国债期货日报：宏观宽松延续，国债期货全线收跌-20250711

Report Industry Investment Rating No relevant information provided. Core Viewpoints - The central bank's continuous net investment maintains loose market liquidity, and the term spread further widens, reflecting a definite expectation of loose short - term liquidity. Amid complex overseas situations and domestic stock market fluctuations, the bond market still has short - term repair momentum. In the medium and long term, supported by a weak economic fundamentals and loose policies, the foundation for a bond market bull market remains. In the short term, the bond market will continue to fluctuate due to the game between loose funding and supply disturbances, but the market's focus is gradually shifting to the Politburo meeting in July and the evolution of Sino - US trade relations. Future policy stances and external disturbances will dominate the market direction [2][3] Summary by Directory 1. Interest Rate Pricing Tracking Indicators - Price Indicators: China's CPI (monthly) has a month - on - month change of - 0.10% 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 - 3.60% [8] - Monthly Economic Indicators: 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%); Manufacturing PMI is 49.70%, with a month - on - month increase of 0.20% (+0.40%) [8] - Daily Economic Indicators: The US dollar index is 97.58, with a day - on - day increase of 0.09 (+0.09%); The offshore US dollar - to - RMB exchange rate is 7.1791, with a day - on - day decrease of 0.003 (-0.04%); SHIBOR 7 - day is 1.47, with a day - on - day increase of 0.01 (+0.68%); DR007 is 1.49, with a day - on - day increase of 0.02 (+1.21%); R007 is 1.68, with a day - on - day increase of 0.04 (+2.35%); The 3 - month inter - bank certificate of deposit (AAA) is 1.53, with a day - on - day decrease of 0.01 (-0.60%); The AA - AAA credit spread (1Y) is 0.06, with a day - on - day increase of 0.00 (-0.60%) [8] 2. Overview of the Treasury Bond and Treasury Bond Futures Market - The report presents multiple graphs related to the treasury bond futures market, including the closing price trend of the main continuous contracts, the price change rates of each variety, the maturity yield trend of treasury bonds at each term, the valuation change of treasury bonds at each term in the past day, the precipitation of funds in each variety of treasury bond futures, the proportion of open interest in each variety, the net open interest proportion of the top 20 in each variety, the long - short open interest ratio of the top 20 in each variety, the trading - to - open - interest ratio of each variety, the bond lending turnover and the total open interest of treasury bond futures, the spread between China Development Bank bonds and treasury bonds, and the issuance of treasury bonds [10][12][14][17][20][23][25] 3. Overview of the Money Market Funding Situation - The report shows graphs of the interest rate corridor, the central bank's open - market operations, the Shibor interest rate trend, the maturity yield trend of inter - bank certificates of deposit (AAA), the trading statistics of inter - bank pledged repurchase, and the issuance of local government bonds [30][32][35] 4. Spread Overview - The report includes graphs of the inter - term spread trend of each variety of treasury bond futures and the spread between the spot - bond term spread and the futures cross - variety spread for different combinations [39][41][42] 5. Two - Year Treasury Bond Futures - The report provides graphs of the implied interest rate of the TS main contract and the treasury bond maturity yield, the IRR of the TS main contract and the funding rate, the basis trend of the TS main contract in the past three years, and the net basis trend of the TS main contract in the past three years [44][46][52] 6. Five - Year Treasury Bond Futures - The report offers graphs of the implied interest rate of the TF main contract and the treasury bond maturity yield, the IRR of the TF main contract and the funding rate, 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 [51][54] 7. Ten - Year Treasury Bond Futures - The report presents graphs of the implied interest rate of the T main contract and the treasury bond maturity yield, the IRR of the T main contract and the funding rate, 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 [59][62] 8. Thirty - Year Treasury Bond Futures - The report shows graphs of the implied interest rate of the TL main contract and the treasury bond maturity yield, the IRR of the TL main contract and the funding rate, 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 [67][70][73] Strategies - Unilateral Strategy: With the decline of the repurchase rate and the fluctuating price of treasury bond futures, the 2509 contract is neutral [3] - Arbitrage Strategy: Pay attention to the widening of the basis [3] - Hedging Strategy: There is medium - term adjustment pressure, and short - side investors can use far - month contracts for moderate hedging [3]