国债期货日报：债券供给过剩引发担忧，国债期货全线收跌-20250723

1. Report Industry Investment Rating - There is no information about the industry investment rating in the provided reports. 2. Core Viewpoints of the Report - Bond supply surplus has raised concerns, and all treasury bond futures closed lower. The strong stock market has boosted risk appetite, suppressing the bond market. The delayed expectation of the Fed's interest rate cut and increased global trade uncertainty have added uncertainty to foreign capital inflows. Overall, the bond market is oscillating between stable growth and easing expectations, and short - term attention should be paid to policy signals at the end of the month [1][2]. 3. Summary by Relevant Catalogs I. Interest Rate Pricing Tracking Indicators - Price Indicators: China's CPI (monthly) had a month - on - month change of - 0.10% 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 - 3.60% [8]. - Monthly Economic Indicators: Social financing scale was 430.22 trillion yuan, with a month - on - month increase of 4.06 trillion yuan (+0.95%); M2 year - on - year was 8.30%, with a month - on - month increase of 0.40% (+5.06%); Manufacturing PMI was 49.70%, with a month - on - month increase of 0.20% (+0.40%) [8]. - Daily Economic Indicators: The US dollar index was 97.39, down 0.47 (-0.48%); The offshore US dollar to RMB exchange rate was 7.1722, down 0.007 (-0.10%); SHIBOR 7 - day was 1.46, down 0.02 (-1.02%); DR007 was 1.47, down 0.02 (-1.07%); R007 was 1.68, up 0.04 (+2.35%); The 3 - month inter - bank certificate of deposit (AAA) was 1.55, up 0.01 (+0.45%); The AA - AAA credit spread (1Y) was 0.08, up 0.00 (+0.45%) [8]. II. Treasury Bond and Treasury Bond Futures Market Overview - Closing Prices and Price Changes: On July 22, 2025, the closing prices of TS, TF, T, and TL were 102.41 yuan, 105.89 yuan, 108.64 yuan, and 119.45 yuan respectively, with price changes of - 0.01%, - 0.05%, - 0.09%, and - 0.40% respectively [2]. - Net Basis Spreads: The average net basis spreads of TS, TF, T, and TL were - 0.011 yuan, - 0.047 yuan, 0.045 yuan, and - 0.047 yuan respectively [2]. III. Money Market Fundamentals - Central Bank Operations: On July 22, 2025, the central bank conducted 214.8 billion yuan of 7 - day reverse repurchase operations at a fixed interest rate of 1.4% [1]. - Money Market Interest Rates: The main term repurchase rates of 1D, 7D, 14D, and 1M were 1.317%, 1.462%, 1.551%, and 1.529% respectively, and the repurchase rates have recently declined [1]. IV. Spread Overview - Inter - period Spreads: The report mentions the inter - period spread trends of various treasury bond futures varieties, but specific data is not detailed here [40]. - Cross - variety Spreads: The report analyzes the spreads between spot bond term spreads and futures cross - variety spreads, such as (4TS - T), (2TS - TF), (2TF - T), (3T - TL), and (2TS - 3TF + T) [40][42][43]. V. Two - year Treasury Bond Futures - Implied Interest Rate and Yield: The report shows the relationship between the implied interest rate of the TS main contract and the treasury bond yield, as well as the relationship between the IRR of the TS main contract and the funding rate [45][47]. - Basis Spread Trends: The report presents the three - year basis spread and net basis spread trends of the TS main contract [54]. VI. Five - year Treasury Bond Futures - Implied Interest Rate and Yield: The report shows the relationship between the implied interest rate of the TF main contract and the treasury bond yield, as well as the relationship between the IRR of the TF main contract and the funding rate [53][56]. - Basis Spread Trends: The report presents the three - year basis spread and net basis spread trends of the TF main contract [53]. VII. Ten - year Treasury Bond Futures - Implied Interest Rate and Yield: The report shows the relationship between the implied interest rate of the T main contract and the treasury bond yield, as well as the relationship between the IRR of the T main contract and the funding rate [61]. - Basis Spread Trends: The report presents the three - year basis spread and net basis spread trends of the T main contract [64]. VIII. Thirty - year Treasury Bond Futures - Implied Interest Rate and Yield: The report shows the relationship between the implied interest rate of the TL main contract and the treasury bond yield, as well as the relationship between the IRR of the TL main contract and the funding rate [69][72]. - Basis Spread Trends: The report presents the three - year basis spread and net basis spread trends of the TL main contract [75]. 4. Strategies - Single - side Strategy: With the decline of repurchase rates and the oscillation of treasury bond futures prices, the 2509 contract is neutral [3]. - Arbitrage Strategy: Pay attention to the widening of the basis spread [3]. - Hedging Strategy: There is medium - term adjustment pressure, and short - side investors can moderately hedge with far - month contracts [3].