瑞达期货国债期货日报-20250910

1. Report Industry Investment Rating - No relevant content provided 2. Core View of the Report - On Wednesday, the yields of Treasury bond cash bonds weakened collectively, with the 1 - 7Y yields rising by about 1 - 3.75bp, and the 10Y and 30Y yields rising by about 3.40 and 3.80bp to 1.83% and 2.11% respectively. Treasury bond futures declined significantly across the board, with the TS, TF, T, and TL leading contracts falling by 0.04%, 0.15%, 0.27%, and 0.86% respectively. The weighted average rate of DR007 fluctuated around 1.48%. Domestically, in August, China's CPI decreased slightly year - on - year, the core CPI continued to rise, and the year - on - year decline of PPI continued to narrow. The export growth slowed down in August, and exports to the US continued to decline under the influence of high tariffs. In August, the manufacturing PMI rebounded slightly but remained below the boom - bust line, the supply and demand improved marginally, the non - manufacturing PMI expanded faster, and the composite PMI remained above the boom - bust line, with overall stable production and business activities. Overseas, the US non - farm employment was revised down by 911,000 people in the year to March this year. Combined with the sharp rise in the unemployment rate in August, the market generally priced in the Fed's interest rate cut expectation in September, providing room for China's overall easing policy. Recently, the bond market has been weak under the influence of market risk preference and the public offering fund fee reform draft for comments, being more sensitive to negative factors and deviating from the fundamental logic in the short term, driven by pessimistic sentiment. Strategically, it is recommended to observe the adjustment of Treasury bond futures in the short term and make band allocations after stabilization; also, pay attention to the opportunity of expanding term spreads brought by the steepening of the yield curve [2] 3. Summary by Related Catalogs 3.1 Futures Market 3.1.1 Futures Prices and Volumes - T main contract: The closing price was 107.490, down 0.27%, and the trading volume was 95,849, an increase of 26,161 [2] - TF main contract: The closing price was 105.425, down 0.15%, and the trading volume was 64,907, an increase of 11,273 [2] - TS main contract: The closing price was 102.350, down 0.04%, and the trading volume was 31,051, an increase of 3,470 [2] - TL main contract: The closing price was 114.760, down 0.86%, and the trading volume was 169,437, an increase of 36,249 [2] 3.1.2 Futures Spreads - TL2512 - 2509 spread was - 0.60, down 0.04; T12 - TL12 spread was - 7.27, up 0.67 - T2512 - 2509 spread was - 0.23, up 0.05; TF12 - T12 spread was - 2.07, up 0.14 - TF2512 - 2509 spread was - 0.14, down 0.05; TS12 - T12 spread was - 5.14, up 0.26 - TS2512 - 2509 spread was 0.03, up 0.01; TS12 - TF12 spread was - 3.08, up 0.12 [2] 3.1.3 Futures Positions - T main contract: The open interest was 204,788, an increase of 5,153. The top 20 short positions were 190,291, an increase of 6,293; the top 20 long positions were 194,998, an increase of 6,337; the net short position of the top 20 was 194,998, a decrease of 44 - TF main contract: The open interest was 121,420, an increase of 562. The top 20 long positions were 120,902, a decrease of 1,725; the top 20 short positions were 125,444, a decrease of 2,505; the net short position of the top 20 was 4,542, a decrease of 780 - TS main contract: The open interest was 66,548, an increase of 182. The top 20 long positions were 55,679, a decrease of 208; the top 20 short positions were 58,147, a decrease of 443; the net short position of the top 20 was 2,468, a decrease of 235 - TL main contract: The open interest was 133,236, an increase of 8,947. The top 20 long positions were 118,312, an increase of 6,312; the top 20 short positions were 124,106, an increase of 6,855; the net short position of the top 20 was 5,794, an increase of 543 [2] 3.2 Bond Market 3.2.1 CTD Bonds - The net prices of several CTD bonds declined, such as 220017.IB (6y) at 105.9237, down 0.1905; 220019.IB (6y) at 99.0955, down 0.2378; etc [2] 3.2.2 Active Bonds - The yields of 1 - year and 3 - year active bonds remained unchanged, while the yields of 5 - year, 7 - year, and 10 - year active bonds increased by 0.75bp, 0.75bp, and 1.10bp respectively [2] 3.3 Interest Rates 3.3.1 Short - term Interest Rates - The overnight silver - pledged repo rate was 1.3882%, up 8.82bp; the Shibor overnight rate was 1.4250%, up 0.60bp; the 7 - day silver - pledged repo rate was 1.5097%, up 5.97bp; the Shibor 7 - day rate was 1.4490%, down 1.80bp; the 14 - day silver - pledged repo rate was 1.5000%, up 1.00bp; the Shibor 14 - day rate was 1.5010%, up 0.10bp [2] 3.3.2 LPR Rates - The 1 - year LPR was 3.00%, unchanged; the 5 - year LPR was 3.5%, unchanged [2] 3.4 Open Market Operations - The issuance scale of reverse repurchase was 304 billion yuan, the maturity scale was 229.1 billion yuan, and the interest rate was 1.4% for 7 - day [2] 3.5 Industry News - In August, the consumer market was generally stable, with the CPI unchanged month - on - month and down 0.4% year - on - year. The core CPI rose 0.9% year - on - year, with the increase expanding for the 4th consecutive month. The PPI was unchanged month - on - month, with the year - on - year decline narrowing by 0.7 percentage points to 2.9% [2] - The Minister of Finance reported on the budget implementation this year, stating that fiscal policies have been more proactive, and the next step is to make full use of proactive fiscal policies to support employment and foreign trade, cultivate new driving forces for development, improve people's livelihood, prevent and resolve risks, and improve fiscal governance [2] - From March 2024 to March 2025, the US private non - farm employment decreased by 880,000, with employment in trade, transportation, and public utilities, professional and business services, leisure and hospitality, and government departments all decreasing [2]