【市场表现】 国债期货收盘多数上涨，30年期主力合约跌0.02%报121.130元，10年期主力合约持平于109.105元，5年 期主力合约涨0.01%报106.255元，2年期主力合约涨0.01%报102.514元。银行间主要利率债收益率多数 下行。截至17：00，30年期国债"25超长特别国债02"收益率上行0.35bp报1.8485%，10年期国开债"25国 开10"收益率上行0.35bp报1.7150%，2年期国债"25附息国债06"收益率下行0.25bp报1.3575%。3年期国 债"25附息国债10"、5年期国债"25附息国债03"分别下行1bp、0.55bp。 【资金面】 【操作建议】 资金利率继续回落，期债窄幅震荡多数品种小幅收涨，受到资金面宽松利好期债整体情绪偏强，但在基 本面弱修复、宽货币预期暂不强的环境下，短期期债缺乏突破前高动力。后续关注点一是资金利率继续 回落幅度，二是后续基本面情况。国债期货策略：单边策略上短期建议逢调整适当配置多单，接近前高 注意止盈，关注经济数据与资金面动向。期现策略上，由于近期IRR逐步抬升，可关注正套策略。曲线 策略上可继续关注做陡。 免责声明：本报告中的信 ...

日度报告——综合晨报 美袭击伊朗核设施，伊朗议会同意关闭霍尔 木兹海峡 [T报ab告le_日R期an：k] 2025-06-23 宏观策略（外汇期货(美元指数)） 万斯称："美国未与伊朗开战，我们是在与伊朗核计划作战" 美国袭击了伊朗核设施，表明了对于伊朗不能拥有核武器的态 度，目前来看美国不愿意陷入到战争中，但是地缘风险在明显 上升。 宏观策略（国债期货） 6 月 LPR 报价持稳 综 宽货币预期难被证伪，中短端品种也有走强的动力，曲线有望 继续走陡。 合 黑色金属（铁矿石） 晨 5 月中国出口汽车同比增 22.2% 报 现货累库叠加市场预期极差，现货持货意愿极低，港口铁矿石 现货预计仍将维持弱势，压制盘面难以反弹。整体行情预计维 持弱势震荡，且需求季节性走弱难以扭转。 有色金属（多晶硅） 2025 年 5 月多晶硅出口量环比上涨 66.2% 在龙头企业未减产之前，基本面对盘面仍是偏空指引。 能源化工（原油） 美国石油钻井总数下降 中东地缘冲突持续发酵，油价仍有上行风险。 | 黄玉萍 | 资深分析师 （农产品） | | --- | --- | | [Table_Analyser] 从业资格号： | F307 ...

[Table_IndNameRptType]2 固定收益 固收周报 债市投资者已从看多转向做多 ——债市机构行为周报（6 月第 3 周） 报告日期： 2025-06-15 [Table_Author] 首席分析师：颜子琦 执业证书号：S0010522030002 电话：13127532070 邮箱：yanzq@hazq.com [Table_Author] 研究助理：洪子彦 执业证书号：S0010123060036 电话：15851599909 邮箱：hongziyan@hazq.com ⚫[Table_Summary] 三个债市边际变化 也在拉长久期博资本利得。 第三，债市整体杠杆率也在回升，已超去年水平。一季度债市资金面整 体均衡偏紧，DR007 运行在政策利率上方，对应债市杠杆率持续处于低 位，远低于季节性水平。而近期我们看到，在央行提前公布买断式逆回 购+大行买短债的情况下，6 月资金面并不紧，这一现象也催化了机构加 杠杆的诉求。 综合以上三点，叠加近期披露的基本面数据依然对债市有利（社融由政 府债支撑、物价依然偏弱），债市看多+做多的债市行情已经来临。 ⚫ 同时也有三点关注 第一，拉久期+加杠杆环境 ...

上海证券指出，展望后市，央行释放宽货币信号且市场期待6月18至19日陆家嘴论坛可能发布的若干重 大金融政策，我们认为权益市场以及债券市场可能均受益于宽货币预期，但是也需要警惕外部关税问题 的不确定性仍然存在，权益市场可能受到负面冲击，黄金则有望受益于此。 截至6月11日，黄金ETF基金近5年净值上涨92.20%，排名可比基金前2，贵金属基金排名4/21，居于前 19.05%。从收益能力看，截至2025年6月11日，黄金ETF基金自成立以来，最高单月回报为10.62%，最 长连涨月数为6个月，最长连涨涨幅为16.53%，涨跌月数比为72/57，上涨月份平均收益率为3.27%，年 盈利百分比为80.00%，历史持有3年盈利概率为100.00%。 截至2025年6月12日 10:53，黄金ETF基金(159937)上涨1.04%， 冲击3连涨。流动性方面，黄金ETF基金 盘中换手0.86%，成交2.45亿元。 数据显示，杠杆资金持续布局中。黄金ETF基金最新融资买入额达3270.26万元，最新融资余额达37.31 亿元。 跟踪精度方面，截至2025年6月11日，黄金ETF基金近1月跟踪误差为0.002%，在可比基金 ...

Report Summary 1. Report Industry Investment Rating No information provided in the given content. 2. Core Viewpoints - In the past week (20250602 - 20250608), US stocks, the Hang Seng Index, and the FTSE China A50 Index all rose. The Nasdaq, S&P 500, and Dow Jones Industrial Average increased by 2.18%, 1.50%, and 1.17% respectively, and the Nasdaq China Technology Index rose 3.76%. Meanwhile, the Hang Seng Index climbed 2.16%, and the FTSE China A50 Index went up 0.58% [2]. - Most A - share sectors rose, with technology and non - ferrous metals leading the gains. The wind all - A index increased by 1.61%, and 23 out of 30 CITIC industries advanced, with communication, non - ferrous metals, electronics, and computers having weekly gains of over 3% [3]. - Interest - rate bond prices rose, and the yield curve steepened in a bullish manner. The 10 - year Treasury bond futures main contract rose 0.18% compared to May 30, 2025, and the yield of the 10 - year Treasury bond active bond dropped 1.65 BP to 1.6547% [4]. - The capital price declined, and the central bank advanced the placement of outright reverse repurchases. The R007 and DR007 decreased by 18.88 BP and 10.07 BP respectively, and the central bank net - injected 3283 billion yuan this week [5]. - The bond market leverage level slightly increased. The 5 - day average of inter - bank pledged repurchase volume rose from 6.50 trillion yuan on May 30, 2025, to 6.99 trillion yuan on June 6, 2025 [6]. - US Treasury yields mostly increased, and the curve became steeper. The 10 - year US Treasury yield rose 10 BP to 4.51% as of June 6, 2025 [7]. - The US dollar depreciated, and the gold price rose. The US dollar index fell 0.24%, and the prices of London gold spot, COMEX gold futures, Shanghai gold spot, and futures all increased [8]. - The US May non - farm payrolls increased less year - on - year but exceeded expectations, and the probability of the Fed cutting interest rates in September decreased. The probability dropped from 74.3% to 59.3% as of June 7 [9]. - Looking ahead, the domestic broad - money expectation and external uncertainties still exist. The equity and bond markets may benefit from the broad - money expectation, but the equity market may be negatively affected by external tariff uncertainties, while gold is expected to gain [10]. 3. Summary by Related Content Stock Market - US stocks: The Nasdaq, S&P 500, and Dow Jones Industrial Average rose by 2.18%, 1.50%, and 1.17% respectively, and the Nasdaq China Technology Index increased by 3.76% [2]. - Hong Kong stocks: The Hang Seng Index rose 2.16% [2]. - A - shares: The wind all - A index rose 1.61%. Most sectors advanced, with communication, non - ferrous metals, electronics, and computers having significant gains [3]. Bond Market - Domestic bonds: Interest - rate bond prices rose, the yield curve steepened bullishly, the capital price declined, the central bank net - injected funds, and the bond market leverage level slightly increased [4][5][6]. - US bonds: US Treasury yields mostly increased, and the curve became steeper [7]. Currency and Commodity Markets - Currency: The US dollar depreciated against most major currencies, including the euro, pound, and the Chinese yuan [8]. - Commodity: Gold prices rose both internationally and domestically [8]. Macroeconomic Data - US non - farm payrolls: In May, the US added 13.9 million non - farm jobs, exceeding expectations but increasing less year - on - year. The unemployment rate remained at 4.2%. The probability of the Fed cutting interest rates in September decreased [9].

当月到期规模4.2万亿元。 央行罕见在月初披露买断式逆回购操作，万亿流动性投放为存单市场吃下一颗"定心丸"。 此前，银行体系流动性在降准降息落地后未见明显宽松，反而出现边际收敛态势，5月末同业存单发行 骤然提价，市场对银行负债压力担忧加剧。不少分析认为，央行6月初打破惯例公告大规模买断式逆回 购操作，与当月银行同业存单到期规模处于4.2万亿元高峰有关。 从市场表现来看，周五（6月6日）存单发行利率已初现下行信号。不过，同业存单到期高峰集中在本月 中下旬，加上季末银行存在信贷冲量需要、政府债发行保持一定强度，市场对央行在月内进一步采取积 极操作仍有预期。机构普遍认为，季末流动性紧缩的概率不大。 万亿流动性投放后存单利率下行 6月5日，央行发布消息称，为保持银行体系流动性充裕，自6月6日开始，将以固定数量、利率招标、多 重价位中标方式开展1万亿元买断式逆回购操作，期限为3个月（91天）。考虑到当月共有1.2万亿元买 断式逆回购到期，截至6月6日全月实现买断式逆回购2000亿元净回笼。 王一峰结合往年同期情况表示，考虑季节性走势，近年来6月短端资金利率整体呈"月初回落、下旬走 高"走势。在这背后，主要的扰动因素有三 ...

Group 1: Report Information - Report Title: "TS Contract: Can It Still Be Used for Cash-and-Carry Arbitrage? - Interest Rate Weekly (Week 3 of May)" [1] - Report Date: May 19, 2025 [2] - Chief Analyst: Yan Ziqi, with a practice certificate number of S0010522030002 [2] - Research Assistant: Hong Ziyan, with a practice certificate number of S0010123060036 [2] Group 2: Industry Investment Rating - No industry investment rating is provided in the report. Group 3: Core Views - Since the implementation of reciprocal tariffs on April 3, the bond market's maturity yields have first decreased and then increased. Among treasury bond futures, the TL contract has been strong, while the TS/TF/T main contracts have declined [2]. - The weak performance of the TS contract is due to the previous large premium and the change in the expectation of loose monetary policy. The market's expectation of loose monetary policy changed significantly in Q1, and there are differences in the short - term expectation of loose monetary policy after the double - cut in May. The yield curve has flattened instead of steepening as expected [3]. - As of May 16, the basis of the TS main contract is - 0.07 yuan, and the IRR is 1.79%. The basis has significantly converged, and the IRR is close to the capital interest rate, so the cost - effectiveness of cash - and - carry arbitrage is insufficient [4]. - In the short term, the TS contract may still be in a premium state because of the continuous negative carry. The inversion between R001 and the 2 - year treasury bond maturity yield has decreased from about 60bp at the beginning of the year to 15bp on May 16, and the negative carry phenomenon of some varieties will continue [4]. - Considering that the tight capital situation in Q1 will not repeat, the short - term interest rate has a ceiling and the probability of a sharp decline is low. With the significant convergence of the basis, one can consider participating in the possible rise of the TS contract [4]. Group 4: Analyst and Research Assistant Introduction - Analyst Yan Ziqi is the assistant director of the Research Institute of Hua'an Securities and the chief analyst of fixed income. He has 8 years of experience in sell - side fixed income and equity research, and has won the second place in the 2024 Wind Gold Analyst and the best analyst in the 2023 Choice fixed income industry [12]. - Research Assistant Hong Ziyan is a master of financial engineering from the University of Southern California, covering macro - interest rates, institutional behavior, and treasury bond futures research [12].

2025 年 05 月 05 日 固定收益点评 研究所： 证券分析师： 靳毅 S0350517100001 jiny01@ghzq.com.cn 联系人 ： 马闻倬 S0350124070011 mawz@ghzq.com.cn [Table_Title] 震荡行情中，何处破局？ 固定收益点评 最近一年走势 投资要点: 近期债市走势震荡，主要原因在于：一方面，外部关税冲击下，债 市反应迅速，逼近前期低点，定价基本面走弱预期和宽货币预期； 另一方面，从银行资产比价角度看，当前债市点位暗含 20BP 左右 的降息幅度，但宽货币政策节奏尚未明朗，利率下行也受阻。 我们复盘了 2022 年以来债市经历的震荡行情： 国海证券研究所 请务必阅读正文后免责条款部分 相关报告 《固定收益点评：5 月资金面怎么看？*靳毅》—— 2025-04-27 《固定收益点评：超长债供给压力几何？*靳毅》 ——2025-04-20 《固定收益点评：债市如何交易关税冲击？*靳毅》 ——2025-04-14 《固定收益点评：政府债供给放量，会扰动债市 吗？*靳毅》——2025-04-06 《固定收益点评：4 月资金面怎么看？*靳毅》—— 20 ...

固定收益 | 动态跟踪 债市静待新催化剂 固定收益市场周观察 研究结论 风险提示 政策变化超预期；货币政策变化超预期；经济基本面变化超预期；信用风险暴露超预 期；数据统计可能存在遗误 | | | 报告发布日期 2025 年 04 月 28 日 | 齐晟 | qisheng@orientsec.com.cn | | --- | --- | | | 执业证书编号：S0860521120001 | | 杜林 | dulin@orientsec.com.cn | | | 执业证书编号：S0860522080004 | | 王静颖 | wangjingying@orientsec.com.cn | | | 执业证书编号：S0860523080003 | | 再议供给压力及对资金面影响：固定收益 | 2025-04-21 | | --- | --- | | 市场周观察 | | | 利率方向回归下行后，幅度取决于资金： | 2025-04-14 | | 固定收益市场周观察 | | | 转债市场 25 年一季度回顾及展望 | 2025-04-08 | 有关分析师的申明，见本报告最后部分。其他重要信息披露见分析师申明之后部分， ...

周度报告-国债期货 短线多空交织，市场继续震荡 [Table_Summary] ★一周复盘：国债期货高位震荡 国 债 期 货 本周（04.21-04.27）国债期货高位震荡。周一，LPR 利率按兵不 动，股市表现较强，国债期货震荡下跌。周二，税期过后资金 面边际转松，国债期货震荡上涨。周三，特朗普态度缓和，市 场预期后续关税水平将会下降，市场风险偏好回升，国债期货 震荡下跌。周四，贸易战缓和的预期边际下修，早盘国债期货 走强。午间特别国债一级需求尚可，但午后市场宽货币预期小 幅下降，国债期货震荡走弱。周五，上午国债期货窄幅震荡， 午后因政治局会议政策并未超市场预期，国债期货快速拉升。 截至 4 月 25 日收盘，两年、五年、十年和三十年期国债期货主 连合约结算价分别为 102.310、105.975、108.805 和 119.820 元， 分别较上周末变动-0.126、-0.250、-0.195 和+0.100 元。 ★短线多空交织，市场继续震荡 重要事项：本报告版权归上海东证期货有限公司所有。未获得东证期货书面授权，任何人不得对本报告进行任何形式的发布、复制。本报告的信息均来源于 公开资料，我公司对这些信 ...