行业 国债日报 日期 2026 年 1 月 9 日 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 研究员：何卓乔(宏观贵金属) 18665641296 hezhuoqiao@ccb.ccbfutures.com 期货从业资格号：F3008762 宏观金融团队 研究员：黄雯昕(国债集运) ＃summary＃ 请阅读正文后的声明 每日报告 | | 表1：国债期货1月8日交易数据汇总 | | | | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 合约 | 前结算价 | 开盘价 | 收盘价 | 结算价 | 涨跌 | 涨跌幅 （%） | 成交量 | 持仓量 | 仓差 | | TL2603 | 110.590 | 110.610 | 111.000 | 110.950 | 0.410 | 0.37 | 12 ...

Morning session notice Morning session notice | 板块 | 品种 | 多（空） | 推荐理由 【行情复盘】 上周三国债期货主力合约开盘多数高开，全天横向窄幅波动，截至收盘 30 年期国 | | --- | --- | --- | --- | | | | | 债期货主力合约 TL2603 上涨 0.17%，10 年期 T2603 下跌 0.02%，5 年期 TF2603 下 跌 0.01%，2 年期 TS2603 上涨 0.01%。 【重要资讯】 | | | | | 1、公开市场：上周三央行开展了 5288 亿元 7 天期逆回购操作，当天有 260 亿元逆 回购到期，当日合计净投放 5028 亿元。1 月 4 日央行开展 365 亿元 7 天逆回购操作， | | | | | 当日日有 2701 亿元 7 天期和 2000 亿元 14 天期逆回购到期，当日实现净回笼 4336 | | | | | 亿元。 | | | | | 2、资金市场：跨年之后，1 月 4 日银行间市场正常交易，资金利率全线回落，DR001 | | | | | 全天加权平均为 1.24%；DR007 ...

周度报告-国债期货 TL 反弹受阻，调整风险仍存 [Table_Rank] 走势评级： 国债：震荡 报告日期： 2025 年 12 月 14 日 [Table_Summary] ★一周复盘：国债期货反弹受阻 本周（12.08-12.14）国债期货反弹受阻。周一，上午股市震荡上 涨，债市继续下跌。午间公布的 11 月出口增速超预期，债市下 跌加速。下午政治局会议通稿公布，表述未超市场预期，国债 期货拉升，但随即再度小幅走弱。周二，股市震荡走弱，叠加 市场预期大行拉长久期的能力上升，国债期货震荡上涨。周 三，上午 PPI 增速低于市场预期，股市走弱，国债期货震荡上 涨。午后市场对稳地产政策发力的预期一度升温，债市回吐部 分涨幅，但最终继续上涨。周四，美联储如期降息，并宣布宣 布购买美国国债。但国内权益资产大幅下跌，叠加资金均衡偏 松，国债期货上涨。周五，由于中央经济工作会议提及"灵活 高效运用降准降息等多种政策工具"，国债期货高开，但随即 市场认为短期内降息概率不高，国债期货转而下跌。截至 12 月 12 日收盘，两年、五年、十年和三十年期国债期货主力合约结 算价分别为 102.462、105.820、107.9 ...

Group 1: Investment Rating - No investment rating information provided Group 2: Core View - The short - term probability of interest rate cuts is low, while the medium - and long - term easing expectations still exist. Treasury bond futures are under both upward pressure and downward support, and will mainly fluctuate and consolidate in the short term [1][5] Group 3: Summary by Relevant Catalog Variety View Reference - Financial Futures Stock Index Sector - For the TL2603 variety, the short - term view is "oscillation", the medium - term view is "oscillation", the intraday view is "weakening", and the reference view is "oscillation and consolidation". The core logic is that the short - term probability of interest rate cuts is low, and there are still medium - and long - term easing expectations [1] Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - For varieties TL, T, TF, and TS, the intraday view is "weakening", the medium - term view is "oscillation", and the reference view is "oscillation and consolidation". The core logic is that treasury bond futures oscillated and rebounded yesterday. In the medium and long term, a moderately loose monetary policy will continue to be implemented next year, and with a strong expectation of the Fed's interest rate cuts, the monetary policy environment will be loose, and there is an expectation of a cut in policy interest rates, providing strong support for treasury bond futures. However, there is a lack of short - term necessity for interest rate cuts, and the concentrated supply of treasury bonds in the first quarter of next year will bring certain pressure, resulting in insufficient upward momentum for treasury bond futures in the short term [5]

Group 1: Report Industry Investment Rating - No relevant content Group 2: Core Viewpoints of the Report - The short - term view of TL2603 is volatile, the medium - term view is volatile, and the intraday view is weak. The overall view is volatile consolidation, with the short - term expectation of interest rate cuts decreasing and the medium - and long - term expectation of monetary easing still existing [1]. - For varieties TL, T, TF, TS, the intraday view is weak, the medium - term view is volatile, and the reference view is volatile consolidation. The overall short - term trend of Treasury bond futures is mainly volatile consolidation [5]. Group 3: Summary by Related Catalogs Variety Viewpoint Reference - Financial Futures Index Sector - For TL2603, the short - term is volatile, the medium - term is volatile, the intraday is weak, with a view of volatile consolidation. The core logic is that the short - term expectation of interest rate cuts decreases while the medium - and long - term expectation of monetary easing still exists [1]. Main Variety Price and Market Driving Logic - Financial Futures Index Sector - For varieties TL, T, TF, TS, yesterday's Treasury bond futures were volatile. From January to October, the total profit of industrial enterprises above the designated size was 5950.29 billion yuan, with a year - on - year increase of 1.9% but a decline in performance. Combined with the weakening of economic data such as consumption and investment in October, the future monetary policy environment is expected to be loose, providing strong support for Treasury bond futures. However, there is no strong need for additional monetary policy at the end of the year, so the short - term upward momentum of Treasury bond futures is insufficient. Focus on the statement of monetary policy in the December key meeting [5].

Group 1: Investment Rating - No investment rating information is provided in the report. Group 2: Core View - The economic fundamentals continue to recover, and the implementation of broad fiscal policies requires a low - interest - rate environment. The market expects the central bank to purchase medium - and short - term bonds, which may lead to a decline in short - term interest rates and potentially drive long - term interest rates down. However, there is a potential suppression of long - term interest rates due to the recovery of risk appetite. It is recommended to try to go long on dips [2]. Group 3: Summary by Directory 1. Futures Market - **Futures Prices and Volumes**: T, TF, and TL main contract closing prices rose by 0.01%, 0.02%, and 0.22% respectively, while TS remained unchanged. T and TF trading volumes increased by 3915 and 4624 respectively, while TS and TL decreased by 1360 and 3686 respectively [2]. - **Futures Spreads**: Some spreads changed, such as the TL2512 - 2603 spread increasing by 0.01, while others like T2512 - 2603 decreased by 0.03 [2]. - **Futures Positions**: T, TL main contract positions increased, while TF and TS decreased. The net short positions of the top 20 in T, TF, TS, and TL all increased [2]. 2. CTD and Active Bonds - **CTD Bonds**: The net prices of some CTD bonds changed, with 220017.IB decreasing by 0.1562 and 250018.IB increasing by 0.0390 [2]. - **Active Bonds**: The yields of 1 - year, 3 - year, and 5 - year active bonds decreased by 0.25bp, 0.25bp, and 0.10bp respectively, while the 7 - year and 10 - year yields increased by 0.25bp and 0.50bp respectively [2]. 3. Interest Rates - **Short - term Interest Rates**: Silver - pledged overnight, 7 - day, and 14 - day rates, as well as Shibor overnight, 7 - day, and 14 - day rates all increased [2]. - **LPR Rates**: The 1 - year and 5 - year LPR rates remained unchanged [2]. 4. Open Market Operations - The central bank conducted reverse - repurchase operations. The issuance scale was 1199 billion yuan, and the expiration scale was 783 billion yuan, with an interest rate of 1.4% for 7 - day reverse - repurchase [2]. 5. Industry News - **Domestic**: In October, CPI increased both month - on - month and year - on - year, core CPI improved, PPI increased month - on - month for the first time this year, and the year - on - year decline narrowed. The total value of goods trade in the first 10 months increased by 3.6% year - on - year, and in October, exports decreased by 0.8% while imports increased by 1.4% [2]. - **Overseas**: The US Senate reached an agreement to end the government shutdown. The US 10 - month ISM services PMI reached an 8 - month high, but the manufacturing PMI was far below expectations. The ADP employment increase in October was 42,000, exceeding expectations, but the previous value was revised down significantly [2].

Group 1: Report Investment Rating - No investment rating information is provided in the report. Group 2: Core View - The report suggests paying attention to the central bank's policy operations. It maintains a bullish view on the medium - term, advising to hold long - term positions and wait for buying opportunities on market pullbacks [1][3] Group 3: Market Conditions 1. Futures Market - On November 4, 2025, TS and TF continued to adjust, T and TL remained volatile. TL slightly rose, while the others slightly declined. TS2512 was at 102.494 (-0.016), TF2512 at 106.015 (-0.03), T2512 at 108.635 (-0.02), and TL2512 at 116.52 (+0.04) [1][4] 2. Position and Trading Volume - TS contract positions decreased by 347 to 83,306, TF decreased by 645 to 179,279, T increased by 2,275 to 290,431, and TL decreased by 885 to 178,880. TS main contract trading volume decreased by 5,311 to 19,329, TF decreased by 2,173 to 50,509, T increased by 933 to 66,835, and TL decreased by 11,856 to 86,971 [4] 3. Basis - TS basis (CTD) was -0.0397 (+0.009), TF basis (CTD) was -0.0523 (+0.0093), T basis (CTD) was -0.0002 (-0.124), and TL basis (CTD) was 0.2246 (+0.2307) [4] Group 4: Important Information - Lan Fo'an stated that not adding implicit debt should be regarded as an "iron - clad discipline". US Treasury Secretary Janet Yellen will attend the Supreme Court's oral argument on the legality of Trump's tariffs, emphasizing it as a "national security matter" [2] Group 5: Market Outlook - The stock market had a volume - shrinking adjustment, but the bond market's gains were limited. Long - term bonds basically maintained a volatile pattern. In the short term, there is a lack of trading hotspots. Attention should be paid to the central bank's monthly liquidity release announcement. If there is no bond purchase for the time being, buying opportunities can be grasped during market pullbacks [3] Group 6: Other Data - The funds were loose, with DR001 around 1.31%. The open - market reverse repurchase was 11.75 billion yuan, with a net withdrawal of 35.78 billion yuan [1]

1. Report Industry Investment Rating - No relevant content provided 2. Core View of the Report - The report anticipates that the central bank will continue to implement a moderately loose monetary policy in the fourth quarter, with possible reserve requirement ratio cuts, interest rate cuts, and the initiation of treasury bond trading operations. Market liquidity is expected to return to a reasonable and ample level, strongly supporting treasury bond futures prices. Treasury bond futures prices are likely to remain strong before the end of October, and investors are advised to actively seek long - position opportunities [3]. 3. Summary by Related Catalogs Treasury Futures Market - On the previous trading day, treasury bond futures prices generally declined. For example, the T2512 contract fell 0.06%, and the trading volume and open interest of most contracts decreased [2]. - The IRR of the CTD bonds corresponding to the main treasury bond futures contracts was at a low level, indicating no arbitrage opportunities [2]. Short - term Market Interest Rates - On the previous trading day, short - term market interest rates generally declined. SHIBOR 7 - day rate dropped 4.8bp, DR007 rate dropped 7.3bp, and GC007 rate dropped 0.6bp [2]. Spot Market - On the previous trading day, yields of key - term treasury bonds in China generally rose. The 10Y treasury bond yield increased 0.69bp to 1.85%, and the long - short (10 - 2) treasury bond yield spread was 38.74bp [2]. Overseas Market - On the previous trading day, the 10Y US treasury bond yield dropped 9bp, the 10Y German treasury bond yield dropped 1bp, and the 10Y Japanese treasury bond yield dropped 0.4bp [2]. Macro News - On October 11, the central bank conducted 1160 billion yuan of 7 - day reverse repurchase operations, resulting in a net injection of 1160 billion yuan. This week, there will be 10210 billion yuan of reverse repurchases, 1500 billion yuan of treasury cash time deposits, and 8000 billion yuan of 91 - day outright reverse repurchases maturing [3]. - China's rare - earth export control is not a ban on exports. China firmly opposes the US threat of imposing a 100% tariff and will take corresponding measures if the US persists [3]. - US Vice - President Vance signaled a willingness for rational negotiation between Trump and China [3]. - The approved loan amount for real - estate white - list projects in China has exceeded 7 trillion yuan, and 15 provincial - level regions have seen second - hand housing trading volumes exceed new housing volumes [3]. - South Korea's Deputy Prime Minister of Economy will meet with the US Treasury Secretary to discuss bilateral tariff issues [3]. - Ray Dalio warned that the US government's debt is growing too fast, with the total national debt reaching 37.85 trillion US dollars [3]. Industry Information - On October 11, most money - market interest rates declined. The weighted average rate of inter - bank pledged repurchase for 1 - day and 7 - day tenors reached new lows since August 2023 and January 2023 respectively [3]. - On October 12, US treasury bond yields generally declined [3].

1. Report Industry Investment Rating - The report gives a bullish short - term rating for treasury bond futures [1][2] 2. Core View of the Report - The consumption market during the National Day and Mid - Autumn Festival holidays showed stable performance, with the daily average sales revenue of consumption - related industries increasing by 4.5% year - on - year. The decline in the year - on - year property sales volume of 30 large - and medium - sized cities in early October widened. The US stock market fell sharply due to the US president's tariff threat, and market risk appetite declined significantly. Treasury bond futures are expected to open higher on Monday, with a short - term bullish outlook [1][2] 3. Summary by Relevant Catalog Market Review - On Friday, most of the main contracts of treasury bond futures opened slightly higher or flat, and trended downwards throughout the day. By the close, the 30 - year treasury bond futures main contract TL2512 fell 0.49%, the 10 - year T2512 fell 0.06%, the 5 - year TF2512 fell 0.09%, and the 2 - year TS2512 fell 0.05% [1] Important Information - Open market: The central bank conducted 40.9 billion yuan of 7 - day reverse repurchase operations on Friday, with 60 billion yuan of reverse repurchases maturing, resulting in a net withdrawal of 19.1 billion yuan [1] - Money market: On October 11, the inter - bank market opened normally. The overnight interest rate in the inter - bank money market decreased slightly compared to the previous trading day. The weighted average of DR001 was 1.31% for the whole day (1.32% in the previous trading day), and the weighted average of DR007 was 1.39% for the whole day (1.42% in the previous trading day) [1] - Cash bond market: Affected by the news, the closing yields of inter - bank treasury bonds on October 11 generally decreased compared to the previous trading day. The yield to maturity of 2 - year treasury bonds decreased by 1.94 basis points to 1.48%, the 5 - year decreased by 2.56 basis points to 1.58%, the 10 - year decreased by 2.54 basis points to 1.82%, and the 30 - year decreased by 5.01 basis points to 2.23% [1] - Consumption data: The latest VAT invoice data from the State Taxation Administration showed that the daily average sales revenue of consumption - related industries during the National Day and Mid - Autumn Festival holidays increased by 4.5% year - on - year. Commodity consumption and service consumption increased by 3.9% and 7.6% respectively year - on - year [1] - Shipping policy: On October 10, the Ministry of Transport issued an announcement on charging special port fees for US ships [1] - US economic data: The preliminary value of the University of Michigan Consumer Confidence Index in the US in October was 55 (expected 54.2, previous value 55.1). The one - year inflation rate expectation in the US in October was 4.6% (expected 4.7%, previous value 4.70%); the five - to ten - year inflation rate expectation was 3.7% (expected 3.7%, previous value 3.70%) [1] - Trade policy: On October 10, the US announced a 100% tariff increase on China. China's Ministry of Commerce responded, urging the US to correct its wrong practices and maintain the stability, health, and sustainable development of Sino - US economic and trade relations [1] Market Logic - The consumption market during the National Day and Mid - Autumn Festival holidays showed stable performance, similar to the cumulative year - on - year growth of 4.6% in social retail sales from January to August and higher than the 3.4% year - on - year growth in August. The decline in the year - on - year property sales volume of 30 large - and medium - sized cities in early October widened. The US stock market fell sharply due to the US president's tariff threat, and market risk appetite declined significantly. Treasury bond futures are expected to open higher on Monday, with a short - term bullish outlook [1][2] Trading Strategy - Traders are advised to conduct band operations [2]

Report Summary 1. Report Industry Investment Rating - Not provided in the given content. 2. Core View of the Report - On August 27, the yields of treasury bond cash bonds strengthened collectively, with the yields of 1Y - 7Y maturities declining by about 0.15 - 0.75bp, and the yields of 10Y and 30Y maturities declining by about 0.20bp to 1.76% and 1.99% respectively. Treasury bond futures also strengthened collectively, with the TS, TF, T, and TL main contracts rising by 0.02%, 0.07%, 0.08%, and 0.24% respectively. The weighted average rate of DR007 rose to around 1.51% and fluctuated. - In terms of the domestic fundamentals, the profits of industrial enterprises above the designated size in July decreased by 1.5% year - on - year, and the profit decline has narrowed for two consecutive months. In July, industrial added value and social retail sales fell more than expected, the scale of fixed - asset investment continued to shrink, and the unemployment rate remained stable. In July, the financial data showed structural differentiation, with government bonds continuing to support the increase in social financing, while the medium - and long - term financing momentum of enterprises and residents was still insufficient, and new loans turned negative. - The Ministry of Commerce will introduce several policies to expand service consumption in September, which will promote the recovery of consumption growth. Overseas, the Fed Chairman's speech at the central bank annual meeting increased market bets on a Fed rate cut in September. As bond yields approach the high point in mid - March this year, the allocation value has significantly increased, and allocation demand is expected to effectively support the market. The bond market's sensitivity to external factors such as the rise of the stock market may weaken marginally. - If the fluctuations in the capital and fundamental aspects are limited, the subsequent strengthening of the equity market is expected to have a limited impact on the bond market. The bond market pricing is expected to gradually return to the rational range dominated by fundamentals. However, in the context of the monetary policy focusing on structural tools, the interest rate center lacks the impetus to decline further. Strategically, it is recommended to pay attention to the trading opportunities brought by the phased repair of treasury bond futures. [2] 3. Summary by Relevant Catalogs 3.1 Futures Market - **Futures Prices and Volumes**: The closing prices of the T, TF, TS, and TL main contracts increased by 0.08%, 0.07%, 0.02%, and 0.24% respectively. The trading volumes of the T and TL main contracts increased by 3956 and 22208 respectively, while the trading volumes of the TF and TS main contracts decreased by 8338 and 5141 respectively. - **Futures Spreads**: The spreads of TL2512 - 2509, T12 - TL12, TF2512 - 2509, TS12 - T12, TS12 - TF12 decreased, while the spreads of T2512 - 2509 and TF12 - T12 increased. - **Futures Positions**: The positions of the T, TF, and TS main contracts increased by 1656, 1959, and 612 respectively, while the position of the TL main contract decreased by 1148. The net short positions of the T, TF, and TL decreased by 764, 63, and 2459 respectively, while the net short position of the TS increased by 221. [2] 3.2 CTD Bonds - The net prices of most CTD bonds increased, such as 220019.IB, 220017.IB, 230006.IB, etc., while the net price of 220022.IB decreased. [2] 3.3 Active Treasury Bonds - The yields of active treasury bonds with maturities of 1y, 3y, 5y, 7y, and 10y decreased by 1.25bp, 0.50bp, 1.00bp, 0.25bp, and 0.25bp respectively. [2] 3.4 Short - term Interest Rates - The silver - pledged overnight rate increased by 14.05bp, the Shibor overnight rate decreased by 0.20bp, the silver - pledged 7 - day rate decreased by 4.28bp, the Shibor 7 - day rate increased by 2.40bp, the silver - pledged 14 - day rate increased by 1.00bp, and the Shibor 14 - day rate increased by 1.10bp. The 1y and 5y LPR rates remained unchanged. [2] 3.5 Open Market Operations - The issuance scale of open market operations was 3799 billion yuan, the maturity scale was 6160 billion yuan, and the interest rate was 1.4% for 7 - day operations, with a net withdrawal of 2361 billion yuan. [2] 3.6 Industry News - From January to July, the total profit of industrial enterprises above the designated size was 40203.5 billion yuan, a year - on - year decrease of 1.7%. In July, the profit decreased by 1.5% year - on - year. At the end of July, the total assets of industrial enterprises above the designated size were 183.67 trillion yuan, a year - on - year increase of 4.9%; the total liabilities were 106.26 trillion yuan, an increase of 5.1%; the owner's equity was 77.41 trillion yuan, an increase of 4.6%; the asset - liability ratio was 57.9%, a year - on - year increase of 0.2 percentage points. - Six departments in Shanghai jointly issued a notice to optimize and adjust real estate policies, including unlimited housing purchases outside the outer ring for eligible families, adjusting housing purchase restrictions for single adults, increasing the provident fund loan limit for green buildings by 15%, implementing the "withdrawal and loan" policy for provident funds, unifying mortgage rates for first and second - home purchases, and fine - tuning property tax collection policies. - The Deputy Minister of Commerce stated that the consumption pattern in China has shifted to a stage where commodity consumption and service consumption are equally important. The Ministry of Commerce will introduce policies to expand service consumption in September. [2] 3.7 Key Events to Watch - On August 28 at 17:00, the Eurozone's industrial sentiment index for August will be released. - On August 29 at 20:30, the annual rate of the US core PCE price index for July will be released. [3]