研究所 基本面分析报告 金融衍生品日报 2025 年 01 月 19 日 研究员：孙锋 期货从业证号： F0211891 投资咨询从业证号： Z000567 ：021-65789277 ：sunfeng@chinastock.com.cn 研究员：沈忱 CFA ：shenchen_qh@chinastock.com.cn 期货从业证号： F3053225 投资咨询从业证号： Z0015885 金融衍生品日报 一、财经要闻 1. 国家统计局 1 月 19 日公布，国家统计局 1 月 19 日公布，中国 2025 年 12 月社会消费 品零售总额同比增长 0.9%，预期增长 1.5%，前值增长 1.3%。 2. 中国 2025年 12 月社会消费品零售总额同比增长 0.9%，预期增长 1.5%，前值增长 1.3%。 3. 2025 年 12 月份，70 个大中城市商品住宅销售价格环比总体下降、同比降幅扩大。 4. 中国 2025 年固定资产投资（不含农户）485186 亿元，同比下降 3.8%，1-11 月同比下 降 2.6%。其中，民间固定资产投资比上年下降 6.4%。从环比看，12 月份固定资产投资（不 含农 ...

国债期货日报 2026/1/19 | 项目类别 | 数据指标 最新 | | 环比 项目 | 最新 | 环比 | | --- | --- | --- | --- | --- | --- | | 期货盘面 | T主力收盘价 | 108.040 | -0.02% T主力成交量 | 52248 | -16762↓ | | | TF主力收盘价 | 105.785 | -0.02% TF主力成交量 | 43774 | -19513↓ | | | TS主力收盘价 | 102.400 | 0% TS主力成交量 | 23651 | -10268↓ | | | TL主力收盘价 | 110.920 | -0.22% TL主力成交量 | 78148 | -15821↓ | | 期货价差 | TL2603-2606价差 | -0.11 | +0.02↑ T03-TL03价差 | -2.88 | 0.22↑ | | | T2603-2606价差 | 0.06 | +0.01↑ TF03-T03价差 | -2.26 | 0.00↑ | | | TF2603-2606价差 | -0.03 | +0.00↑ TS03-T03价差 | -5.6 ...

（文章来源：每日经济新闻） 每经AI快讯，1月19日，韩国3年期国债期货跌至2024年6月以来的最低水平. ...

Group 1: Report Summary - The report provides views on financial futures in the bond market, including short - term, medium - term, and intraday outlooks [1][5] - The overall investment view is that Treasury bond futures will be in a state of shock consolidation in the short term [1][5] Group 2: Investment Ratings - No specific industry investment rating is provided in the report Group 3: Core Views - The short - term possibility of a comprehensive interest rate cut has decreased, and the Treasury bond futures will be in shock consolidation [1][5] - Although the macro - economic demand has strong resilience, there are still structural problems, and the effective demand of the household sector is still weak [5] - The future monetary and credit environment will still be relatively loose, and there is still an expectation of an interest rate cut in the future, but the urgency of a comprehensive interest rate cut in the short term is weak [5] Group 4: Summary by Variety TL2603 - Short - term view: Shock [1] - Medium - term view: Shock [1] - Intraday view: Weak [1] - Core logic: The short - term possibility of a comprehensive interest rate cut has decreased [1] TL, T, TF, TS - Intraday view: Weak [5] - Medium - term view: Shock [5] - Reference view: Shock consolidation [5] - Core logic: The macro - economic demand has strong resilience but with structural problems, the future monetary and credit environment is loose, there is an expectation of an interest rate cut in the future, but the short - term urgency of a comprehensive interest rate cut is weak, and the upward momentum of Treasury bond futures is insufficient [5]

Group 1: Open Market Operations - The central bank conducted a 7-day reverse repurchase operation of 867 billion yuan at a fixed rate of 1.40% on January 16, resulting in a net injection of 527 billion yuan for the day after accounting for 340 billion yuan in reverse repos maturing [2] - For the week, a total net injection of 812.8 billion yuan was achieved [2] - Upcoming reverse repos of 9.515 billion yuan are set to mature from January 19 to 23, along with 1.5 billion yuan in treasury cash deposits maturing on the 23rd [2] Group 2: Funding Conditions - The interbank market is gradually becoming more relaxed, with the weighted average rate of DR001 dropping over 4 basis points to around 1.32% [4] - Overnight rates in the anonymous click (X-repo) system have also decreased to approximately 1.30%, with supply around 100 billion yuan [4] - Non-bank institutions are borrowing overnight against pledged credit bonds at rates concentrated around 1.45% [4] Group 3: Interest Rates and Yields - The yield on major interbank bonds has generally declined [6] - The latest one-year interbank certificates of deposit are trading around 1.63%, showing a slight decrease from the previous day [7] - Government bond futures closed mostly higher, with the 10-year main contract rising by 0.01% [11] Group 4: Regulatory Developments - The China Securities Regulatory Commission (CSRC) emphasized maintaining stability in the market and preventing large fluctuations, while also promoting reforms in the ChiNext and STAR Market to enhance refinancing convenience [12] - The State-owned Assets Supervision and Administration Commission (SASAC) is focusing on optimizing the layout and structure of state-owned enterprises in 2026 [12] Group 5: Global Macro Insights - The Bank of Japan is increasingly concerned about the risks of inflation due to a weakening yen, potentially leading to an upward revision of economic growth and inflation expectations for the fiscal year 2026 [14] - Barclays analysts project that U.S. corporate bond issuance will reach $2.46 trillion in 2026, an 11.8% increase from 2025, driven by demand in the artificial intelligence sector [14] Group 6: Bond Market Events - Fitch Ratings upgraded the long-term credit rating of Dalian Wanda Commercial Management Group from RD to CC [16] - Goldman Sachs plans to issue bonds to raise $16 billion, setting a record for Wall Street banks [16] - U.S. overseas investors increased their net holdings of U.S. Treasury bonds by $85.6 billion in November 2025 [16]

3.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 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（2026 年 1 月 16 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 | | --- | --- | --- | --- | --- | --- | | TL2603 | 震荡 | 震荡 | 偏弱 | 震荡整理 | 短期全面降息可能性下降 | 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%为弱势，跌幅 0~1%为偏弱，涨幅 0~1%为偏强，涨幅大于 1%为强势。 品种：TL、T、TF、TS 日内观点：偏弱 中期观点：震荡 参考观点：震荡整理 核心逻辑：昨日国债期货均震荡整理。消息面，央行公布了 12 月新增信贷数据，居民部门新增信贷 表现仍偏弱，企业部门新增信贷有所改善；且央行决定下调再贷款、再贴现利率，引导金融机构加大 ...

| 项目类别 | 数据指标 | 最新 | 环比 项目 | 最新 | 环比 | | --- | --- | --- | --- | --- | --- | | 期货盘面 | T主力收盘价 | 107.930 | 0.08% T主力成交量 | 77005 | 22932↑ | | | TF主力收盘价 | 105.655 | 0.04% TF主力成交量 | 60586 | 16070↑ | | | TS主力收盘价 | 102.334 | 0% TS主力成交量 | 29841 | -1394↓ | | | TL主力收盘价 | 111.270 | -0.04% TL主力成交量 | 157285 | 67912↑ | | 期货价差 | TL2603-2606价差 | -0.11 | +0.02↑ T03-TL03价差 | -3.34 | 0.16↑ | | | T2603-2606价差 | 0.07 | -0.01↓ TF03-T03价差 | -2.28 | -0.05↓ | | | TF2603-2606价差 | 0.01 | -0.01↓ TS03-T03价差 | -5.60 | -0.08↓ | | | TS260 ...

Group 1 - The core point of the news is the performance of government bond futures on January 14, with mixed results across different maturities [1] Group 2 - The 30-year main contract decreased by 0.04% [1] - The 10-year main contract increased by 0.08% [1] - The 5-year main contract rose by 0.04% [1] - The 2-year main contract remained basically unchanged [1]

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints No explicit core viewpoints are presented in the given content. It mainly offers data on global asset market performance, stock index futures trading, and bond futures trading. 3. Directory - Based Summaries Global Asset Market Performance - **10 - Year Treasury Bonds**: Yields of 10 - year treasury bonds in major economies are as follows: US 4.177, UK 4.372, France 3.505, Germany 2.840, etc. [2] - **2 - Year Treasury Bonds**: Yields of 2 - year treasury bonds in major economies are as follows: US 3.535, UK 3.650, Germany 2.093, etc. [2] - **Exchange Rates**: Dollar exchange rates against major emerging - economy currencies are provided, such as 5.375 against the Brazilian currency, 16.390 against the South African rand, etc. [2] - **Stock Indices**: Latest values of major economy stock indices are given, including S&P 500 at 6977.270, Dow Jones Industrial Index at 49590.200, etc. [2] - **Credit Bond Indices**: Values of credit bond indices in different regions are presented, like US investment - grade credit bond index at 3546.240, Euro - zone investment - grade credit bond index at 266.750, etc. [2] Stock Index Futures Trading Data - **Index Performance**: A - share closed at 4165.29 with a 1.09% increase,沪深300 at 4789.92 with a 0.65% increase, etc. [3] - **Valuation**: PE (TTM) values are reported, such as 14.48 for 沪深300, 12.04 for 上证50, etc., along with their环比变化. [3] - **Risk Premium**: Risk premium data and their环比变化 are provided for some indices, e.g., - 0.59 for S&P 500 with a - 0.02环比变化. [3] - **Fund Flows**: Latest values and 5 - day average values of fund flows for different sectors are given, like 285.89 for A - shares, - 117.28 for the main board, etc. [3] Bond Futures Trading Data - **Stock Index Futures**:成交金额 and环比变化 are reported for 沪深两市, 沪深300, etc.主力升贴水 data for IF, IH, IC are also provided. [4] - **Treasury Bond Futures**: Closing prices and percentage changes for T2303, TF2303, etc. are presented. [4] - **Funding Rates**: R001 is at 1.3895% with a - 13.00 BP日度变化, R007 at 1.5249% with no change, etc. [4]

1. Report Industry Investment Rating - No relevant content provided 2. Core View of the Report - The bond market is gradually digesting potential negative factors, but the suppression from the equity market trend and fundamental recovery still exists. The short - term profit - taking demand has increased, and the upward pace may slow down. The liquidity pressure in the bond market is expected to ease. In the short term, the necessity of further implementing loose monetary policies has decreased. The issuance scale of government bonds in the first quarter is expected to be roughly the same as that in the same period of 2025, and the supply - demand contradiction of ultra - long bonds still exists. Under the interweaving of multiple factors, it is expected that interest rates will continue to fluctuate in the short term [4] 3. Summary by Relevant Catalogs 3.1 Futures Market - **Closing Prices and Volume Changes**: T, TF, TS, and TL主力合约收盘价分别为107.845（+0.06%）、105.625（+0.05%）、102.340（0%）、111.200（+0.3%）；成交量方面，T主力成交量64381（-8052），TF主力成交量64931（+10966），TS主力成交量37294（+9140），TL主力成交量99196（-14131）[2] - **Spread Changes**: Various futures spreads showed different changes, such as TL2603 - 2606价差为 - 0.10（+0.01），T2603 - 2606价差为0.09（+0.02）等 [2] - **Position Changes**: T主力持仓量230631（-2956），TF主力持仓量138859（-4328），TS主力持仓量70788（+1695），TL主力持仓量146919（-1308）；各合约前20名多空头及净空仓也有相应变化 [2] 3.2 CTD and Active Bonds - **CTD Net Price Changes**: The net prices of several CTD bonds showed different changes, such as 250018.IB (6y) at 100.2091 (-0.0062), 220025.IB (6y) at 99.0955 (+0.2328) [2] - **Active Bond Yield Changes**: The yields of active bonds with different maturities changed, with 1y at 1.2700 (-3.50bp), 3y at 1.4575 (+0.25bp), etc. [2] 3.3 Short - term Interest Rates - **Short - term Interest Rate Changes**: Silver - pledged overnight at 1.3486 (+6.86bp), Shibor overnight at 1.3160 (+4.40bp), etc. LPR rates for 1y and 5y remained unchanged [2] 3.4 Open Market Operations - The issuance scale of reverse repurchase operations was 861 billion, the maturity scale was 500 billion, and the interest rate was 1.4% for 7 days, with a net investment of 361 billion [2] 3.5 Industry News - **Domestic Policy**: The State Council executive meeting deployed a package of policies to promote domestic demand through fiscal - financial coordination, including loan interest - subsidy policies for service providers, small and medium - sized enterprises, etc. [2] - **Domestic Inflation**: In December 2025, China's CPI increased by 0.8% year - on - year, the highest since March 2023. Core CPI increased by 1.9% year - on - year, and the decline narrowed by 0.3 percentage points [2] - **Overseas Situation**: The Fed's expectation of a rate cut in January 2026 was completely dashed. In December 2025, the non - farm payrolls in the US increased by 50,000, and the unemployment rate dropped to 4.4% [2] 3.6 Key Points to Watch - On January 15, at 03:00, the Fed will release the Beige Book of Economic Conditions; at 17:00, the ECB will release the economic bulletin [4]