国债期货日报：政策兑现与外部扰动共振下，国债期货涨跌分化-20250606

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The overall trend of Treasury bond futures shows a weak and volatile pattern, with most yields rising, reflecting the adjustment sentiment after the market's positive factors are exhausted. The short - term interest bonds declined briefly due to the central bank's continuous net injection and loose liquidity before the end of the month. However, concerns about the weakening of allocation demand increased, and long - term yields stopped falling and rebounded. The market's optimistic sentiment was boosted by the US International Trade Court's "halt" of multiple tariff measures by the Trump administration, which increased global risk appetite and suppressed the demand for hedging, causing the yields of interest - rate bonds to rise from mid - week to the weekend, and Treasury bond futures to decline under pressure. Subsequently, the US Federal Circuit Court of Appeals approved the temporary resumption of the halted tariff policies, leading to a collective rise in Treasury bonds and Treasury bond futures. Overall, short - term wait - and - see sentiment is strong, and subsequent attention should be paid to the marginal changes in economic data and policy signals [3]. 3. Summary According to the Directory I. 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: 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 49.50%, with a month - on - month increase of 0.50% (+1.02%) [9]. - Daily Economic Indicators: The US dollar index was 98.74, with a month - on - month decrease of 0.08 (-0.08%); the US dollar against the offshore RMB was 7.1806, with a month - on - month decrease of 0.013 (-0.18%); SHIBOR 7 - day was 1.53, with a month - on - month decrease of 0.01 (-0.58%); DR007 was 1.55, with a month - on - month increase of 0.00 (-0.26%); 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 1.66, with a month - on - month decrease of 0.03 (-1.48%); the AA - AAA credit spread (1Y) was 0.09, with a month - on - month increase of 0.00 (-1.48%) [9]. II. Overview of the Treasury Bond and Treasury Bond Futures Market - Closing Prices and Fluctuations: On 2025 - 06 - 05, the closing prices of TS, TF, T, and TL were 102.43 yuan, 106.03 yuan, 108.72 yuan, and 119.31 yuan respectively. The fluctuations of TS, TF, T, and TL were 0.04%, 0.02%, - 0.01%, and - 0.16% respectively [2]. - Net Basis Spread: The average net basis spreads of TS, TF, T, and TL were - 0.107 yuan, - 0.031 yuan, - 0.033 yuan, and 0.134 yuan respectively [2]. III. Overview of the Money Market Fundamentals - Central Bank Operations: On 2025 - 06 - 05, the central bank conducted a 7 - day reverse repurchase operation of 126.5 billion yuan at a fixed interest rate of 1.5% [2]. - Money Market Repurchase Rates: The main - term repurchase rates of 1D, 7D, 14D, and 1M were 1.408%, 1.534%, 1.591%, and 1.620% respectively, and the repurchase rates have recently declined [2]. IV. Spread Overview - The report provides various spread data in 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., but specific numerical summaries are not given in the text [35]. V. Two - Year Treasury Bond Futures - The report presents figures such as 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 capital interest rate, and the basis spread trends of the TS main contract in the past three years, but specific numerical summaries are not given in the text [43]. VI. Five - Year Treasury Bond Futures - The report provides figures about 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 capital interest rate, and the basis spread trends of the TF main contract in the past three years, but specific numerical summaries are not given in the text [52]. VII. Ten - Year Treasury Bond Futures - The report offers figures 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 capital interest rate, and the basis spread trends of the T main contract in the past three years, but specific numerical summaries are not given in the text [63]. VIII. Thirty - Year Treasury Bond Futures - The report shows figures including 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 capital interest rate, and the basis spread trends of the TL main contract in the past three years, but specific numerical summaries are not given in the text [72]. 4. Strategies - Single - Side Strategy: With the decline of repurchase rates and the volatile prices of Treasury bond futures, the 2509 contract is neutral [4]. - Arbitrage Strategy: Pay attention to the widening of the basis spread [4]. - Hedging Strategy: There is medium - term adjustment pressure, and short - side investors can use far - month contracts for appropriate hedging [4].