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瑞达期货国债期货日报-20250930
Rui Da Qi Huo·2025-09-30 09:20
  1. Report Industry Investment Rating - No information provided 2. Core Viewpoints of the Report - The bond market is currently influenced by both bullish and bearish factors. The economic data shows that the pattern of "strong supply and weak demand" may continue, and the foundation for the recovery of effective demand is not yet solid. The economic growth in the third quarter is under pressure, which provides some support for the current bond market. However, in an environment lacking incremental positive news, the market is sensitive to negative news. The uncertainty of the new regulations on public bond funds continues to disrupt the market, and funds face significant redemption pressure. Bearish sentiment still dominates. It is expected that Treasury bond futures will continue to be in a volatile and weak pattern in the short term. In terms of strategy, it is recommended to wait and see on a single - side basis, and at the same time, pay attention to the long - end term spread trading opportunities brought by the steepening of the yield curve [2] 3. Summary by Relevant Catalogs 3.1 Futures Disk - T主力收盘价为107.845,涨幅0.17%,成交量91682,增加6223;TF主力收盘价为105.630,涨幅0.11%,成交量62260,减少6371;TS主力收盘价为102.372,涨幅0.04%,成交量29604,增加2631;TL主力收盘价为113.900,涨幅0.1%,成交量135369,增加7966 [2] 3.2 Futures Spreads - TL2512 - 2603价差为0.33,减少0.02;T2512 - 2603价差为0.31,减少0.02;TF2512 - 2603价差为0.11,减少0.02;TS2512 - 2603价差为0.09,增加0.00;T12 - TL12价差为 - 6.06,无变化;TF12 - T12价差为 - 2.22,减少0.04;TS12 - T12价差为 - 5.47,减少0.14;TS12 - TF12价差为 - 3.26,减少0.10 [2] 3.3 Futures Positions - T主力持仓量为221887,增加911;T前20名多头持仓量为211293,增加702;T前20名空头持仓量为210998,增加4693;T前20名净空仓为 - 295,减少3991;TF主力持仓量为131782,增加1521;TF前20名多头持仓量为122701,增加1684;TF前20名空头持仓量为132877,增加3549;TF前20名净空仓为10176,增加1865;TS主力持仓量为66797,减少1281;TS前20名多头持仓量为54560,减少1166;TS前20名空头持仓量为58212,减少305;TS前20名净空仓为3652,增加861;TL主力持仓量为145443,减少687;TL前20名多头持仓量为128270,减少377;TL前20名空头持仓量为141620,增加650;TL前20名净空仓为13350,增加1027 [2] 3.4 Top Two CTD (Clean Prices) - 220019.IB(6y)净价为105.3158,增加0.0147;250018.IB(6y)净价为99.0955,增加0.2108;2500801.IB(4y)净价为99.2763,增加0.0919;240020.IB(4y)净价为100.8844,增加0.1346;250012.IB(1.7y)净价为99.9309,增加0.0168;250017.IB(2y)净价为99.9036,增加0.0286;210014.IB(17y)净价为125.1262,减少0.5025;220008.IB(18y)净价为121.2945,增加0.6719 [2] 3.5 Active Treasury Bonds - 1y收益率为1.3825%,无变化;3y收益率为1.5300%,减少0.75bp;5y收益率为1.6250%,增加1.00bp;7y收益率为1.7525%,增加1.00bp;10y收益率为1.8075%,增加0.85bp [2] 3.6 Short - term Interest Rates - 银质押隔夜利率为1.3699%,增加6.99bp;Shibor隔夜利率为1.3790%,增加6.40bp;银质押7天利率为1.4667%,减少43.33bp;Shibor7天利率为1.4050%,减少11.80bp;银质押14天利率为1.6576%,减少29.24bp;Shibor14天利率为1.7020%,增加17.50bp [2] 3.7 LPR Rates - 1y LPR利率为3.00%,无变化;5y LPR利率为3.5%,无变化 [2] 3.8 Open Market Operations - 发行规模2422亿元,到期规模2761亿元,利率1.4%,期限7天,净投放 - 339亿元 [2] 3.9 Industry News - In September, the manufacturing PMI was 49.8%, a 0.4 - percentage - point increase month - on - month, indicating a continued improvement in the manufacturing's prosperity level; the non - manufacturing business activity index was 50.0%, a 0.3 - percentage - point decrease, remaining at the critical point, showing overall stability in the non - manufacturing business volume; the composite PMI output index was 50.6%, a 0.1 - percentage - point increase, remaining above the critical point, indicating an accelerating overall expansion of Chinese enterprises' production and business activities [2] - In August, local government bonds worth 980.1 billion yuan were issued nationwide, including 305.6 billion yuan in general bonds and 674.5 billion yuan in special bonds. From January to August, the total issuance of local government bonds nationwide was 7,683.8 billion yuan, including 1,829.7 billion yuan in general bonds and 5,854.1 billion yuan in special bonds [2] - The scale of new policy - based financial instruments is 500 billion yuan, all of which are used to supplement project capital. The National Development and Reform Commission is working with relevant parties to allocate the funds to specific projects. According to Wang Qing, the chief macro - analyst at Orient Jincheng, these 500 billion yuan in new policy - based financial instruments can leverage about 6 trillion yuan in investment [2] 3.10 Key Data to Watch - On October 1st at 20:15, the US ADP employment figure for September (in ten thousand people) - On October 3rd at 20:30, the US seasonally - adjusted non - farm payrolls for September (in ten thousand people) [3]