国债期货日报：政策兑现与外部扰动共振下，国债期货大多收跌-20250604

Report Industry Investment Rating No relevant content provided. Core Viewpoints - 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, boosting medium - and long - term interest - rate bonds and short - term Treasury bond futures. However, as policies were implemented, combined with increased speculation on Sino - US negotiations and future economic data, risk appetite recovered, increasing the upward pressure on long - bond yields and causing the futures bond trend to become more differentiated and volatile. Additionally, the approaching supply of ultra - long - term special Treasury bonds on the fiscal side intensified market concerns about duration pressure. Overall, the subsequent trend still depends on economic data performance and fiscal policy rhythm [3]. - For the trading strategy, the 2509 contract is neutral in the context of falling repo rates and fluctuating Treasury bond futures prices. Traders are advised to pay attention to the widening of the basis. In terms of hedging, as there is medium - term adjustment pressure, short - sellers can use far - month contracts for moderate hedging [4]. Summary by Directory 1. Interest Rate Pricing Tracking Indicators - Price Indicators: China's CPI (monthly) had a 0.10% month - on - month change and a - 0.10% year - on - year change; China's PPI (monthly) had a - 0.40% month - on - month change and a - 2.70% year - on - year change [9]. - Monthly Economic Indicators: 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 1.00% increase (+14.29%); Manufacturing PMI was 49.50%, with a 0.50% increase (+1.02%) [9]. - Daily Economic Indicators: The US dollar index was 99.23, with a 0.53 increase (+0.54%); the US dollar against the offshore RMB was 7.1980, with a 0.008 increase (+0.12%); SHIBOR 7 - day was 1.52, with a 0.10 decrease (-6.31%); DR007 was 1.55, with a 0.11 decrease (-6.90%); R007 was 1.76, with a 0.21 decrease (-10.82%); the 3 - month inter - bank certificate of deposit (AAA) was 1.69, with a 0.01 increase (+0.33%); the AA - AAA credit spread (1Y) was 0.09, with a 0.00 increase (+0.33%) [10]. 2. Overview of the Treasury Bond and Treasury Bond Futures Market - Closing Prices and Price Changes: On 2025 - 06 - 03, the closing prices of TS, TF, T, and TL were 102.35 yuan, 105.96 yuan, 108.69 yuan, and 119.45 yuan respectively. The price changes were - 0.04%, - 0.04%, - 0.03%, and +0.03% respectively [2]. - Net Basis: The average net basis of TS, TF, T, and TL was - 0.070 yuan, - 0.052 yuan, - 0.045 yuan, and - 0.162 yuan respectively [2]. 3. Overview of the Money Market Funding Situation - Central Bank Operations: On 2025 - 06 - 03, the central bank conducted a 454.5 - billion - yuan 7 - day reverse repurchase operation at a fixed interest rate of 1.5% [2]. - Money Market Repo Rates: The main - term repo rates for 1D, 7D, 14D, and 1M were 1.410%, 1.515%, 1.579%, and 1.620% respectively, and the repo rates had recently declined [2]. 4. Spread Overview - The report provides figures on the inter - period spread trends of various Treasury bond futures varieties and the term spread of cash bonds and cross - variety spreads of futures, including (4TS - T), (2TS - TF), (2TF - T), (3T - TL), and (2TS - 3TF + T) [35][40][41][44]. 5. Two - Year Treasury Bond Futures - Figures show 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 three - year basis and net basis trends of the TS main contract [43][46][57]. 6. Five - Year Treasury Bond Futures - Figures show 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 three - year basis and net basis trends of the TF main contract [53][56][59]. 7. Ten - Year Treasury Bond Futures - Figures show 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 three - year basis and net basis trends of the T main contract [64][69]. 8. Thirty - Year Treasury Bond Futures - Figures show 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 three - year basis and net basis trends of the TL main contract [71][77][79].