国债期货日报：股债跷跷板钝化，国债期货涨跌分化-20250912

Report Industry Investment Rating No relevant content provided. Core Viewpoints - The bond market is suppressed by the recent increase in risk appetite. Meanwhile, the expectation of the Fed's interest rate cut and the rising 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 the policy signals at the end of the month [3]. - With the repurchase rate rising, the prices of Treasury bond futures fluctuate. Attention should be paid to the decline of the basis of the 2512 contract. In the medium - term, there is adjustment pressure, and short - sellers can use far - month contracts for appropriate hedging [4]. Summary by Directory 1. Interest Rate Pricing Tracking Indicators - Price Indicators: China's monthly CPI has a 0.00% month - on - month change and a - 0.40% year - on - year change; China's monthly PPI 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 431.26 trillion yuan, with a month - on - month increase of 1.04 trillion yuan (+0.24%); M2 year - on - year growth is 8.80%, with a month - on - month increase of 0.50% (+6.02%); the manufacturing PMI is 49.40%, with a month - on - month increase of 0.10% (+0.20%) [9]. - Daily Economic Indicators: The US dollar index is 97.54, with a day - on - day decrease of 0.28 (-0.29%); the offshore US dollar to RMB exchange rate is 7.1180, with a day - on - day decrease of 0.002 (-0.03%); SHIBOR 7 - day is 1.47, with a day - on - day increase of 0.02 (+1.17%); DR007 is 1.48, with a day - on - day increase of 0.01 (+0.34%); R007 is 1.51, with a day - on - day decrease of 0.05 (-3.26%); the yield of 3 - month inter - bank certificates of deposit (AAA) is 1.58, with a day - on - day increase of 0.01 (+0.32%); the AA - AAA credit spread (1Y) is 0.08, with a day - on - day decrease of 0.01 (-11.11%) [9]. 2. Overview of the Treasury Bond and Treasury Bond Futures Market - Relevant figures include the closing price trend of the main continuous contracts of Treasury bond futures, the price changes of each Treasury bond futures variety, the precipitation of funds in each Treasury bond futures variety, the proportion of open interest in each Treasury bond futures variety, the net open interest ratio (top 20) of each Treasury bond futures variety, the long - short open interest ratio (top 20) of each Treasury bond futures variety, the spread between China Development Bank bonds and Treasury bonds, and the issuance of Treasury bonds [11][12][20]. 3. Overview of the Money Market Funding Situation - Relevant figures include the Shibor interest rate trend, the yield trend of inter - bank certificates of deposit (AAA) at maturity, the trading statistics of inter - bank pledged repurchase, and the issuance of local government bonds [23][26]. 4. Spread Overview - Relevant figures include the inter - delivery spread trend of each Treasury bond futures variety, and the term spread of cash bonds and the cross - variety spread of futures (4TS - T, 2TS - TF, 2TF - T, 3T - TL, 2TS - 3TF + T) [32][33][34]. 5. Two - Year Treasury Bond Futures - Relevant figures include 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 term spread of cash bonds and the cross - variety spread of futures (2TS - 3TF + T), the three - year basis trend of the TS main contract, and the three - year net basis trend of the TS main contract [36][41][48]. 6. Five - Year Treasury Bond Futures - Relevant figures include 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]. 7. Ten - Year Treasury Bond Futures - Relevant figures include 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][58]. 8. Thirty - Year Treasury Bond Futures - Relevant figures include 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].