国债衍生品周报 2026/2/27 咨询业务资格：沪证监许可【2012】1515号 国债到期收益率 source： wind % 2Y国债到期收益率 5Y国债到期收益率 10Y国债到期收益率 30Y国债到期收益率 7Y国债到期收益率 24/06 24/12 25/06 25/12 2 3 资金利率 source： wind % 存款类机构质押式回购加权利率:1天 存款类机构质押式回购加权利率:7天 逆回购利率：7天 23/12 24/06 24/12 25/06 25/12 1 2 3 研报作者：许亮 Z0002220 审核：唐韵 Z0002422 【免责声明】 本报告基于本公司认为可靠的、已公开的信息编制，但本公司对该等信息的准确性及完整性不作任何保证。本报告所载的意见、结论及预测仅反映报告发布时的观点、结论 和建议。在不同时期，本公司可能会发出与本报告所载意见、评估及预测不一致的研究报告。本公司不保证本报告所含信息保持在最新状态。本公司对本报告所含信息可在不发出通知的情 形下做出修改， 交易者（您）应当自行关注相应的更新或修改。本公司力求报告内容客观、公正，但本报告所载的观点、结论和建议仅供参考，交易者（ ...

Report Core View - Bullish factors include the central bank conducting reverse repurchase operations with a net investment of 21.22 billion yuan, resulting in a marginal easing of liquidity. Also, Treasury bond futures closed slightly stable, heating up at the end of the session with a slight decline in yields [2] - Bearish factors are that both China's CPI and PPI rose in December, increasing inflation pressure, and the decreased expectation of the Fed's interest rate cut and rising global trade uncertainties have led to increased uncertainty in foreign capital inflows [2] - The trading advisory view suggests paying attention to the short - term decline of the basis and closely monitoring the price support from the central bank's liquidity operations [2] Data Presented in the Report (Sources from Wind) 1. Treasury Bond Yield - The report shows the trends of 2Y, 5Y, 7Y, 10Y, and 30Y Treasury bond yields from 2024 - 04 to 2025 - 12 [3] 2. Treasury Bond Term Spread - It presents the trends of the 7Y - 2Y and 30Y - 7Y Treasury bond spreads from 2024 - 04 to 2025 - 12 [4] 3. Treasury Bond Futures 3.1 Open Interest - The open interest trends of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures from 2015 - 12 to 2025 - 12 are shown [6] 3.2 Trading Volume - The trading volume trends of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures from 2024 - 04 to 2025 - 12 are presented [7] 3.3 Basis of Current - Quarter Contracts - The basis trends of current - quarter contracts for 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures are shown in different time periods [8][9][12] 3.4 Inter - Delivery Spread (Current - Quarter - Next - Quarter) - The inter - delivery spread trends of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures from different time periods are presented [16][17] 3.5 Inter - Variety Spread - The trends of the TS * 4 - T and T * 3 - TL inter - variety spreads from different time periods are shown [18][19]

1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report The report focuses on the cost - effectiveness and application prospects of the long - substitution strategy for the 30 - year Treasury bond futures (TL contract). By comparing the net - price trends, basis structures, and holding - return differences between the CTD bond of the TL contract and various spot targets, the report validates the feasibility of the long - substitution strategy. Back - testing shows that the strategy with the implied spread signal performs best, achieving annualized excess returns of 1.35%, 0.81%, and 1.05% for the 30 - year active bond, ChinaBond 30 - year Treasury bond index, and 30 - year Treasury bond ETF respectively. The TL contract can provide a more flexible allocation plan for investors [1][3][80]. 3. Summary According to the Table of Contents I. Current Cost - Effectiveness of the TL Contract as a Spot Long - Substitution (1) Net - Price Trend Correlation between the CTD Bond of the TL Contract and the 30 - Year Treasury Bond Active Bond/Index - The CTD bond of the TL contract is currently anchored to the 30 - year old bond. Its duration is shorter, yield is higher, and coupon rate is significantly higher than those of the 30 - year active bond and the ChinaBond 30 - year Treasury bond index. - In general, the net - price trends of the CTD bond of the TL contract and the 30 - year active bond/new index are similar. When the spread between new and old bonds narrows or widens significantly, differences may occur. In the case of a narrowing spread between new and old bonds and rising/volatile interest rates, the net - price trend of the CTD bond of the TL contract may be stronger than that of the 30 - year active bond/index; conversely, it may be weaker [2][9][11]. (2) Comparison of the Basis of the TL Contract and the Holding Returns of the 30 - Year Treasury Bond Active Bond/Index - The basis of the TL contract can be split into the holding return of the CTD bond and the net basis. The holding return accounts for a relatively high proportion in the basis pricing. - The coupon rate of the CTD bond of the TL contract is significantly higher than those of the 30 - year active bond and the ChinaBond 30 - year Treasury bond index. The net basis of the TL contract fluctuates greatly, increasing the probability of higher "coupon - like" returns compared to the 30 - year active bond/index [12][17][20]. (3) Rule Summary - The CTD bond of the current TL contract is anchored to the 30 - year old bond, with a shorter duration, higher yield, and higher coupon rate. - The TL contract is likely to have higher "coupon - like" returns than the 30 - year active bond/index. Assuming that the 30 - year Treasury bond interest rate does not rise close to 3% in the short term, the feature of the TL contract being anchored to the relatively high - coupon old bond is expected to continue [25][26]. II. Back - testing of the Long - Substitution Strategy (1) Comparison of Rolling Long - Position Returns between Futures and Spot - By comparing the continuous holding returns and risk performance of the TL Treasury bond futures contract, the 30 - year active bond, and the ChinaBond 30 - year Treasury bond index in the same back - testing period, the cost - effectiveness of the futures tool in a simple long - position allocation scenario can be intuitively judged. - Without considering capital costs, the annualized return of continuously holding the TL contract is only 0.66% lower than that of the 30 - year active bond. The difference between the annualized return of the ChinaBond 30 - year Treasury bond index and that of continuously holding the TL contract is small, indicating the feasibility of further back - testing the long - substitution strategy [29][31]. (2) Signal and Strategy Construction - Signal types: Three signals are constructed, including the historical quantile of the basis level, the "minimum" threshold for the basis convergence of futures converted from the spot holding return, and the superposition of the first two signals. - Strategy construction: Based on the above signals, a long - substitution strategy is back - tested on the TL contract. The futures closing date is set as the second - last trading day of the month before the futures contract delivery month. The spot targets include the 30 - year Treasury bond active bond, ChinaBond 30 - year Treasury bond index, and 30 - year Treasury bond ETF. The strategy also involves capital management and a specific back - testing time interval [32][34][37]. (3) Back - testing of the Futures Long - Substitution Strategy - For the 30 - year Treasury bond active bond, the implied spread signal performs best. The annualized return of signal 1 and the superposition signal is 11.74%, 1.35% higher than holding the 30 - year Treasury bond active bond, with better risk - return ratios. - For the ChinaBond 30 - year Treasury bond index, the implied spread signal 1 and the superposition signal also perform best, with an annualized return of 12.45%, 0.81% higher than holding the index, and better risk - control and risk - return indicators. - For the 30 - year Treasury bond ETF, using the implied spread signal, signal 1 and the superposition signal achieve an annualized return of 12.15%, 1.05% higher than holding the ETF [37][54][73]. (4) Conclusion - The TL contract can be regarded as a substitute for the 30 - year old Treasury bond. The long - substitution strategy with the implied spread as the core signal can effectively optimize asset - allocation efficiency, providing a differentiated allocation plan for investors, especially suitable for index - based assets such as the ChinaBond 30 - year Treasury bond index and 30 - year Treasury bond ETF [80].

Report Summary Core View - There are both positive and negative factors in the bond market. Positive factors include a loose capital market despite the contraction of the manufacturing PMI, and rumors of "dual cuts" in the political situation boosting sentiment, leading to a decline in yields and an overall rise in futures. Negative factors are that the central bank's bond - buying scale is lower than expected, causing yields to rise and futures to fall, as well as banks selling bonds to realize profits and bond funds facing redemption pressure, resulting in consecutive increases in yields and falling futures. The trading advice is to pay attention to the central bank's bond - buying intensity and short - term liquidity and keep positions flexible [2] Specific Data and Indicators Yield and Interest Rate - Data on 2Y, 5Y, 10Y, 30Y, and 7Y treasury bond yields from 2024/04 to 2025/08 are presented, along with data on deposit - type institutional pledged repurchase weighted interest rates for 1 - day and 7 - day terms and 7 - day reverse repurchase rates from 2023/12 to 2025/06 [3] Term Spread - Data on treasury bond term spreads (7Y - 2Y and 30Y - 7Y) from 2024/04 to 2025/08 are provided [4][5] Futures Position and Trading Volume - Data on the positions and trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures from different time periods are shown [7][8] Basis and Spread - Data on the basis of the current - quarter contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are presented, as well as the inter - period spreads (current - quarter minus next - quarter) of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures. Additionally, data on cross - variety spreads (TS*4 - T and T*3 - TL) are provided [9][10][14][16][18][19][20]

Group 1 - The report indicates that the 2025 government bond futures market has shifted to a weak downward trend after reaching a peak, influenced by monetary policy expectations and market dynamics [7][10][11] - The basis of government bond futures has generally declined, reflecting a structural differentiation driven by the decrease in coupon rates and the diversification of market participants [12][13][16] - The trading behavior of institutions in the government bond futures market has evolved, with a significant increase in positions, particularly in T and TL contracts, driven by liquidity preferences and risk management needs [24][26][28] Group 2 - Various strategies for government bond futures are highlighted for 2025, with specific recommendations for each quarter based on market conditions [33][35][39] - In Q1 2025, a hedging strategy using T/TL contracts is recommended to effectively mitigate losses due to low basis levels [33] - In Q2 2025, a positive spread strategy involving long-term local bonds and shorting T/TL contracts is suggested, capitalizing on high yield spreads [36][35] Group 3 - The outlook for 2026 suggests that government bond futures may act as a more sensitive sensor for stock-bond relationships, with increased volatility and structural differentiation expected [5][6][10] - Technical analysis indicates a continuation of weak oscillation patterns in government bond futures, with specific support and resistance levels identified for T and TL contracts [5][6][10] - The report emphasizes the importance of utilizing derivatives like government bond futures to enhance yield and manage risks effectively in various market scenarios [5][6][10]

Report Summary Core View - The capital market maintains a loose pattern, and abundant liquidity supports the bond market. The economic fundamentals have no significant negative factors, and the market environment is relatively stable. However, there are potential risks of rising inflation expectations and geopolitical uncertainties, which may put pressure on the bond market. It is recommended to maintain a wait - and - see approach, control risks, and pay attention to policy signals and economic data trends [2] Data Analysis - **Yield to Maturity**: The report presents the yield - to - maturity data of 2Y, 5Y, 10Y, 30Y, and 7Y treasury bonds from 2024/04 to 2025/08 [3] - **Funding Rates**: It shows the funding rates including the deposit - type institutional pledged repurchase weighted average rate for 1 - day and 7 - day, and the 7 - day reverse repurchase rate from 2023/12 to 2025/06 [3] - **Treasury Bond Term Spreads**: The term spreads of 7Y - 2Y and 30Y - 7Y treasury bonds from 2024/04 to 2025/08 are provided [4][5] - **Treasury Bond Futures Positions**: The positions data of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures from 2015/12 to 2023/12 are presented [7] - **Treasury Bond Futures Trading Volume**: The trading volume data of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures from 2024/04 to 2025/08 are shown [8] - **Treasury Bond Futures Basis**: The basis data of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures' current - quarter contracts are provided with different time ranges [9][10][11][13] - **Treasury Bond Futures Inter - Period Spreads**: The inter - period spreads of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures (current - quarter minus next - quarter) are presented with different time ranges [14][15][16][18] - **Treasury Bond Futures Inter - Variety Spreads**: The inter - variety spreads of TS*4 - T from 2024/04 to 2025/08 and T*3 - TL from 2023/06 to 2025/06 are shown [19][20]

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core View of the Report - The report suggests paying attention to the central bank's policy stance, maintaining the view that there is still room for growth in the medium term, and advises to continue holding medium - term long positions [1][3]. 3. Summary by Related Sections 3.1. Disk Review - On Monday, bond futures rose in the morning session and fluctuated in the afternoon, with all varieties closing higher. The funding situation was loose, with DR001 around 1.32% on Friday. There were 338.7 billion yuan in open - market reverse repurchases and a 200 - billion - yuan treasury cash fixed - deposit tender, resulting in a net injection of 255.7 billion yuan [1]. 3.2. Important News - Five out of the 12 Fed officials with voting rights this year have indicated a preference to keep interest rates unchanged next month [2]. - Trump advisor Hassett said that the new Fed leadership may cut interest rates and that the appointment of the Fed chair may be decided around the new year [2]. - Japan announced the deployment of missiles in a sensitive area, only 110 kilometers from Taiwan, China [2]. 3.3. Market Outlook - The A - share market rebounded on low volume today, hardly affecting the bond market. Geopolitical tensions seem to have intensified, but it is not the main influencing factor for the bond market at present. There is no obvious short - term market driver. This week, attention should be paid to whether MLF roll - overs and PMI data will provide trading impetus [3]. 3.4. Daily Treasury Futures Data | Contract | 2025 - 11 - 24 | 2025 - 11 - 21 | Today's Change | | --- | --- | --- | --- | | TS2512 | 102.416 | 102.448 | - 0.032 | | TF2512 | 105.885 | 105.855 | 0.03 | | T2512 | 108.47 | 108.44 | 0.03 | | TL2512 | 115.72 | 115.59 | 0.13 | | TS Basis (CTD) | 0.0034 | - 0.0063 | 0.0097 | | TF Basis (CTD) | 0.02 | 0.0033 | 0.0167 | | T Basis (CTD) | 0.0793 | 0.0802 | - 0.0009 | | TL Basis (CTD) | 0.1394 | 0.1601 | - 0.0207 | | TS Contract Position (Lots) | 71,468 | 73,816 | - 2,348 | | TF Contract Position (Lots) | 160,107 | 153,244 | 6,863 | | T Contract Position (Lots) | 284,471 | 279,585 | 4,886 | | TL Contract Position (Lots) | 175,392 | 176,275 | - 883 | | TS Main Contract Trading Volume (Lots) | 35,982 | 29,272 | 6,710 | | TF Main Contract Trading Volume (Lots) | 46,495 | 64,448 | - 17,953 | | T Main Contract Trading Volume (Lots) | 79,246 | 103,001 | - 23,755 | | TL Main Contract Trading Volume (Lots) | 64,907 | 97,822 | - 32,915 | [4]

Group 1: Overall Market Condition and Expectations - The bond market showed an overall oscillatory strengthening trend, with long - term bonds performing slightly better than short - term bonds. The 30 - year main contract of treasury bond futures rose 0.22%. The liquidity in the inter - bank market tightened further, and the overnight repurchase rate of deposit - taking institutions rose more than 15bp to 1.48%. Vanke bonds generally declined, with "22 Vanke 06" falling more than 8%. The bond market sentiment was fair, and it is expected to remain oscillatory until the end of the year, with few trend opportunities [2]. - The central bank has increased the volume of MLF roll - overs for the 8th consecutive month. The October PMI data was below expectations and still below the boom - bust line. In September, the CPI rose 0.1% month - on - month and fell 0.3% year - on - year, while the year - on - year increase of core CPI expanded for the 5th consecutive month. The new social financing in September was slightly lower than the seasonal level. Affected by the "migration of RMB deposits", the M2 growth rate expanded. The LPR remained unchanged as expected. The Federal Reserve cut interest rates by 25 basis points at the October FOMC meeting [4]. Group 2: Capital and Policy - On November 10, the People's Bank of China conducted 119.9 billion yuan of 7 - day reverse repurchase operations at a fixed interest rate of 1.40%. With 78.3 billion yuan of reverse repurchases maturing on the same day, the net investment on the day was 41.6 billion yuan [2]. Group 3: Basis and Inventory Analysis - The main basis of TS was - 0.0211, indicating that the cash bond was at a discount to the futures, which was bearish. The main basis of TF was - 0.0235, also bearish. The main basis of T was 0.0202, and the main basis of TL was 0.1186, both indicating that the cash bond was at a premium to the futures, which was bullish [2]. - The balances of deliverable bonds for the main contracts of TS, TF, and T were 1.3594 trillion, 1.4935 trillion, and 2.3599 trillion respectively, which was neutral [3]. Group 4: Market Technical Analysis - The main contracts of TS, TF, and T were all above the 20 - day moving average, and the 20 - day moving average was upward, which was bullish [3]. - The main contract of TS had a net long position with an increase in long positions. The main contract of TF also had a net long position with an increase in long positions. The main contract of T had a net long position with a decrease in long positions [4]. Group 5: Main Contract Quotes | Futures Contract | Current Price | Change Rate | Trading Volume | Open Interest | Daily Position Change | CTD Bond | | --- | --- | --- | --- | --- | --- | --- | | T2512.CFE | 108.485 | 0.01% | 58,830 | 231,393 | - 4,216 | 250018.IB | | TF2512.CFE | 105.940 | 0.02% | 49,109 | 138,398 | - 4,021 | 250003.IB | | TS2512.CFE | 102.468 | 0.00% | 24,929 | 67,365 | - 700 | 250012.IB | | TL2512.CFE | 116.28 | 0.22% | 96,097 | 129,150 | 1,495 | 210005.IB | [7]

Report Summary 1. Report Industry Investment Rating No investment rating information is provided in the report. 2. Core Viewpoints - The overall sentiment in the inter - bank bond market is warm, with spot bond yields declining by about 1bp. The main contracts of treasury bond futures mostly rose, and the 30 - year main contract increased by 0.19%. The tax payment period has basically ended, and the inter - bank money market has become more relaxed, with the overnight repo rate of deposit - taking institutions dropping by more than 9bp to a low of 1.31%. The fourth - quarter bond market faces a generally favorable fundamental and policy environment but remains in a volatile pattern [3]. - The central bank has continued to increase the volume of MLF renewals for the 8th consecutive month. In September, the manufacturing PMI recovered but was still below the boom - bust line. The CPI increased by 0.1% month - on - month and decreased by 0.3% year - on - year, while the year - on - year increase in core CPI expanded for the 5th consecutive month. New social financing in September was slightly lower than the seasonal level, and the M2 growth rate expanded due to the "migration of RMB deposits". The LPR remained unchanged as expected. The Fed cut interest rates by 25 basis points at its October meeting [5]. 3. Summary by Relevant Catalogs 3.1 Fundamentals - The inter - bank bond market sentiment is warm, spot bond yields decline, and the main contracts of treasury bond futures mostly rise. The tax payment period ends, and the money market eases. The market is highly concerned about the China - US summit [3]. 3.2 Fund Flow - On October 30, the People's Bank of China conducted 3426 billion yuan of 7 - day reverse repurchase operations at a fixed interest rate of 1.40%. With 2125 billion yuan of reverse repurchases maturing on the same day, the net investment was 1301 billion yuan [3]. 3.3 Basis - The basis of TS main contract is - 0.0721, indicating that the spot bond is at a discount to the futures, which is bearish. The basis of TF main contract is - 0.0427, also bearish. The basis of T main contract is 0.1084, indicating that the spot bond is at a premium to the futures, which is bullish. The basis of TL main contract is 0.0476, also bullish [3]. 3.4 Inventory - The balance of deliverable bonds for the main contracts of TS, TF, and T are 1359.4 billion yuan, 1493.5 billion yuan, and 2359.9 billion yuan respectively, which is neutral [4]. 3.5 Market Trends - The TS main contract is running above the 20 - day moving average, and the 20 - day moving average is upward, which is bullish. The TF main contract is also above the 20 - day moving average with an upward 20 - day moving average, which is bullish. The T main contract is above the 20 - day moving average with an upward 20 - day moving average, which is bullish [4]. 3.6 Main Positions - The TS main contract has a net long position, and the long position increases. The TF main contract has a net long position, and the long position increases. The T main contract has a net long position, but the long position decreases [5]. 3.7 Market Quotes | Futures Contract | Current Price | Change Rate | Trading Volume | Open Interest | Daily Position Change | CTD Bond | | --- | --- | --- | --- | --- | --- | --- | | T2512.CFE | 108.630 | 0.05% | 68,993 | 245,110 | - 1,169 | 220017.IB | | TF2512.CFE | 106.065 | 0.00% | 54,366 | 149,269 | 160 | 250003.IB | | TS2512.CFE | 102.554 | - 0.01% | 33,991 | 73,541 | 2,319 | 250012.IB | | TL2512.CFE | 116.15 | 0.19% | 128,226 | 144,078 | - 1,963 | 220008.IB | [8]

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View The sentiment in the inter - bank bond market in China is relatively high. Short - and medium - term bond yields have declined significantly due to rumors of large banks buying new bonds issued this year within three years, while long - term bonds have performed weakly. The central bank has been supportive, and the inter - bank market liquidity has loosened. There is still room for market speculation on loose monetary policy, providing short - term support for the bond market [2]. 3. Section Summaries 3.1. Market Review - **Fundamentals**: The inter - bank bond market sentiment is high, short - and medium - term bonds are in high demand with falling yields, long - term bonds are weak, most Treasury bond futures contracts have risen, and the central bank has increased market liquidity. The market is still speculating on loose monetary policy, which supports the short - term bond market [2]. - **Funding**: On October 29, the central bank conducted 557.7 billion yuan of 7 - day reverse repurchase operations at an interest rate of 1.40%, with 138.2 billion yuan of reverse repurchases maturing on the same day, resulting in a net investment of 419.5 billion yuan [2]. - **Basis**: The basis of TS, TF, and T main contracts is negative, indicating that the spot is at a discount to the futures, which is bearish. The basis of the TL main contract is positive, indicating that the spot is at a premium to the futures, which is bullish [2]. - **Inventory**: The balance of deliverable bonds for the TS, TF, and T main contracts is 1.3594 trillion yuan, 1.4935 trillion yuan, and 2.3599 trillion yuan respectively, which is neutral [3]. - **Market Trend**: The TS, TF, and T main contracts are above the 20 - day moving average, and the 20 - day moving average is upward, which is bullish [3]. - **Main Positions**: The net long positions of the TS and TF main contracts have increased, while the net long positions of the T main contract have decreased [4]. - **Expectations**: The central bank has increased the volume of MLF renewals for eight consecutive months. In September, the manufacturing PMI recovered but remained below the boom - bust line, the CPI increased by 0.1% month - on - month and decreased by 0.3% year - on - year, and the core CPI has been rising year - on - year [5]. - **Contract Quotes**: The T2512.CFE contract price is 108.570, up 0.13%, with a trading volume of 91,358 and an open interest of 246,279, an increase of 7,086. The TF2512.CFE contract price is 106.070, up 0.16%, with a trading volume of 99,318 and an open interest of 149,109, an increase of 10,861. The TS2512.CFE contract price is 102.576, up 0.10%, with a trading volume of 56,118 and an open interest of 71,222, an increase of 2,282. The TL2512.CFE contract price is 115.83, down 0.27%, with a trading volume of 125,436 and an open interest of 146,041, a decrease of 1,892 [8]. 3.2. Spot Bond Analysis The report presents the DR interest rate and the maturity yields of inter - bank Treasury bonds for 2 - year, 5 - year, and 10 - year terms, as well as the term spreads between 10Y - 2Y and 5Y - 2Y, but does not provide specific analysis conclusions [9][13]. 3.3. Basis Analysis The report shows the basis trends of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures contracts, but no specific analysis conclusions are provided [16][17][19].