国债期货日报-20250923

Report Summary 1. Report Industry Investment Rating - No relevant information provided. 2. Core View of the Report - The report suggests paying attention to the central bank's attitude. It believes that the market decline today may be related to a widely - circulated fund fee interpretation memo. The shift from institutional redemptions of fund products to ETFs and special accounts may be an emerging trend, which will bring some pressure to the market in the short - term. With the current stable capital situation and the central bank's reluctance to over - invest, the market lacks positive drivers and is vulnerable to potential negative factors. Trading should adopt a volatile approach, and when buying long positions, the intervals should be widened [1][3]. 3. Summary by Related Content 3.1. Disk Review - On Tuesday, bond futures prices dropped rapidly after the opening, failed to rebound during the trading day, and all varieties closed lower. The open market only conducted 7 - day reverse repurchases, with a net withdrawal of 1.09 billion yuan. The capital situation tended to be stable, and the DR001 rate dropped to 1.41% [1]. 3.2. Intraday News - Federal Reserve Governor Milan estimated the neutral interest rate to be around 2.5% and proposed an additional 125 - basis - point interest rate cut within the year. However, three Fed officials poured cold water on the idea of rate cuts, stating that there is limited room for further action and no reason to cut rates again this year [2]. 3.3. Market Judgment - The main reason for today's market decline may be related to a fund fee interpretation memo. The shift from institutional redemptions of fund products to ETFs and special accounts is likely a long - term trend, which will bring some pressure to the market during the transition. Currently, the capital situation is stable, and the central bank's open - market fund withdrawal indicates its reluctance to over - invest. The market lacks positive drivers and is easily affected by potential negative factors. Trading should be based on a volatile strategy, and when buying long positions, the intervals should be widened [3]. 3.4. Daily Data of Treasury Bond Futures | Contract | 2025 - 09 - 23 Price | 2025 - 09 - 22 Price | Price Change | 2025 - 09 - 23 Position (Lots) | 2025 - 09 - 22 Position (Lots) | Position Change (Lots) | 2025 - 09 - 23 Trading Volume (Lots) | 2025 - 09 - 22 Trading Volume (Lots) | Trading Volume Change (Lots) | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | TS2512 | 102.352 | 102.396 | - 0.044 | 75408 | 76728 | - 1320 | 38495 | 28858 | 9637 | | TF2512 | 105.645 | 105.76 | - 0.115 | 144278 | 151551 | - 7273 | 81508 | 50317 | 31191 | | T2512 | 107.755 | 107.945 | - 0.19 | 246257 | 251433 | - 5176 | 110179 | 79097 | 31082 | | TL2512 | 114.54 | 115.09 | - 0.55 | 166622 | 169375 | - 2753 | 154093 | 113691 | 40402 | | TS Basis (CTD) | - 0.0467 | - 0.0141 | - 0.0326 | - | - | - | - | - | - | | TF Basis (CTD) | - 0.0531 | 0.0369 | - 0.09 | - | - | - | - | - | - | | T Basis (CTD) | 0.0321 | 0.1268 | - 0.0947 | - | - | - | - | - | - | | TL Basis (CTD) | 0.623 | 0.6336 | - 0.0106 | - | - | - | - | - | - | [4] |