二 五 2026 年 1 月 4 日 二 〇 国债期货周报 年 度 报告导读： 摘要： 本周国债期货市场呈现震荡下行的格局，收益率曲线形态转陡峭，TL 合约下破支撑平台。 中期因央行货币政策相对克制、通胀预期转变、中长期资金入市导向、十五五政策预期无法证伪 等原因，维持大方向看震荡偏空的观点。 风险提示： 唐立 投资咨询从业资格号：Z0021100 Tangli2@gtht.com 虞堪 投资咨询从业资格号：Z0002804 yukan@gtht.com 国 泰 君 安 期 货 研 究 所 货币政策力度不及预期、权益市场情绪超预期、固收产品赎回超预期 （正文） 请务必阅读正文之后的免责条款部分 1 期货研究 期货研究 1. 周度聚焦与行情跟踪 本周国债期货市场呈现震荡下行的格局，收益率曲线形态转陡峭，TL 合约下破支撑平台。 中期因央行货币政策相对克制、通胀预期转变、中长期资金入市导向、十五五政策预期无法证伪等原 因，维持大方向看震荡偏空的观点。 图 1：活跃合约走势 图 2：活跃合约周度涨跌幅 资料来源：Wind，国泰君安期货研究 资料来源：Wind，国泰君安期货研究 市场特征方面，本周国债期货市场呈现短端 ...

五 2025 年 12 月 28 日 二 〇 二 请务必阅读正文之后的免责条款部分 1 国债期货周报 年 度 唐立 投资咨询从业资格号：Z0021100 Tangli2@gtht.com 虞堪 投资咨询从业资格号：Z0002804 yukan@gtht.com 国 泰 君 安 期 货 研 究 所 报告导读： 摘要： 本周国债期货市场呈现震荡上行的格局，短端温和修复、长端日内波动加剧，收益率曲线形态受 资金面宽松与政策预期扰动，呈现阶段性趋平与陡峭化交替特征。 中期因央行货币政策相对克制、通胀预期转变、中长期资金入市导向、十五五政策预期无法证伪 等原因，维持大方向看震荡偏空的观点。 风险提示： 货币政策力度不及预期、权益市场情绪超预期、固收产品赎回超预期 期货研究 期货研究 （正文） 1. 周度聚焦与行情跟踪 本周国债期货市场呈现震荡上行的格局，短端温和修复、长端日内波动加剧，收益率曲线形态受资金 面宽松与政策预期扰动，呈现阶段性趋平与陡峭化交替特征。央行四季度例会仍表明结构性货币工具的重 要性，料后续降准降息空间并不大。 中期因央行货币政策相对克制、通胀预期转变、中长期资金入市导向、十五五政策预期无法证伪等原 ...

Report Industry Investment Rating - The report maintains a view that the overall situation of treasury bond futures will be fluctuating with a downward bias, indicating a relatively cautious investment attitude towards the bond market [4]. Core Viewpoints of the Report - The current interest rate is supported by the central bank and capped by the fundamentals. The restraint of the central bank's monetary policy, the disappointment in bond - buying, the redistribution of new funds between the equity and fixed - income markets due to the entry of long - term funds, and the unfalsifiable "14th Five - Year Plan" policies in the next year limit the significant decline in long - term interest rates. The trend of commodities and inflation expectations may make the bond market face more headwinds [3]. - The report maintains the view that the overall situation of treasury bond futures will be fluctuating with a downward bias. In addition to short - selling hedging at high prices and long - position substitution at low prices under the high - selling and low - buying framework, strategies such as positive spreads trading and long positions in inter - delivery spreads under the timing framework are also recommended [4]. Summary According to the Table of Contents 1. Anti - involution Policy Consolidates the Inflation Floor 1.1 Inflation Floor Consolidation Disturbs the Pricing of Real Interest Rates - In 2025, the overall operation of treasury bond futures was tortuous. The market showed a high - level shock in the first half of the year and a fluctuating downward trend except in October. The 30Y - 10Y spread widened from about 10bp at the beginning of the year to over 30bp [7]. - The macro - economy remained in the bottom - shock pattern. Exports were affected by the Sino - US trade war in the first half of the year, and domestic demand recovery was not significant. In the second half of the year, the policy intensity declined, and the GDP growth rate slowed down in the third and fourth quarters due to weak downstream demand [7]. - The "asset shortage" of RMB assets still exists, but the structure has changed. The net long - position in treasury bond futures has decreased, and the market's expectations for the bond market have diverged. After the anti - involution policy, the bond market showed a fluctuating downward trend [9]. - The capital market reform policies have increased the importance of the equity market, and the "slow - bull" of the equity market has become the "political correctness" of the capital market. If the Fed cuts interest rates further and domestic policies are arranged beyond expectations next year, the equity market will continue to recover, and the bond market will only have structural opportunities [9]. 1.2 Monetary Policy Orientation and Micro - analysis of Treasury Bond Futures - The statements in the Q1 monetary policy implementation report indicated that the central bank's next - stage focus was to increase inflation, promote growth, and reduce costs. However, the bond market's recovery did not exceed the high at the beginning of the year. After the introduction of policies such as anti - involution and the resumption of the collection of value - added tax on bond interest, the market's inflation expectations and the central bank's orientation changed rapidly, and the market showed a fluctuating downward trend from the middle of the year [20]. - The Q2 report emphasized the importance of structure, and the Q3 report aimed to maintain a relatively loose liquidity environment. The central bank's bond - buying, interest - rate cuts, and reserve - requirement ratio cuts at the end of the year were less than expected. In the framework of the unfalsifiable "14th Five - Year Plan" policies and the relatively restrained monetary policy next year, treasury bond futures may continue to fluctuate within a range with a downward bias [20]. - In terms of market characteristics, the trading volume of the 12 - contract is limited, and the short - term inter - delivery spread may be positively correlated with the market. The basis has converged during the repair process since early June, and there is a demand for profit - taking in positive hedging. The curve structure has limited factors to support long - term steepening, and the steepening space may be reversed [21]. 2. Maintain the Judgment of Fluctuating and Downward - biased Interest Rates 2.1 Interest Rates are Supported by the Central Bank and Capped by the Fundamentals - Since 2015, China's interest rates have generally shown a downward trend, with three upward trends lasting more than a quarter. The duration and amplitude of these upward trends have gradually decreased, and the economic significance behind them has changed from fundamental and inflation - driven to short - term expectation and policy - driven [30]. - China has been in the passive de - stocking phase for nearly 34 months, longer than the 21 - month period in 1998. The GDP deflator has not turned positive. The second growth curve based on globalization and the real - estate model has encountered difficulties, and the future growth path depends on internal stimulus and external cooperation [30]. - Since the "9.24" in 2024, the policy bottom of the new economic cycle has been clear. The policy orientation of the financial sector is to guide long - term funds into the equity market. Although the fundamental recovery is still insufficient, the policy orientation makes it difficult for the market to break through the previous low of interest rates in the short term. Meanwhile, the limited elasticity of fundamentals and inflation restricts the upward space of interest rates, resulting in a fluctuating market where interest rates are supported by the central bank and capped by the fundamentals. In the long run, the inflow of funds into the equity market may lead to a fluctuating and downward - biased trend in treasury bond futures [31]. 2.2 Market Outlook for 2026 - The report maintains the view that the bond market will be fluctuating with a downward bias since the middle of the year. In addition to short - selling hedging at high prices and long - position substitution at low prices, strategies such as positive spreads trading and long positions in inter - delivery spreads under the timing framework are recommended [38].

Market Performance Review - In September, major stock indices showed a mixed performance, with growth style leading the way. As of September 26, the Shanghai Composite Index fell by 0.77%, while the Shenzhen Component Index rose by 4.04%, and the ChiNext Index increased by 9.04% [4][12] - The overall market sentiment was stable, with A-shares experiencing a rebound after an initial decline following the military parade on September 3. The internal economic data remained stable, and the Federal Reserve's interest rate cut aligned with market expectations, indicating that market movements were primarily driven by internal dynamics [4][12] Future Outlook and Investment Views - The report suggests a strategy of "waiting for space by using time," anticipating the next policy trigger. Since the market rally began on June 23, A-shares have accumulated significant gains, and a technical stagnation has been observed. The HMM timing model indicates a reduction in positions as the market awaits domestic policy support for the next rally [5][33] - The report highlights that Hong Kong stocks present better value, and A-shares should focus on individual stocks with "turnaround" logic. Hong Kong stocks are more sensitive to international liquidity, and the current situation resembles the 2007 A-share bull market, where Hong Kong stocks outperformed A-shares post-interest rate cuts [5][33] - The report emphasizes the importance of focusing on individual stock alpha opportunities rather than relying on broad market trends, especially given the lack of mainline opportunities in the 2025 interim report season [5][34] High-Frequency Data Tracking - The dynamic HMM timing model suggests that the current market's potential returns do not justify the risks, leading to a recommendation for a cash position. The model has demonstrated excellent risk control and upward-following capabilities since the beginning of 2024 [20][22] - Personal investor sentiment has slightly improved, with the sentiment index showing a significant decline from 15.96% on September 20 to -4.56% as of September 27. This indicates a strong correlation between market movements and investor sentiment [25][26] - Financing sentiment has also warmed, with financing transactions maintaining over 20% of total A-share trading volume, indicating a continued net inflow of funds [28][29] Sector Performance - In September, the TMT and financial sectors led the gains, while consumer sectors experienced notable pullbacks. The top-performing industries included communication (11.97%), non-ferrous metals (9.13%), and non-bank financials (8.84%), while food and beverage (-6.34%) and beauty care (-4.57%) lagged [16][19] - The report notes that the trading dynamics in the new energy sector, particularly in battery technology and photovoltaic policies, are influencing market performance, with a focus on domestic and international capital expenditures [16][19]