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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
Hua Tai Qi Huo· 2025-09-28 09:42
国债期货周报 | 2025-09-28 政策预期反复与资金面波动交织,期债震荡走跌 市场分析 宏观面:(1)宏观政策:2025年8月1日,财政部与税务总局发布公告称,自2025年8月8日起,对在该日及以后新 发行的国债、地方政府债券和金融债券的利息收入将恢复征收增值税。此前已发行的上述债券(包括8月8日后续 发行的部分)仍享受免征增值税政策,直至到期;关税方面,中美发布斯德哥尔摩经贸会谈联合声明,自2025年8 月12日起再次暂停实施24%的关税90天;国务院第九次全体会议强调,采取有力措施巩固房地产市场止跌回稳态势, 培育壮大服务消费,加力扩大有效投资;9月10日,财政部长明确表示,"持续发力、适时加力实施更加积极有为 的宏观政策";发改委也表示"不断释放内需潜力" 和 "推进重点行业产能治理"。(2)通胀:8月CPI同比下降0.4%。 资金面:(3)财政:8月末,M2同比增长8.8%,M1同比回升至6%,剪刀差连续收窄,显示资金活性增强,企业经 营活力改善。前八个月人民币贷款增加13.46万亿元,社融增量累计26.56万亿元,政府债券融资占比高企,反映企 业中长期融资需求仍偏弱。存款同比增长8.6%,信贷 ...
国债期货日报:债市弱修复,国债期货全线收涨-20250916
Hua Tai Qi Huo· 2025-09-16 05:13
1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The bond market is in a weak recovery, with all Treasury bond futures closing higher. The bond market is oscillating between the expectations of stable growth and monetary easing. In the short - term, attention should be paid to the policy signals at the end of the month [1][3]. - The stock market's strong performance boosts risk appetite, which suppresses the bond market. Meanwhile, the increasing expectation of the Fed's interest - rate cut and rising global trade uncertainties add to the uncertainty of foreign capital inflows [3]. 3. Summary According to the Directory I. Interest Rate Pricing Tracking Indicators - **Price 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]. - **Monthly Economic Indicators**: The social financing scale is 433.66 trillion yuan, with a month - on - month increase of 2.40 trillion yuan (+0.56%); M2 year - on - year growth is 8.80% with no month - on - month change; the manufacturing PMI is 49.40%, with a month - on - month increase of 0.10% (+0.20%) [10]. - **Daily Economic Indicators**: The US dollar index is 97.32, with a month - on - month decrease of 0.29 (-0.30%); the offshore US dollar to RMB exchange rate is 7.1213, with a month - on - month increase of 0.005 (+0.07%); SHIBOR 7 - day is 1.47, with a month - on - month increase of 0.01 (+0.68%); DR007 is 1.48, with a month - on - month increase of 0.03 (+1.76%); R007 is 1.51, with a month - on - month decrease of 0.05 (-3.26%); the 3 - month inter - bank certificate of deposit (AAA) is 1.57, with a month - on - month increase of 0.01 (+0.40%); the AA - AAA credit spread (1Y) is 0.08, with a month - on - month increase of 0.00 (+0.40%) [11]. II. Overview of the Treasury Bond and Treasury Bond Futures Market - Multiple figures are presented, including the closing price trend of the main continuous contracts of Treasury bond futures, the price change rates of various Treasury bond futures varieties, the precipitation of funds in various Treasury bond futures varieties, the proportion of open interest in various Treasury bond futures varieties, the net open interest proportion of the top 20 in various Treasury bond futures varieties, the long - short open interest ratio of the top 20 in various Treasury bond futures varieties, the spread between China Development Bank bonds and Treasury bonds, and the issuance of Treasury bonds [14][15][18][24]. III. Overview of the Money Market Liquidity - Figures show the trading statistics of inter - bank pledged repurchase and the issuance of local government bonds [27]. IV. Spread Overview - Figures display the inter - delivery spread trend of various Treasury bond futures varieties and the term spread of cash bonds and cross - variety spreads of futures [31][36][37]. V. Two - Year Treasury Bond Futures - Figures 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 funding rate, the three - year basis trend of the TS main contract, and the three - year net basis trend of the TS main contract [39][40][48]. VI. Five - Year Treasury Bond Futures - Figures 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 funding rate, the three - year basis trend of the TF main contract, and the three - year net basis trend of the TF main contract [50][54]. VII. Ten - Year Treasury Bond Futures - Figures 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 funding rate, the three - year basis trend of the T main contract, and the three - year net basis trend of the T main contract [57][59]. VIII. Thirty - Year Treasury Bond Futures - Figures 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 funding rate, the three - year basis trend of the TL main contract, and the three - year net basis trend of the TL main contract [64][70]. 4. Strategies - **Unilateral Strategy**: As the repurchase rate rises, the price of Treasury bond futures oscillates [4]. - **Arbitrage Strategy**: Pay attention to the decline of the 2512 basis [4]. - **Hedging Strategy**: There is medium - term adjustment pressure, and short - position holders can use far - month contracts for appropriate hedging [4].