国债期货周报：政策预期反复与资金面波动交织，期债震荡走跌-20250928

Group 1 - Report Industry Investment Rating - Not provided Group 2 - Report's Core View - This week, the bond market declined overall. At the beginning of the week, the three departments' press conference did not release further easing signals, and the market's expectations were disappointed. After Wednesday, as institutions bought long - term treasury bonds at low prices and the central bank resumed 14 - day reverse repurchase operations, the market gradually stabilized and rebounded. The overnight and 7 - day repurchase rates first rose and then fell due to the end - of - quarter factor, and the central bank carried out net MLF and 14 - day reverse repurchase operations to maintain liquidity [3] Group 3 - Summary by Relevant Catalogs Macro - economic Aspect - Policy: From August 8, 2025, the interest income of newly issued treasury bonds, local government bonds, and financial bonds will be subject to VAT. The 24% tariff between China and the US will be suspended for 90 days from August 12. The government emphasizes measures to stabilize the real estate market, expand consumption and investment, and implement more proactive macro - policies [1] - Inflation: In August, the CPI decreased by 0.4% year - on - year [1] Capital Aspect - Finance: At the end of August, M2 increased by 8.8% year - on - year, M1 rebounded to 6%, and the gap between them narrowed. The RMB loans increased by 13.46 trillion yuan in the first eight months, and the cumulative social financing increment was 26.56 trillion yuan. The growth rates of credit and deposits both declined slightly [2] - Central Bank: On September 26, 2025, the central bank conducted 165.8 billion yuan of 7 - day reverse repurchase operations at a fixed interest rate of 1.4%. This week, the central bank conducted net MLF operations of 30 billion yuan and 14 - day reverse repurchase operations of 90 billion yuan [2][3] - Money Market: The main repurchase rates for 1D, 7D, and 14D were 1.32%, 1.53%, and 1.71% respectively, and the repurchase rates have recently declined [2] Market Aspect - Closing Price and Fluctuation: On September 26, 2025, the closing prices of TS, TF, T, and TL were 102.34 yuan, 105.54 yuan, 107.68 yuan, and 114.19 yuan respectively. The weekly fluctuations were - 0.05%, - 0.22%, - 0.27%, and - 0.82% respectively [2] - Net Basis Spread: The average net basis spreads of TS, TF, T, and TL were - 0.02 yuan, 0.02 yuan, 0.02 yuan, and - 0.54 yuan respectively [2] Strategy Aspect - Single - side Strategy: With the decline of repurchase rates and the oscillation of treasury bond futures prices, the 2512 contract is neutral [4] - Arbitrage Strategy: Pay attention to the basis spread rebound of TL2512 [4] - Hedging Strategy: There is medium - term adjustment pressure, and short - side investors can use far - month contracts for appropriate hedging [4]