2025年07月23日申万期货品种策略日报-国债 | | | | | 申银万国期货研究所 唐广华（从业资格号：F3010997；交易咨询号：Z0011162） tanggh@sywgqh.com.cn 021-50586292 | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | 昨日收盘价 | TS2509 102.408 | TS2512 102.486 | TF2509 105.885 | TF2512 105.970 | T2509 108.635 | T2512 108.695 | TL2509 119.45 | TL2512 119.25 | | | 前日收盘价 | 102.420 | 102.488 | 105.955 | 106.025 | 108.760 | 108.800 | 119.97 | 119.76 | | | 涨跌 | -0.012 | -0.002 | -0.070 | -0.055 | -0.125 | -0.105 | -0.520 | -0.510 | | | 涨跌幅 | ...

| 申银万国期货研究所 唐广华（从业资格号：F3010997；交易咨询号：Z0011162） | tanggh@sywgqh.com.cn 021-50586292 | | | | | | | | | | | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | TS2509 | TS2512 | TF2509 | TF2512 | T2509 | T2512 | TL2509 | TL2512 | 昨日收盘价 | 102.514 | 102.644 | 106.255 | 106.365 | 109.105 | 109.180 | 121.13 | 121 | | | | | 前日收盘价 | 102.512 | 102.642 | 106.250 | 106.345 | 109.130 | 109.210 | 121.18 | 121.04 | 涨跌 | 0.002 | 0.002 | ...

Group 1: Report Summary - The report is the Shenwan Futures Variety Strategy Daily Report - Treasury Bonds on June 12, 2025, released by the Shenwan Futures Research Institute [1] Group 2: Investment Rating - No investment rating for the industry is provided in the report Group 3: Core View - The previous trading day saw a general increase in treasury bond futures prices, with low IRR for CTD bonds of main contracts and no arbitrage opportunities. Short - term market interest rates showed mixed trends, and key - term treasury bond yields generally declined. The Fed may keep rates unchanged in the next meeting, and the central bank will maintain a supportive monetary policy, with loose liquidity supporting bond futures prices [2][3] Group 4: Futures Market - **Price and Volume**: The previous trading day, treasury bond futures prices generally rose. For example, the T2509 contract rose 0.05%. The trading volume and open interest of various contracts also changed. For instance, the open interest of the T2509 contract increased by 2389 [2] - **IRR**: The IRR of CTD bonds corresponding to main treasury bond futures contracts was at a low level, with no arbitrage opportunities [2] Group 5: Short - term Market Interest Rates - **Rate Changes**: The previous trading day, short - term market interest rates showed mixed trends. SHIBOR 7 - day rate rose 0.6bp, DR007 rate rose 1.91bp, and GC007 rate rose 3.2bp [2] Group 6: Spot Market - **Chinese Treasury Yields**: The previous trading day, yields of key - term Chinese treasury bonds generally declined. The 10Y treasury bond yield dropped 0.79bp to 1.65%, and the 10 - 2Y yield spread was 17.12bp [2] - **Overseas Treasury Yields**: The previous trading day, the US 10Y treasury bond yield dropped 6bp, the German 10Y yield rose 0bp, and the Japanese 10Y yield rose 0.7bp [2] Group 7: Macro News - **Central Bank Operations**: On June 11, the central bank conducted 164 billion yuan of 7 - day reverse repurchase operations, with a net withdrawal of 50.9 billion yuan [3] - **Sino - US Economic and Trade Talks**: The first meeting of the Sino - US economic and trade consultation mechanism was held in London, reaching a consensus on measures to consolidate the results of the Geneva economic and trade talks [3] - **China - Africa Cooperation**: President Xi Jinping sent a congratulatory letter to the Ministerial Meeting of Coordinators for the Implementation of the Outcomes of the China - Africa Cooperation Forum, emphasizing cooperation in multiple fields [3] - **CPI Data**: In May, 8 provinces' CPI rose year - on - year, 2 were flat, and 21 declined. CPI is expected to show a mild recovery [3] - **Debt Replacement**: As of the end of May, over 1.6 trillion yuan of replacement bonds were issued, completing over 80% of the annual quota [3] - **US Inflation**: US May CPI data was mild. Trump called for a 1 - percentage - point rate cut, and traders bet on two rate cuts this year, but the Fed may keep rates unchanged next week [3] Group 8: Industry Information - **Money Market Rates**: Most money market interest rates rose. For example, the 1 - day and 7 - day weighted average rates of inter - bank pledged repurchase increased [3] - **US Treasury Yields**: US treasury yields generally declined, driven by mild inflation data reducing expectations of short - term Fed rate hikes [3]

2025年06月09日申万期货品种策略日报-国债 | | | | | 申银万国期货研究所 唐广华（从业资格号：F3010997；交易咨询号：Z0011162） | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | tanggh@sywgqh.com.cn 021-50586292 | | | | | | | | 昨日收盘价 | TS2509 102.452 | TS2512 102.574 | TF2509 106.140 | TF2512 106.230 | T2509 108.925 | T2512 108.945 | TL2509 119.78 | TL2512 119.6 | | | 前日收盘价 | 102.430 | 102.552 | 106.030 | 106.115 | 108.720 | 108.780 | 119.31 | 119.17 | | | 涨跌 | 0.022 | 0.022 | 0.110 | 0.115 | 0.205 | 0.165 | 0.470 | 0.43 ...

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoints - Last week, Treasury bond futures fluctuated. The central bank net injected 65.66 billion yuan. The 10 - year Treasury bond interest rate slightly decreased 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 market price is fluctuating at a high level, the interest rate is still in a low - level range, and there is limited upside space in the medium - to - long - term. Short - term investors can buy on dips [3]. 3. Summary by Directory I. Treasury Bond Futures Macro and Market Outlook - **Weekly Macro and News**: China's Caixin Manufacturing PMI in May was 48.3, down 2.1 percentage points from April, falling below the critical point for the first time since October 2024. The US Treasury announced the results of its latest Treasury bond repurchase operation, with a scale of up to $10 billion, the largest single - time Treasury bond repurchase operation in US Treasury history [4]. - **Treasury Bond Market Outlook**: Last week, Treasury bond futures fluctuated. The central bank net injected 65.66 billion yuan. The 10 - year Treasury bond interest rate slightly decreased and is at a historical low in the long - term. The market price is fluctuating at a high level, the interest rate is in a low - level range, with limited upside space in the medium - to - long - term. Short - term investors can buy on dips [3]. II. Treasury Bond Futures Market - **Price Trend**: Last week, Treasury bond futures fluctuated within a range. The TS2509 contract closed at 102.396, down 0.01%; the TF2509 contract closed at 106.02, down 0.03%; the T2509 contract closed at 108.725, down 0.11%; the TL2509 contract closed at 119.41, down 0.16% [5]. III. Treasury Bond Yield Changes - **Yield Changes**: Last week, long - term interest rates decreased, and the yield spread narrowed [8]. IV. Treasury Bond CTD Bonds and Basis - **Arbitrage Opportunities**: This week, the IRR of long - term Treasury bond futures is higher than the short - term financing rate, presenting arbitrage opportunities [11]. V. Treasury Bond Futures Spreads and Basis - **TF - T Spread**: The spread between 5 - year and 10 - year Treasury bond futures and their basis both narrowed [12]. VI. Treasury Bond Term Structure - **Term Structure Changes**: The latest Treasury bond term structure has flattened compared to May 28th, with medium - to - long - term yields decreasing [18].

2025年06月03日申万期货品种策略日报-国债 | | | | 申银万国期货研究所 唐广华（从业资格号：F3010997；交易咨询号：Z0011162） tanggh@sywgqh.com.cn 021-50586292 | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | TS2509 | TS2512 | TF2509 | TF2512 | T2509 | T2512 | TL2509 | TL2512 | | | 昨日收盘价 | 102.396 | 102.562 | 106.020 | 106.100 | 108.855 | 108.850 | 119.76 | 119.65 | | | 前日收盘价 | 102.346 | 102.510 | 105.870 | 105.950 | 108.850 | 108.825 | 119.6 | 119.5 | | | 涨跌 | 0.050 | 0.052 | 0.150 | 0.150 | 0.005 | 0.025 | 0.160 | 0.150 ...

国债期货市场周报 华金期货 研究院 2025/5/20 一、国债期货宏观及市场展望 • 周度宏观及消息面 • 国债后市展望 上周国债期货弱势下行。资金方面，上周央行净回笼4751亿元。上周十年期国债利率略升；长期看， 十年期国债利率处于历史低位。 技术上，T2506合约短期价格位于40日均线上方。操作方面，国债市场价格高位震荡，利率仍处低位 区间，中长期看上方空间有限，短期逢低买入。 国内消息：4月份，全国规模以上工业增加值同比增长6.1%，服务业生产指数增长6%，社会消费品零售 总额增长5.1%。1-4月份，全国固定资产投资同比增长4%，扣除房地产开发投资后增长8%；1-4月全国 房地产开发投资同比下降10.3%，新建商品房销售面积下降2.8%。 国外消息：达里奥周一警告称，穆迪下调美国主权信用评级甚至低估了美国国债面临的风险。他指出， 穆迪没有考虑到联邦政府通过印钞来偿还债务的风险。 二、国债期货行情 • 价格走势：上周国债期货弱势下行 | 名称 | 上周收盘 | 本周收盘 | 周涨跌幅 | 周成交量 | 周持仓量 | 成交量/持仓量 | | --- | --- | --- | --- | --- | - ...

一、国债期货宏观及市场展望 国债期货市场周报 华金期货 研究院 2025/5/13 数据来源：博易大师、华金期货 • 周度宏观及消息面 • 国债后市展望 上周国债期货窄幅震荡。资金方面，上周央行净回笼7817亿元。上周十年期国债利率略升；长期看， 十年期国债利率处于历史低位。 技术上，T2506合约短期价格位于40日均线上方。操作方面，国债市场价格高位震荡，利率仍处低位 区间，中长期看上方空间有限，短期逢低买入。 国内消息：中美经贸高层会谈联合声明发布，双方同意大幅降低双边关税水平，美方取消共计91%的加 征关税，中方相应取消91%的反制关税；美方暂停实施24%的"对等关税"，中方也相应暂停实施24% 的反制关税。 国外消息：追踪美联储会议预期的利率互换合约最新显示，美联储今年可能只会降息约55个基点，较上 周五75个基点的押注进一步显著下降。交易员们还预计首次降息要到9月份才会启动。 二、国债期货行情 • 价格走势：上周国债期货窄幅震荡 | 名称 | 上周收盘 | 本周收盘 | 周涨跌幅 | 周成交量 | 周持仓量 | 成交量/持仓量 | | --- | --- | --- | --- | --- | -- ...

国债期货市场周报 华金期货 研究院 2025/4/29 一、国债期货宏观及市场展望 • 周度宏观及消息面 二、国债期货行情 • 价格走势：上周国债期货小幅回调 | 名称 | 上周收盘 | 本周收盘 | 周涨跌幅 | 周成交量 | 周持仓量 | 成交量/持仓量 | | --- | --- | --- | --- | --- | --- | --- | | TS2506 | 102.432 | 102.284 | -0.14% | 169346 | 95758 | 1.77 | | TF2506 | 106.23 | 105.935 | -0.28% | 222653 | 161177 | 1.38 | | T2506 | 109.025 | 108.77 | -0.23% | 287933 | 184318 | 1.56 | | TL2506 | 119.7 | 119.68 | -0.02% | 468861 | 105659 | 4.44 | 数据来源：博易大师、华金期货 • 国债后市展望 上周国债期货小幅回调。资金方面，上周央行净投放8640亿元。上周十年期国债利率略升；长期看， 十年期国债利率处于历史低 ...

Group 1: Report Overview - Report title: Treasury Bond Futures Market Weekly Report [1] - Report issuer: Huajin Futures Research Institute [1] - Report date: April 8, 2025 [1] Group 2: Investment Rating - No investment rating information provided Group 3: Core Viewpoints - Last week, treasury bond futures rose significantly, with the central bank net withdrawing 50.19 billion yuan. The ten - year treasury bond interest rate decreased and remained at a historical low in the long term. Technically, the short - term price of the T2506 contract was above the 40 - day moving average. In the medium - to - long term, the upside space of the treasury bond market was limited, and short - term dips were recommended for buying [3] Group 4: Macro and Market Outlook Weekly Macro and News - Domestic news: Affected by overseas tariff shocks, the A - share market adjusted on Monday. Near the market close, Central Huijin announced its confidence in the Chinese capital market, its recognition of the current A - share allocation value, and its plan to continue increasing holdings of ETFs to maintain market stability. - Foreign news: The US threatened to impose an additional 50% tariff on China, which China firmly opposed. If the US tariff measures were implemented, China would take counter - measures [4] Treasury Bond Market Outlook - Last week, treasury bond futures rose significantly. The central bank net withdrew 50.19 billion yuan. The ten - year treasury bond interest rate decreased and was at a historical low in the long term. Technically, the short - term price of the T2506 contract was above the 40 - day moving average. In the medium - to - long term, the upside space of the treasury bond market was limited, and short - term dips were recommended for buying [3] Group 5: Treasury Bond Futures Market Conditions - Price trend: Last week, treasury bond futures rose significantly. The weekly increases of TS2506, TF2506, T2506, and TL2506 were 0.08%, 0.46%, 0.65%, and 2.37% respectively. The weekly trading volumes were 150,904, 199,092, 274,713, and 463,907 respectively, and the weekly open interests were 99,012, 164,270, 183,347, and 105,109 respectively [5] Group 6: Treasury Bond Yield Changes - Yield changes: Last week, interest rates generally decreased, and the yield spread narrowed. The interest rates of 3M, 1Y, 2Y, 5Y, and 10Y treasury bonds showed a downward trend from March 28 to April 3 [8] Group 7: Treasury Bond CTD Bonds and Basis - Treasury bond CTD bond arbitrage situation: This week, the IRR of treasury bond futures was higher than the short - term financing rate, indicating arbitrage opportunities. For the T2506 and TF2506 contracts, the IRR showed an upward trend from March 28 to April 3 [11] Group 8: Treasury Bond Futures Spread and Basis - TF - T spread: The spread between 5 - year and 10 - year treasury bond futures widened, and their basis also widened. From March 28 to April 3, the TF - T spread of the T2506 - TF2506 contracts changed from - 2.225 to - 2.440 [12] Group 9: Treasury Bond Term Structure - Treasury bond term structure: The treasury bond term structure flattened compared to last week, and the yield decreased compared to March 31 [15]