国债期货日报 2025/5/20 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。 端本期货 | 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 46276 | 108.565 | -0.01% T主力成交量 | | 16206↑ | | | TF主力收盘价 30595 | 105.705 | -0.03% TF主力成交量 | | 6415↑ | | | TS主力收盘价 | 102.248 | -0.02% TS主力成交量 | 17711 | -7231↓ | | | TL主力收盘价 | 119.260 | -0. ...

根据交易所数据，截至5月20日收盘主力合约5年期国债期货2509,涨跌-0.04%,成交量5.78万手，持仓数 据显示前20席位呈现净空，差额头寸为4905手。5年期国债期货期货全合约总计成交8.96万手，比上一 日减少4901手。全合约前20席位多头持仓13.75万手，比上一日增加1705手。全合约前20席位空头持仓 14.81万手，比上一日减少2079手。 （新浪期货） ...

国债期货市场周报 华金期货 研究院 2025/5/20 一、国债期货宏观及市场展望 • 周度宏观及消息面 • 国债后市展望 上周国债期货弱势下行。资金方面，上周央行净回笼4751亿元。上周十年期国债利率略升；长期看， 十年期国债利率处于历史低位。 技术上，T2506合约短期价格位于40日均线上方。操作方面，国债市场价格高位震荡，利率仍处低位 区间，中长期看上方空间有限，短期逢低买入。 国内消息：4月份，全国规模以上工业增加值同比增长6.1%，服务业生产指数增长6%，社会消费品零售 总额增长5.1%。1-4月份，全国固定资产投资同比增长4%，扣除房地产开发投资后增长8%；1-4月全国 房地产开发投资同比下降10.3%，新建商品房销售面积下降2.8%。 国外消息：达里奥周一警告称，穆迪下调美国主权信用评级甚至低估了美国国债面临的风险。他指出， 穆迪没有考虑到联邦政府通过印钞来偿还债务的风险。 二、国债期货行情 • 价格走势：上周国债期货弱势下行 | 名称 | 上周收盘 | 本周收盘 | 周涨跌幅 | 周成交量 | 周持仓量 | 成交量/持仓量 | | --- | --- | --- | --- | --- | - ...

【股指期货周一表现各异，后市操作思路需转变】周一沪指低开回升，震荡收平，量能环比持平。轮动 较快，热点持续性有限，并购重组概念活跃，ST 股等有重组预期集体涨停，带动微盘股指数新高，近 百股涨停，全市场无跌停板。上周领涨的大金融回调，银行板块领跌，保险非银熄火。后市缺少主线， 结合期权市场指标，整体思路应从持仓待涨转向逢高止盈，操作上考虑安全垫策略，暂且半仓持有 IM，考虑吃贴水收敛。【股指期权昨日市场稳定，策略以备兑防御为主】昨日权益市场震荡，沪指上 周三突破 3400 点后走势缓慢回落。期权市场成交额 40.35 亿元较上周五窄幅提升，各品种持仓量 PCR 涨跌互现，整体流动性和 PCR 波动幅度有限，交易情绪稳定。期权隐含波动率方面，各品种平值隐波 均下行，策略建议备兑防御为主。【国债期货昨日全线上涨，后续走势或受多因素影响】昨日国债期货 收盘全线上涨，30 年期主力合约涨 0.37%，10 年期主力合约涨 0.13%，5 年期主力合约涨 0.04%，2 年 期主力合约涨 0.02%。央行公开市场操作净投放 920 亿元，资金利率多数下行，资金面边际转松。4 月 多项数据发布，固定资产投资和社零同比增速 ...

Report Industry Investment Rating No relevant content provided. Core Viewpoints - After the temporary agreement was reached in the China-US trade talks in Geneva and the tariffs were significantly reduced, the market's risk appetite increased significantly, and the risk aversion sentiment declined, leading to a full - scale decline in treasury bonds and treasury bond futures. Investors expect that the easing of China - US relations will help stabilize the global economy, reducing the urgency for loose monetary policies. Coupled with the strong rebound of the US stocks and the pressure of capital outflows from the bond market, the yield of spot bonds increased and the price of futures bonds decreased. Overall, the short - term pressure on the bond market mainly reflects the phased convergence of macro - risk premiums [1][2] - The repurchase rate has rebounded, and the price of treasury bond futures fluctuates. The 2506 contract is neutral. Pay attention to the widening of the basis. There is medium - term adjustment pressure, and short - sellers can use far - month contracts for appropriate hedging [3] Summary by Directory 1. Interest Rate Pricing Tracking Indicators - Price indicators: China's monthly CPI had a 0.10% month - on - month increase and a - 0.10% year - on - year decrease; China's monthly PPI had a - 0.40% month - on - month decrease and a - 2.70% year - on - year decrease [8] - Monthly economic indicators: The social financing scale was 424.00 trillion yuan, with a month - on - month increase of 1.04 trillion yuan and a growth rate of 0.25%; M2 year - on - year was 8.00%, with a month - on - month increase of 1.00% and a growth rate of 14.29%; the manufacturing PMI was 49.00%, with a month - on - month decrease of 1.50% and a decline rate of 2.97% [8] - Daily economic indicators: The US dollar index was 100.35, with a month - on - month decrease of 0.61 and a decline rate of - 0.60%; the offshore US dollar against the RMB was 7.2163, with a month - on - month increase of 0.020 and a growth rate of 0.27%; SHIBOR 7 - day was 1.56, with a month - on - month increase of 0.02 and a growth rate of 1.10%; DR007 was 1.60, with a month - on - month decrease of 0.04 and a decline rate of - 2.20%; R007 was 1.76, with a month - on - month decrease of 0.21 and a decline rate of - 10.82%; the 3 - month inter - bank certificate of deposit (AAA) was 1.64, with a month - on - month increase of 0.00 and a growth rate of 0.00%; the AA - AAA credit spread (1Y) was 0.13, with a month - on - month increase of 0.00 and a growth rate of 0.00% [9] 2. Overview of Treasury Bonds and Treasury Bond Futures Market - On May 19, 2025, the closing prices of TS, TF, T, and TL were 102.38 yuan, 106.00 yuan, 108.83 yuan, and 119.72 yuan respectively, with the corresponding price changes of 0.02%, 0.10%, 0.18%, and 0.42%. The average net basis of TS, TF, T, and TL was - 0.056 yuan, - 0.088 yuan, - 0.161 yuan, and - 0.055 yuan respectively [2] 3. Overview of the Money Market Funding Situation - On May 19, 2025, the central bank conducted a 7 - day reverse repurchase operation of 135 billion yuan at a fixed interest rate of 1.5%. The main term repurchase rates of 1D, 7D, 14D, and 1M were 1.537%, 1.562%, 1.654%, and 1.624% respectively, and the repurchase rates have rebounded recently [1] 4. Spread Overview - The report presents various spread trends, including the inter - period spread trends of treasury bond futures varieties, and the spread between spot bond term spreads and futures cross - variety spreads [41][45] 5. Two - Year Treasury Bond Futures - The report shows the implied interest rate of the TS main contract and the treasury bond yield to maturity, as well as the relationship between the TS main contract IRR and the funding rate, and the basis trends of the TS main contract in the past three years [48][50][61] 6. Five - Year Treasury Bond Futures - The report shows the implied interest rate of the TF main contract and the treasury bond yield to maturity, the relationship between the TF main contract IRR and the funding rate, and the basis trends of the TF main contract in the past three years [57][60][63] 7. Ten - Year Treasury Bond Futures - The report shows the implied interest rate of the T main contract and the treasury bond yield to maturity, the relationship between the T main contract IRR and the funding rate, and the basis trends of the T main contract in the past three years [66][69] 8. Thirty - Year Treasury Bond Futures - The report shows the implied interest rate of the TL main contract and the treasury bond yield to maturity, the relationship between the TL main contract IRR and the funding rate, and the basis trends of the TL main contract in the past three years [74][78][80]

国债期货30年期主力合约转跌0.02%，盘初一度涨超0.20%；10年期主力合约涨0.03%，5年期主力合约 持平，2年期主力合约持平。 ...

投资咨询业务资格：证监许可【2011】1778 号 宝城期货国债期货早报（2025 年 5 月 20 日） ◼ 品种观点参考—金融期货股指板块 时间周期说明：短期为一周以内、中期为两周至一月 | 品种 | 短期 | 中期 | 日内 | 观点参考 | 核心逻辑概要 | | --- | --- | --- | --- | --- | --- | | TL2506 | 震荡 | 震荡 | 震荡偏弱 | 区间震荡 | 降息预期兑现，短期震荡整理为 主 | 备注： 1.有夜盘的品种以夜盘收盘价为起始价格，无夜盘的品种以昨日收盘价为起始价格，当日日盘收盘 价为终点价格，计算涨跌幅度。 2.跌幅大于 1%为下跌，跌幅 0~1%为震荡偏弱，涨幅 0~1%为震荡偏强，涨幅大于 1%为上涨。 3.震荡偏强/偏弱只针对日内观点，短期和中期不做区分。 ◼ 主要品种价格行情驱动逻辑—金融期货股指板块 品种：TL、T、TF、TS 日内观点：震荡偏弱 中期观点：震荡 获 取 每 日 期 货 观 点 推 送 参考观点：区间震荡 核心逻辑：昨日国债期货均小幅震荡上涨。国债到期收益率经过一段时间的回升，目前相对政策利率 的隐含降息预期接近零，考 ...

国债期货日报 2025/5/19 端本期货 | | | 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 | | | --- | --- | --- | --- | | 重点关注 | 5月22日 20：30 美国至5月17日当周初请失业金人数(万人) 5月22日 19：30 欧洲央行公布4月货币政策会议纪要 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。 | 项目类别 | 数据指标 | 最新 | 环比 项目 | 最新 | 环比 | | --- | --- | --- ...

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].

期债 行情回顾 1、基本面：国债期货小幅下跌，30年期主力合约跌0.1%。银行间主要利率债收益率小幅上行，幅度多在1bp左右，三年以内中短券收益率升幅仍较明显。 存款类机构隔夜和七天质押式回购利率双双大幅飙升，前者上行约22个bp，后者上行超11个bp。近期基本面压力有望缓和，宽松政策节奏放缓的可能上升。 2、资金面：5月16日，人民银行以固定利率、数量招标方式开展了1065亿元7天期逆回购操作，操作利率1.40%，投标量1065亿元，中标量1065亿元。 Wind数据显示，当日770亿元逆回购到期，据此计算，单日净投放295亿元。 交易咨询业务资格：证监许可【2012】1091号 国债期货早报- 2025年5月19日 大越期货投资咨询部 杜淑芳 从业资格证号：F0230469 投资咨询证号：Z0000690 联系方式：0575-85226759 重要提示：本报告非期货交易咨询业务项下服务，其中的观点和信息仅作参考之用，不构成对任何人的投资建议。 我司不会因为关注、收到或 阅读本报告内容而视相关人员为客户；市场有风险，投资需谨慎。 3、基差：TS主力基差为-0.0333，现券贴水期货，偏空。TF主力基差为0. ...