国债期货日报 2025/9/16 数据来源第三方，观点仅供参考。市场有风险，投资需谨慎！ 备注：T为10年期国债期货，TF为5年期国债期货，TS为2年期国债期货 研究员： 廖宏斌 期货从业资格号F30825507 期货投资咨询从业证书号Z0020723 免责声明 本报告中的信息均来源于公开可获得资料，瑞达期货股份有限公司力求准确可靠，但对这些信息的准确性及完 整性不做任何保证，据此投资，责任自负。本报告不构成个人投资建议，客户应考虑本报告中的任何意见或建议是否 符合其特定状况。本报告版权仅为我公司所有，未经书面许可，任何机构和个人不得以任何形式翻版、复制和发布。 如引用、刊发，需注明出处为瑞达期货股份有限公司研究院，且不得对本报告进行有悖原意的引用、删节和修改。 端在期货 | 项目类别 数据指标 | 最新 | 最新 | 环比 项目 | | 环比 | | --- | --- | --- | --- | --- | --- | | 期货盘面 T主力收盘价 | | 108.000 | 0.15% T主力成交量 | 138741 | 44141↑ | | TF主力收盘价 | | 105.795 | 0.13% TF主 ...

行业 国债日报 日期 2025 年 9 月 16 日 研究员：何卓乔(宏观贵金属) 18665641296 hezhuoqiao@ccb.ccbfutures.com 期货从业资格号：F3008762 研究员：黄雯昕(国债集运) 021-60635739 huangwenxin@ccb.ccbfutures.com 期货从业资格号：F3051589 研究员：聂嘉怡(股指) 021-60635735 niejiayi@ccb.ccbfutures.com 期货从业资格号：F03124070 宏观金融团队 请阅读正文后的声明 ＃summary＃ 当日行情： 经济数据走弱提振债市，国债期货全线收涨。 利率现券： 银行间各主要期限利率现券收益率短降长升，中长端幅度多在 1bp 左右，至 下午 16：30，10 年国债活跃券 250011 收益率报 1.8000%上行 1.05bp。 资金市场： 央行公开市场回笼资金，资金面整体平稳。今日有 3115 亿元逆回购到期，央 行开展了 2800 亿元逆回购操作，全口径实现净回笼 315 亿元。银行间资金情绪指 数持稳，短端资金利率多数小幅抬升，其中银存间隔夜加权回升约 5b ...

Report Industry Investment Rating - Not provided in the given content Core Viewpoint - The report suggests paying attention to the central bank's attitude. Considering the limited potential for a weak rebound, some long positions can be taken profit [1][2] Summary by Related Catalogs 1. Market Review - On Monday, bond futures continued to rebound, with all contracts closing higher and long - term varieties seeing larger gains. There were 28 billion yuan in open - market reverse repurchases and 60 billion yuan in outright reverse repurchases, resulting in a net injection of 56.85 billion yuan. The funding situation was tight, and the DR001 rate rose to 1.41% [1] 2. Intraday News - Trump expects the Fed to "significantly cut interest rates" this week [2] - In August, fixed - asset investment increased by 0.5% year - on - year cumulatively, real estate development investment decreased by 12.9% year - on - year cumulatively, industrial added value of enterprises above designated size increased by 5.2% year - on - year, and total retail sales of consumer goods increased by 3.4% year - on - year [2] 3. Market Analysis and Judgment - Although some A - share indices reached new highs today, the bond market basically shook off the influence of the stock market. The economic data announced in the morning showed that investment and consumption continued to slow down, and the boosting effect of the "two new" policies weakened. The real estate market is still bottom - seeking, and the decline in sales and new construction has not converged. The fundamentals determine that there is a ceiling for interest rates, but the current market trading sentiment is still weak, and long - term interest rates rose again after the futures market closed. In addition, the funding situation has tightened again due to the tax period, and attention should be paid to the central bank's injection intensity in the next few days [2] 4. Daily Data of Treasury Bond Futures - **Price Changes**: The prices of TS2512, TF2512, T2512, and TL2512 on September 15, 2025, were 102.368, 105.66, 107.84, and 115.48 respectively, with daily increases of 0.004, 0.08, 0.16, and 0.32 compared to September 12, 2025 [3] - **Position Changes**: The positions of TS, TF, T, and TL contracts on September 15, 2025, were 72,691, 135,920, 236,190, and 162,580 hands respectively, with changes of + 1,775, - 843, + 4,644, and + 1,932 hands compared to September 12, 2025 [3] - **Basis Changes**: The bases (CTD) of TS, TF, T, and TL contracts on September 15, 2025, were - 0.0291, 0.0708, 0.4266, and 0.554 respectively, with changes of 0.0239, 0.0307, 0.0473, and 0.2482 compared to September 12, 2025 [3] - **Trading Volume Changes**: The trading volumes of TS, TF, T, and TL main contracts on September 15, 2025, were 24,122, 54,025, 94,600, and 111,024 hands respectively, with decreases of 10,117, 17,431, 9,200, and 39,156 hands compared to September 12, 2025 [3] 5. Graphical Data - The report also includes graphical data on the basis and IRR of T, TL, TF, and TS main contracts, long - term and ultra - long - term bond interest rate trends, deposit - type institution financing interest rates and policy interest rates, exchange financing interest rates, fund stratification, US Treasury bond yield trends, and US - China interest rate differentials and RMB exchange rates [4][8][14]

1. Report Industry Investment Rating - Not provided in the report 2. Core View of the Report - Stock index fluctuations increase and bonds recover. Stock index futures should be put under observation, and light long positions in treasury bond futures are recommended [121][123][124] 3. Summary According to the Table of Contents 3.1 Market Review - **1.1 Shanghai Stock Exchange 50 (SSE 50) and CSI 300 Market Review**: The SSE 50 is approaching a new high, and the CSI 300 has reached a new high [9] - **1.2 CSI 500 and 10 - year Treasury Bond Market Review**: The CSI 500 has reached a new high, and treasury bond futures have rebounded slightly [15][16] 3.2 Market Momentum Analysis - **2.1.1 Trading Volume of SSE 50 and CSI 300**: The trading volume of the SSE 50 has declined, while that of the CSI 300 has increased [21] - **2.1.2 Trading Volume of CSI 500 and CSI 1000**: The trading volumes of the CSI 500 and CSI 1000 have declined [25] - **2.1.2 Margin Trading Balance**: The margin trading balance exceeds 2 trillion [29] - **2.1.3 Turnover Rate - Free - Float Market Capitalization**: The turnover rates of the SSE 50 and CSI 300 have increased, and those of the CSI 500 and CSI 1000 have increased significantly [32] - **2.2.1 CSI 300 Sector**: The sectors are relatively consistent [39] - **2.2.2 CSI 300 Sector ALPHA**: The ALPHA values of the materials, information, and telecommunications sectors are positive, while those of the energy, finance, and utilities sectors are negative over the full cycle [43] - **2.3 Newly Listed Companies**: In July, the number of listed companies increased by 3 [49] - **2.4.1 Stock Index Positions**: Not elaborated in the provided content - **2.4.2 Stock Index Premium or Discount**: Not elaborated in the provided content - **2.5.2 Treasury Bond Basis - Cheapest - to - Deliver Bond**: Not elaborated in the provided content 3.3 Fundamental Analysis - **3.1.1 Open Market Operations**: Not elaborated in the provided content - **3.1.2 Treasury Bond Yield to Maturity - CSI**: Not elaborated in the provided content - **3.1.2 Treasury Bond Futures (10 - year) IRR**: The IRR of the next - quarter 10 - year treasury bond futures has declined significantly [84] - **3.1.2 Treasury Bond Futures (5 - year) IRR**: The IRR of the next - quarter 5 - year treasury bond futures is stable [87] - **3.1.3 Inter - bank Repo Rate**: The inter - bank repo rate has declined slightly [91] - **3.1.4 Shibor**: The short - term Shibor has declined significantly [95] - **3.2.1 CPI - PPI**: In August, the CPI was - 0.4%, showing a slight recovery, and the PPI growth rate reached - 2.9% [99] - **3.2.2 Manufacturing and Non - manufacturing Activities**: In August, the PMI dropped to 49.4, and the non - manufacturing PMI was 50.3, indicating weak economic recovery [103] - **3.3.1 Consumption Situation**: In July 2025, the year - on - year growth rate of total retail sales of consumer goods was 3.7%, showing a slight increase [108] - **3.3.2 Consumer Confidence**: Consumer confidence is on a downward trend [111] - **3.4.1 Overall Money Supply**: In August, the year - on - year growth rate of M2 was 8.8%, credit accelerated, and M1 was 6% (Note: The central bank revised the M1 indicator). The newly added RMB loans in August were 590 billion [113][115] - **3.4.2 Newly Added RMB Loans**: Not elaborated in the provided content 3.4 Outlook for the Future - **Stock Index Futures**: The stock market trading volume is at the level of 2.5 trillion. Market sentiment shows that the number of limit - up stocks exceeds 100, and the number of falling stocks increases significantly. Hot sectors such as AI, the chip industry chain, and communications are experiencing significant high - level fluctuations. Funds are flowing into low - valuation sectors. Institutions have net inflows, while the main players, large - scale investors, and retail investors all have net outflows. Stock market fluctuations increase, and stock index futures should be put under observation [123] - **Treasury Bond Futures**: At the money market level, the central bank has a net reverse - repurchase injection of 196.1 billion. The money liquidity is relatively sufficient, and domestic market interest rates remain low. The yield to maturity of 10 - year treasury bonds fluctuates around 1.7895%. With significant stock market fluctuations, investors' risk preferences may be more cautious, and light long positions in treasury bond futures are recommended [124]

Report Summary 1. Report Industry Investment Rating - No relevant information provided. 2. Core View of the Report - No explicit core view is presented in the provided content. The report mainly presents the performance data of various global asset markets. 3. Summary by Related Catalogs Global Asset Market Performance - **10 - Year Treasury Yields of Major Economies**: On September 12, 2025, the 10 - year Treasury yields of the US, UK, France, etc., were 4.022, 4.606, 3.441 respectively. There were no latest changes, but significant weekly, monthly, and yearly changes were observed. For example, the US had a one - year change of 0.266, while Italy had a one - year change of - 0.206 [3]. - **2 - Year Treasury Yields of Major Economies**: On September 12, 2025, the 2 - year Treasury yields of the US, UK, Germany, etc., were 3.540, 3.927, 1.983 respectively. Weekly, monthly, and yearly changes also varied. For instance, the US had a one - year change of - 0.020, while Japan had a one - year change of 0.484 [3]. - **USD Exchange Rates Against Major Emerging Economies' Currencies**: As of September 12, 2025, the exchange rates of the US dollar against the Brazilian real, Russian ruble, etc., were 5.389, 108.000 respectively. There were no latest changes, and weekly, monthly, and yearly changes differed. For example, the Brazilian real had a one - year change of - 4.48% against the US dollar [3]. - **Major Economies' Stock Indices**: On September 12, 2025, the values of the S&P 500, Dow Jones Industrial Average, etc., were 6587.470, 46108.000 respectively. There were no latest changes, but weekly, monthly, and yearly changes were notable. For example, the S&P 500 had a one - year change of 19.34% [3]. - **Credit Bond Indices**: There were no latest changes in the US investment - grade credit bond index, euro - zone investment - grade credit bond index, etc. Weekly, monthly, and yearly changes were positive in most cases. For example, the US high - yield credit bond index had a one - year change of 8.93% [3][4]. Stock Index Futures Trading Data - **Index Performance**: The closing prices of A - shares, CSI 300, etc., were 3870.60, 4522.00 respectively, with different percentage changes. For example, the A - shares had a change of - 0.12% [5]. - **Valuation**: The PE (TTM) of the CSI 300, SSE 50, etc., were 14.13, 11.90 respectively, with corresponding环比 changes [5]. - **Risk Premium**: The risk premiums of the CSI 300, SSE 50, etc., were 3.70, 5.77 respectively, with no环比 changes [5]. - **Fund Flows**: The latest values of A - shares, the main board, etc., were 1342.66, 657.95 respectively [5]. - **Trading Volume**: The latest trading volumes of the Shanghai and Shenzhen stock markets, CSI 300, etc., were 25209.25, 6895.76 respectively, with corresponding环比 changes [5]. - **Main Contract Basis**: The basis of IF, IH, IC were 1.20, 0.06, - 7.75 respectively, with corresponding basis spreads [5]. Treasury Bond Futures Trading Data - **Closing Prices and Percentage Changes**: The closing prices of T00, TF00, etc., were 107.880, 105.760 respectively, with percentage changes of 0.14%, 0.19% respectively [6]. - **Funding Rates and Daily Changes**: The funding rates of R001, R007, etc., were 1.3979%, 1.4651% respectively, with daily changes of - 9.00BP, - 2.00BP respectively [6].

Group 1: Report Industry Investment Rating - No relevant content Group 2: Core Viewpoints of the Report - The short - term view of TL2512 is oscillatory, the medium - term view is oscillatory, and the intraday view is weakly oscillatory, with an overall oscillatory view due to the existence of long - term interest rate cut expectations but a low possibility of short - term comprehensive interest rate cuts [1] - The intraday view of financial futures index stock sectors (TL, T, TF, TS) is weakly oscillatory, the medium - term view is oscillatory, and the reference view is oscillatory. In the short term, treasury bond futures will mainly conduct low - level oscillatory consolidation [5] Group 3: Summary by Related Catalogs Variety Viewpoint Reference - Financial Futures Index Stock Sector - For TL2512, the short - term, medium - term, and intraday views are based on the situation that long - term interest rate cut expectations still exist while the possibility of short - term comprehensive interest rate cuts is low [1] Main Variety Price Market Driving Logic - Financial Futures Index Stock Sector - Last Friday, treasury bond futures showed a differentiated trend. 2 - year treasury bond futures oscillated and slightly declined, while 5 - year, 10 - year, and 30 - year treasury bond futures oscillated and rose [5] - Treasury bond futures are mainly affected by monetary policy expectations and the risk appetite of the stock market [5] - In the long run, there are still expectations of interest rate cuts, but in the short term, the upward momentum of treasury bond futures is not strong because the necessity of comprehensive interest rate cuts is not high [5] - The inflation data in August was still weak. The policy side will continue to introduce policies to stabilize demand to promote a moderate rebound in inflation. It is expected that fiscal policies will be intensified in the fourth quarter, which will pose supply - side pressure on treasury bonds [5] - The risk appetite of the stock market is at a high level, siphoning bond - buying funds and suppressing the demand side of treasury bonds, showing the stock - bond seesaw effect [5]

Report Summary 1. Report Industry Investment Rating - No specific industry investment rating is provided in the report. 2. Core Viewpoints - The short - term, medium - term, and intraday views for TL2512 are "oscillation", with an intraday view of "oscillation on the weak side". The core logic is that the long - term expectation of interest rate cuts remains, but the possibility of a short - term comprehensive interest rate cut is low [1]. - For financial futures in the bond index sector (TL, T, TF, TS), the intraday view is "oscillation on the weak side", the medium - term view is "oscillation", and the reference view is "oscillation". It is expected that Treasury bond futures will mainly undergo low - level oscillation and consolidation in the short term [5]. 3. Summary by Related Content Variety Viewpoint Reference - Financial Futures Stock Index Sector - For TL2512, the short - term view is "oscillation", the medium - term view is "oscillation", the intraday view is "oscillation on the weak side", and the reference view is "oscillation". The core logic is that the long - term expectation of interest rate cuts remains, but the possibility of a short - term comprehensive interest rate cut is low [1]. Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - The intraday view for TL, T, TF, TS is "oscillation on the weak side", the medium - term view is "oscillation", and the reference view is "oscillation". Yesterday, Treasury bond futures maintained low - level oscillation and consolidation. Today, the stock market rose unilaterally, and the recovery of stock market risk appetite suppressed the bond market. Inflation data is still weak, and subsequent policy - makers will continue to introduce policies to stabilize demand to promote a moderate recovery of inflation. It is expected that fiscal policies will be strengthened in the fourth quarter, which will put pressure on the supply side of Treasury bonds. Since there is no need for a short - term comprehensive interest rate cut, the downward space for market interest rates is limited, and the upward momentum of Treasury bond futures is insufficient. In general, Treasury bond futures are expected to mainly undergo low - level oscillation and consolidation in the short term [5].

1. Report Industry Investment Rating - No relevant content provided 2. Core Viewpoints of the Report - On September 11, 2025, the spot yields of treasury bonds mostly strengthened, with the ultra - long end weakening. Treasury bond futures showed short - term strength and long - term weakness. The domestic fundamental situation indicated a stable recovery of the overall price level, and overseas, the downward revision of US non - farm employment data led to market expectations of a Fed rate cut in September, creating room for China's overall easing policy. Recently, the bond market has been weak, driven by pessimistic sentiment. It is recommended to observe the adjustment of bond futures in the short term and consider band allocation after stabilization, while also paying attention to opportunities for the expansion of term spreads due to a steeper yield curve [2] 3. Summary by Relevant Catalogs 3.1 Futures Disk - T主力收盘价107.580, up 0.07%, with a trading volume of 30,204 (an increase); TF主力收盘价105.590, up 0.14%, with a trading volume of 17,654 (an increase); TS主力收盘价102.410, up 0.06%, with a trading volume of 3,960 (an increase); TL主力收盘价114.740, down 0.11%, with a trading volume of 37,306 (an increase) [2] 3.2 Futures Spreads - TL2512 - 2509 spread was - 7.16, down - 0.44, up 0.16; T12 - TL12 spread increased by 0.11; T2512 - 2509 spread was - 1.99, down - 0.30, down 0.06; TF12 - T12 spread increased by 0.08; TF2512 - 2509 spread was - 5.17, down - 0.18, down 0.03; TS12 - T12 spread decreased by 0.03; TS2512 - 2509 spread was - 3.18, up 0.06, up 0.03; TS12 - TF12 spread decreased by - 0.11 [2] 3.3 Futures Positions - T主力持仓量 was 196,841, an increase of 5,005; T前20名多头 increased by 2,529; T前20名空头 increased by 7,964; T前20名净空仓 decreased by 5,435; TF主力持仓量 was 122,214, an increase of 2,666; TF前20名多头 increased by 1,461; TF前20名空头 increased by 2,478; TF前20名净空仓 increased by 1,017; TS主力持仓量 was 54,959, an increase of 181; TS前20名多头 decreased by 632; TS前20名空头 increased by 425; TS前20名净空仓 increased by 1,057; TL主力持仓量 was 119,162, an increase of 1,940; TL前20名多头 increased by 2,127; TL前20名空头 increased by 5,973; TL前20名净空仓 increased by 3,846 [2] 3.4 Top Two CTD (Clean Prices) - 220017.IB(6y) was 99.0955, up 0.0984; 220019.IB(6y) was up 0.0820; 230006.IB(4y) was 100.8844, up 0.0306; 240020.IB(4y) was up 0.1465; 250012.IB(1.7y) was 101.9942, up 0.0432; 220016.IB(2y) was up 0.0157; 210005.IB(17y) was 122.5704, down - 0.0023; 220008.IB(18y) was down - 0.1141 [2] 3.5 Active Treasury Bond Coupons - 1 - year coupon was 1.4300%, up 1.00bp; 3 - year coupon was up 0.75bp; 5 - year coupon was 1.7525%, up 1.75bp; 7 - year coupon was up 2.00bp; 10 - year coupon was 1.8150%, up 2.00bp [2] 3.6 Short - term Interest Rates - Overnight silver - pledged repo rate was 1.3690%, up 4.46bp; Shibor overnight was down 5.60bp; 7 - day silver - pledged repo rate was 1.4660%, up 3.05bp; Shibor 7 - day was up 1.70bp; 14 - day silver - pledged repo rate was 1.5100%, down 3.00bp; Shibor 14 - day was up 0.90bp [2] 3.7 LPR Interest Rates - 1 - year LPR was 3.5%, unchanged; 5 - year LPR was unchanged [2] 3.8 Open Market Operations - Issuance scale was 292 billion yuan, maturity scale was 212.6 billion yuan, and the interest rate was 1.4% for 7 - day reverse repos [2] 3.9 Industry News - In August, China's CPI was flat month - on - month and down 0.4% year - on - year, with core CPI up 0.9% year - on - year. PPI was flat month - on - month and down 2.9% year - on - year, with the decline narrowing. The Ministry of Finance stated that fiscal policies have been more proactive this year. From March 2024 to March 2025, US private non - farm employment decreased by 880,000, with various sectors seeing employment declines [2] 3.10 Key Points to Watch - At 20:15 on September 11, the European Central Bank's interest rate decision; at 20:30 on September 11, US August CPI and core CPI data [3]

国债期货日报 2025/09/10 徐晨曦（投资咨询证号：Z0001908） 投资咨询业务资格：证监许可【2011】1290 | | 2025-09-10 | 2025-09-09 | 今日涨跌 | | 2025-09-10 | 2025-09-09 | 今日变动 | | --- | --- | --- | --- | --- | --- | --- | --- | | TS2512 | 102.348 | 102.39 | -0.042 | TS合约持仓(手） | 73128 | 72585 | 543 | | TF2512 | 105.445 | 105.58 | -0.135 | TF合约持仓(手） | 144218 | 145470 | -1252 | | T2512 | 107.505 | 107.785 | -0.28 | T合约持仓(手） | 230673 | 224582 | 6091 | | TL2512 | 114.87 | 115.76 | -0.89 | TL合约持仓(手） | 153937 | 144317 | 9620 | | TS基差（CTD) | -0.0418 | -0.03 ...

截至当日收盘，各期限国债期货收盘全线下跌。Wind数据显示，30年期国债期货主力合约跌0.86%，10 年期主力合约跌0.27%，5年期主力合约跌0.15%，2年期主力合约跌0.04%。 9月10日，银行间主要利率债收益率午后加速上行。Wind数据显示，截至15:15，10年期国债活跃券"25 附息国债11"收益率上行2基点报1.82%，30年期国债"25超长特别国债02"收益率上行3基点报2.10%，均 创上市以来新高。 ...