Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The report suggests paying attention to the central bank's attitude. Although the Fed cut interest rates by 25bp as expected, the domestic market may not have an urgent need to follow suit. The central bank may need to use various tools to inject liquidity. If the central bank does not make a statement in the short term, the market's upside potential will be limited. The trading strategy is not to chase the rise, and long positions can be entered at low levels [1][2] 3. Summary According to Related Catalogs 3.1. Market Performance - On Thursday, Treasury bond futures opened lower and fluctuated within a range, closing down across the board. Except for the 1 - year bond, the yields of spot bonds rose. The open - market reverse repurchase was 487 billion yuan, with a net injection of 195 billion yuan. The funding situation remained tight, and DR001 rose to 1.51% [1] - The Fed cut interest rates by 25bp as expected, emphasizing the downside risk of employment and an increase in inflation. It is expected to cut interest rates twice this year and once next year. Milan cast the only dissenting vote, advocating a 50 - basis - point rate cut. The central bank will tender and issue 60 billion yuan of 6 - month RMB central bank bills in Hong Kong on September 22 [2] 3.2. Futures Contract Data | Contract | 2025 - 09 - 18 Price | 2025 - 09 - 17 Price | Price Change | 2025 - 09 - 18 Position | 2025 - 09 - 17 Position | Position Change | | --- | --- | --- | --- | --- | --- | --- | | TS2512 | 102.414 | 102.45 | - 0.036 | 76,633 | 79,034 | - 2,401 | | TF2512 | 105.815 | 105.87 | - 0.055 | 150,650 | 147,322 | 3,328 | | T2512 | 108.065 | 108.135 | - 0.07 | 249,992 | 246,189 | 3,803 | | TL2512 | 115.68 | 115.82 | - 0.14 | 169,140 | 166,472 | 2,668 | | TS Basis (CTD) | - 0.0528 | - 0.0395 | - 0.0133 | | | | | TF Basis (CTD) | - 0.002 | - 0.0011 | - 0.0009 | | | | | T Basis (CTD) | 0.3044 | 0.2948 | 0.0096 | | | | | TL Basis (CTD) | 0.5636 | 0.5555 | 0.0081 | | | | | TS Main Contract Trading Volume | 34,264 | 38,558 | - 4,294 | | | | | TF Main Contract Trading Volume | 64,176 | 70,704 | - 6,528 | | | | | T Main Contract Trading Volume | 93,558 | 101,611 | - 8,053 | | | | | TL Main Contract Trading Volume | 129,045 | 132,135 | - 3,090 | | | | [3] 3.3. Other Charts - The report also includes charts of the basis and IRR of TS, TF, T, and TL main contracts, long - term and ultra - long - term bond interest rate trends, deposit - type institution financing rates and policy rates, exchange financing rates, and US Treasury bond yield trends and US - China interest rate differentials and RMB exchange rates [4][8][10][11][15]
国债期货日报-20250918
Nan Hua Qi Huo·2025-09-18 09:53