国债期货日报：宽松落地后的调整期内，国债期货全线收跌-20250528

Report Industry Investment Rating No relevant content provided. Core View of the Report - Last week, Treasury bond futures first rose and then fluctuated. The rise was mainly due to the policy benefits brought by the simultaneous reduction of LPR and deposit rates, which strengthened the market's expectation of a further decline in the interest rate center and boosted medium - and long - term interest - rate bonds. However, after the policy was implemented, along with the increasing game sentiment on the progress of Sino - US negotiations and future economic data, the risk preference recovered, increasing the upward pressure on long - bond yields, and the futures bond trends became more differentiated and volatile. The approaching supply of ultra - long - term special treasury bonds on the fiscal side also intensified market concerns about duration pressure. Overall, the subsequent trend still depends on the performance of economic data and the rhythm of fiscal policies [3] Summary by Directory 1. Interest Rate Pricing Tracking Indicators - Price Indicators: China's monthly CPI had a 0.10% month - on - month change and a - 0.10% year - on - year change; China's monthly PPI had a - 0.40% month - on - month change and a - 2.70% year - on - year change [9] - Monthly Economic Indicators: The social financing scale was 424.00 trillion yuan, with a month - on - month increase of 1.04 trillion yuan (+0.25%); M2 year - on - year was 8.00%, with a month - on - month increase of 1.00% (+14.29%); the manufacturing PMI was 49.00%, with a month - on - month decrease of 1.50% (-2.97%) [9] - Daily Economic Indicators: The US dollar index was 99.57, with a month - on - month increase of 0.60 (+0.61%); the offshore US dollar to RMB exchange rate was 7.1865, with a month - on - month increase of 0.017 (+0.23%); SHIBOR 7 - day was 1.60, with a month - on - month increase of 0.02 (+1.20%); DR007 was 1.62, with a month - on - month decrease of 0.04 (-2.17%); R007 was 1.76, with a month - on - month decrease of 0.21 (-10.82%); the 3 - month inter - bank certificate of deposit (AAA) was 1.69, with a month - on - month increase of 0.02 (+1.10%); the AA - AAA credit spread (1Y) was 0.10, with a month - on - month increase of 0.01 (+1.10%) [9] 2. Overview of Treasury Bonds and Treasury Bond Futures Market - Market Data: On May 27, 2025, the closing prices of TS, TF, T, and TL were 102.41 yuan, 106.03 yuan, 108.74 yuan, and 119.46 yuan respectively, with price changes of - 0.02%, - 0.03%, - 0.11%, and - 0.26% respectively. The average net basis of TS, TF, T, and TL was - 0.086 yuan, - 0.073 yuan, - 0.001 yuan, and 0.250 yuan respectively [2] 3. Overview of the Money Market Funding Situation - Central Bank Operations: On May 27, 2025, the central bank conducted a 448 - billion - yuan 7 - day reverse repurchase operation at a fixed interest rate of 1.5% [2] - Money Market Rates: The repurchase rates for 1D, 7D, 14D, and 1M were 1.452%, 1.598%, 1.667%, and 1.614% respectively, and the repurchase rates had recently declined [2] 4. Spread Overview - The report provides various spread data through multiple figures, including the inter - period spread trends of Treasury bond futures varieties, the term spread of spot bonds and the cross - variety spread of futures, etc. [36][41][42] 5. Two - Year Treasury Bond Futures - The report presents data on the implied interest rate of the TS main contract and the Treasury bond yield to maturity, the IRR of the TS main contract and the funding rate, and the basis and net basis trends of the TS main contract in the past three years through figures [44][46][57] 6. Five - Year Treasury Bond Futures - The report shows data on the implied interest rate of the TF main contract and the Treasury bond yield to maturity, the IRR of the TF main contract and the funding rate, and the basis and net basis trends of the TF main contract in the past three years through figures [53][56][59] 7. Ten - Year Treasury Bond Futures - The report provides data on the implied interest rate of the T main contract and the Treasury bond yield to maturity, the IRR of the T main contract and the funding rate, and the basis and net basis trends of the T main contract in the past three years through figures [64][67] 8. Thirty - Year Treasury Bond Futures - The report gives data on the implied interest rate of the TL main contract and the Treasury bond yield to maturity, the IRR of the TL main contract and the funding rate, and the basis and net basis trends of the TL main contract in the past three years through figures [71][76][78] Strategies - Unilateral Strategy: With the decline of repurchase rates and the fluctuating prices of Treasury bond futures, the 2509 contract is neutral [4] - Arbitrage Strategy: Pay attention to the widening of the basis [4] - Hedging Strategy: There is medium - term adjustment pressure, and short - sellers can use far - month contracts for appropriate hedging [4]