研究所 国泰海通 固定收益 债期货系列研究 2026年国债期货策略展望 《多资产的传感器,债市波动的放大器》 -- 2026年用好国债期货等衍生品工具可有效突破收益瓶颈、放大盈利弹性,其中 趋势格局下可借力杠杆博弈单边行情或套保,震荡市中聚焦曲线、跨期及套利等低 风险策略,还可结合地方债、信用债等进行跨品种搭配。 国债期货专题研究 1、国债期货技术分析专题 《从五浪到M顶调整:技术分析视角下的本轮回调》 《从技术指标看,债市止跌有哪些先行指示》 《量价因子在应对突发新闻波动时的表现》 2、国债期货机构行为专题 《国债期货机构行为分析框架》 《再论股债同向:国债期货与权益市场关系进入新阶段》 《TS合约的持仓集中度如何解读》 《"可执行"的国债期货基差交易:三个核心要素》 《国债期货也有"春节效应":基差收窄与曲线变换》 3、国债期货策略探索专题 1套保策略系列 《资金收紧行情下的套保策略:殊途同归,不宜过早入场》 《复盘本轮回调中的套保信用债的三个要点》 《信号、成本和灵敏度:国债期货套保信用债的时机分析》 2套利策略系列 《国债期货跨期价差的倒挂与修复的背后》 本订阅号所载内容仅面向国泰海通证券研究服务签约 ...

Report Investment Rating - No industry investment rating is provided in the report. Core Viewpoints - The bottom of the 10-year Treasury bond futures may be approaching, and investors should actively respond to the adjustment. T2512 may be in the 4th wave of the decline since September 4th and is currently in a short-term rebound. The 5th wave may see another decline, but considering it might be at the end of the decline since May, it could be a good opportunity to participate when the futures reach last Thursday's low or the spot bond yield reaches Thursday's high [2]. - Treasury bond futures fell across the board this week. Trading activity declined overall, and the CTD net basis and IRR of the 2512 contracts showed differentiation. The current IRR is still relatively low, and the value of the cash-and-carry strategy is not high, so investors should wait for a better opportunity [3]. Summary by Directory 1. Weekly Technical Analysis 1.1 Previous Trend Review - T2512 continued to decline at the beginning of the week and rebounded significantly on Thursday. It is currently in the 4th wave of the decline since September 4th. The Treasury bond futures fell first and then rebounded this week, with a negative weekly line, but the decline slowed down significantly. T and TL rebounded significantly on Thursday afternoon and may be in the 4th wave of the decline since September 4th [8]. 1.2 Future Market Outlook - T2512 may still have a 5th wave of decline after the 4th wave of rebound ends. Investors can participate at low levels and make long-term layouts. The subsequent trend may form a slanting triangle [9]. 2. Weekly Tracking of Treasury Bond Futures - Treasury bond futures fell across the board this week. As of September 26th, the closing prices of the 2512 contracts of 2-year, 5-year, 10-year, and 30-year Treasury bond futures were 102.342, 105.540, 107.680, and 114.19 yuan respectively, down 0.022, 0.135, 0.155, and 0.61 yuan from the previous week [14]. - Trading activity declined overall. The average daily trading volume of the 2512 contracts of Treasury bond futures of various maturities decreased to varying degrees compared with last week. The trading volume/holding volume ratio decreased for all maturities [14]. - As of September 26th, the holding volume of the 2512 contracts of Treasury bond futures increased overall, except for the 10-year contract, which decreased [14]. - The CTD net basis of the 2512 contracts of Treasury bond futures of various maturities showed differentiation. The net basis of 2-year and 10-year contracts increased, while that of 5-year and 30-year contracts decreased. The CTD net basis of the 2512 contracts of 2-year, 5-year, 10-year, and 30-year Treasury bond futures was +0.03, +0.04, +0.07, and +0.07 yuan respectively [18]. - From the perspective of IRR, the IRR of the 2512 contracts of 2-year, 5-year, 10-year, and 30-year Treasury bond futures was 1.41%, 1.34%, 1.22%, and 1.29% respectively. The IRR of 2-year and 10-year contracts declined, while that of 5-year and 30-year contracts increased. Overall, the value of the cash-and-carry strategy is still not high, and investors should wait for a better opportunity [18]. - The spread between the 2512-2603 contracts showed differentiation. The spreads of 2-year and 30-year contracts increased, while those of 5-year and 10-year contracts showed no significant change [18].