央行续作买断式逆回购，国债期货涨跌分化

Report Industry Investment Rating No relevant content provided. Core Views of the Report - The bond market oscillates between the expectations of stable growth and policy easing, with short - term focus on end - of - month policy signals. This is due to factors such as the stock market trend, the broad - money signal released by the Politburo meeting, the unchanged LPR, the continued expectation of Fed rate cuts, and the increased uncertainty in global trade affecting foreign capital inflows [4]. Summary by Related Catalogs I. Interest Rate Pricing Tracking Indicators - Price Indicators: China's CPI (monthly) has a 0.20% month - on - month increase and a 0.80% year - on - year increase; China's PPI (monthly) has a 0.20% month - on - month increase and a - 1.90% year - on - year decrease [10]. - Monthly Economic Indicators: The social financing scale is 440.07 trillion yuan, with a month - on - month increase of 2.35 trillion yuan (+0.54%); M2 year - on - year growth is 8.00%, with a 0.20% decrease; the manufacturing PMI is 50.10%, with a 0.90% (+1.83%) increase [11]. - Daily Economic Indicators: The US dollar index is 99.08, with a 0.10 (-0.10%) decrease; the offshore US dollar - to - RMB exchange rate is 6.9697, with a 0.005 (-0.07%) decrease; SHIBOR 7 - day is 1.55, with a 0.03 (+1.77%) increase; DR007 is 1.57, with a 0.02 (+1.25%) increase; R007 is 1.68, with a 0.17 (+11.44%) increase; the 3 - month inter - bank certificate of deposit (AAA) is 1.61, with no change; the AA - AAA credit spread (1Y) is 0.09, with no change [12]. II. Overview of the Treasury Bond and Treasury Bond Futures Market - Closing Prices and Fluctuations: On January 14, 2026, the closing prices of TS, TF, T, and TL are 102.33 yuan, 105.66 yuan, 107.93 yuan, and 111.27 yuan respectively. Their fluctuations are 0.00%, 0.04%, 0.08%, and - 0.04% respectively [4]. - Net Basis Spreads: The average net basis spreads of TS, TF, T, and TL are 0.053 yuan, - 0.047 yuan, - 0.017 yuan, and 0.126 yuan respectively [4]. III. Overview of the Money Market Liquidity - Central Bank Operations: On January 14, 2026, the central bank conducted a 240.8 billion yuan 7 - day reverse repurchase operation at a fixed interest rate of 1.4% [3]. - Repo Rates: The main - term repo rates for 1D, 7D, 14D, and 1M are 1.390%, 1.550%, 1.567%, and 1.560% respectively, and the repo rates have recently declined [3]. IV. Spread Overview - Cross - Period and Cross - Variety Spreads: Information on the cross - period spreads of various treasury bond futures and the cross - variety spreads between spot and futures is presented in multiple figures, such as (4TS - T), (2TS - TF), etc. [26][32][34] V. Two - Year Treasury Bond Futures - Implied Interest Rate and Yield: The figure shows the implied interest rate of the two - year treasury bond futures' main contract and the treasury bond's maturity yield [36]. - IRR and Basis Spreads: Information about the TS main contract's IRR and its relationship with the funding rate, as well as the three - year basis spread and net basis spread trends, is provided [39][44]. VI. Five - Year Treasury Bond Futures - Implied Interest Rate and Yield: The figure shows the implied interest rate of the five - year treasury bond futures' main contract and the treasury bond's maturity yield [45]. - IRR and Basis Spreads: Information about the TF main contract's IRR and its relationship with the funding rate, as well as the three - year basis spread and net basis spread trends, is provided [50]. VII. Ten - Year Treasury Bond Futures - Implied Yield and Yield: The figure shows the implied yield of the ten - year treasury bond futures' main contract and the treasury bond's maturity yield [51]. - IRR and Basis Spreads: Information about the T main contract's IRR and its relationship with the funding rate, as well as the three - year basis spread and net basis spread trends, is provided [52]. VIII. Thirty - Year Treasury Bond Futures - Implied Yield and Yield: The figure shows the implied yield of the thirty - year treasury bond futures' main contract and the treasury bond's maturity yield [57]. - IRR and Basis Spreads: Information about the TL main contract's IRR and its relationship with the funding rate, as well as the three - year basis spread and net basis spread trends, is provided [62]. Strategy - Single - Side Strategy: With the decline of repo rates, the prices of treasury bond futures oscillate [5]. - Arbitrage Strategy: Pay attention to the decline of the 2603 basis spread [5]. - Hedging Strategy: There is medium - term adjustment pressure, and short - side investors can use far - month contracts for appropriate hedging [5].