国债期货日报 2025/11/24 徐晨曦（投资咨询证号：Z0001908） 投资咨询业务资格：证监许可【2011】1290 观点：关注央行政策态度 | | 2025-11-24 | 2025-11-21 | 今日涨跌 | | 2025-11-24 | 2025-11-21 | 今日变动 | | --- | --- | --- | --- | --- | --- | --- | --- | | TS2512 | 102.416 | 102.448 | -0.032 | TS合约持仓(手） | 71468 | 73816 | -2348 | | TF2512 | 105.885 | 105.855 | 0.03 | TF合约持仓(手） | 160107 | 153244 | 6863 | | T2512 | 108.47 | 108.44 | 0.03 | T合约持仓(手） | 284471 | 279585 | 4886 | | TL2512 | 115.72 | 115.59 | 0.13 | TL合约持仓(手） | 175392 | 176275 | -883 | | TS基差（CTD) | 0.0034 ...

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] |

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]

Group 1: Report Industry Investment Rating - The report does not mention the industry investment rating. Group 2: Core View of the Report - This week, all Treasury bond futures closed lower. The closing prices of the 30 - year (TL), 10 - year (T), 5 - year (TF), and 2 - year (TS) Treasury bond futures in the main contracts decreased by 1.54%, 0.32%, 0.17%, and 0.04% respectively compared to last week. The overall Treasury bond futures market showed a trend of rising first and then falling, with prices of all - term contracts declining. Due to the support of loose funding at the short - end, TF and TS performed better than TL and T. After the increase in equity risk appetite, Treasury bond futures were more likely to fall than rise. Although the weak economic data released on Friday morning supported a rebound in the morning session, the market then returned to the bearish direction [4]. Group 3: Summary by Related Catalogs Price and Volume - **Price**: The closing prices of TL, T, TF, and TS main contracts decreased by 1.54%, 0.32%, 0.17%, and 0.04% respectively compared to last week [4]. - **Open Interest**: The open interest of the main contracts continued to decline. The open interest of TL, T, TF, and TS main contracts decreased by 26.1%, 28%, 23.3%, and 19.6% respectively compared to last week. The total open interest of all contracts also decreased, with T, TL, TF, and TS decreasing by 0.7%, 1.3%, 5.6%, and 4.6% respectively compared to last week. The total open interest of all Treasury bond futures decreased by 2.83% compared to last week [4]. - **Trading Volume**: The trading volume of Treasury bond futures rebounded significantly compared to last week. The trading volumes of TL, T, TF, and TS main contracts increased by 28%, 21.1%, 8.3%, and 18.9% respectively compared to last week; the trading volumes of all contracts increased by 44.6%, 31.8%, 16.6%, and 20.9% respectively compared to last week [4]. Spread and Ratio - **Inter - delivery Spread**: Except for the unchanged inter - delivery spread of the T variety, the spreads of other varieties widened. From the 09 - 12 month spread, the inter - delivery spread of TL continued to widen, rising by 0.1 yuan; the spreads of TS and TF reversed, rising from a decline to 0.014 yuan and 0.055 yuan respectively; the spread of T remained unchanged compared to last week [4]. - **Long - Short Ratio**: The long - short ratios of the top 20 seats in the main contracts of TL, T, TF, and TS were 0.99, 1.03, 0.93, and 0.93 respectively, changing by - 0.018, + 0.027, - 0.001, and + 0.019 respectively compared to last week. Among them, the long - short ratios of T and TS improved [4]. IRR and Basis - **IRR**: From the perspective of IRR, the IRR corresponding to the CTD of the T and TF main contracts rebounded marginally this week. The IRR corresponding to the CTD of the TL, T, TF, and TS main contracts were - 1.2584%, 2.1507%, 1.5529%, and 1.1675% respectively, changing by - 2.6924%, + 0.7559%, + 0.0154%, and - 0.2929% respectively compared to last week. Among them, TL moved towards the lower extreme, T returned to the 3/4 quantile level of history, and TF and TS were at relatively low levels in history [4]. - **Basis**: The basis of TL and TS widened, while the basis of T and TF converged. The discount of the TL main contract widened by 0.2855 yuan compared to the closing price last week, and the widening of the discount may reflect that the market was more cautious about the future market trend [4]. Technical Analysis - Technically, the bearish sentiment dominated the market this week, and the price of the TL main contract broke through the support level. During the week, TL and T opened and closed lower, with significant declines compared to the closing price last Friday. Based on the trading volume distribution, the trading price of TL was mainly distributed (more than 80%) between about 117.52 - 118.43, while the trading price of T was distributed between about 108.31 - 108.48. According to the closing data on Friday, the prices of the T and TL main contracts both broke below the lower limit of the trading volume distribution center of gravity [4].