国债期货日报 | 2025-11-26 股债跷跷板明显，国债期货全线收跌 宏观面：（1）宏观政策：10月27日，央行时隔近十个月宣布重启公开市场国债买卖操作，向市场释放了明确的稳 预期信号;10月30日，中美经贸团队达成三方面成果共识，一是中方将与美方妥善解决TikTok相关问题;二是美方将 暂停实施其对华海事、物流和造船业301调查措施一年，同时将暂停实施其9月29日公布的出口管制50%穿透性规则 一年;三是美方取消10%"芬太尼关税"，对中国商品24%对等关税将继续暂停一年。国务院关税税则委员会宣布在一 年内继续暂停实施24%的对美加征关税税率，保留10%的对美加征关税税率。（2）通胀:10月CPI同比上升0.2%。 资金面：（3）财政：2025 年 1–10 月财政运行呈现"收入温和修复、支出节奏回落、基金收缩与专项债放缓并存" 的特征。一般公共预算收入同比增长 0.8%，税收连续八个月改善，增值税、个税和企业所得税均保持修复态势， 但非税收入拖累整体增速，收入完成进度略低于往年均值；一般公共预算支出同比仅增 2%，连续三个月放缓，主 要受上半年财政前置发力后劲不足以及基建类支出走弱影响，社保与教育仍保 ...

Report Industry Investment Rating No relevant content provided. Core Viewpoints The bond market fluctuates between stable growth and easing expectations. Affected by the stock market, weak US employment, divergent expectations of Fed rate cuts, and rising global trade uncertainties increase the uncertainty of foreign capital inflows. Short - term attention should be paid to policy signals at the end of the month [2][4]. Summary by Directory 1. Interest Rate Pricing Tracking Indicators - China's CPI (monthly) has a 0.20% increase both month - on - month and year - on - year, while China's PPI (monthly) has a 0.10% month - on - month increase and a 2.10% year - on - year decrease [10]. - The social financing scale is 437.72 trillion yuan, with a 0.64 trillion yuan (+0.15%) month - on - month increase; M2 year - on - year is 8.20%, with a 0.20% (-2.38%) decrease; the manufacturing PMI is 49.00%, with a 0.80% (-1.61%) decrease [11]. - The US dollar index is 100.22, with a 0.09 (+0.09%) increase; the US dollar against the offshore RMB is 7.1179, with a 0.007 (+0.10%) increase; SHIBOR 7 - day is 1.46, with a 0.03 (-1.82%) decrease; DR007 is 1.49, with a 0.03 (-1.81%) decrease; R007 is 1.51, with a 0.02 (-1.24%) decrease; the 3 - month inter - bank certificate of deposit (AAA) is 1.58, with a 0.00 (+0.20%) increase; the AA - AAA credit spread (1Y) is 0.08, with a 0.00 (+0.20%) increase [11]. 2. Overview of the Treasury Bond and Treasury Bond Futures Market - On November 20, 2025, the closing prices of TS, TF, T, and TL are 102.46 yuan, 105.94 yuan, 108.49 yuan, and 115.87 yuan respectively, with price changes of 0.00%, 0.06%, 0.06%, and - 0.21% respectively [4]. - The average net basis of TS, TF, T, and TL are 0.004 yuan, 0.000 yuan, - 0.030 yuan, and 0.337 yuan respectively [4]. 3. Overview of the Money Market Fundamentals - From January to October 2025, the general public budget revenue increased by 0.8% year - on - year, and the general public budget expenditure increased by 2% year - on - year [3]. - At the end of October, social financing and credit maintained low - level expansion, government bond issuance remained strong, and the financing demand of enterprises and residents was weak. M1 declined, and the M2 - M1 gap widened [3]. - On November 20, 2025, the central bank conducted a 300 - billion - yuan 7 - day reverse repurchase operation at a fixed interest rate of 1.4% [3]. - The main term repurchase rates for 1D, 7D, 14D, and 1M are 1.364%, 1.460%, 1.546%, and 1.518% respectively, and the repurchase rates have recently declined [3]. 4. Spread Overview - There are various spread data in the report, including the inter - period spread trends of various treasury bond futures, and the term spreads between spot bonds and cross - variety spreads of futures [32][36][37]. 5. Two - Year Treasury Bond Futures - There are data on the implied interest rate of the two - year treasury bond futures main contract and the treasury bond yield to maturity, as well as the IRR of the TS main contract and the capital interest rate [39][41]. 6. Five - Year Treasury Bond Futures - There are data on the implied interest rate of the five - year treasury bond futures main contract and the treasury bond yield to maturity, as well as the IRR of the TF main contract and the capital interest rate [52]. 7. Ten - Year Treasury Bond Futures - There are data on the implied yield of the ten - year treasury bond futures main contract and the treasury bond yield to maturity, as well as the IRR of the T main contract and the capital interest rate [59]. 8. Thirty - Year Treasury Bond Futures - There are data on the implied yield of the thirty - year treasury bond futures main contract and the treasury bond yield to maturity, as well as the IRR of the TL main contract and the capital interest rate [66]. Strategy - Unilateral: With the decline of the repurchase rate and the fluctuation of treasury bond futures prices, the 2512 contract is neutral [5]. - Arbitrage: Pay attention to the decline of the 2512 basis [5]. - Hedging: There is an adjustment pressure in the medium term, and short - sellers can use far - month contracts for appropriate hedging [5].

Core Viewpoint - Gold prices have shown a strong upward trend, closing at a significant high, driven by weak U.S. economic data and strong expectations for interest rate cuts [1][2]. Fundamental Analysis - Weak U.S. economic data: October saw a significant reduction in job openings, and early November consumer confidence index dropped sharply due to recession fears, reinforcing expectations for a dovish stance from the Federal Reserve [2]. - Strong rate cut expectations: CME Group data indicates a 64% probability of a rate cut in December, rising to approximately 77% in January, enhancing the appeal of non-yielding assets like gold [2]. - Internal divisions within the Federal Reserve: Some officials support rate cuts while others remain cautious, creating policy uncertainty that provides upward momentum for gold prices [2]. - Impact of government shutdown: Although the shutdown may soon end, the lingering economic damage continues to bolster expectations for rate cuts and does not diminish gold's safe-haven demand [2]. - Global trade uncertainties: Changes in U.S. tariff policies and a decline in U.S.-China import volumes amplify economic risks, increasing demand for gold as a safe haven [2]. Technical Analysis - Daily chart analysis: Gold exhibited a strong upward trend on Monday, closing with a significant bullish candlestick. The 5-day and 10-day moving averages have formed a golden cross, indicating a potential continuation of the upward trend. Key support is at the 5-day moving average around 4035, with resistance levels at 4134 and 4192/4193, corresponding to key Fibonacci retracement levels [3]. - Four-hour chart analysis: After breaking through the critical level of 4046, gold continues its strong upward trajectory. The current structure is likely a "double three-wave" pattern. The upward movement from the low of 3886 to 4046 is identified as the X-A wave, while the subsequent drop to 3928 is the X-B wave. The current rise from 3928 is identified as the X-C wave, which is expected to unfold in five waves [5]. - Detailed wave structure: The rise from 3928 to 4019 is considered the first wave, followed by a drop to 3965 as the second wave. Gold is currently in the third wave of the X-C wave, with a focus on the continuation of this upward trend. Observations will be made for any signs of resistance to anticipate the fourth wave's adjustment [5].

Report Industry Investment Rating No relevant content provided. Core Viewpoints of the Report - Affected by the central bank's restart of treasury bond trading and the continued expectation of the Fed's interest rate cut, most treasury bond futures closed lower the previous day. Overall, the increasing global trade uncertainty adds to the uncertainty of foreign capital inflows. The bond market fluctuates between the expectations of stable growth and monetary easing. Short - term attention should be paid to the policy signals at the end of the month [3]. - For trading strategies, in the unilateral trading, with the decline of repo rates and the fluctuating prices of treasury bond futures, the 2512 contract is neutral; in the arbitrage trading, attention should be paid to the decline of the basis of the 2512 contract; in the hedging, as there is medium - term adjustment pressure, short - side traders can use far - month contracts for appropriate hedging [4]. Summary by Relevant Catalogs 1. Interest Rate Pricing Tracking Indicators - Price indicators: China's CPI (monthly) had a month - on - month increase of 0.10% and a year - on - year decrease of 0.30%; China's PPI (monthly) had a month - on - month change of 0.00% and a year - on - year decrease of 2.30% [9]. - Monthly economic indicators: The social financing scale was 437.08 trillion yuan, with a month - on - month increase of 3.42 trillion yuan or 0.79%; M2 year - on - year growth was 8.40%, a decrease of 0.40 percentage points or 4.55% compared to the previous period; the manufacturing PMI was 49.00%, a decrease of 0.80 percentage points or 1.61% [10]. - Daily economic indicators: The US dollar index was 100.16, a decrease of 0.05 or 0.05%; the offshore US dollar - to - RMB exchange rate was 7.1310, with no change; SHIBOR 7 - day was 1.42, an increase of 0.01 or 0.57%; DR007 was 1.44, an increase of 0.01 or 0.81%; R007 was 1.53, an increase of 0.02 or 1.49%; the 3 - month inter - bank certificate of deposit (AAA) was 1.57, a decrease of 0.01 or 0.40%; the AA - AAA credit spread (1Y) was 0.09, with a decrease of 0.40% [10]. 2. Overview of Treasury Bonds and Treasury Bond Futures Markets - The overview includes multiple figures such as the closing price trend of the continuous main contract of treasury bond futures, the price change rate of each treasury bond futures variety, the trend of the settled funds of each treasury bond futures variety, the proportion of positions held in each treasury bond futures variety, the net position proportion of each treasury bond futures variety (top 20), the long - short position ratio of each treasury bond futures variety (top 20), the spread between China Development Bank bonds and treasury bonds, and the issuance of treasury bonds [13][16][19]. 3. Overview of the Money Market Funding Situation - It involves figures such as the trend of Shibor interest rates, the trend of the maturity yields of inter - bank certificates of deposit (AAA), the trading statistics of inter - bank pledged repurchase, and the issuance of local bonds [23][24]. 4. Spread Overview - This part contains figures showing the term spread of spot bonds and the cross - variety spread of futures, including 4*TS - T, 2*TS - TF, 2*TF - T, 3*T - TL, and 2*TS - 3*TF + T, as well as the cross - term spread trend of each treasury bond futures variety [28][32][33]. 5. Two - Year Treasury Bond Futures - It includes figures of the implied interest rate of the main contract of two - year treasury bond futures and the maturity yield of treasury bonds, the IRR of the TS main contract and the funding rate, the three - year basis trend of the TS main contract, and the three - year net basis trend of the TS main contract [35][39][46]. 6. Five - Year Treasury Bond Futures - Relevant figures are the implied interest rate of the main contract of five - year treasury bond futures and the maturity yield of treasury bonds, the IRR of the TF main contract and the funding rate, the three - year basis trend of the TF main contract, and the three - year net basis trend of the TF main contract [48][52]. 7. Ten - Year Treasury Bond Futures - It covers figures such as the implied yield of the main contract of ten - year treasury bond futures and the maturity yield of treasury bonds, the IRR of the T main contract and the funding rate, the three - year basis trend of the T main contract, and the three - year net basis trend of the T main contract [55][57]. 8. Thirty - Year Treasury Bond Futures - The figures include the implied yield of the main contract of thirty - year treasury bond futures and the maturity yield of treasury bonds, the IRR of the TL main contract and the funding rate, the three - year basis trend of the TL main contract, and the three - year net basis trend of the TL main contract [62][67].

Core Insights - The US manufacturing sector continued to contract in September, with the PMI at 49.1, indicating a seventh consecutive month of contraction despite a slight improvement from August's 48.7 [1][2] - The output index returned to expansion at 51, a significant increase of 3.2 percentage points from August, while the new orders index fell to 48.9, ending a brief expansion [1][2] - Employment in manufacturing remains weak, with the employment index at 45.3, indicating eight months of contraction, as companies resort to layoffs or hiring freezes [1][2] Manufacturing Sector Performance - The manufacturing PMI has been below the neutral mark of 50 for seven months, reflecting ongoing weakness in the sector [2] - Only five out of 18 manufacturing categories reported growth, including petroleum, primary metals, textiles, metal products, and other manufacturing, while 11 sectors, such as wood, plastics, chemicals, transportation equipment, and electronics, reported declines [2] - The overall economic expansion continues, with the PMI reading corresponding to an annualized GDP growth of approximately 1.9% [2] Price and Inventory Trends - The price index for September was 61.9, indicating continued upward pressure on raw material costs, despite a decrease of 1.8 percentage points from the previous month [1] - The inventory index fell to 47.7, suggesting increased pressure on companies to reduce inventory levels [1] - Customer inventories are generally low, which may benefit production in the future, but current business confidence is still affected by tariffs and global trade uncertainties [2]

Core Insights - Recent leadership changes at Merck and GSK reflect increasing challenges faced by multinational companies in the pharmaceutical industry [3][5][6] Group 1: GSK Leadership Change - GSK appointed Luke Miels as the new CEO, effective January 1, 2025, succeeding Emma Walmsley, who served for nine years [5] - Under Walmsley's leadership, GSK's stock price fell approximately 11%, raising investor concerns about the company's ability to achieve its sales target of over £40 billion by 2031 [5] - GSK's recent challenges include tariff issues in Europe and pressure from the U.S. government regarding drug pricing, alongside a slowdown in vaccine demand in China [5] Group 2: Merck Leadership Change - Merck announced that Kai Beckman will take over as CEO from Belén Garijo on May 1, 2026, with Garijo remaining in her role in the healthcare division [6] - Garijo has been with Merck for 15 years and has focused on strategic partnerships rather than large acquisitions, opting for medium-sized deals valued between €500 million and €600 million [6] - Merck is adjusting its supply chain to enhance resilience in response to global trade uncertainties and the complex environment in the Chinese healthcare sector [6]

Group 1 - The euro has rebounded from a three-week low but remains constrained below 1.1690, with a slight increase observed on Friday after hitting a daily low of 1.1645, although it is expected to see a weekly decline of 0.55% [1] - Strong U.S. GDP growth and a decrease in initial jobless claims have alleviated concerns about the U.S. economy, boosting the dollar and reducing expectations for Federal Reserve rate cuts [1][3] - The U.S. second-quarter GDP growth rate was revised up to 3.8%, exceeding the previous estimate of 3.3%, driven by strong consumer spending, although weak export activity partially offset this growth [3] Group 2 - President Trump announced new tariffs on heavy trucks, brand-name drugs, and cabinets, raising concerns about global trade uncertainty and negatively impacting risk appetite in Asian markets [2][4] - The market is closely watching the upcoming Personal Consumption Expenditures (PCE) price index report for insights into the Federal Reserve's monetary policy direction, with expectations of a modest rise in overall PCE inflation to 2.7% [2][4] - Following the release of positive economic data, investors have reduced bets on Federal Reserve easing, with the probability of a rate cut in October dropping from over 90% to 87% [3]

Core Viewpoint - Since 2025, China's exports have maintained a strong growth rate despite increasing global trade uncertainties, primarily driven by high growth in non-US exports offsetting declines in exports to the US [4][5]. Group 1: Export Performance - From January to August 2025, China's exports remained robust, with ASEAN, Africa, and the EU being the main contributors, while the US was a significant drag [5]. - China's export products are increasingly concentrated in high-end manufacturing, with labor-intensive industries shifting from product exports to capacity relocation [5]. Group 2: Drivers of Non-US Export Growth - Transshipment trade is not the main reason for high export growth; since May 2024, China's exports to non-US regions have maintained a high year-on-year growth rate due to a combination of high global manufacturing activity and low year-on-year base [6]. - For the EU, the main driver of high export growth is the recovery in consumer spending, influenced by multiple interest rate cuts since June 2024, which positively impacted both corporate investment and consumer spending [6]. - In the ASEAN region, capacity relocation has driven growth in intermediate goods exports, particularly in consumer electronics, with significant contributions from electronic components [6]. - In Africa, comprehensive deepening of mineral industry cooperation and consumer demand has led to a 46.5% year-on-year increase in exports through foreign contracting projects, with high growth in machinery and consumer goods exports [7]. Group 3: Future Export Logic - Looking ahead, two main factors are expected to drive exports: competitive product advantages that can enhance China's import share in non-US regions, and a significant increase in global capital expenditure driven by various factors including developed countries' industrial policies and the recovery of global manufacturing PMI [8].

Report Industry Investment Rating No relevant content provided. Core Viewpoints - The bond market is suppressed by the recent increase in risk appetite. Meanwhile, the expectation of the Fed's interest rate cut and the rising global trade uncertainty add to the uncertainty of foreign capital inflows. Overall, the bond market fluctuates between the expectations of stable growth and monetary easing. Short - term attention should be paid to the policy signals at the end of the month [3]. - With the repurchase rate rising, the prices of Treasury bond futures fluctuate. Attention should be paid to the decline of the basis of the 2512 contract. In the medium - term, there is adjustment pressure, and short - sellers can use far - month contracts for appropriate hedging [4]. Summary by Directory 1. Interest Rate Pricing Tracking Indicators - **Price Indicators**: China's monthly CPI has a 0.00% month - on - month change and a - 0.40% year - on - year change; China's monthly PPI has a 0.00% month - on - month change and a - 2.90% year - on - year change [9]. - **Monthly Economic Indicators**: The social financing scale is 431.26 trillion yuan, with a month - on - month increase of 1.04 trillion yuan (+0.24%); M2 year - on - year growth is 8.80%, with a month - on - month increase of 0.50% (+6.02%); the manufacturing PMI is 49.40%, with a month - on - month increase of 0.10% (+0.20%) [9]. - **Daily Economic Indicators**: The US dollar index is 97.54, with a day - on - day decrease of 0.28 (-0.29%); the offshore US dollar to RMB exchange rate is 7.1180, with a day - on - day decrease of 0.002 (-0.03%); SHIBOR 7 - day is 1.47, with a day - on - day increase of 0.02 (+1.17%); DR007 is 1.48, with a day - on - day increase of 0.01 (+0.34%); R007 is 1.51, with a day - on - day decrease of 0.05 (-3.26%); the yield of 3 - month inter - bank certificates of deposit (AAA) is 1.58, with a day - on - day increase of 0.01 (+0.32%); the AA - AAA credit spread (1Y) is 0.08, with a day - on - day decrease of 0.01 (-11.11%) [9]. 2. Overview of the Treasury Bond and Treasury Bond Futures Market - Relevant figures include the closing price trend of the main continuous contracts of Treasury bond futures, the price changes of each Treasury bond futures variety, the precipitation of funds in each Treasury bond futures variety, the proportion of open interest in each Treasury bond futures variety, the net open interest ratio (top 20) of each Treasury bond futures variety, the long - short open interest ratio (top 20) of each Treasury bond futures variety, the spread between China Development Bank bonds and Treasury bonds, and the issuance of Treasury bonds [11][12][20]. 3. Overview of the Money Market Funding Situation - Relevant figures include the Shibor interest rate trend, the yield trend of inter - bank certificates of deposit (AAA) at maturity, the trading statistics of inter - bank pledged repurchase, and the issuance of local government bonds [23][26]. 4. Spread Overview - Relevant figures include the inter - delivery spread trend of each Treasury bond futures variety, and the term spread of cash bonds and the cross - variety spread of futures (4*TS - T, 2*TS - TF, 2*TF - T, 3*T - TL, 2*TS - 3*TF + T) [32][33][34]. 5. Two - Year Treasury Bond Futures - Relevant figures include the implied interest rate of the main contract of two - year Treasury bond futures and the Treasury bond yield to maturity, the IRR of the TS main contract and the funding rate, the term spread of cash bonds and the cross - variety spread of futures (2*TS - 3*TF + T), the three - year basis trend of the TS main contract, and the three - year net basis trend of the TS main contract [36][41][48]. 6. Five - Year Treasury Bond Futures - Relevant figures include the implied interest rate of the main contract of five - year Treasury bond futures and the Treasury bond yield to maturity, the IRR of the TF main contract and the funding rate, the three - year basis trend of the TF main contract, and the three - year net basis trend of the TF main contract [50][54]. 7. Ten - Year Treasury Bond Futures - Relevant figures include the implied yield of the main contract of ten - year Treasury bond futures and the Treasury bond yield to maturity, the IRR of the T main contract and the funding rate, the three - year basis trend of the T main contract, and the three - year net basis trend of the T main contract [57][58]. 8. Thirty - Year Treasury Bond Futures - Relevant figures include the implied yield of the main contract of thirty - year Treasury bond futures and the Treasury bond yield to maturity, the IRR of the TL main contract and the funding rate, the three - year basis trend of the TL main contract, and the three - year net basis trend of the TL main contract [64][70].

Group 1 - The Canadian dollar (CAD) is experiencing weakness due to the recent decline in international oil prices, which is closely linked to the performance of CAD as a commodity currency [1] - Despite a recent improvement in Canadian retail sales data providing a temporary boost to market sentiment, the overall outlook for CAD remains negative amid global economic slowdown and trade uncertainties [1] - CAD faces significant upward resistance and lacks the internal momentum for a sustained rebound unless oil prices trend upward or global risk appetite shifts significantly [1] Group 2 - If the USD/CAD exchange rate breaks above 1.3900, it may further test resistance levels at 1.3950 and the psychological level of 1.4000, with a potential new bullish trend if it surpasses the May high of 1.4015 [2] - The current rise in USD/CAD is primarily driven by the divergence in policies between the Federal Reserve and the Bank of Canada [2] - Key support levels for USD/CAD are in the range of 1.3855-1.3850, with further attention on 1.3800 and the 100-day moving average if it breaks below [2]