国债期货日报：政策预期博弈下，国债期货涨跌分化-20250702

Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - This week, the game points of Treasury bond futures are concentrated on the dual disturbances of risk preference and capital. The stock - bond seesaw effect dominates the market rhythm. The recovery of risk preference suppresses the bond market, and the rise of long - term interest rates pushes down the bond futures prices. The government bond tax payment peak and cross - month factors cause concerns about capital tightness, further suppressing the long sentiment of bond futures. However, the current domestic economic recovery momentum is still weak, so the monetary policy maintains a supportive stance and the liquidity environment is generally loose [3]. - In the short term, the bond market will continue to fluctuate under the game between loose capital and supply disturbances. The market's focus is gradually shifting to the Politburo meeting in July and the evolution of Sino - US trade relations. Future policy tones and external disturbances will dominate the direction of the market [4]. 3. Summary According to the Table of Contents I. Interest Rate Pricing Tracking Indicators - Price indicators: China's CPI (monthly) has a month - on - month change of - 0.20% and a year - on - year change of - 0.10%; China's PPI (monthly) has a month - on - month change of - 0.40% and a year - on - year change of - 3.30% [9]. - Monthly economic indicators: The social financing scale is 426.16 trillion yuan, with a month - on - month increase of 2.16 trillion yuan (+0.51%); M2 year - on - year is 7.90%, with a month - on - month decrease of 0.10% (-1.25%); the manufacturing PMI is 49.70%, with a month - on - month increase of 0.20% (+0.40%) [9]. - Daily economic indicators: The US dollar index is 96.65, with a day - on - day decrease of 0.16 (-0.17%); the offshore US dollar against the RMB is 7.1564, with a day - on - day decrease of 0.012 (-0.17%); SHIBOR 7 - day is 1.53, with a day - on - day decrease of 0.23 (-13.22%); DR007 is 1.55, with a day - on - day decrease of 0.37 (-19.32%); R007 is 1.64, with a day - on - day decrease of 0.12 (-6.66%); the inter - bank certificate of deposit (AAA) 3M is 1.57, with a day - on - day decrease of 0.02 (-1.02%); the AA - AAA credit spread (1Y) is 0.07, with a day - on - day increase of 0.00 (-1.02%) [9]. II. Overview of Treasury Bonds and Treasury Bond Futures Market - On July 1, 2025, the closing prices of TS, TF, T, and TL were 102.49 yuan, 106.21 yuan, 109.01 yuan, and 120.74 yuan respectively, with price changes of -0.01%, 0.06%, 0.10%, and 0.28% respectively. The average net basis of TS, TF, T, and TL was -0.011 yuan, -0.048 yuan, -0.029 yuan, and -0.017 yuan respectively [2]. III. Overview of the Money Market Capital - On July 1, 2025, the central bank conducted a 7 - day reverse repurchase operation of 131 billion yuan at a fixed interest rate of 1.4% through quantity tender. The main term repurchase rates of 1D, 7D, 14D, and 1M were 1.367%, 1.530%, 1.569%, and 1.617% respectively, and the repurchase rates have recently declined [2]. IV. Spread Overview No specific data analysis content is provided in the text, only the chart names related to spreads are given, such as the inter - period spread trends of various Treasury bond futures varieties, and the spreads between spot bond term spreads and futures cross - variety spreads [40]. V. Two - Year Treasury Bond Futures No specific data analysis content is provided in the text, only the chart names related to two - year Treasury bond futures are given, such as the implied interest rate of the TS main contract and the Treasury bond yield to maturity [46]. VI. Five - Year Treasury Bond Futures No specific data analysis content is provided in the text, only the chart names related to five - year Treasury bond futures are given, such as the implied interest rate of the TF main contract and the Treasury bond yield to maturity, and the basis trends of the TF main contract in the past three years [55]. VII. Ten - Year Treasury Bond Futures No specific data analysis content is provided in the text, only the chart names related to ten - year Treasury bond futures are given, such as the implied interest rate of the T main contract and the Treasury bond yield to maturity, and the basis trends of the T main contract in the past three years [66]. VIII. Thirty - Year Treasury Bond Futures No specific data analysis content is provided in the text, only the chart names related to thirty - year Treasury bond futures are given, such as the implied interest rate of the TL main contract and the Treasury bond yield to maturity, and the basis trends of the TL main contract in the past three years [74]. 4. Strategies - Unilateral: With the decline of repurchase rates and the fluctuation of Treasury bond futures prices, the 2509 contract is neutral [4]. - Arbitrage: Pay attention to the widening of the basis [4]. - Hedging: There is medium - term adjustment pressure, and short - sellers can use far - month contracts for appropriate hedging [4].