国债期货日报：股债跷跷板延续，国债期货全线收跌-20260107

1. Report's Industry Investment Rating No information provided. 2. Core Viewpoints of the Report - The stock - bond seesaw continues, and treasury bond futures close down across the board. The bond market oscillates between stable growth and easing expectations. In the short term, attention should be paid to the policy signals at the end of the month [1][3]. - The current fiscal policy aims to stabilize the aggregate, adjust the structure, and provide support. In the short term, it provides some support to the economy, but stronger impetus depends on the implementation of quasi - fiscal funds and next year's policy intensification [2]. - The financial data in November is generally weak. The follow - up stable growth still depends more on the monetary side [2]. 3. Summary by Relevant Catalogs I. Interest Rate Pricing Tracking Indicators - Price indicators: China's CPI (monthly) has a month - on - month decrease of 0.10% and a year - on - year increase of 0.70%; China's PPI (monthly) has a month - on - month increase of 0.10% and a year - on - year decrease of 2.20% [9]. - Economic indicators (monthly update): The social financing scale is 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 is 8.00%, with a decrease of 0.20% and a decline rate of 2.44%; the manufacturing PMI is 50.10%, with an increase of 0.90% and a growth rate of 1.83% [10]. - Economic indicators (daily update): The US dollar index is 98.60, with a month - on - month increase of 0.27 and a growth rate of 0.27%; the US dollar against the offshore RMB is 6.9763, with a month - on - month increase of 0.000 and a growth rate of 0.01% etc. [10]. II. Overview of the Treasury Bond and Treasury Bond Futures Market - Closing prices and price changes on January 6, 2026: The closing prices of TS, TF, T, and TL are 102.37 yuan, 105.57 yuan, 107.70 yuan, and 110.93 yuan respectively, with price changes of - 0.05%, - 0.11%, - 0.13%, and - 0.31% respectively [3]. - Net basis spreads: The average net basis spreads of TS, TF, T, and TL are 0.048 yuan, - 0.026 yuan, 0.034 yuan, and - 0.055 yuan respectively [3]. III. Overview of the Money Market Liquidity - In November, the year - on - year growth of general public budget revenue slowed down due to the high base, but the annual revenue progress was still fast. The expenditure decline narrowed significantly, and the structure was more inclined to people's livelihood and investment. The government - funded revenue was still dragged down by the real estate market, but the accelerated issuance of special bonds drove the year - on - year increase in expenditure [2]. - The financial data in November was generally weak. Credit was still supported by bills and short - term loans, and the medium - and long - term financing needs of residents and enterprises continued to decline. The growth rate of social financing remained at 8.5%, mainly hedged by corporate bonds and off - balance - sheet financing [2]. - On January 6, 2026, the central bank conducted a 7 - day reverse repurchase operation of 1.62 billion yuan at a fixed interest rate of 1.4%. The main term repurchase rates 1D, 7D, 14D, and 1M are 1.263%, 1.422%, 1.465%, and 1.569% respectively, and the repurchase rates have recently declined [2]. IV. Spread Overview The report provides various spread data, such as the inter - period spread trends of treasury bond futures varieties, and the spread relationships between spot - bond term spreads and futures cross - variety spreads [28][34][40]. V. Two - Year Treasury Bond Futures The report shows data such as the implied interest rate of the two - year treasury bond futures main contract and the treasury bond maturity yield, the IRR of the TS main contract and the capital interest rate, and the three - year basis spread and net basis spread trends of the TS main contract [38][41][46]. VI. Five - Year Treasury Bond Futures It includes the implied interest rate of the five - year treasury bond futures main contract and the treasury bond maturity yield, the IRR of the TF main contract and the capital interest rate, and the three - year basis spread and net basis spread trends of the TF main contract [47][51]. VII. Ten - Year Treasury Bond Futures The report presents the implied yield of the ten - year treasury bond futures main contract and the treasury bond maturity yield, the IRR of the T main contract and the capital interest rate, and the three - year basis spread and net basis spread trends of the T main contract [52][53]. VIII. Thirty - Year Treasury Bond Futures It contains the implied yield of the thirty - year treasury bond futures main contract and the treasury bond maturity yield, the IRR of the TL main contract and the capital interest rate, and the three - year basis spread and net basis spread trends of the TL main contract [58][60]. 4. Strategies - Unilateral strategy: As repurchase rates decline, treasury bond futures prices oscillate [4]. - Arbitrage strategy: Pay attention to the decline of the 2603 basis spread [4]. - Hedging strategy: There is medium - term adjustment pressure. Short - sellers can use far - month contracts for appropriate hedging [4].