank certificates of deposit (AAA) is 1.58, up 0.06 with a环比 change rate of 3.61%; The AA - AAA credit spread (1Y) is 0.09, up 0.00 with a环比 change rate of 3.61% [11]. 2. Overview of the Treasury Bond and Treasury Bond Futures Market - On 2026 - 01 - 05, the closing prices of TS, TF, T, and TL were 102.41 yuan, 105.71 yuan, 107.86 yuan, and 111.32 yuan respectively, with price changes of - 0.03%, - 0.02%, 0.03%, and - 0.05% respectively [3]. - The average net basis of TS, TF, T, and TL were 0.015 yuan, - 0.037 yuan, 0.042 yuan, and - 0.025 yuan respectively [3]. 3. Overview of the Money Market Funding Situation - In November, the general public budget revenue slowed down year - on - year due to the high base, but the annual revenue progress was still fast. The expenditure decline narrowed significantly, with a more people - oriented and investment - in - people structure. Government - managed funds revenue was still dragged down by real estate, but the accelerated issuance of special bonds drove the expenditure to turn positive year - on - year, supporting the broad - based fiscal situation [2]. - In November, financial data was generally weak. Credit was still supported by bills and short - term loans, and the medium - and long - term financing demand of residents and enterprises continued to decline. The social financing growth rate remained at 8.5%, mainly hedged by corporate bonds and off - balance - sheet financing. M1 and M2 growth rates declined simultaneously, indicating weak economic vitality [2]. - On 2026 - 01 - 05, the central bank conducted 13.5 billion yuan of 7 - day reverse repurchase operations at a fixed interest rate of 1.4% [2]. - The main repurchase rates for 1D, 7D, 14D, and 1M were 1.264%, 1.423%, 1.457%, and 1.574% respectively, and the repurchase rates have recently declined [2]. 4. Spread Overview - There are various spread indicators such as the inter - period spread of treasury bond futures, the spread between spot bond term spreads and futures cross - variety spreads (e.g., 4TS - T, 2TS - TF, 2TF - T, 3T - TL, 2TS - 3TF + T) [29][34][36]. 5. Two - Year Treasury Bond Futures - There are indicators such as 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][41][45]. 6. Five - Year Treasury Bond Futures - There are indicators such as 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 [46][53]. 7. Ten - Year Treasury Bond Futures - There are indicators such as 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 [54][55]. 8. Thirty - Year Treasury Bond Futures - There are indicators such as 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 [60][62]. Strategies - Unilateral: With the decline of repurchase rates and the oscillation of treasury bond futures prices, the 2512 contract is neutral [4]. - Arbitrage: Pay attention to the decline of the 2512 basis [4]. - Hedging: There is medium - term adjustment pressure, and short - position holders can moderately hedge with far - month contracts [4].