Report Industry Investment Rating No information provided. Core View of the Report The LPR quote remained unchanged in August, and the monetary policy continued with a moderately loose tone. The signal of overall loosening was still unclear, which was in line with market expectations. Although the bond market was still disturbed by the risk appetite of the stock market in the short term, its overall downward space was limited supported by the fundamentals and capital situation [3]. Summary by Relevant Catalogs I. Interest Rate Pricing Tracking Indicators - China's CPI (monthly) had a 0.40% month - on - month increase and 0.00% year - on - year change; PPI (monthly) had a - 0.20% month - on - month change and - 3.60% year - on - year change [9]. - Social financing scale was 431.26 trillion yuan, with a month - on - month increase of 1.04 trillion yuan and a growth rate of 0.24%. M2 year - on - year growth was 8.80%, up 0.50% month - on - month with a growth rate of 6.02%. Manufacturing PMI was 49.30%, down 0.40% month - on - month with a decline rate of 0.80% [9]. - The US dollar index was 98.23, down 0.04 with a decline rate of 0.04%. The US dollar against the offshore RMB was 7.1865, up 0.003 with a growth rate of 0.04%. SHIBOR 7 - day was 1.53, up 0.02 with a growth rate of 1.12%. DR007 was 1.57, up 0.02 with a growth rate of 1.48%. R007 was 1.56, down 0.12 with a decline rate of 7.38%. The 3 - month interbank certificate of deposit (AAA) was 1.55, up 0.00 with a decline rate of 0.01%. The AA - AAA credit spread (1Y) was 0.08, up 0.01 with a decline rate of 0.01% [10]. II. Overview of the Treasury Bond and Treasury Bond Futures Market - The section includes figures such as the closing price trend of the main continuous contracts of treasury bond futures, the price change rate of each treasury bond futures variety, the precipitation fund trend of each treasury bond futures variety, the position ratio of each treasury bond futures variety, the net position ratio of the top 20 in each treasury bond futures variety, the long - short position ratio of the top 20 in each treasury bond futures variety, the spread between national development bonds and treasury bonds, and the issuance of treasury bonds [14][16][21]. III. Overview of the Money Market Funding Situation - It includes figures such as the Shibor interest rate trend, the maturity yield trend of interbank certificates of deposit (AAA), the transaction statistics of inter - bank pledged repurchase, and the issuance of local bonds [27][28]. IV. Spread Overview - It includes figures such as the inter - period spread trend of each treasury bond futures variety, the spread between the spot bond term spread and the futures cross - variety spread [31][38][40]. V. Two - Year Treasury Bond Futures - It includes figures such as the implied interest rate of the TS main contract and the treasury bond maturity yield, the IRR of the TS main contract and the funds interest 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 [42][52]. VI. Five - Year Treasury Bond Futures - It includes figures such as the implied interest rate of the TF main contract and the treasury bond maturity yield, the IRR of the TF main contract and the funds interest 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][56]. VII. Ten - Year Treasury Bond Futures - It includes figures such as the implied interest rate of the T main contract and the，treasury bond maturity yield, the IRR of the T main contract and the funds interest 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]. VIII. Thirty - Year Treasury Bond Futures - It includes figures such as the implied interest rate of the TL main contract and the treasury bond maturity yield, the IRR of the TL main contract and the funds interest 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][72]. Market Analysis Macro Aspect - The Politburo meeting in July proposed to implement a more proactive fiscal policy and a moderately loose monetary policy, manage the disorderly competition of enterprises in accordance with laws and regulations, resolve local government debt risks actively and steadily, and prohibit the addition of implicit debts. On August 1, 2025, the Ministry of Finance and the State Taxation Administration announced that starting from August 8, 2025, the interest income from newly issued treasury bonds, local government bonds, and financial bonds would be subject to value - added tax. Previously issued bonds would still be exempt until maturity. On August 19, the Ministry of Finance announced market - making support operations to increase the supply of scarce bond types [1]. - In July, the year - on - year change of CPI was flat [1]. Capital Aspect - In July 2025, the year - on - year growth rates of M1 and M2 rebounded to 5.6% and 8.8% respectively, and the gap narrowed to 3.2%, indicating abundant liquidity and increased activity of corporate current funds. However, the credit derivation efficiency was weak, and the medium - and long - term loans of residents and enterprises continued to shrink, with insufficient investment and consumption demand. The year - on - year growth of social financing stock was only 9%, mainly relying on government bond issuance to add leverage. The medium - and long - term financing demand of enterprises remained sluggish, and a large amount of funds flowed to non - bank institutions [2]. - On August 20, 2025, the central bank conducted 616 billion yuan of 7 - day reverse repurchase operations at a fixed interest rate of 1.4% through quantity tender [2]. - The main term repurchase interest rates of 1D, 7D, 14D, and 1M were 1.473%, 1.534%, 1.596%, and 1.532% respectively, and the repurchase interest rates had recently rebounded [2]. Market Aspect - On August 20, 2025, the closing prices of TS, TF, T, and TL were 102.33 yuan, 105.43 yuan, 107.86 yuan, and 116.05 yuan respectively. The price change rates were 0.00%, - 0.10%, - 0.18%, and - 0.35% respectively [3]. - The average net basis of TS, TF, T, and TL was 0.024 yuan, 0.137 yuan, 0.069 yuan, and 0.589 yuan respectively [3]. Strategy - Unilateral: As the repurchase interest rate rebounded and the treasury bond futures prices fluctuated, it was recommended to short at high levels for the 2509 contract [4]. - Arbitrage: Pay attention to the decline of the basis of TF2509 [5]. - Hedging: There was medium - term adjustment pressure, and short - side investors could use far - month contracts for appropriate hedging [5].
国债期货日报：LPR维稳支撑债市阶段性筑底-20250821
Hua Tai Qi Huo·2025-08-21 03:37