国债期货日报-20250812

Report Information - Report Name: Treasury Bond Futures Daily Report 2025/8/12 [1] - Researcher: Liao Hongbin [3] - Futures从业资格号: F30825507 [3] - Futures Investment Consulting Practitioner Certificate Number: Z0020723 [3] Investment Rating - Not provided Core Views - On August 12, the yields of treasury bond cash bonds weakened collectively, with the yields of 1Y - 7Y maturities rising by about 0.10 - 0.60bp, and the yields of 10Y and 30Y rising by about 1bp to 1.72% and 1.97% respectively. Treasury bond futures also weakened collectively, with the main contracts of TS, TF, T, and TL falling by 0.02%, 0.01%, 0.04%, and 0.31% respectively. The central bank continued to conduct net withdrawals, and the weighted average rate of DR007 rebounded slightly to around 1.47% [2]. - Domestically, the effect of policies to expand domestic demand has emerged. In July, the year - on - year growth rate of core CPI continued to rise, and the month - on - month decline of PPI narrowed. The PMIs of the manufacturing and non - manufacturing sectors declined comprehensively in July, with the marginal decline of supply and demand. The composite PMI declined slightly but remained above the boom - bust line, indicating that overall production and business activities remained stable. In terms of trade, the export growth rate continued to rise in July, showing the resilience of foreign trade [2]. - Overseas, the suspension period of Sino - US tariffs was extended by another 90 days. The US labor market showed signs of weakness. The non - farm payrolls in July were lower than expected, and the previous value was significantly revised down. The non - farm employment numbers from May to June were revised down by 258,000, and the unemployment rate rose slightly, increasing the market's expectation of a Fed rate cut in September [2]. - In terms of strategy, the equity market has been strong recently, with the stock index approaching the high since last October, triggering concentrated selling of bonds by trading accounts. The selling pressure on the ultra - long end of interest - rate bonds is significant, and the spread between the 10 - year and 30 - year bonds has continued to widen, highlighting a bear - steepening curve. Currently, the bond market is still anchored to equity fluctuations. Under the unchanged dominance of risk preference, the linkage between stock and bond fluctuations may further strengthen. It is recommended to wait and see for now [2]. Summary by Category Futures Market - Futures Prices and Volumes: On August 12, the closing prices of T, TF, TS, and TL main contracts were 108.420 (-0.04%), 105.715 (0%), 102.338 (-0.02%), and 118.140 (-0.31%) respectively. The trading volumes of T, TF, TS, and TL main contracts were 76,952 (+4,763), 48,505 (+1,665), 34,415 (+25), and 123,182 (+7,595) respectively [2]. - Futures Spreads: The spreads of TL2512 - 2509, T2512 - 2509, TF2512 - 2509, and TS2512 - 2509 were -0.40 (+0.03), -0.11 (-0.01), 0.01 (-0.04), and 0.04 (+0.00) respectively. Other spreads such as T09 - TL09, TF09 - T09, etc. also changed [2]. - Futures Positions: The positions of T, TF, TS, and TL main contracts decreased by 10,169, 3,491, 1,557, and 5,060 respectively. The net short positions of the top 20 in T, TF, TS, and TL changed by +2,430, -771, -1,333, and +2,066 respectively [2]. Bond Market - CTD Bonds: The net prices of several CTD bonds such as 220010.IB, 250007.IB, etc. declined on August 12 [2]. - Active Bonds: The yields of 1 - year, 3 - year, 5 - year, 7 - year, and 10 - year active bonds increased by 0.50bp, 1.50bp, 3.50bp, 2.95bp, and 2.65bp respectively [2]. Interest Rates - Short - term Interest Rates: The rates of silver - pledged overnight, 7 - day, and 14 - day were 1.4423% (+14.23bp), 1.4800% (+3.00bp), and 1.4860% (-1.40bp) respectively. The Shibor overnight, 7 - day, and 14 - day rates were 1.3150% (0.00bp), 1.4330% (+0.10bp), and 1.4560% (+0.10bp) respectively [2]. - LPR Rates: The 1 - year and 5 - year LPR rates remained unchanged at 3.00% and 3.5% respectively [2]. Open Market Operations - On August 12, the issuance scale of open - market reverse repurchase was 114.6 billion yuan, the maturity scale was 160.7 billion yuan, and the interest rate was 1.4% for 7 days, with a net withdrawal of 46.1 billion yuan [2]. Policy News - The nine departments including the Ministry of Finance issued the "Implementation Plan for the Loan Interest Subsidy Policy for Service Industry Business Entities". Loans that meet certain conditions can enjoy the interest - subsidy policy. The interest - subsidy period does not exceed 1 year, with an annual subsidy ratio of 1 percentage point. The central and provincial finances will bear 90% and 10% of the subsidy funds respectively [2]. Key Data to Watch - August 12, 20:30, US July unadjusted CPI annual rate; August 14, 20:30, US initial jobless claims for the week ended August 9 (in ten thousand people) [3]