国债期货日报：权益回调，国债期货全线收涨-20260109

Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - The bond market fluctuates between stable growth and easing expectations, and short - term attention should be paid to policy signals at the end of the month. The stock market drives the market, the Political Bureau Meeting releases a loose monetary signal, the LPR remains unchanged, and the Fed's interest rate cut expectation continues while the uncertainty of global trade increases the uncertainty of foreign capital inflows. [1][3] Summary by Relevant Catalogs I. Interest Rate Pricing Tracking Indicators - Price indicators: China's monthly CPI has a month - on - month decrease of 0.10% and a year - on - year increase of 0.70%; China's monthly PPI has a month - on - month increase of 0.10% and a year - on - year decrease of 2.20% [9] - Monthly economic indicators: 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 month - on - month decrease of 0.20% and a decline rate of 2.44%; Manufacturing PMI is 50.10%, with a month - on - month increase of 0.90% and a growth rate of 1.83% [10] - Daily economic indicators: The US dollar index is 98.86, with a day - on - day increase of 0.12 and a growth rate of 0.12%; The US dollar against the offshore RMB is 6.9813, with a day - on - day decrease of 0.002 and a decline rate of 0.02%; SHIBOR 7 - day is 1.46, with a day - on - day increase of 0.01 and a growth rate of 0.83%; DR007 is 1.47, with a day - on - day increase of 0.01 and a growth rate of 0.79%; R007 is 1.51, with a day - on - day increase of 0.00 and a decline rate of 0.31%; The 3 - month interbank certificate of deposit (AAA) is 1.60, with a day - on - day decrease of 0.01 and a decline rate of 0.49%; The AA - AAA credit spread (1Y) is 0.09, with a day - on - day increase of 0.00 and a decline rate of 0.49% [10] II. Overview of the Treasury Bond and Treasury Bond Futures Market - Multiple charts are provided, including the closing price trend of the main continuous contract of treasury bond futures, the price change rate of each variety of treasury bond futures, the precipitation fund trend of each variety of treasury bond futures, the position ratio of each variety of treasury bond futures, the net position ratio of the top 20 in each variety of treasury bond futures, the long - short position ratio of the top 20 in each variety of treasury bond futures, the spread between China Development Bank bonds and treasury bonds, and the issuance of treasury bonds [11][15][18][21] III. Overview of the Money Market Liquidity - Multiple charts are provided, including the Shibor interest rate trend, the maturity yield trend of inter - bank certificates of deposit (AAA), the trading statistics of inter - bank pledged repurchase, and the local government bond issuance [28][33] IV. Spread Overview - Multiple charts are provided, showing the inter - term spread trend of each variety of treasury bond futures and the term spread of spot bonds and cross - variety spreads of futures [32][37][39] V. Two - Year Treasury Bond Futures - Multiple charts are provided, including the implied interest rate and the maturity yield of the main contract of two - year treasury bond futures, the IRR of the TS main contract and the fund interest rate, the three - year basis trend of the TS main contract, and the three - year net basis trend of the TS main contract [41][46][50] VI. Five - Year Treasury Bond Futures - Multiple charts are provided, including the implied interest rate and the maturity yield of the main contract of five - year treasury bond futures, the IRR of the TF main contract and the fund interest rate, the three - year basis trend of the TF main contract, and the three - year net basis trend of the TF main contract [51][54] VII. Ten - Year Treasury Bond Futures - Multiple charts are provided, including the implied yield and the maturity yield of the main contract of ten - year treasury bond futures, the IRR of the T main contract and the fund interest rate, the three - year basis trend of the T main contract, and the three - year net basis trend of the T main contract [55][56] VIII. Thirty - Year Treasury Bond Futures - Multiple charts are provided, including the implied yield and the maturity yield of the main contract of thirty - year treasury bond futures, the IRR of the TL main contract and the fund interest rate, the three - year basis trend of the TL main contract, and the three - year net basis trend of the TL main contract [61][62] Strategy - Unilateral: Repurchase rates decline, and treasury bond futures prices fluctuate [4] - Arbitrage: Pay attention to the decline of the 2603 basis [4] - Hedging: There is a medium - term adjustment pressure, and short - sellers can use far - month contracts for appropriate hedging [4]