国债期货日报：回购利率走高，国债期货涨跌分化-20250926

Report Industry Investment Rating No relevant content provided. Core View of the Report The bond market sentiment is fragile. The recovery of risk appetite suppresses the bond market. Meanwhile, the expectation of continued interest rate cuts by the Federal Reserve and the increasing global trade uncertainty add to the uncertainty of foreign capital inflows. Overall, the bond market fluctuates between the expectations of stable growth and monetary easing. Short - term attention should be paid to policy signals at the end of the month [3]. Summary According to the Directory 1. Interest Rate Pricing Tracking Indicators - China's CPI (monthly) has a 0.00% month - on - month change and a - 0.40% year - on - year change; China's PPI (monthly) has a 0.00% month - on - month change and a - 2.90% year - on - year change [9]. - Social financing scale is 433.66 trillion yuan, with a month - on - month increase of 2.40 trillion yuan and a growth rate of 0.56%; M2 year - on - year is 8.80%, with no month - on - month change; manufacturing PMI is 49.40%, with a month - on - month increase of 0.10% and a growth rate of 0.20% [10]. - The US dollar index is 98.48, with a day - on - day increase of 0.63 and a growth rate of 0.64%; the offshore US dollar against the Chinese yuan is 7.1292, with a day - on - day increase of 0.010 and a growth rate of 0.14%; SHIBOR 7 - day is 1.58, with a day - on - day decrease of 0.01 and a decline rate of 0.38%; DR007 is 1.60, with a day - on - day increase of 0.02 and a growth rate of 0.96%; R007 is 1.51, with a day - on - day decrease of 0.05 and a decline rate of 3.26%; the yield of inter - bank certificates of deposit (AAA) for 3 months is 1.61, with a day - on - day increase of 0.00 and a growth rate of 0.12%; the AA - AAA credit spread (1Y) is 0.09, with a day - on - day increase of 0.00 and a growth rate of 0.12% [11]. 2. Overview of the Treasury Bond and Treasury Bond Futures Market The report provides multiple figures about the treasury bond futures market, including the closing price trend, price change rate, precipitation of funds, position ratio, net position ratio, long - short position ratio, spread between national development bonds and treasury bonds, and treasury bond issuance [15][17][19]. 3. Overview of the Money Market Fundamentals It provides figures on bank - to - bank pledged repurchase transaction statistics and local government bond issuance [29]. 4. Spread Overview It includes figures on Shibor interest rate trends, yields of inter - bank certificates of deposit (AAA) at maturity, cross - period spreads of treasury bond futures, and spreads between spot bond term spreads and futures cross - variety spreads [32][35]. 5. Two - Year Treasury Bond Futures The report provides figures on the implied interest rate and treasury bond yield of the two - year treasury bond futures main contract, the IRR of the TS main contract and the funding rate, and the three - year basis and net basis trends of the TS main contract [52][55]. 6. Five - Year Treasury Bond Futures It provides figures on the implied interest rate and treasury bond yield of the five - year treasury bond futures main contract, the IRR of the TF main contract and the funding rate, and the three - year basis and net basis trends of the TF main contract [57][61]. 7. Ten - Year Treasury Bond Futures The report provides figures on the implied yield and treasury bond yield of the ten - year treasury bond futures main contract, the IRR of the T main contract and the funding rate, and the three - year basis and net basis trends of the T main contract [64][66]. 8. Thirty - Year Treasury Bond Futures It provides figures on the implied yield and treasury bond yield of the thirty - year treasury bond futures main contract, the IRR of the TL main contract and the funding rate, and the three - year basis and net basis trends of the TL main contract [71][77]. Strategy - Unilateral: As the repurchase rate rises, the price of treasury bond futures fluctuates [4]. - Arbitrage: Pay attention to the decline of the 2512 basis [4]. - Hedging: There is medium - term adjustment pressure, and short - side investors can use far - month contracts for appropriate hedging [4].