| | | | | 2025年6月10日10年期国债期货主力合约2509持仓数据- | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | 名次 会员名称 成交量(双边) | | 壇減 | | 会员 持买单 | 壇減 | 会员 | 持卖单 | 增减 | | ਹ | 中信期货 | 14,922 | -7,979 | 中信期货 | 48,573 | მ32 | 东证期货 | 29,522 | 314 | | 2 | 国泰君安 | 13,993 | -985 | 东证期货 | 29,356 | -627 | 中信期货 | 19,867 | 173 | | 3 | 东证期货 | 10,231 | -6,216 | 国泰君安 | 19,456 | 833 | 银河期货 | 16,813 | 70 | | 4 | 海通期货 | 4,531 | -382 | を素期货 | 9,314 | -71 | 广发期货 | 14,763 | -209 | | 5 | 花拳期货 | 4,179 | -2,019 | 招商期货 | 5,7 ...

Group 1 - The core viewpoint of the article highlights the trading activity and positions in the 30-year government bond futures market as of June 10, 2025, indicating a slight increase in the main contract price and a net short position among the top 20 participants [1][2][3]. - The main contract for the 30-year government bond futures closed at 2509, with a change of +0.07%, and a total trading volume of 66,800 contracts, which is a decrease of 12,800 contracts from the previous day [1][3]. - The top 20 participants in the futures market show a total long position of 100,100 contracts, an increase of 2,683 contracts, while the total short position is 107,700 contracts, an increase of 2,219 contracts [1][4]. Group 2 - The top three long positions are held by CITIC Futures with a total position of 25,155 contracts, Guotai Junan with 15,118 contracts, and Dongzheng Futures with 10,885 contracts [1][4]. - The top three short positions are held by Dongzheng Futures with 15,005 contracts, CITIC Futures with 12,044 contracts, and Galaxy Futures with 11,662 contracts [1][4]. - The article provides detailed changes in positions for both long and short participants, indicating significant movements among various futures companies [1][3][4].

Report Summary 1. Report Industry Investment Rating No investment rating information is provided in the report. 2. Core Viewpoints - Last week, Treasury bond futures recovered after hitting a low. The central bank net withdrew 67.17 billion yuan last week. The 10 - year Treasury bond yield slightly decreased last week and is at a historical low in the long - term. Technically, the short - term price of the T2509 contract is near the 40 - day moving average. The Treasury bond market price fluctuates at a high level, and the interest rate is still in a low - level range. In the medium - to - long term, the upside space is limited, and it is advisable to buy on dips in the short term [3]. - In May, China's imports and exports continued to grow. After the China - US economic and trade high - level talks, the growth rate accelerated significantly. Despite having two fewer working days year - on - year, imports and exports and exports increased by 2.7% and 6.3% year - on - year respectively. The total value of China - US imports and exports was 285.51 billion yuan, with a month - on - month decrease of 12.67%, and the decline was 0.58 percentage points narrower than in April. Citigroup postponed its forecast of the US interest rate cut from July to September and expects three interest rate cuts of 75 basis points this year, revised from the previous forecast of 100 basis points [4]. 3. Summary by Relevant Catalogs 2. Treasury Bond Futures Market Outlook - **Macro and News**: In May, China's imports and exports continued to grow, and the growth rate accelerated after the China - US economic and trade high - level talks. Citigroup postponed the forecast of the US interest rate cut from July to September and revised the expected interest rate cut amount [4]. - **Market Outlook**: Last week, Treasury bond futures recovered after hitting a low. The central bank net withdrew funds. The 10 - year Treasury bond yield slightly decreased and is at a historical low. The market price fluctuates at a high level, and it is advisable to buy on dips in the short term [3]. 3. Treasury Bond Futures Quotes - **Price Trends**: Last week, Treasury bond futures recovered after hitting a low. The weekly price increases of TS2509, TF2509, T2509, and TL2509 were 0.05%, 0.11%, 0.18%, and 0.31% respectively [6]. 4. Changes in Treasury Bond Yields - **Yield Changes**: Last week, long - term interest rates decreased, and the yield spread widened [9]. 5. Treasury Bond CTD Bonds and Basis - **Arbitrage Opportunities**: This week, the IRR of Treasury bond futures is higher than the short - term financing rate, indicating arbitrage opportunities [12]. 6. Treasury Bond Futures Spreads and Basis - **TF - T Spread**: The spread between 5 - year and 10 - year Treasury bond futures widened, and their basis narrowed [13][14]. 7. Treasury Bond Term Structure - **Term Structure Changes**: The latest Treasury bond term structure is steeper than on June 3, and medium - to - long - term yields decreased [19].

Core Viewpoint - The closing of government bond futures shows a positive trend, with the 30-year main contract increasing by 0.35% and the 10-year main contract rising by 0.09%, while the 5-year and 2-year main contracts remained relatively stable [1] Group 1 - The 30-year main contract experienced a rise of 0.35% [1] - The 10-year main contract saw an increase of 0.09% [1] - The 5-year and 2-year main contracts remained stable [1]

交易咨询业务资格：证监许可【2012】1091号 国债期货早报- 2025年6月9日 大越期货投资咨询部 杜淑芳 从业资格证号：F0230499 投资咨询证号：Z0000990 联系方式：0575-85229759 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。 期债 行情回顾 行情回顾 30年期、10年期、5年期与2年期主力合约行情要素表 | 期货合约 | 现价 | 涨跌幅 | 成交量 | 持仓量 | 日增仓 | CTD券 | | --- | --- | --- | --- | --- | --- | --- | | T2509 | 108.925 | +0.17% | 8.87万 | 293116 | 4332 | 240013.IB | | TF2509 | 106.140 | +0.08% | 7.90万 | 240303 | 2851 | 240001.IB | | TS2509 | 102.452 | +0.02% | 5.55万 | 188500 | -14 ...

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - The overall trend of Treasury bond futures shows a weak and volatile pattern, with most yields rising, reflecting the adjustment sentiment after the market's positive factors are exhausted. The short - term interest bonds declined briefly due to the central bank's continuous net injection and loose liquidity before the end of the month. However, concerns about the weakening of allocation demand increased, and long - term yields stopped falling and rebounded. The market's optimistic sentiment was boosted by the US International Trade Court's "halt" of multiple tariff measures by the Trump administration, which increased global risk appetite and suppressed the demand for hedging, causing the yields of interest - rate bonds to rise from mid - week to the weekend, and Treasury bond futures to decline under pressure. Subsequently, the US Federal Circuit Court of Appeals approved the temporary resumption of the halted tariff policies, leading to a collective rise in Treasury bonds and Treasury bond futures. Overall, short - term wait - and - see sentiment is strong, and subsequent attention should be paid to the marginal changes in economic data and policy signals [3]. 3. Summary According to the Directory I. Interest Rate Pricing Tracking Indicators - **Price Indicators**: China's CPI (monthly) had a 0.10% month - on - month change and a - 0.10% year - on - year change; China's PPI (monthly) had a - 0.40% month - on - month change and a - 2.70% year - on - year change [9]. - **Monthly Economic Indicators**: The social financing scale was 424.00 trillion yuan, with a month - on - month increase of 1.04 trillion yuan (+0.25%); M2 year - on - year was 8.00%, with a month - on - month increase of 1.00% (+14.29%); the manufacturing PMI was 49.50%, with a month - on - month increase of 0.50% (+1.02%) [9]. - **Daily Economic Indicators**: The US dollar index was 98.74, with a month - on - month decrease of 0.08 (-0.08%); the US dollar against the offshore RMB was 7.1806, with a month - on - month decrease of 0.013 (-0.18%); SHIBOR 7 - day was 1.53, with a month - on - month decrease of 0.01 (-0.58%); DR007 was 1.55, with a month - on - month increase of 0.00 (-0.26%); R007 was 1.76, with a month - on - month decrease of 0.21 (-10.82%); the 3 - month inter - bank certificate of deposit (AAA) was 1.66, with a month - on - month decrease of 0.03 (-1.48%); the AA - AAA credit spread (1Y) was 0.09, with a month - on - month increase of 0.00 (-1.48%) [9]. II. Overview of the Treasury Bond and Treasury Bond Futures Market - **Closing Prices and Fluctuations**: On 2025 - 06 - 05, the closing prices of TS, TF, T, and TL were 102.43 yuan, 106.03 yuan, 108.72 yuan, and 119.31 yuan respectively. The fluctuations of TS, TF, T, and TL were 0.04%, 0.02%, - 0.01%, and - 0.16% respectively [2]. - **Net Basis Spread**: The average net basis spreads of TS, TF, T, and TL were - 0.107 yuan, - 0.031 yuan, - 0.033 yuan, and 0.134 yuan respectively [2]. III. Overview of the Money Market Fundamentals - **Central Bank Operations**: On 2025 - 06 - 05, the central bank conducted a 7 - day reverse repurchase operation of 126.5 billion yuan at a fixed interest rate of 1.5% [2]. - **Money Market Repurchase Rates**: The main - term repurchase rates of 1D, 7D, 14D, and 1M were 1.408%, 1.534%, 1.591%, and 1.620% respectively, and the repurchase rates have recently declined [2]. IV. Spread Overview - The report provides various spread data in figures, including the inter - period spread trends of Treasury bond futures varieties, the term spread of spot bonds and the cross - variety spread of futures, etc., but specific numerical summaries are not given in the text [35]. V. Two - Year Treasury Bond Futures - The report presents figures such as the implied interest rate of the TS main contract and the Treasury bond yield to maturity, the IRR of the TS main contract and the capital interest rate, and the basis spread trends of the TS main contract in the past three years, but specific numerical summaries are not given in the text [43]. VI. Five - Year Treasury Bond Futures - The report provides figures about the implied interest rate of the TF main contract and the Treasury bond yield to maturity, the IRR of the TF main contract and the capital interest rate, and the basis spread trends of the TF main contract in the past three years, but specific numerical summaries are not given in the text [52]. VII. Ten - Year Treasury Bond Futures - The report offers figures on the implied interest rate of the T main contract and the Treasury bond yield to maturity, the IRR of the T main contract and the capital interest rate, and the basis spread trends of the T main contract in the past three years, but specific numerical summaries are not given in the text [63]. VIII. Thirty - Year Treasury Bond Futures - The report shows figures including the implied interest rate of the TL main contract and the Treasury bond yield to maturity, the IRR of the TL main contract and the capital interest rate, and the basis spread trends of the TL main contract in the past three years, but specific numerical summaries are not given in the text [72]. 4. Strategies - **Single - Side Strategy**: With the decline of repurchase rates and the volatile prices of Treasury bond futures, the 2509 contract is neutral [4]. - **Arbitrage Strategy**: Pay attention to the widening of the basis spread [4]. - **Hedging Strategy**: There is medium - term adjustment pressure, and short - side investors can use far - month contracts for appropriate hedging [4].

Group 1: Monetary Policy and Market Operations - The central bank conducted a 7-day reverse repurchase operation on June 5, with a fixed rate of 1.40%, totaling 126.5 billion yuan, matching the bidding amount [1] - On the same day, 266 billion yuan of reverse repos matured, resulting in a net withdrawal of 139.5 billion yuan [1] Group 2: Funding Conditions - The funding environment remains loose, with slight declines in overnight and 7-day pledged repo rates [3] - The latest overnight financing rate in the U.S. is reported at 4.32% [5] Group 3: Interbank Certificates of Deposit - The latest transaction rate for one-year interbank certificates of deposit among major banks is around 1.70%, showing a slight decrease from the previous day [8] Group 4: Bond Market - The closing prices for government bond futures indicate a decline in the 30-year contract by 0.16% and a slight increase in the 5-year and 2-year contracts by 0.02% and 0.04% respectively [12] Group 5: Economic Indicators - The Caixin Services PMI for May in China is reported at 51.1, an increase of 0.4 percentage points from April, indicating an acceleration in service sector expansion [13] - The meeting in Guangzhou emphasized the acceleration of major projects and the optimization of industrial layout to enhance economic growth [13] Group 6: Bond Issuance - The Shanghai Stock Exchange has initiated the first batch of securities company bond renewals, with quality central and state-owned enterprises preparing to follow suit [17] - Chongqing Bank plans to issue 3 billion yuan in technology innovation bonds [17] - Jiuan Medical intends to register and issue medium-term notes and short-term financing bonds totaling no more than 4 billion yuan [18]

Report Summary 1. Report Industry Investment Rating There is no information about the industry investment rating in the report. 2. Core Views - **Stock Index Futures**: The market focuses on local large - consumption hotspots. The Shanghai Composite Index rose slightly on Wednesday, but the trading volume was hard to expand effectively, lacking a sustainable main line. The big - consumption sector was active, but the trading volume limited the market's upside. With potential tariff event fluctuations, it's recommended to maintain an empty - position and wait and see [2][8]. - **Stock Index Options**: The volatility reduction continues, and it's advisable to be cautious with the covered strategy. The underlying market rose across the board, but the options market turnover was lackluster. The positions of some varieties changed significantly, and the volatility of each variety continued to decline. The overall market sentiment was somewhat inconsistent with the underlying market, and the covered strategy should be continued for now [3][8]. - **Treasury Bond Futures**: Treasury bond futures rose collectively. The central bank's reverse - repurchase led to a net withdrawal of 600 million yuan, and the capital market remained loose. The market was affected by tariff events and expectations of central - bank operations. In the short term, the long - end bonds are expected to maintain a narrow - range oscillation [4][8][9]. 3. Summary by Directory 行情观点 - **Stock Index Futures**: IF, IH, IC, and IM had changes in basis, inter - period spreads, and positions. The market focused on large - consumption stocks in Hong Kong, but faced challenges such as limited trading volume and potential tariff impacts. The recommended operation is to wait and see [8]. - **Stock Index Options**: The underlying market rose, with the CSI 1000 up 0.88%. The options market turnover decreased by 7.67% to 2.814 billion yuan. Some varieties' positions reached short - term highs, and the MO volatility index dropped to around 21%. The covered strategy should be continued [3][8]. - **Treasury Bond Futures**: The trading volume, positions, inter - period spreads, cross - variety spreads, and basis of T, TF, TS, and TL had corresponding changes. The central bank's reverse - repurchase led to a net withdrawal of 600 million yuan. The T contract was affected by tariff events and stock - market movements. The recommended strategies include maintaining an oscillating trend, paying attention to short - hedging at low basis levels, watching for basis widening, and steepening the yield curve in the medium term [8][9]. 经济日历 - Economic data such as the EU's April unemployment rate, May CPI, and core CPI, as well as the US's May ADP employment data are presented, along with predicted and actual values where available [10]. 重要信息资讯跟踪 - In 2025, 25,000 urban old - community renovation projects are planned nationwide, with 5,679 started from January to April. Six regions have a start - up rate of over 50%. - The SCO member states' finance ministers and central bank governors' meeting discussed economic and financial issues and supported actions to deepen regional financial cooperation. - The estimated wholesale sales of new - energy passenger vehicles in May were 12.4 million, a 38% year - on - year increase and a 9% month - on - month increase. The cumulative wholesale from January to May was estimated at 52.2 million, a 41% year - on - year increase [11]. 衍生品市场监测 - **Stock Index Futures Data**: The report does not provide specific data details. - **Stock Index Options Data**: The report does not provide specific data details. - **Treasury Bond Futures Data**: The report does not provide specific data details.

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoints - The short - term and medium - term view of TL2509 is "oscillation", and the intraday view is "oscillation with a slight upward bias", due to rising tariff risks and weakening macro - data [1]. - For financial futures in the bond index sector (TL, T, TF, TS), the intraday view is "oscillation with a slight upward bias", the medium - term view is "oscillation", and the reference view is "oscillation". In the short term, the upward and downward space of bond futures is limited, and they will mainly oscillate and consolidate [5]. 3. Summary by Related Catalogs 3.1 Variety Viewpoint Reference - Financial Futures Index Sector - For the variety TL2509, the short - term and medium - term trends are "oscillation", the intraday trend is "oscillation with a slight upward bias", with a general view of "oscillation". The core logic is the rising tariff risk and weakening macro - data [1]. 3.2 Main Variety Price and Market Driving Logic - Financial Futures Index Sector - The intraday view of varieties TL, T, TF, TS is "oscillation with a slight upward bias", and the medium - term view is "oscillation", with a reference view of "oscillation". The core logic includes: the bond futures continued narrow - range oscillation and consolidation; the latest Caixin Manufacturing PMI dropped significantly, indicating a weakened export rush effect in May and great pressure on future export orders; in June, macro - policies are expected to focus on stabilizing growth and adjusting the structure, and the weakening of macro - economic indicators supports bond futures prices; attention can be paid to the financial policies at the Lujiazui Forum on June 18; the uncertainty of the tariff outlook has deepened, the main tone of moderately loose monetary policy remains unchanged, and the market's expectation of future loose policies will rise, so bond futures have strong bottom support [5].

资金方面，隔夜 shibor 报 1.4080%，较前一交易日下跌 0.2bp，7 天 shibor 报 1.5430%，较前一 交易日上涨 2.8bp；14 天 shibor 报 1.5760%，较前一交易日下跌 0.3bp；1 个月 shibor 报 1.6200%， 与上一交易日持平。 上一交易日国债期货市场 | | | 主力合约 | 开盘价 | 最高价 | 最低价 | 收盘价 | 涨跌(%) | 振幅(%) | 成交 | 持仓 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 2 | 年期 | TS2509 | 102.372 | 102.416 | 102.360 | 102.396 | 0.04 | 0.05 | 31202 | 114335 | | 5 | 年期 | TF2509 | 105.990 | 106.060 | 105.935 | 106.035 | 0.07 | 0.12 | 46001 | 139957 | | 10 | 年期 | T2509 | 108.720 | 108.775 | ...