国债期货日报：债基赎回增多，国债期货全线收跌-20250911

Report Industry Investment Rating No information provided. Core View of the Report Recently, the recovery of risk appetite has suppressed the bond market. Meanwhile, the increasing expectation of the Fed's interest rate cut and the rising global trade uncertainty have added to the uncertainty of foreign capital inflows. Overall, 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 [3]. Summary According to the Directory 1. Interest Rate Pricing Tracking Indicators - Price Indicators: China's monthly CPI had a 0.00% month - on - month change and a - 0.40% year - on - year change; China's monthly PPI had a 0.00% month - on - month change and a - 2.90% 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 (+0.24%); M2 year - on - year growth was 8.80%, up 0.50% (+6.02%); the manufacturing PMI was 49.40%, up 0.10% (+0.20%) [10]. - Daily Economic Indicators: The US dollar index was 97.82, up 0.06 (+0.06%); the offshore US dollar to RMB exchange rate was 7.1198, up 0.001 (+0.02%); SHIBOR 7 - day was 1.45, down 0.02 (-1.23%); DR007 was 1.48, up 0.00 (-0.18%); R007 was 1.51, down 0.05 (-3.26%); the 3 - month inter - bank certificate of deposit (AAA) was 1.57, up 0.00 (+0.00%); the AA - AAA credit spread (1Y) was 0.09, up 0.00 (+0.00%) [11]. 2. Overview of the Treasury Bond and Treasury Bond Futures Market The report includes figures on the closing price trend of the main continuous contracts of treasury bond futures, the price change rates of various treasury bond futures varieties, the trend of the funds settled in various treasury bond futures varieties, the proportion of open interest of 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, but specific data descriptions are not provided [15][17][25]. 3. Overview of the Money Market Liquidity The report presents figures on the inter - bank pledged repo transaction statistics and local government bond issuance, but specific data descriptions are not provided [28]. 4. Spread Overview The report contains figures on the inter - delivery spread trend of various treasury bond futures varieties, the term spread of spot bonds and the cross - variety spread of futures (4TS - T, 2TS - TF, 2TF - T, 3T - TL, 2TS - 3TF + T), but specific data descriptions are not provided [33][36][37]. 5. Two - Year Treasury Bond Futures The report includes figures on 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, but specific data descriptions are not provided [39][42][49]. 6. Five - Year Treasury Bond Futures The report includes figures on 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, but specific data descriptions are not provided [51][55]. 7. Ten - Year Treasury Bond Futures The report includes figures on 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, but specific data descriptions are not provided [58][60]. 8. Thirty - Year Treasury Bond Futures The report includes figures on 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, but specific data descriptions are not provided [65][69][72]. Strategy - Single - Side Strategy: As the repo rate rises, the price of treasury bond futures oscillates downward [4]. - Arbitrage Strategy: Pay attention to the decline of the 2512 basis [5]. - Hedging Strategy: There is medium - term adjustment pressure, and short - side traders can use far - month contracts for appropriate hedging [5].