国债期货日报：PMI稳中向好，国债期货全线收涨-20250902

Report Industry Investment Rating No relevant content provided. Core View of the Report The bond market is oscillating between stable growth and easing expectations. Influenced by the strong stock market, the rising risk appetite suppresses the bond market. Meanwhile, the increasing expectation of the Fed's interest rate cut and the rising global trade uncertainty add to the uncertainty of foreign capital inflows. In the short - term, attention should be paid to the policy signals at the end of the month [1][2][3]. Summary by Directory 1. Interest Rate Pricing Tracking Indicators - China's CPI monthly环比 is 0.40% and同比 is 0.00%; PPI monthly环比 is - 0.20% and同比 is - 3.60% [9] - Social financing scale is 431.26 trillion yuan, with a环比 increase of 1.04 trillion yuan and a环比 change rate of 0.24%; M2同比 is 8.80%, with a环比 increase of 0.50% and a环比 change rate of 6.02%; Manufacturing PMI is 49.40%, with a环比 increase of 0.10% and a环比 change rate of 0.20% [9] - The US dollar index is 97.69, with a环比 decrease of 0.16 and a环比 change rate of - 0.16%; The US dollar against the offshore RMB is 7.1260, with a环比 increase of 0.001 and a环比 change rate of 0.02%; SHIBOR 7 - day is 1.44, with a环比 decrease of 0.07 and a环比 change rate of - 4.77%; DR007 is 1.45, with a环比 decrease of 0.07 and a环比 change rate of - 4.64%; R007 is 1.67, with a环比 decrease of 0.26 and a环比 change rate of - 13.67%; The 3 - month inter - bank certificate of deposit (AAA) is 1.54, with a环比 change of 0.00 and a环比 change rate of - 0.16%; The AA - AAA credit spread (1Y) is 0.09, with a环比 change of 0.00 and a环比 change rate of - 0.16% [10] 2. Overview of the Treasury Bond and Treasury Bond Futures Market The report provides multiple charts including 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 of funds trend, the position ratio, the net position ratio (top 20), the long - short position ratio (top 20), the spread between national development bonds and treasury bonds, and the issuance of treasury bonds [13][14][16] 3. Overview of the Money Market Fundamentals Multiple charts are provided, such as the Shibor interest rate trend, the maturity yield trend of inter - bank certificates of deposit (AAA), the transaction statistics of inter - bank pledged repurchase, and the issuance of local bonds [25][31] 4. Spread Overview The report provides charts on the inter - term spread trend of each treasury bond futures variety and the term spread of spot bonds and cross - variety spreads of futures [30][33][34] 5. Two - year Treasury Bond Futures Charts are provided on the term spread of spot bonds and cross - variety spreads of futures, the implied interest rate and the maturity yield of the main contract of two - year treasury bond futures, the IRR of the TS main contract and the fund interest rate, and the three - year basis trend and net basis trend of the TS main contract [38][39][44] 6. Five - year Treasury Bond Futures Charts are provided on the implied interest rate and the maturity yield of the main contract of five - year treasury bond futures, the IRR of the TF main contract and the fund interest rate, and the three - year basis trend and net basis trend of the TF main contract [49][55] 7. Ten - year Treasury Bond Futures Charts are provided on the implied yield and the maturity yield of the main contract of ten - year treasury bond futures, the IRR of the T main contract and the fund interest rate, and the three - year basis trend and net basis trend of the T main contract [56][57][59] 8. Thirty - year Treasury Bond Futures Charts are provided on the implied yield and the maturity yield of the main contract of thirty - year treasury bond futures, the IRR of the TL main contract and the fund interest rate, and the three - year basis trend and net basis trend of the TL main contract [63][68] Strategies - Unilateral: As the repurchase rate falls, the price of treasury bond futures oscillates [4] - Arbitrage: Pay attention to the decline of the 2512 basis [4] - Hedging: There is medium - term adjustment pressure, and short - sellers can use far - month contracts for moderate hedging [4]