国债期货日报：股债跷跷板下，国债期货全线收涨-20250904

Industry Investment Rating No information provided. Core Viewpoints - Under the stock - bond seesaw, Treasury bond futures closed higher across the board. The bullish stock market has led to a callback in risk appetite, which is beneficial to the bond market. At the same time, the expectation of the Fed's interest rate cut and the increase in global trade uncertainty have added uncertainty to foreign capital inflows. Overall, the bond market fluctuates between stable growth and easing expectations, and short - term attention should be paid to policy signals at the end of the month [1][3]. Summary by Directory 1. Interest Rate Pricing Tracking Indicators - Price indicators: China's CPI (monthly) had a 0.40% month - on - month increase and 0.00% year - on - year change; China's PPI (monthly) had a - 0.20% month - on - month decrease and - 3.60% year - on - year change [9]. - Monthly economic indicators: The 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 was 8.80%, with a month - on - month increase of 0.50% and a growth rate of 6.02%. The manufacturing PMI was 49.40%, with a month - on - month increase of 0.10% and a growth rate of 0.20% [9]. - Daily economic indicators: The US dollar index was 98.16, with a month - on - month decrease of 0.16 and a decline rate of 0.16%. The US dollar against the offshore RMB was 7.1442, with a month - on - month increase of 0.004 and a growth rate of 0.06%. SHIBOR 7 - day was 1.43, with a month - on - month increase of 0.00 and a growth rate of 0.14%. DR007 was 1.44, with a month - on - month increase of 0.00 and a growth rate of 0.28%. R007 was 1.67, with a month - on - month decrease of 0.26 and a decline rate of 13.67%. The inter - bank certificate of deposit (AAA) 3M was 1.55, with a month - on - month increase of 0.00 and a decline rate of 0.03%. The AA - AAA credit spread (1Y) was 0.09, with a month - on - month increase of 0.00 and a decline rate of 0.03% [9]. 2. Overview of the Treasury Bond and Treasury Bond Futures Market - Multiple charts are used to show the situation of the Treasury bond futures market, including the closing price trend of the main continuous contracts, the price change rate of each variety, the precipitation of funds, the proportion of positions held, the net position ratio of the top 20, the long - short position ratio of the top 20, the spread between national development bonds and Treasury bonds, and the issuance of Treasury bonds [11][12][15]. 3. Overview of the Money Market Fundamentals - The charts show the trading statistics of inter - bank pledged repurchase and the issuance of local government bonds [25]. 4. Spread Overview - Multiple charts show the inter - period spread trend of Treasury bond futures and the spread between the spot bond term spread and the futures cross - variety spread [28][33][34]. 5. Two - Year Treasury Bond Futures - Charts show the implied interest rate of the main contract of two - year Treasury bond futures and the Treasury bond yield to maturity, 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 [36][39][47]. 6. Five - Year Treasury Bond Futures - Charts show the implied interest rate of the main contract of five - year Treasury bond futures and the Treasury bond yield to maturity, 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 [49][54]. 7. Ten - Year Treasury Bond Futures - Charts show the implied yield of the main contract of ten - year Treasury bond futures and the Treasury bond yield to maturity, 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 [56][57]. 8. Thirty - Year Treasury Bond Futures - Charts show the implied yield of the main contract of thirty - year Treasury bond futures and the Treasury bond yield to maturity, 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 [63][66][69]. Strategy - Unilateral: As the repurchase rate falls, the price of Treasury bond futures fluctuates [4]. - Arbitrage: Pay attention to the decline of the 2512 basis [4]. - Hedging: There is an adjustment pressure in the medium term, and short - sellers can use far - month contracts for appropriate hedging [4].