国债期货日报：政策预期博弈下，国债期货涨跌分化-20250627

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Last week, the yield of treasury bonds showed a volatile and slightly stronger trend. Although the social financing data increased year - on - year, it was mainly driven by government bonds, and the credit demand remained weak. Coupled with the manufacturing PMI still below the boom - bust line, it strengthened the market's judgment of a weak economy, supporting the bond market. Geopolitical tensions and the escalation of the Middle East situation increased risk - aversion sentiment, which was also beneficial to the bond market. Although the Lujiazui Forum signaled financial opening, there were no more - than - expected loose measures, cooling the market's expectation of the central bank's treasury bond trading, causing interest - rate bonds to rise and then fall. In June, the LPR remained unchanged, the stock market weakened, and the capital side was relatively stable. The bond market generally rose, and the market's expectation of loose policies in the second half of the year increased. Ultra - long - term treasury bond trading was active, but the overall situation was still affected by the policy vacuum period [3]. 3. Summary by Directory 3.1 Interest Rate Pricing Tracking Indicators - Price indicators: China's CPI (monthly) had a month - on - month change of - 0.20% and a year - on - year change of - 0.10%; China's PPI (monthly) had a month - on - month change of - 0.40% and a year - on - year change of - 3.30% [8]. - Monthly economic indicators: The social financing scale was 426.16 trillion yuan, with a month - on - month increase of 2.16 trillion yuan and a growth rate of 0.51%; M2 year - on - year was 7.90%, with a decrease of 0.10% and a decline rate of 1.25%; the manufacturing PMI was 49.50%, with an increase of 0.50% and a growth rate of 1.02% [8]. - Daily economic indicators: The US dollar index was 97.31, with a decrease of 0.40 and a decline rate of 0.41%; the US dollar against the offshore RMB was 7.1603, with a decrease of 0.008 and a decline rate of 0.11%; SHIBOR 7 - day was 1.67, with no change and a decline rate of 0.06%; DR007 was 1.69, with a decrease of 0.01 and a decline rate of 0.51%; R007 was 1.64, with a decrease of 0.12 and a decline rate of 6.66%; the 3 - month inter - bank certificate of deposit (AAA) was 1.63, with an increase of 0.01 and a growth rate of 0.78%; the AA - AAA credit spread (1Y) was 0.07, with a decrease of 0.01 and a growth rate of 0.78% [8]. 3.2 Treasury Bonds and Treasury Bond Futures Market Overview No specific content provided for summary other than figure references such as the closing price trend of the main continuous contracts of treasury bond futures and the price change situation of various treasury bond futures varieties [9][15][17][19]. 3.3 Money Market Fundamentals - On June 26, 2025, the central bank carried out a 7 - day reverse repurchase operation of 509.3 billion yuan at a fixed interest rate of 1.5%. The main term repurchase interest rates of 1D, 7D, 14D, and 1M were 1.370%, 1.670%, 1.736%, and 1.622% respectively, and the repurchase interest rates had recently declined [2]. 3.4 Spread Overview No specific content provided for summary other than figure references such as the inter - period spread trend of various treasury bond futures varieties and the spread between spot - bond term spreads and futures cross - variety spreads [41][44][45]. 3.5 Two - Year Treasury Bond Futures No specific content provided for summary other than figure references such as the implied interest rate of the TS main contract and the maturity yield of treasury bonds, and the IRR of the TS main contract and the capital interest rate [47][49]. 3.6 Five - Year Treasury Bond Futures No specific content provided for summary other than figure references such as the implied interest rate of the TF main contract and the maturity yield of treasury bonds, the basis trend of the TF main contract in the past three years, and the net basis trend of the TF main contract in the past three years [56][59][62]. 3.7 Ten - Year Treasury Bond Futures No specific content provided for summary other than figure references such as the implied interest rate of the T main contract and the maturity yield of treasury bonds, the basis trend of the T main contract in the past three years, and the net basis trend of the T main contract in the past three years [67][70]. 3.8 Thirty - Year Treasury Bond Futures No specific content provided for summary other than figure references such as the implied interest rate of the TL main contract and the maturity yield of treasury bonds, the basis trend of the TL main contract in the past three years, and the net basis trend of the TL main contract in the past three years [75][78][81]. 3.9 Strategies - Unilateral: The repurchase interest rate declined, the price of treasury bond futures fluctuated, and the 2509 contract was neutral [4]. - Arbitrage: Pay attention to the widening of the basis [4]. - Hedging: There is an adjustment pressure in the medium term, and short - sellers can use far - month contracts for appropriate hedging [4].