相关报告 期货｜短线进入调整 证券研究报告 固收定期报告 / 2026.03.01 核心观点 ❖ 国债期货周度技术分析——短线处于调整中，关注支撑带来的反弹 本周国债期货反弹创高后转为调整。 本周 TL2606 与 T2606 反弹后显著下跌，短线可能处在调整过程中，当前 均处在支撑位置附近，关注是否出现调整过程中的反弹。 1. 《利率 | 3 月，震荡的尾声》 2026-03-01 2. 《流动性 | 3 月，降准概率增加》 2026-02-28 3. 《高频｜节后复工数据可能有幸存者偏 差》 2026-02-28 ❖ 国债期货数据跟踪——整体下跌，正套策略等待时机 本周国债期货整体下跌。截至 2 月 27 日收盘，2 年、5 年、10 年、30 年国 债期货 2606 合约收盘价为 102.456、106.005、108.395、112.07 元，较 前一周分别变化-0.040、-0.105、-0.160、-0.94 元。 本周国债期货成交活跃度整体上升。本周各期限国债期货 2606 合约日均成 交全线放量。从成交量/持仓量来看，各期限均上行。 截至 2 月 27 日，国债期货 2606 合约持仓量整体上 ...

Core Viewpoint - The article emphasizes the effective use of government bond futures and derivative tools in 2026 to break through yield bottlenecks and amplify profit elasticity, suggesting strategies for both trending and volatile markets [2]. Group 1: Government Bond Futures Strategy - Utilizing government bond futures and derivatives can effectively enhance profit potential and manage risks in various market conditions [2]. - In a trending market, leveraging can be used to speculate on one-sided trends or for hedging, while in a volatile market, focus should be on curve strategies, cross-period, and arbitrage low-risk strategies [2]. - The combination of local government bonds and credit bonds for cross-product pairing is recommended [2]. Group 2: Technical Analysis of Government Bond Futures - The article discusses the technical analysis of the current market adjustment, indicating a transition from a five-wave pattern to an M-top adjustment [3]. - It highlights leading indicators for a potential market bottom based on technical indicators [3]. - The performance of volume-price factors in response to sudden news volatility is analyzed [3]. Group 3: Institutional Behavior in Government Bond Futures - An analytical framework for understanding institutional behavior in government bond futures is presented [3]. - The relationship between government bond futures and equity markets is entering a new phase, indicating a shift in market dynamics [3]. - The concentration of positions in TS contracts is discussed, providing insights into market sentiment [3]. Group 4: Hedging and Arbitrage Strategies - A series of hedging strategies is outlined, particularly in the context of tightening liquidity conditions, advising against premature market entry [3]. - Key points for hedging credit bonds during the current market adjustment are reviewed [3]. - The article explores the implications of inverted cross-period price differences in government bond futures and the factors behind their correction [3]. - It also discusses the "executable" basis trading in government bond futures, highlighting three core elements [3]. - The presence of a "Spring Festival effect" in government bond futures is noted, with observations on basis narrowing and curve changes [3].

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].