债市震荡调整，国债期货全线收跌

Report Summary 1. Industry Investment Rating No information provided regarding the industry investment rating. 2. Core Viewpoints The bond market is experiencing a volatile adjustment, with all Treasury bond futures closing lower. Influenced by the stock market, the Political Bureau meeting signaled loose monetary policy, the LPR remained unchanged, and the Fed's interest - rate cut expectations and rising global trade uncertainties increased the uncertainty of foreign capital inflows. Overall, the bond market is oscillating between stable growth and easing expectations, and short - term attention should be paid to policy signals at the end of the month [1][3]. 3. Summary by Directory I. Interest Rate Pricing Tracking Indicators - Price Indicators: China's monthly CPI had a 0.20% month - on - month increase and 0.80% year - on - year increase; monthly PPI had a 0.20% month - on - month increase and - 1.90% year - on - year increase [8]. - Monthly Economic Indicators: The social financing scale was 442.12 trillion yuan, a 0.47% increase from the previous month; M2 year - on - year growth was 8.50%, a 6.25% increase from the previous month; the manufacturing PMI was 50.10%, a 1.83% increase from the previous month [9]. - Daily Economic Indicators: The US dollar index was 98.28, a - 0.51% change from the previous day; the offshore US dollar to RMB exchange rate was 6.9647, a 0.10% increase from the previous day. Other indicators such as SHIBOR 7 - day, DR007, etc. also showed corresponding changes [9]. II. Overview of Treasury Bonds and Treasury Bond Futures Market - Closing Price and Fluctuation: On January 22, 2026, the closing prices of TS, TF, T, and TL were 102.41 yuan, 105.84 yuan, 108.15 yuan, and 112.17 yuan respectively, with fluctuations of - 0.02%, - 0.04%, - 0.05%, and - 0.07% respectively [3]. - Other Indicators: The average net basis of TS, TF, T, and TL was 0.018 yuan, 0.019 yuan, - 0.013 yuan, and 0.069 yuan respectively [3]. III. Overview of the Money Market Liquidity - Central Bank Operations: On January 22, 2026, the central bank conducted 210.2 billion yuan of 7 - day reverse repurchase operations at a fixed interest rate of 1.4% [2]. - Repo Rates: The main term repo rates of 1D, 7D, 14D, and 1M were 1.413%, 1.497%, 1.590%, and 1.557% respectively, and the repo rates have recently declined [2]. IV. Spread Overview - Inter - period and Inter - variety Spreads: There are various spread indicators such as the inter - period spread of Treasury bond futures and the inter - variety spread between spot bonds and futures, including 4TS - T, 2TS - TF, etc. [26][29][35] V. Two - year Treasury Bond Futures - Implied Interest Rate and Yield: The implied interest rate of the two - year Treasury bond futures main contract and the yield of Treasury bonds are presented, along with the IRR of the TS main contract and the relationship with the funding rate [38][40]. - Basis and Net Basis: The three - year basis and net basis trends of the TS main contract are shown [46]. VI. Five - year Treasury Bond Futures - Implied Interest Rate and Yield: The implied interest rate of the five - year Treasury bond futures main contract and the yield of Treasury bonds are presented, along with the IRR of the TF main contract and the relationship with the funding rate [47]. - Basis and Net Basis: The three - year basis and net basis trends of the TF main contract are shown [54]. VII. Ten - year Treasury Bond Futures - Implied Yield and Yield: The implied yield of the ten - year Treasury bond futures main contract and the yield of Treasury bonds are presented, along with the IRR of the T main contract and the relationship with the funding rate [55]. - Basis and Net Basis: The three - year basis and net basis trends of the T main contract are shown [56]. VIII. Thirty - year Treasury Bond Futures - Implied Yield and Yield: The implied yield of the thirty - year Treasury bond futures main contract and the yield of Treasury bonds are presented, along with the IRR of the TL main contract and the relationship with the funding rate [61]. - Basis and Net Basis: The three - year basis and net basis trends of the TL main contract are shown [67]. 4. Strategies - Unilateral Strategy: With the decline in repo rates, Treasury bond futures prices are oscillating [4]. - Arbitrage Strategy: Pay attention to the decline in the basis of the 2603 contract [4]. - Hedging Strategy: There is medium - term adjustment pressure, and short - side investors can use far - month contracts for moderate hedging [4].