国债期货日报：美联储转鸽，国债期货全线收涨-20250826

Report Industry Investment Rating No relevant content provided. Core Viewpoints - Domestic bond market faces short - term pressure from supply and capital disturbances. The central bank maintains a loose stance but with limited policy support, causing the rebound of Treasury bond futures to be weak. The Fed's dovish shift in the US improves short - term risk appetite and increases the pressure on the steepening of the interest rate curve. The differences in the capital and policy stances between the Chinese and US bond markets are widening, with China being moderately tight and the US moving towards easing [3]. Summary by Directory I. Interest Rate Pricing Tracking Indicators - Price Indicators: China's monthly CPI has a 0.40% month - on - month increase and 0.00% year - on - year change, while the monthly PPI has a - 0.20% month - on - month and - 3.60% year - on - year change [9]. - Monthly Economic Indicators: The social financing scale is 431.26 trillion yuan, with a 1.04 trillion yuan increase and a 0.24% month - on - month change. M2 year - on - year growth is 8.80%, up 0.50% with a 6.02% change rate. The manufacturing PMI is 49.30%, down 0.40% with a - 0.80% change rate [9]. - Daily Economic Indicators: The US dollar index is 98.42, up 0.70 with a 0.72% change. The offshore US dollar - to - RMB exchange rate is 7.1680, down 0.018 with a - 0.25% change. SHIBOR 7 - day is 1.48, up 0.02 with a 1.44% change, etc. [10]. II. Overview of Treasury Bonds and Treasury Bond Futures Market - The report presents figures related to the closing price trends, price change rates, precipitation funds, positions, net positions, long - short position ratios, spreads between national development bonds and Treasury bonds, and Treasury bond issuance of Treasury bond futures main - continuous contracts [12][15][20]. III. Overview of the Money Market Capital Situation - It includes figures on Shibor interest rate trends, yields of inter - bank certificates of deposit (AAA), bank - to - bank pledged repurchase transaction statistics, and local bond issuance [32][26]. IV. Spread Overview - Figures show the inter - period spread trends of Treasury bond futures and the term spreads of spot bonds and cross - variety spreads of futures [29][34][35]. V. Two - year Treasury Bond Futures - The report provides figures on the implied interest rate and maturity yield of the two - year Treasury bond futures main contract, the IRR and capital interest rate of the TS main contract, and the three - year basis and net basis trends of the TS main contract [45][40][48]. VI. Five - year Treasury Bond Futures - It includes figures on the implied interest rate and maturity yield of the five - year Treasury bond futures main contract, the IRR and capital interest rate of the TF main contract, and the three - year basis and net basis trends of the TF main contract [50][56]. VII. Ten - year Treasury Bond Futures - Figures show the implied yield and maturity yield of the ten - year Treasury bond futures main contract, the IRR and capital interest rate of the T main contract, and the three - year basis and net basis trends of the T main contract [57][60][58]. VIII. Thirty - year Treasury Bond Futures - The report presents figures on the implied yield and maturity yield of the thirty - year Treasury bond futures main contract, the IRR and capital interest rate of the TL main contract, and the three - year basis and net basis trends of the TL main contract [64][67][70]. Strategy - Unilateral Strategy: With the decline of repurchase interest rates and the volatile prices of Treasury bond futures, it is recommended to short at high levels for the 2512 contract [4]. - Arbitrage Strategy: Pay attention to the decline of the TF2512 basis [4]. - Hedging Strategy: There is medium - term adjustment pressure, and short - side investors can use far - month contracts for appropriate hedging [4].