成文日期：20251226 报告周期: 日报 研究品种:国债期货 研究分析师：武吟秋（期货从业资格号：F03087154；投资咨询从业证书号: Z00018989) 品期货号报 1 期货市场 1.1 合约价格 当日（20251226），期货品种十年国债（T2603）合约早盘低 开，开盘价格 108.200元，开盘后出现震荡走势，日内最低价 108.195 元，日 K 线收阳线，持仓量 253517 手，成交量 67379 手。 1.2 品种价格 国债期货 12 个合约, 二年国债（TS2603）合约, 二年国债 (TS2606) 合约, 二年国债（TS2609）合约，价格呈现近低远高 研究咨询：028 6130 3163 邮箱：institute@gjgh.com.cn 投诉热线：4006821188 请务必阅读文末风险揭示及免责声明 来源：国金期货行情软件 的市场格局、五年国债（TF2603）合约，五年国债（TF2606） 图表 2：国债期货行情表 说明: 数据来源：中国金融期货交易所 | 合约代码 | 今开盘 | 雷宫队 | 磨喉や | 成交星 | 成交金额 | 持仓星 | 持仓变化 | 今收窄 | 今結 ...

早盘提示 早盘提示 更多精彩内容请关注格林大华期货官方微信 更多精彩内容请关注格林大华期货官方微信 格林大华期货研究院 证监许可【2011】1288 号 2025 年 12 月 25 日星期四 Morning session notice Morning session notice 研究员： 刘洋 从业资格： F3063825 交易咨询资格：Z0016580 重要事项: 本报告中的信息均源于公开资料，格林大华期货研究院对信息的准确性及完备性不作任何保 证，也不保证所包含的信息和建议不会发生任何变更。我们力求报告内容的客观、公正，但 文中的观点、结论和建议仅供参考，报告中的信息和意见并不构成所述期货合约的买卖出价 和征价，投资者据此作出的任何投资决策与本公司和作者无关，格林大华期货有限公司不承 担因根据本报告操作而导致的损失，敬请投资者注意可能存在的交易风险。本报告版权仅为 格林大华期货研究院所有 任何机构和个人不得以任何形式翻版 | 板块 | 品种 | 多（空） | 推荐理由 | | --- | --- | --- | --- | | | | | 【行情复盘】 周三国债期货主力合约多数小幅低开，全天横向窄幅 ...

国债期货日报 2025/12/23 | 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 | 108.220 | 0.26% T主力成交量 | 98526 | 13433↑ | | | TF主力收盘价 | 106.025 | 0.17% TF主力成交量 | 78932 | 14747↑ | | | TS主力收盘价 | 102.526 | 0.07% TS主力成交量 | 35332 | -611↓ | | | TL主力收盘价 | 112.830 | 0.89% TL主力成交量 | 140734 | 27611↑ | | 期货价差 | TL2603-2606价差 | -0.17 | +0.05↑ T03-TL03价差 | -4.61 | -0.61↓ | | | T2603-2606价差 | 0.00 | +0.02↑ TF03-T03价差 | -2.19 | -0.07↓ | | | TF2603-2606价差 | 0.00 | +0.00↑ TS03-T03价差 | -5.69 ...

行业 国债日报 日期 2025 年 12 月 23 日 研究员：何卓乔(宏观贵金属) 18665641296 hezhuoqiao@ccb.ccbfutures.com 期货从业资格号：F3008762 研究员：黄雯昕(国债集运) 021-60635739 huangwenxin@ccb.ccbfutures.com 期货从业资格号：F3051589 研究员：聂嘉怡(股指) 021-60635735 niejiayi@ccb.ccbfutures.com 期货从业资格号：F03124070 宏观金融团队 请阅读正文后的声明 ＃summary＃ LPR 持稳，宽松预期落空，叠加 A 股走强对债市的压制，国债期货全线下跌。 利率现券： 银行间各主要期限利率现券收益率全面抬升，长端活跃券上行幅度不足 1bp， 至下午 16：30，10 年国债活跃券 250016 收益率报 1.8435%上行 0.85bp。 资金市场： 银行间资金面宽松，跨年资金平稳。今日公开市场有 2509 亿元到期，央行投 放了 673 亿元，实现净回笼 1836 亿元。银行间资金情绪指数回落显示资金压力缓 解，隔夜和 7 天资金利率小幅回落， ...

Report Industry Investment Rating - The investment rating for the bond market is slightly bearish with a strong oscillatory nature [2][3] Core Viewpoints - The year - end capital market disturbances have emerged, with most money market interest rates rising. The marginal tightening of the capital market adds negative factors to the bond market [2] - The stock index may attempt to break through the trend line again, and the stock - bond seesaw effect may be negative for the bond market [2] - In November, China's economic prosperity level was generally stable, and the probability of large - scale stimulus policies at the end of the year is low. The economic fundamentals do not support the bond market to break through the oscillatory range [3] Summary by Relevant Catalogs 1. Market Review and Outlook - As of December 8, most money market interest rates rose, with the overnight silver - deposit pledged repurchase weighted average rate up 0.06BP to 1.3003%, the 7 - day rate up 0.04BP to 1.438%, the 14 - day rate up 2.68BP to 1.5116%, and the 1 - month rate up 2.4BP to 1.6158% [2] - The stock index may try to break through the trend line again, and the stock - bond seesaw effect may be negative for the bond market [2] 2. Macroeconomic Fundamentals - In November, China's manufacturing PMI was 49.2%, up 0.2 percentage points from the previous month; non - manufacturing PMI was 49.5%, down 0.6 percentage points; the composite PMI output index was 49.7%, down 0.3 percentage points. China's economic prosperity level was generally stable [3] - China's S&P composite PMI in November was 51.2 (previous value 51.8), and the S&P services PMI was 52.1 (previous value 52.6). The new order index continued to grow, and new export orders improved significantly [3] 3. Policy Aspect - The central bank achieved a net capital injection in November, with a net purchase of 500 million yuan of treasury bonds in the open market, a net injection of 254 million yuan through pledged supplementary loans, a net injection of 1.15 billion yuan through other structural monetary policy tools, and a net injection of 1 billion yuan through medium - term lending facilities [3] 4. Factors to Watch - The factors to watch include the stock - bond seesaw effect, economic data, and the tightness of the year - end capital market [4]

2025 年 12 月 5 日 期货研究 金 融 期 货 国债期货：跳空低开破位，谨慎观望 研 究 | 期货研究 2 2025 年 月 5 日 国 泰 君 安 期 虞堪 投资咨询从业资格号：Z0002804 货 研 5 | 12 | yukan@gtht.com | | --- | --- | --- | | 月 日，国债期货 年期主力合约下跌 12 4 30 1.04%，国债期货 | | 年期主力合约下跌 10 0.35%，国债期货 | | 年期主力合约下跌 0.24%，国债期货 2 年期主力合约下跌 0.05%。 | | | | 唐立 投资咨询从业资格号：Z0021100 | | tangli2@gtht.com | | 【基本面跟踪】 | | | | 资金方面，隔夜 shibor 报 1.3020%，较前一交易日上涨 | | 0.1bp，7 天 shibor 报 1.4240%，较前一交 | 【基本面跟踪】 12 月 4 日，国债期货 30 年期主力合约下跌 1.04%，国债期货 10 年期主力合约下跌 0.35%，国债期货 5 年期主力合约下跌 0.24%，国债期货 2 年期主力合约下跌 0.05%。 ...

国债期货日报 2025/12/2 本报告中的信息均来源于公开可获得资料，瑞达期货股份有限公司力求准确可靠，但对这些信息的准确性及完 整性不做任何保证，据此投资，责任自负。本报告不构成个人投资建议，客户应考虑本报告中的任何意见或建议是否 符合其特定状况。本报告版权仅为我公司所有，未经书面许可，任何机构和个人不得以任何形式翻版、复制和发布。 如引用、刊发，需注明出处为瑞达期货股份有限公司研究院，且不得对本报告进行有悖原意的引用、删节和修改。 端在期货 | 项目类别 | 数据指标 最新 | 最新 | 环比 项目 | | 环比 | | --- | --- | --- | --- | --- | --- | | 期货盘面 | T主力收盘价 | 107.980 | -0.07% T主力成交量 | 75576 | -6895↓ | | | TF主力收盘价 | 105.770 | -0.06% TF主力成交量 | 55541 | -353↓ | | | TS主力收盘价 | 102.388 | -0.02% TS主力成交量 | 29140 | -214↓ | | | TL主力收盘价 | 113.890 | -0.51% TL主 ...

国债期货日报 | 2025-11-28 PMI发布在即，国债期货涨跌分化 市场分析 宏观面：（1）宏观政策：10月27日，央行时隔近十个月宣布重启公开市场国债买卖操作，向市场释放了明确的稳 预期信号;10月30日，中美经贸团队达成三方面成果共识，一是中方将与美方妥善解决TikTok相关问题;二是美方将 暂停实施其对华海事、物流和造船业301调查措施一年，同时将暂停实施其9月29日公布的出口管制50%穿透性规则 一年;三是美方取消10%"芬太尼关税"，对中国商品24%对等关税将继续暂停一年。国务院关税税则委员会宣布在一 年内继续暂停实施24%的对美加征关税税率，保留10%的对美加征关税税率。（2）通胀:10月CPI同比上升0.2%。 资金面：（3）财政：2025 年 1–10 月财政运行呈现"收入温和修复、支出节奏回落、基金收缩与专项债放缓并存" 的特征。一般公共预算收入同比增长 0.8%，税收连续八个月改善，增值税、个税和企业所得税均保持修复态势， 但非税收入拖累整体增速，收入完成进度略低于往年均值；一般公共预算支出同比仅增 2%，连续三个月放缓，主 要受上半年财政前置发力后劲不足以及基建类支出走弱影响，社保 ...

Report Industry Investment Rating There is no information provided regarding the report's industry investment rating. Core Viewpoints The bond market is oscillating between stable growth and easing expectations. Influenced by the stock market, along with differences in the Fed's interest - rate cut expectations and increased global trade uncertainties, the inflow of foreign capital is uncertain. In the short term, attention should be paid to the policy signals at the end of the month [1][2][3]. Summary by Directory 1. Interest Rate Pricing Tracking Indicators - **Price Indicators**: China's CPI (monthly) has a 0.20% month - on - month and year - on - year increase, while China's PPI (monthly) has a 0.10% month - on - month increase and a - 2.10% year - on - year decrease [9]. - **Monthly Economic Indicators**: Social financing scale is 437.72 trillion yuan, with a 0.64 trillion yuan increase and a 0.15% growth rate; M2 year - on - year is 8.20%, down 0.20% or - 2.38%; Manufacturing PMI is 49.00%, down 0.80% or - 1.61% [10]. - **Daily Economic Indicators**: The US dollar index is 99.58, down 0.23 or - 0.23%; The US dollar against the offshore RMB is 7.0775, down 0.017 or - 0.24%; SHIBOR 7 - day is 1.45, up 0.02 or + 1.40%; DR007 is 1.47, up 0.02 or + 1.40%; R007 is 1.51, down 0.02 or - 1.24%; The 3 - month inter - bank certificate of deposit (AAA) is 1.58, with no change in value and a - 0.02% change rate; The AA - AAA credit spread (1Y) is 0.10, up 0.01 or - 0.02% [10]. 2. Overview of the Treasury Bond and Treasury Bond Futures Market - **Closing Prices and Fluctuations**: On November 26, 2025, the closing prices of TS, TF, T, and TL were 102.37 yuan, 105.74 yuan, 107.85 yuan, and 114.29 yuan respectively, with fluctuations of - 0.05%, - 0.22%, - 0.36%, and - 0.86% [3]. - **Net Basis Spreads**: The average net basis spreads of TS, TF, T, and TL were - 0.027 yuan, 0.075 yuan, - 0.109 yuan, and 0.131 yuan respectively [3]. 3. Overview of the Money Market Funding Situation - **Fiscal Situation**: From January to October 2025, fiscal revenue showed a mild recovery, with general public budget revenue increasing by 0.8% year - on - year. Tax revenue improved for eight consecutive months, but non - tax revenue dragged down the overall growth rate. General public budget expenditure increased by only 2% year - on - year, slowing down for three consecutive months [2]. - **Financial Situation**: At the end of October, social financing and credit expanded at a low level, government bond issuance remained strong, and the financing demand of enterprises and residents was weak. M1 declined, and the M2 - M1 gap widened, indicating weak business vitality and a return from current to time deposits [2]. - **Central Bank Operations**: On November 26, 2025, the central bank conducted 213.3 billion yuan of 7 - day reverse repurchase operations at a fixed interest rate of 1.4% [2]. - **Money Market Rates**: The main term repurchase rates of 1D, 7D, 14D, and 1M were 1.316%, 1.453%, 1.507%, and 1.519% respectively, and the repurchase rates have rebounded recently [2]. 4. Spread Overview The report provides multiple spread analysis charts, including the inter - term spread trends of various treasury bond futures varieties and the spread between spot bond term spreads and futures cross - variety spreads [29][36][39]. 5. Two - Year Treasury Bond Futures The report presents charts on the implied interest rate of the two - year treasury bond futures main contract and the treasury bond yield to maturity, the IRR of the TS main contract and the funding rate, and the three - year basis and net basis trends of the TS main contract [38][42][50]. 6. Five - Year Treasury Bond Futures Charts are provided on the implied interest rate of the five - year treasury bond futures main contract and the treasury bond yield to maturity, the IRR of the TF main contract and the funding rate, and the three - year basis and net basis trends of the TF main contract [52][56]. 7. Ten - Year Treasury Bond Futures The report includes charts on the implied yield of the ten - year treasury bond futures main contract and the treasury bond yield to maturity, the IRR of the T main contract and the funding rate, and the three - year basis and net basis trends of the T main contract [59][60]. 8. Thirty - Year Treasury Bond Futures Charts are presented on the implied yield of the thirty - year treasury bond futures main contract and the treasury bond yield to maturity, the IRR of the TL main contract and the funding rate, and the three - year basis and net basis trends of the TL main contract [66][73]. Strategies - **Unilateral Strategy**: As the repurchase rate falls and the treasury bond futures price oscillates, the 2603 strategy is neutral [4]. - **Arbitrage Strategy**: Pay attention to the decline of the 2603 basis [4]. - **Hedging Strategy**: There is medium - term adjustment pressure, and short - side investors can use far - month contracts for appropriate hedging [4].

Report Information - Report Title: Treasury Bond Daily Report [1] - Date: November 27, 2025 [2] - Research Team: Macro Financial Research Team [4] - Researchers: He Zhuoqiao, Huang Wenxin, Nie Jiayi [3] Industry Investment Rating - Not provided in the report Core Viewpoints - Domestic fundamentals have weakened marginally since mid - year, especially the accelerated decline in the investment sector, which still significantly drags down credit expansion. Monetary policy has started to send signals of easing, and bullish factors for the bond market are accumulating. However, it is difficult for easing to materialize in the short term, and the bond market is in a period of shock and energy accumulation. Attention should be paid to opportunities for bottom - up layout. In the short term, it mainly depends on the capital market and risk - aversion sentiment. After the tax period this week, the capital market may further loosen, which will support the bond market. Although the new regulations on fund sales fees bring uncertain disturbances, the impact is mainly short - term. The downward trend of interest rates remains and the adjustment risk is limited, and the impact from the sentiment side provides a good layout opportunity [11][12] Summary by Directory 1. Market Review and Operation Suggestions a. Market Conditions - Rumors of new public fund regulations, bond fund redemptions leading to short - selling hedging, and the central bank's bond - buying scale being lower than expected, combined with the rebound of the A - share market, caused treasury bond futures to close sharply lower [8] - The yields of major inter - bank interest - bearing bonds across all maturities increased, with the long - end yields rising by about 2bp. As of 16:30, the yield of the 10 - year treasury bond active bond 250016 was reported at 1.8375%, up 1.8bp [9] - The inter - bank capital market was loose, and it was expected to cross the month smoothly. There were 310.5 billion yuan of due funds in the open market, and the central bank injected 213.3 billion yuan, resulting in a net withdrawal of 9.72 billion yuan. The inter - bank capital sentiment index was stable, and the capital market was loosening. The weighted overnight interest rate of inter - bank deposits fell 0.5bp to 1.31%, the 7 - day interest rate rose 2bp to 1.47%, and the medium - and long - term capital was stable. The 1 - year AAA certificate of deposit rate fluctuated narrowly around 1.61% - 1.63% [10] b. Conclusion - Although bullish factors for the bond market are accumulating, it is difficult for easing to materialize in the short term, and the bond market is still in a shock and energy - accumulating period. Attention should be paid to bottom - up layout opportunities. In the short term, as it is in a data vacuum period and important meetings are approaching in December, the market's wait - and - see sentiment towards policies may be strong. After the tax period this week, the capital market may further loosen, which will support the bond market. The new regulations on fund sales fees bring short - term uncertain disturbances, but the downward trend of interest rates remains and the adjustment risk is limited. The impact from the sentiment side provides a good layout opportunity [11][12] 2. Industry News - On the evening of November 24, Chinese President Xi Jinping had a phone call with US President Trump. The two sides emphasized the importance of Sino - US cooperation and China's stance on the Taiwan issue [13] - Six departments including the Ministry of Industry and Information Technology issued the Implementation Plan for Enhancing the Adaptability of Consumer Goods Supply and Demand and Further Promoting Consumption, proposing to accelerate the layout of new fields and tracks, and carry out special activities for the innovation and application of typical cases in key industries [13] - The State Council Information Office will hold a regular policy briefing on November 27. Relevant officials will introduce policies and measures to enhance the adaptability of consumer goods supply and demand and further promote consumption [14] - US President Trump said that his team has made great progress in ending the Russia - Ukraine conflict, and a peace plan is being finalized. Ukrainian officials expect President Zelensky to visit the US in November [14] 3. Data Overview - **Treasury Bond Futures Market**: Data on trading of various treasury bond futures contracts on November 26, including opening price, closing price, settlement price, price change, trading volume, open interest, etc. are provided [6] - **Capital Market**: Information on the inter - bank capital market, including the net withdrawal of funds in the open market, changes in the weighted overnight and 7 - day interest rates of inter - bank deposits, and the stability of medium - and long - term capital [10] - **Derivatives Market**: Information on interest rate swap curves such as Shibor3M and FR007 is provided [36]