国债期货周报：表现结构分化，等待企稳信号 研究员：沈忱 CFA 期货从业证号：F3053225 投资咨询证号：Z0015885 目录 第一部分 周度核心要点分析及策略推荐 2 第二部分 相关数据追踪 10 GALAXY FUTURES 1 227/82/4 228/210/172 181/181/181 87/87/87 文 字 色 基 础 色 辅 助 色 137/137/137 246/206/207 68/84/105 210/10/16 ◼【策略推荐】 2 GALAXY FUTURES 227/82/4 221/221/221 208/218/234 内容摘要 ◼【综合分析】 逻辑梳理：本周债市表现进一步分化，中短端走势偏震荡，但超长端调整加大。除明年货币宽松有望延续，而通胀预期已出现改善这 一基础叙事外，当前超长债投资者结构较为脆弱，市场对明年超长债供需失衡的担忧有所发酵以及海外部分国家长债收益率高位运行 等或也是导致超长端表现格外偏弱的重要原因。后续来看，虽然我们依旧认为当前基本面及流动性现状并不支持国债收益率持续走高 ，但短期内债市走势更多受投资者行为主导，在央行释放更为明确的呵护信号，抬升市场配 ...

每经AI快讯，12月8日，5年期日本国债收益率下跌0.5个基点，至1.430%。 ...

Core Insights - Japan's 10-year government bond yield has significantly surpassed China's for the first time, indicating a shift in the long-term interest rate landscape between the two countries [3][4] - This development suggests that among major economies, China's long-term bond yields are now the lowest, raising concerns about its economic outlook [3][9] Group 1: Bond Yield Dynamics - Japan's 10-year bond yield has risen to nearly 2%, a significant increase from its historically low levels due to persistent inflation [4][9] - The 2% yield threshold is critical, as it reflects a market perception of economic stability and investor confidence [5][6] - The current situation indicates that Japan may be moving towards monetary policy normalization, while China faces potential economic stagnation [9] Group 2: Economic Implications - The low bond yield in China (1.9%) signals severe market expectations of economic deflation and low growth, similar to Japan's experience in the 1990s [9] - Japan's bond yield surpassing China's suggests that market participants expect Japan's inflation to remain above China's, indicating a potential shift in economic dynamics [9] - The comparison of actual interest rates shows that while Japan's real interest rate is negative (-1.1%), China's remains positive (1.7%), highlighting differing economic conditions [9]

每经AI快讯，当地时间12月5日，西班牙10年期国债收益率涨1.5个基点，报3.258%。 ...

每经AI快讯，当地时间12月5日，意大利10年期国债收益率涨1.7个基点报3.483%。 ...

Core Viewpoint - Japan's two-year government bond yield has risen to 1.03%, marking the highest level since August 2007 [1] Group 1 - The increase in the two-year bond yield indicates a significant shift in the Japanese bond market [1] - This rise in yield may reflect changing investor sentiment and expectations regarding monetary policy in Japan [1] - The current yield level could impact borrowing costs and investment decisions within the Japanese economy [1]

1. Report Industry Investment Rating - No information provided in the given text 2. Core View of the Report - The prices of treasury bond futures generally declined in the previous trading day, with the T2603 contract falling 0.34% and its holding volume decreasing. The IRR of the CTD bonds corresponding to the main contracts of treasury bond futures was at a low level, presenting no arbitrage opportunities. Short - term market interest rates showed mixed trends. Key - term treasury bond yields in China also varied, with the 10Y treasury bond yield rising 3.02bp to 1.87%. Overseas, the 10Y treasury bond yields of the US, Germany, and Japan showed different changes. The market was affected by multiple factors such as central bank operations, economic data, and policy expectations, leading to the weakening of long - term treasury bond futures prices [2][3] 3. Summary by Relevant Catalogs Futures Market - **Price and Volume**: The previous trading day saw the closing prices of TS2603, TS2606, TF2603, TF2606, T2603, T2606, TL2603, and TL2606 decline, with decreases of -0.05%, -0.07%, -0.24%, -0.24%, -0.34%, -0.37%, -1.02%, and -1.03% respectively. The holding volumes of TS2603, TS2606, and TL2603, TL2606 increased by 1814, 176, 894, and 1454 respectively, while those of TF2603, TF2606, and T2603 decreased by 1606, 68, and 7127 respectively. The trading volumes of TS2603, TS2606, TF2603, TF2606, T2603, T2606, TL2603, and TL2606 were 41390, 554, 99144, 1549, 148085, 6564, 224953, and 16855 respectively [2] - **Spread**: The inter - period spreads of TS2603 - TS2606, TF2603 - TF2606, T2603 - T2606, and TL2603 - TL2606 were -0.020, -0.015, -0.025, and -0.160 respectively, with the previous values being -0.036, -0.0150, -0.0500, and -0.1700 respectively [2] - **CTD Bond IRR**: The IRR of the active CTD bonds of each contract were 1.4156, -0.273, 0.9011, -0.8605, 1.2604, 1.2037, 1.1353, and 2.1208 respectively, indicating no arbitrage opportunities [2] Spot Market - **Short - term Market Interest Rates**: In the previous trading day, short - term market interest rates showed mixed trends. SHIBOR7 - day interest rate decreased by 0.2bp, DR007 interest rate increased by 0.15bp, and GC007 interest rate increased by 0bp [2] - **Chinese Key - term Treasury Bond Yields**: The yields of 6M, 1Y, 2Y, 5Y, 7Y, 10Y, 20Y, and 30Y treasury bonds were 1.42, 1.41, 1.41, 1.65, 1.77, 1.87, 2.30, and 2.28 respectively, with changes of 0.04, 0.47, -0.21, 3.22, 4.22, 3.02, 6, and 5.85bp respectively. The long - short (10 - 2) treasury bond yield spread was 36.94bp [2] - **Overseas Key - term Treasury Bond Yields**: In the previous trading day, the yields of 2Y, 5Y, 10Y, and 30Y US treasury bonds were 3.52, 3.68, 4.11, and 4.76 respectively, with increases of 3.0, 6.0, 5.0, and 3.0bp respectively; the yields of 2Y and 10Y German treasury bonds were 2.050 and 2.840 respectively, with an increase of 1.0bp and 0.0bp respectively; the yields of 2Y and 10Y Japanese treasury bonds were 1.016 and 1.897 respectively, with increases of 1.1 and 3.3bp respectively [2] Macro News - **Central Bank Operations**: On December 4, the central bank conducted 180.8 billion yuan of 7 - day reverse repurchase operations, with 356.4 billion yuan of reverse repurchases maturing, resulting in a net withdrawal of 175.6 billion yuan. On December 5, the central bank will conduct 100 billion yuan of 3 - month (91 - day) outright reverse repurchase operations, which will achieve an equal - amount offset. It is expected that the central bank will conduct a 6 - month outright operation in December and is likely to increase the volume for roll - over [3] - **Economic Data**: The OECD estimated that the global economic growth in 2025 is 3.2% (unchanged from the previous estimate), and raised the estimate of China's economic growth in 2025 from 4.9% to 5.0%. Deutsche Bank Research raised the forecast of China's GDP year - on - year growth rate in the fourth quarter of 2025 to 4.6% and the full - year growth rate forecast to 5.0%. In November, the number of second - hand housing transactions in first - tier cities reached 49,000, a 7 - month high, with a month - on - month increase of 20%. In the first 11 months of this year, the cumulative number of second - hand housing transactions in first - tier cities was 519,000, a year - on - year increase of about 5%, breaking through the 510,000 mark for the first time in four years. The number of initial jobless claims in the US last week unexpectedly decreased by 27,000 to 191,000, the lowest level since September 2022 [3] Market Comment and Strategy - **Market Conditions**: Treasury bond futures prices generally declined, and the yield of the 10 - year active treasury bond increased to 1.857%. The central bank's open - market reverse repurchase had a net withdrawal of 175.6 billion yuan, and the open - market treasury bond trading in November had a net injection of 5 billion yuan. Shibor short - term varieties mostly increased, and the market capital was relatively stable. The number of initial jobless claims in the US decreased, the ADP employment data showed a decrease in private - sector jobs, increasing the probability of the Fed's interest - rate cut. The Bank of Japan governor strongly hinted at a December interest - rate hike, causing the yen to appreciate significantly and raising concerns about global liquidity tightening. The manufacturing PMI in November was 49.2%, up 0.2% from the previous month, indicating overall stable economic sentiment. However, the decline in commercial housing sales continued to expand, and second - hand housing prices continued to fall month - on - month. The bond extension of Vanke impacted the credit bond market. With the approaching of the year - end important meetings, the expectation of policy introduction increased, and the implementation of the new regulations on fund sales would also disrupt the bond market, leading to the weakening of long - term treasury bond futures prices [3]

Core Viewpoint - US Treasury bonds weakened after initial jobless claims and continuing claims data came in below expectations, leading to a flattening of the yield curve [1][3] Group 1: Yield Movements - The entire yield curve rose by 3 to 5 basis points after 3 PM ET, with the middle of the curve leading the decline [1][3] - The 10-year Treasury yield closed at approximately 4.105%, up 4 basis points on the day [4][6] - The 5s30s spread narrowed by nearly 2 basis points, reversing the steepening trend observed on Wednesday [1][3] Group 2: Economic Indicators - The majority of the decline in bond prices occurred following the release of weekly jobless claims data, which initially triggered price volatility [5] - The overnight index swap (OIS) related to the federal funds rate expectations remained stable for the December meeting, implying a rate cut of about 22 basis points [5] - The longer end of the curve indicates an expected cumulative rate cut of approximately 60 basis points by the June meeting next year, although traders are betting on a deeper rate cut path in SOFR options [5] Group 3: Current Yield Rates - As of 3 PM ET, the yield rates were as follows: - 2-year Treasury yield at 3.5288% - 5-year Treasury yield at 3.6832% - 10-year Treasury yield at 4.1098% - 30-year Treasury yield at 4.7667% [2][6] Group 4: Yield Spreads - The spread between the 5-year and 30-year Treasury yields was reported at 108.17 basis points - The spread between the 2-year and 10-year Treasury yields was reported at 57.68 basis points [7]

Core Viewpoint - On December 2, Japan's 30-year government bond yield reached a historical high due to persistent inflation and increased market expectations for a rate hike by the Bank of Japan later this month [1] Group 1: Bond Yield Changes - The 30-year government bond yield rose by 1.5 basis points, reaching 3.405% [1] - The 10-year government bond yield remained unchanged at 1.875% [1] Group 2: Central Bank Actions - Bank of Japan Governor Kazuo Ueda stated that the central bank will thoroughly discuss the possibility of a rate hike in the upcoming meeting, which has heightened market expectations for a near-term increase [1]

责任编辑：李桐 美国国债期货跌至日内低点，因周度初请失业救济人数总计19.1万人，低于经济学家预期中值22万人， 降至三年多来的最低水平。前值上修2000人。持续申请失业救济人数也低于预期，且前值被下修。 美国国债收益率上升2-4个基点，收益率曲线中段价格领跌，5年期与30年期利差维持在盘中低位附近。 10年期国债收益率一度攀升4.5个基点至4.11%左右。 美国国债期货跌至日内低点，因周度初请失业救济人数总计19.1万人，低于经济学家预期中值22万人， 降至三年多来的最低水平。前值上修2000人。持续申请失业救济人数也低于预期，且前值被下修。 美国国债收益率上升2-4个基点，收益率曲线中段价格领跌，5年期与30年期利差维持在盘中低位附近。 10年期国债收益率一度攀升4.5个基点至4.11%左右。 美联储定价的隔夜指数掉期市场持稳，定价显示12月10日政策会议将降息约22个基点，12月和1月联邦 公开市场委员会会议累计降息30个基点。 责任编辑：李桐 美联储定价的隔夜指数掉期市场持稳，定价显示12月10日政策会议将降息约22个基点，12月和1月联邦 公开市场委员会会议累计降息30个基点。 ...