国债期货日报：反内卷政策催化风险偏好上升，国债期货多数收涨-20250808

Report Industry Investment Rating No relevant content provided. Core Viewpoints - The anti - involution policy catalyzes the rise of risk appetite, and most treasury bond futures closed higher. The market is affected by macro - policies, inflation, and the new policy of restoring VAT on the interest income of treasury bonds. There is an obvious "new - old bond spread" in the market. The repurchase rate has declined, and the price of treasury bond futures fluctuates. For the 2509 contract, it is neutral. Attention should be paid to the widening of the basis, and short - sellers can use far - month contracts for appropriate hedging [1][2][3]. Summary by Directory 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 49.30%, with a month - on - month decrease of 0.40% (-0.80%) [8]. - Daily Economic Indicators: The US dollar index was 98.07, with a month - on - month decrease of 0.16 (-0.16%); The US dollar against the offshore RMB was 7.1804, with a month - on - month decrease of 0.012 (-0.17%); SHIBOR 7 - day was 1.43, with a month - on - month decrease of 0.01 (-0.55%); DR007 was 1.45, with a month - on - month change of +0.00 (-0.29%); R007 was 1.68, with a month - on - month increase of 0.04 (+2.35%); The 3 - month inter - bank certificate of deposit (AAA) was 1.54, with a month - on - month change of +0.00 (-0.11%); The AA - AAA credit spread (1Y) was 0.09, with a month - on - month change of +0.00 (-0.11%) [9]. II. Overview of Treasury Bonds and Treasury Bond Futures Market - Closing Prices and Fluctuations: On August 7, 2025, the closing prices of TS, TF, T, and TL were 102.37 yuan, 105.83 yuan, 108.62 yuan, and 119.38 yuan respectively. The fluctuations were 0.00%, 0.05%, 0.05%, and 0.03% respectively [2]. - Net Basis Means: The net basis means of TS, TF, T, and TL were 0.004 yuan, 0.021 yuan, 0.005 yuan, and 0.076 yuan respectively [2]. III. Overview of the Money Market Funding Situation - Central Bank Operations: On August 7, 2025, the central bank conducted 160.7 billion yuan of 7 - day reverse repurchase operations at a fixed interest rate of 1.4% through quantity tender [1]. - Money Market Repurchase Rates: The main - term repurchase rates of 1D, 7D, 14D, and 1M were 1.315%, 1.434%, 1.479%, and 1.529% respectively, and the repurchase rates have recently declined [1]. IV. Spread Overview - New - Old Bond Spread: Due to the new policy of restoring VAT on the interest income of treasury bonds issued by the Ministry of Finance and the State Taxation Administration on August 1, from August 8, all newly - issued treasury bonds, local bonds, and financial bonds need to pay VAT. Coupled with the tax exemption for existing bonds, there is an obvious "new - old bond spread" in the market [2]. V. Two - Year Treasury Bond Futures - Related Indicators: Information on the implied interest rate, IRR, and basis of the TS main contract is presented in relevant charts [47][49][57]. VI. Five - Year Treasury Bond Futures - Related Indicators: Information on the implied interest rate, IRR, and basis of the TF main contract is presented in relevant charts [56][59]. VII. Ten - Year Treasury Bond Futures - Related Indicators: Information on the implied interest rate, IRR, and basis of the T main contract is presented in relevant charts [64][67]. VIII. Thirty - Year Treasury Bond Futures - Related Indicators: Information on the implied interest rate, IRR, and basis of the TL main contract is presented in relevant charts [73][76][79].