国债期货日报：资金面收紧，国债期货全线收跌-20250919

Report Industry Investment Rating No relevant content provided. Core View of the Report The bond market is under pressure due to the strong stock market, rising risk appetite, increased expectations of the Fed cutting interest rates before the end of the year, and rising global trade uncertainties. Overall, the bond market oscillates between the expectations of stabilizing growth and monetary easing. Short - term attention should be paid to policy signals at the end of the month [3]. Summary According to the Directory I. Interest Rate Pricing Tracking Indicators - Price indicators show that China's CPI (monthly) has a 0.00% month - on - month change and a - 0.40% year - on - year change, while China's PPI (monthly) has a 0.00% month - on - month change and a - 2.90% year - on - year change [9]. - Economic indicators (monthly update) include a social financing scale of 433.66 trillion yuan, an increase of 2.40 trillion yuan month - on - month (+0.56%), an M2 year - on - year growth of 8.80% with no month - on - month change, and a manufacturing PMI of 49.40%, up 0.10% month - on - month (+0.20%) [10]. - Economic indicators (daily update) cover various aspects such as the US dollar index, the US dollar against the offshore RMB, SHIBOR 7 - day, DR007, R007, and others, with corresponding numerical values and changes [11]. II. Overview of the Treasury Bond and Treasury Bond Futures Market No specific content other than referring to figures about the closing price trend, price change rate, precipitation funds trend, position ratio, net position ratio, long - short position ratio, spread between national development bonds and treasury bonds, and treasury bond issuance situation of treasury bond futures is provided [15][16][20][26]. III. Overview of the Money Market Liquidity The money market is mainly reflected through figures on the Shibor interest rate trend, the maturity yield trend of inter - bank certificates of deposit (AAA), the transaction statistics of inter - bank pledged repurchase, and local government bond issuance [29][35]. IV. Spread Overview The spread overview is presented through figures on the inter - period spread trend of treasury bond futures and the term spread of spot bonds and cross - variety spreads of futures [33][37][38]. V. Two - year Treasury Bond Futures The two - year treasury bond futures are analyzed through figures on the implied interest rate of the main contract and the treasury bond maturity yield, the IRR of the TS main contract and the funding rate, and the three - year basis and net basis trends of the TS main contract [40][43][50]. VI. Five - year Treasury Bond Futures The five - year treasury bond futures are analyzed through figures on the implied interest rate of the main contract and the treasury bond maturity yield, the IRR of the TF main contract and the funding rate, and the three - year basis and net basis trends of the TF main contract [52][56]. VII. Ten - year Treasury Bond Futures The ten - year treasury bond futures are analyzed through figures on the implied yield of the main contract and the treasury bond maturity yield, the IRR of the T main contract and the funding rate, and the three - year basis and net basis trends of the T main contract [59][61]. VIII. Thirty - year Treasury Bond Futures The thirty - year treasury bond futures are analyzed through figures on the implied yield of the main contract and the treasury bond maturity yield, the IRR of the TL main contract and the funding rate, and the three - year basis and net basis trends of the TL main contract [66][72]. Market Analysis - Macro - level: In July, the Politburo meeting proposed a series of policy guidelines. On August 1, 2025, the Ministry of Finance and the State Taxation Administration announced that starting from August 8, 2025, VAT will be levied on the interest income of newly issued treasury bonds, local government bonds, and financial bonds. The China - US joint statement on the Stockholm economic and trade talks suspended the implementation of a 24% tariff for 90 days starting from August 12, 2025. The Ninth Plenary Session of the State Council emphasized measures to stabilize the real estate market. In August, the CPI decreased by 0.4% year - on - year [1]. - Funding - level: At the end of August, M2 increased by 8.8% year - on - year, M1 rebounded to 6% year - on - year, and the gap between them narrowed continuously. In the first eight months, RMB loans increased by 13.46 trillion yuan, and the cumulative social financing increment was 26.56 trillion yuan. The government bond financing ratio was high, and the deposit increased by 8.6% year - on - year. On September 18, 2025, the central bank conducted a 487 - billion - yuan 7 - day reverse repurchase operation at a fixed rate of 1.4%. The main term repurchase rates have recently rebounded [2]. - Market - level: On September 18, 2025, the closing prices of TS, TF, T, and TL were 102.41 yuan, 105.82 yuan, 108.08 yuan, and 115.62 yuan respectively, with price changes of - 0.04%, - 0.05%, - 0.05%, and - 0.17% respectively. The average net basis of TS, TF, T, and TL was 0.011 yuan, 0.027 yuan, - 0.047 yuan, and 0.138 yuan respectively [2]. Strategy - Single - side trading: As the repurchase rate rebounds, the price of treasury bond futures oscillates [4]. - Arbitrage: Pay attention to the decline of the 2512 basis [4]. - Hedging: There is medium - term adjustment pressure, and short - position traders can use far - month contracts for appropriate hedging [4].