国债期货日报：权益回调，国债期货大多收涨-20250827

Report Summary 1) Investment Rating for the Industry No investment rating for the industry is provided in the report. 2) Core Views - 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 due to rising capital interest rates. - The Fed's stance in the US has turned dovish, leading to improved short - term risk appetite and increased 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 [1][2][3]. 3) Summary by Relevant Catalogs a. Interest Rate Pricing Tracking Indicators - Price indicators: China's CPI (monthly) has a 0.40% month - on - month increase and 0.00% year - on - year change; China's PPI (monthly) has a - 0.20% month - on - month decrease and - 3.60% year - on - year decrease. - Monthly economic indicators: Social financing scale is 431.26 trillion yuan, with a month - on - month increase of 1.04 trillion yuan (+0.24%); M2 year - on - year is 8.80%, up 0.50% (+6.02%); Manufacturing PMI is 49.30%, down 0.40% (-0.80%). - Daily economic indicators: The US dollar index is 98.23, down 0.19 (-0.19%); USD/CNH (offshore) is 7.1541, down 0.014 (-0.19%); SHIBOR 7 - day is 1.47, down 0.02 (-1.15%); DR007 is 1.49, down 0.03 (-1.85%); R007 is 1.67, down 0.26 (-13.67%); AAA - rated 3 - month interbank certificates of deposit yield is 1.55, with no change (+0.00, - 0.11%); AA - AAA 1 - year credit spread is 0.09, up 0.01 (-0.11%) [9][10]. b. Overview of Treasury Bonds and Treasury Bond Futures Market The report presents multiple charts related to the market, including the closing price trend of Treasury bond futures' main continuous contracts, the price change rate of each Treasury bond futures variety, the trend of the funds settled in each Treasury bond futures variety, the proportion of open interest in each Treasury bond futures variety, the net open - interest proportion of the top 20 in each Treasury bond futures variety, the long - short open - interest 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][15][22]. c. Overview of the Money Market Capital Situation The report shows charts about the bank - to - bank pledged repo transaction statistics and local government bond issuance [25]. d. Spread Overview The report provides charts on the inter - period spread trend of each Treasury bond futures variety and various spot - bond term spreads and futures cross - variety spreads [28][36][38]. e. Two - Year Treasury Bond Futures The report includes charts on the implied interest rate and Treasury bond maturity yield of the two - year Treasury bond futures' main contract, the IRR of the TS main contract and the capital interest rate, and the three - year basis and net basis trends of the TS main contract [48][51]. f. Five - Year Treasury Bond Futures The report presents charts on the implied interest rate and Treasury bond maturity yield of the five - year Treasury bond futures' main contract, the IRR of the TF main contract and the capital interest rate, and the three - year basis and net basis trends of the TF main contract [53][59]. g. Ten - Year Treasury Bond Futures The report has charts on the implied yield and Treasury bond maturity yield of the ten - year Treasury bond futures' main contract, the IRR of the T main contract and the capital interest rate, and the three - year basis and net basis trends of the T main contract [60][64][61]. h. Thirty - Year Treasury Bond Futures The report shows charts on the implied yield and Treasury bond maturity yield of the thirty - year Treasury bond futures' main contract, the IRR of the TL main contract and the capital interest rate, and the three - year basis and net basis trends of the TL main contract [67][72]. 4) Strategies - Unilateral strategy: As the repo interest rate falls and the Treasury bond futures price fluctuates, it is recommended to short the 2512 contract at high prices [4]. - Arbitrage strategy: Pay attention to the decline of the TF2512 basis [5]. - Hedging strategy: Since there is medium - term adjustment pressure, short - position holders can use far - month contracts for moderate hedging [5].