债券研究 /[Table_Date] 2025.05.12 | 国债期货的双顶形态意味着什么 | [Table_Authors] | 唐元懋(分析师) | | --- | --- | --- | | | | 021-38676666 | | 国债期货周度跟踪 | 登记编号 | S0880524040002 | | 本报告导读： | | 孙越(研究助理) | | 2025 年 4 月至今，多空因素交织下国债期货形成双顶雏形，参考历史来看，双顶雏 | | 021-38676666 | | 形后或显示多头动能边际减弱，短期内国债期货或延续震荡格局，关键支撑位位于 | 登记编号 | S0880123070142 | | 前期"颈线"处。 | | | 投资要点： 市 场 策 略 周 证 券 研 究 报 告 请务必阅读正文之后的免责条款部分 债 券 研 究 报 [Table_Summary] 从技术形态看，2025 年 4 月以来国债期货逐步形成"双顶雏形"。 2025 年 4 月 3 日美国宣布对华加征对等关税后，受到避险情绪影 响，国债期货连续两日跳空高开， T2506 、TL2506 于 4 月 7 日创 下 3 ...

Group 1: Report Industry Investment Rating - No relevant content found Group 2: Core Viewpoints - Treasury bond futures mostly declined slightly, and the yields of major inter - bank interest - rate bonds showed mixed trends, with the yield of the active 10 - year Treasury bond rising 0.4bp. The inter - bank market liquidity was abundant, and the overnight and seven - day pledged repo rates of deposit - taking institutions both declined again, with the former falling more than 3bp and the latter more than 7bp. After the central bank's interest - rate cut policy took effect, the overall interest - rate center declined, and with consecutive net injections in the open market in recent days, the liquidity expectation was optimistic, and the capital price was expected to continue to fall in the short term [3] - The April PMI fell into the contraction range. The LPR remained unchanged for six consecutive months. The central bank adjusted the MLF operation mode, and its policy attribute faded out completely. The central bank mentioned again the possibility of reserve - requirement ratio cuts and interest - rate cuts to promote a decline in the comprehensive social financing cost. The first - quarter financial data was stable and positive. The CPI in March declined slightly but the decline narrowed, and the core CPI rose moderately. There were new developments in the recent tariff negotiations, but it was still a long way from reaching an agreement, which would impact the bond market [5] Group 3: Summary by Related Catalogs 1. Market Review - The 30 - year, 10 - year, 5 - year, and 2 - year Treasury bond futures contracts' price changes, trading volumes, open interests, and other information are presented. For example, the T2506 contract price was 109.060, down 0.01%, with a trading volume of 78,100 and an open interest of 329,444 [8] 2. Fundamental Analysis - The fundamentals show that Treasury bond futures mostly declined slightly, and the yields of major inter - bank interest - rate bonds showed mixed trends. The inter - bank market liquidity was abundant, and the capital price was expected to continue to fall in the short term [3] 3. Capital Flow Analysis - On May 9, the central bank conducted 77 billion yuan of 7 - day reverse repurchase operations at an operating rate of 1.40%, with a net injection of 77 billion yuan on that day [3] 4. Basis Analysis - The TS, TF, and T main contract basis were negative, indicating that the spot was at a discount to the futures, which was bearish. The TL main contract basis was positive, indicating that the spot was at a premium to the futures, which was bullish [3] 5. Inventory Analysis - The balance of deliverable bonds for the TS, TF, and T main contracts was 1.3594 trillion, 1.4935 trillion, and 2.3566 trillion respectively, which was neutral [4] 6. Market Trend Analysis - The TS, TF, and T main contracts were all above the 20 - day moving average, and the 20 - day moving average was upward, which was bullish [4] 7. Main Position Analysis - The TS and TF main contracts had net long positions, and the long positions increased. The T main contract had a net long position, but the long positions decreased [5]

国债期货30年期主力合约跌幅收窄至0.40%，此前一度跌0.70%；10年期主力合约跌0.11%，5年期主力 合约涨0.03%，2年期主力合约涨0.02%。 ...

2年期国债期货（TS）主力合约涨0.01%，5年期国债期货（TF）主力合约跌0.07%，10年期国债期货 （T）主力合约跌0.21%，30年期国债期货（TL）主力合约跌0.61%。 国债期货早盘开盘 ...

国债期货集体低开，30年期主力合约跌0.52%，10年期主力合约跌0.13%，5年期主力合约跌0.02%，2年 期主力合约跌0.04%。 ...

国债期货多数跌幅扩大，30年期主力合约跌0.70%，10年期主力合约跌0.30%，5年期主力合约跌 0.10%，2年期主力合约涨0.01%。 ...

周度报告-国债期货 基本面利多确定，把握回调买债机会 [Table_Summary] ★一周复盘：国债期货高位震荡 国 债 期 货 本周（05.05-05.11）国债期货高位震荡。周二，央行通过逆回购 大量净回笼资金，资金面并未继续转松，短端品种表现偏弱。 市场预期 4 月经济指标走弱，长端品种表现略偏强。周三，早 盘央行官宣降准降息，利率短暂下行后机构止盈意愿快速上 升，国债期货震荡调整。短端品种表现强于长端。周四，资金 面边际转松，股市进一步走强动力不足，国债期货震荡上涨， 曲线走陡。周五，早盘资金面转松，国债期货震荡上涨，但 4 月出口数据超市场预期，午后国债期货震荡走弱。截至 5 月 9 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 102.356、106.105、109.035 和 120.320 元，分别较上周末 变动-0.012、+0.005、-0.015 和-0.520 元。 ★基本面利多确定，把握回调买债机会 展望后市，市场应在震荡中逐渐走强，建议把握时机做多。基 本面利多是相对确定的，债市中长期走强的方向也是明确的， 只是也要注意，国债期货价格依旧不低且短期或有贸易谈 ...

Core Viewpoint - Speculators have increased their net short positions in U.S. Treasury futures across various maturities, indicating a bearish sentiment towards U.S. government bonds [1] Group 1: 2-Year Treasury Futures - As of the week ending May 6, speculators raised their net short positions in CBOT U.S. 2-Year Treasury futures by 14,416 contracts to 1.2208 million contracts [1] Group 2: 5-Year Treasury Futures - The net short positions in U.S. 5-Year Treasury futures increased by 3,925 contracts, reaching a total of 2.2965 million contracts [1] Group 3: 10-Year Treasury Futures - There was a significant rise in net short positions for U.S. 10-Year Treasury futures, which increased by 81,631 contracts to 0.9532 million contracts [1] Group 4: Long-Term Treasury Futures - The net short positions in ultra-long Treasury futures rose by 13,381 contracts, totaling 0.2648 million contracts [1]

Report Industry Investment Rating - Not provided in the document Core Viewpoints of the Report - The domestic fundamental side shows a marginal recovery trend, but the recovery foundation needs to be consolidated, and policy expectations continue to increase. The overseas market shows signs of economic cooling, and the Fed's policy still favors anti - inflation. The bond market is in a sideways shock, and the bond bull environment remains unchanged. It is recommended to wait for the short - end to stabilize before making band allocations [92] Summary According to the Table of Contents 1. Market Review - **Contract Performance**: The 30 - year TL2506 contract fell 0.32%, the 10 - year T2506 contract rose 0.06%, the 5 - year TF2506 contract fell 0.01%, and the 2 - year TS2506 contract fell 0.02%. The trading volumes of TS, TF, T, and TL main contracts all decreased, as did their open interests [11][28] - **CTD Bond Performance**: For the 30 - year, 200012.IB fell 0.33 and 210005.IB fell 0.15; for the 10 - year, 220003.IB fell 0.06 and 240025.IB remained unchanged; for the 5 - year, 240014.IB rose 0.03 and 220021.IB rose 0.11; for the 2 - year, 240024.IB rose 0.03 and 220002.IB rose 0.09 [11] 2. News Review and Analysis - **Domestic News**: On May 7, China agreed to have contact with the US, and the Chinese finance minister said China would achieve the 5% growth target in 2025. On May 8, three departments issued a package of financial policies, including a 0.5 - percentage - point reserve requirement ratio cut, a 0.1 - percentage - point policy rate cut, etc. The public fund industry worth over 30 trillion yuan underwent systematic reform [31] - **International News**: On May 8, the Fed kept the federal funds rate unchanged at 4.25% - 4.5%. The number of initial jobless claims in the US for the week ending May 3 was 228,000, lower than expected [32] 3. Chart Analysis - **Spread Changes**: The yield spreads between 10Y - 5Y and 10Y - 1Y bonds widened slightly. The spread between 2 - year and 5 - year main contracts widened slightly, while the spread between 5 - year and 10 - year main contracts narrowed slightly. The inter - period spreads of 10 - year, 30 - year, 2 - year, and 5 - year contracts weakened slightly [40][44][50] - **Main Contract Position Changes**: The net short positions of the top 20 holders in the T main contract decreased slightly [61] - **Interest Rate Changes**: Overnight, 1 - week, 2 - week, and 1 - month Shibor rates all declined. The DR007 weighted average rate rose to around 1.78%, and the money market tightened. The yields of short - term treasury bonds were stronger than long - term ones, with 1 - 7Y yields down 2 - 5bp and 10Y, 30Y yields up 1bp to 1.63% and 1.88% respectively. The yield spreads between US and Chinese 10 - year and 30 - year treasury bonds widened slightly [65][69] - **Central Bank Operations**: The central bank conducted 836.1 billion yuan in reverse repurchases and had 1617.8 billion yuan in reverse repurchase maturities, resulting in a net injection of 781.7 billion yuan. The DR007 weighted average rate fell to around 1.52%, and the money market tightness improved [72] - **Bond Issuance and Maturity**: This week, bond issuance was 1433.8 billion yuan, total repayment was 813.6 billion yuan, and net financing was 620.169 billion yuan [76] - **Market Sentiment**: The central parity rate of the RMB against the US dollar was 7.2095, down 81 basis points this week. The spread between offshore and onshore RMB strengthened. The 10 - year US treasury bond yield rose slightly, the VIX index fell slightly, the 10 - year treasury bond yield in China rose slightly, and the A - share risk premium fell slightly [82][85][89] 4. Market Outlook and Strategy - **Domestic Fundamentals**: The domestic economy shows a marginal recovery, but the recovery foundation needs to be strengthened, and policy expectations will continue to increase [92] - **Overseas Situation**: The US economy shows signs of cooling, and the Fed's policy still favors anti - inflation, with the possibility of delaying the rate - cut time to July [92] - **Strategy**: The bond market is in a sideways shock. Considering the long - term need for a low - interest - rate environment, the bond bull environment remains unchanged. However, beware of the risk of long - end bond price corrections. It is recommended to wait for the short - end to stabilize before making band allocations [92]

国债期货早盘收盘，30年期主力合约跌0.11%，10年期主力合约涨0.01%，5年期主力合约跌0.01%，2年 期主力合约涨0.02%。 ...