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国债期货日报-20250811
Rui Da Qi Huo· 2025-08-11 15:21
国债期货日报 2025/8/11 研究员: 廖宏斌 期货从业资格号F30825507 期货投资咨询从业证书号Z0020723 免责声明 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 | 108.495 | -0.11% T主力成交量 | 76606 | 7949↑ | | | TF主力收盘价 | 105.735 | -0.08% TF主力成交量 | 56309 | 7762↑ | | | TS主力收盘价 | 102.364 | -0.01% TS主力成交量 | ...
国债期货日报:情绪错位,布局机会-20250808
Nan Hua Qi Huo· 2025-08-08 10:18
国债期货日报 2025年8月8日 情绪错位,布局机会 观点:多单持有 南华研究院 高翔(Z0016413) 投资咨询业务资格:证监许可【2011】1290号 盘面点评: 国债期货早盘高开低走,盘中翻绿,午后偏弱震荡,尾盘拉升翻红,除TL外均收涨。流动性进一步改善,日 内公开市场到期1260亿,央行对冲后净回笼40亿。但买断式逆回购宣布之后市场的情绪得到提振,资金利率 再下台阶:盘中隔夜匿名来到1.25%,近期以来首次下破1.3%。 日内消息: 1.最高人民法院今天(8日)发布《关于贯彻落实〈中华人民共和国民营经济促进法〉的指导意见》。《指导 意见》从五部分提出司法保障民营经济发展壮大的具体举措,旨在破解民营经济发展中面临的难题,为民营 经济健康发展提供更加有力的法治保障。 行情研判: 全天债市两个重点:一是流动性的进一步改善加码,主要包括买断式逆回购大额净投放加上利率下调的传闻 (传买断式逆回购利率下调5bp),以及银行间隔夜匿名日内向下突破1.3%来到新台阶。 第二则是午后一级市场情况,今天新发的地方债将直接反映增值税调整的影响。而从结果来看,河北10年期 一般债两只券发行利率都在1.87%,全场20倍上下 ...
国债期货日报:情绪有几许改善-20250806
Nan Hua Qi Huo· 2025-08-06 10:23
国债期货日报 2025年8月6日 情绪有些许改善 观点:适当布局多单 南华研究院 高翔(Z0016413) 投资咨询业务资格:证监许可【2011】1290号 盘面点评: 国债期货小幅低开后持续上行,午后转跌震荡走低,尾盘涨幅明显收窄。日内长端相对更弱,短端合约迎来 补涨,此外远期合约继续超涨,跨期价差收窄。公开市场到期3090亿,新做1385亿,净回笼1705亿元。流动 性维持充裕,银行间隔夜价格稳定在1.3%附近,GC001在1.5%附近,资金面情绪指数来看,中小机构、非银 相对更紧,但压力不算大。 日内消息: TL主力:净基差与基差 source: wind,南华研究 元 TL净基差:主连 TL基差:主连 10/31 12/31 02/28 04/30 06/30 TS主力:净基差与基差 source: wind,南华研究 元 TS净基差:主连 TS基差:主连 10/31 12/31 02/28 04/30 06/30 -0.2 0 0.2 1.据央视新闻报道,9月29日起,韩国将针对中国团队游客实行临时免签政策。 2.当地时间8月5日,美国国防部下属的防务安全合作局发布通告称,美国国务院批准向乌克兰出售 ...
国债期货日报:日内反弹失败-20250718
Nan Hua Qi Huo· 2025-07-18 12:45
国债期货日报 2025年7月18日 日内反弹失败 观点:中期不看空,短期视股市节奏交易 南华研究院 高翔(Z0016413) 投资咨询业务资格:证监许可【2011】1290号 盘面点评: 国债期货早盘低开,午盘一度趁股市回落试图反弹,午后股市走强令反弹失败,全线收跌。公开市场方面, 今日到期847亿,央行新做7天质押式回购1875亿,净投放1028亿元。 日内消息: T主力:净基差与基差 source: wind,南华研究 元 T净基差:主连 T基差:主连 10/31 12/31 02/28 04/30 06/30 -0.2 0 0.2 0.4 source: 0 1 TL主力:净基差与基差 wind,南华研究 元 TL净基差:主连 TL基差:主连 10/31 12/31 02/28 04/30 06/30 TS主力:净基差与基差 source: wind,南华研究 元 TS净基差:主连 TS基差:主连 10/31 12/31 02/28 04/30 06/30 -0.2 0 0.2 1.报道称欧盟起草对美服务业关税清单,为贸易战升级做准备。 2.美国将对从中国进口的关键电池材料石墨加征93.5%的反倾销税, ...
宝城期货国债期货早报-20250715
Bao Cheng Qi Huo· 2025-07-15 01:33
Report Summary 1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoint The overall view of the report is that Treasury bond futures will continue to fluctuate in the short term. Although the short - term demand for safe - haven has decreased, the medium - to - long - term downward space is limited due to the need for a loose monetary environment [1][5]. 3. Summary by Relevant Content 3.1 Variety Viewpoint Reference - Financial Futures Stock Index Sector - For the TL2509 variety, the short - term, medium - term, and overall views are "fluctuation", and the intraday view is "fluctuation with a weak bias". The core logic is that the monetary policy environment is loose, but the possibility of short - term interest rate cuts is low [1]. 3.2 Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - The varieties include TL, T, TF, and TS. The intraday view is "fluctuation with a weak bias", the medium - term view is "fluctuation", and the reference view is "fluctuation". The core logic is that Treasury bond futures slightly pulled back yesterday. The demand for safe - haven of Treasury bonds has decreased due to the recovery of stock market risk appetite and the easing of Sino - US tariff risks. However, in the medium - to - long - term, due to weak inflation and insufficient endogenous growth momentum of domestic demand, a loose monetary environment is needed, so the downward space of Treasury bond futures is limited [5].
宝城期货国债期货早报-20250609
Bao Cheng Qi Huo· 2025-06-09 01:55
1. Report Industry Investment Rating - No information provided 2. Core Viewpoints of the Report - The short - term view of government bond futures is mainly for shock consolidation. The short - term is lack of momentum to push the market interest rate down continuously, and the subsequent trend depends on policy guidance. The government bond futures have strong bottom support due to various factors such as the expected future easing policy [4]. - For the TL2509 variety, the short - term, medium - term, and intraday views are shock, shock, and shock - biased - strong respectively, with an overall view of shock, mainly because of rising tariff risks and weakening macro data [1]. 3. Summary according to Relevant Catalogs 3.1 Variety Viewpoint Reference - Financial Futures Stock Index Sector - For the TL2509 variety, the short - term view is shock, the medium - term view is shock, the intraday view is shock - biased - strong, and the overall view is shock. The core logic is rising tariff risks and weakening macro data [1]. 3.2 Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - The varieties include TL, T, TF, TS. The intraday view is shock - biased - strong, the medium - term view is shock, and the reference view is shock. - The core logic is that last Friday, government bond futures rose across the board. The central bank announced a 1 - trillion - yuan outright reverse repurchase operation, increasing medium - term liquidity and sending a signal of increased quantitative monetary easing, which boosted the investment demand for government bonds. However, there is insufficient short - term momentum to push market interest rates down. The subsequent trend of government bonds depends on policy guidance, and attention can be paid to the financial policies at the Lujiazui Forum on June 18. Currently, the uncertainty of the tariff outlook is deepening, domestic macro - economic indicators are weakening marginally, the main tone of moderate monetary policy easing remains unchanged, and the market's expectation of future easing policies will rise, providing strong bottom support for government bond futures [4].
国债期货日报:短端承压-20250603
Nan Hua Qi Huo· 2025-06-03 13:42
Report Summary - Investment Rating: Firmly Hold [1] - Core View: Despite ongoing external disturbances such as tariffs and geopolitical disputes, the domestic market has become largely desensitized. The short - end of the market performed the worst today, possibly due to concerns about banks' liability side. It is recommended to extend the duration appropriately and take long positions with light positions [1][3] Market Conditions - Treasury Futures: The treasury futures fluctuated within a narrow range throughout the day, with most contracts ending in the red. Only the ultra - long - end contracts closed up. After the cross - month period, the capital interest rates dropped significantly, with DR001 weighted average close to 1.4%. In the open market, 830 billion yuan of 7 - day reverse repurchase expired, and the central bank conducted 454.5 billion yuan in new operations, resulting in a net withdrawal of 375.5 billion yuan [1] - Economic Forecast: The OECD released an economic outlook report on the 3rd, predicting that the US economic growth rate will be 1.6% this year, a 0.6 - percentage - point downgrade from the March forecast, making it one of the major economies with a significant slowdown in growth [2] Data Overview Futures Contracts - TS2509: Closing price 102.352, down 0.046 from the previous trading day; Open interest 121,149, up 1,653 [4] - TF2509: Closing price 105.96, down 0.045; Open interest 163,143, up 899 [4] - T2509: Closing price 108.67, down 0.045; Open interest 190,840, up 77 [4] - TL2509: Closing price 119.45, up 0.04; Open interest 113,610, up 84 [4] Basis and Trading Volume - TS Basis (CTD): - 0.0827, down 0.0033; Trading volume 37,274, up 2,847 [4] - TF Basis (CTD): - 0.0266, up 0.0131; Trading volume 47,214, down 7,839 [4] - T Basis (CTD): - 0.0453, down 0.3965; Trading volume 42,868, down 19,601 [4] - TL Basis (CTD): 0.468, down 0.2; Trading volume 60,835, down 10,208 [4] Capital Interest Rates - DR001: Weighted average 1.4822, up 0.0698; Trading volume 16,522.0063 billion yuan, unchanged [4] - DR007: Weighted average 1.6645, up 0.0315; Trading volume 820.7655 billion yuan, unchanged [4] - DR014: Weighted average 1.7236, up 0.0051; Trading volume 86.3575 billion yuan, unchanged [4]
格林大华期货国债早盘提示-20250603
Ge Lin Qi Huo· 2025-06-03 05:29
Report Summary 1) Report Industry Investment Rating - The investment rating for the macro and financial bond sector is "oscillating slightly bullish" [1]. 2) Core View of the Report - Chinese economic data in April showed that fixed - asset investment and consumption were slightly below expectations, while industrial production and exports were better than expected. In May, the official manufacturing PMI was below the boom - bust line for the second consecutive month. After the Sino - US Geneva economic and trade talks in May, it was conducive to the recovery of export orders to the US. Industrial product prices continued to be under pressure, and manufacturers were cautious about future demand. After the US federal appellate court's decision on May 29, treasury bond futures recovered most of the losses on Thursday, and short - term treasury bond futures may oscillate slightly bullish [3]. 3) Summary by Relevant Catalogs Market Review - Affected by the news of the reversal of the US tariff ruling, last Friday, the main contracts of treasury bond futures opened higher across the board, fluctuated horizontally at a high level after rising. As of the close, the 30 - year treasury bond futures main contract TL2509 rose 0.56%, the 10 - year T2509 rose 0.21%, the 5 - year TF2509 rose 0.14%, and the 2 - year TS2509 rose 0.04% [1]. Important Information - **Open Market**: Last Friday, the central bank conducted 291.1 billion yuan of 7 - day reverse repurchase operations, with 142.5 billion yuan of reverse repurchases maturing on the same day, achieving a net investment of 148.6 billion yuan [1]. - **Funds Market**: Last Friday, the short - term interest rates in the inter - bank funds market increased compared with the previous trading day. DR001's weighted average for the whole day was 1.48% (1.41% the previous day), and DR007's weighted average for the whole day was 1.66% (1.63% the previous day) [1]. - **Cash Bond Market**: Last Friday, the closing yields of inter - bank treasury bonds decreased compared with the previous trading day. The 2 - year treasury bond yield decreased 2.58 BP to 1.46%, the 5 - year decreased 2.63 BP to 1.56%, the 10 - year decreased 1.65 BP to 1.67%, and the 30 - year decreased 2.00 BP to 1.90% [1]. - **Other Information**: In May, the central bank carried out 700 billion yuan of outright reverse repurchase operations. In April, the US core PCE price index increased 2.5% year - on - year, the lowest since March 2021. In May, China's manufacturing PMI was 49.5%, below the boom - bust line for the second consecutive month. The US president announced to raise the import steel tariff from 25% to 50%. On June 2, it was announced that the US May ISM manufacturing PMI was 48.5, the lowest since November last year [1][3]. Market Logic - Chinese economic growth in April remained resilient. In May, the manufacturing PMI was below the boom - bust line, but the production index returned to the expansion range, and new export orders rebounded. Industrial product prices continued to be under pressure, and manufacturers were cautious about future demand. After the Sino - US Geneva economic and trade talks, there was a "rush to ship" in US - bound shipping. After the US federal appellate court's decision on May 29, treasury bond futures may oscillate slightly bullish in the short term [3]. Trading Strategy - Traders are advised to conduct band operations [3].
国债期货月报:关税一波三折债市持续背离202506
Zhong Liang Qi Huo· 2025-06-03 05:10
Economic Overview - The trade agreement between China and the U.S. has led to the postponement of a 24% tariff increase by 90 days until August, while retaining a 30% tariff increase for the year[22] - The central bank announced a reserve requirement ratio (RRR) cut and interest rate reduction, with the LPR lowered by 10 basis points at the end of the month[22] - As of May 30, the TS2509 futures fell by 0.23%, TF2509 by 0.36%, T2509 by 0.43%, and TL2506 by 1.40%[22] Market Performance - The two-year bond TS2506 closed at 102.23 with a decline of 0.13% and an average daily transaction volume of 20,925[6] - The five-year bond TF2506 closed at 105.72, down 0.36%, with a daily trading volume of 35,919[6] - The ten-year bond T2506 closed at 108.49, down 0.51%, with a trading volume of 44,240[6] Inflation and Economic Indicators - The CPI for May showed a decrease of 0.10% compared to the previous month, while the PPI decreased by 2.70%[28] - Industrial value-added growth was reported at 6.1%, indicating continued manufacturing sector strength[28] - The trade surplus reached $36.88 billion in May, reflecting strong export performance despite tariff concerns[28] Future Outlook - The market anticipates a potential shift in tariff negotiations, which could stabilize bond futures and lead to a price increase[32] - The central bank's liquidity injection of 599.8 billion yuan in May, including a net MLF injection of 375 billion yuan, suggests ongoing support for the economy[33] - The expectation of a return to a more stable economic environment may lead to a gradual recovery in bond prices as trade tensions ease[37]
国债期货日报-20250522
Nan Hua Qi Huo· 2025-05-22 12:05
Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View The report suggests patiently holding positions, taking a wait - and - see approach, and making few moves. Traders are advised to follow the trend, moderately allocate on pullbacks, and hold long positions firmly [1][3]. 3. Summary by Content 3.1. Market Review - In the morning, Treasury bond futures opened higher and then oscillated downward, almost turning negative before the close. The intraday decline of A - shares drove up the price of Treasury bond futures briefly. In the afternoon, Treasury bond futures continued to decline and then rebounded before the close. The T main contract closed slightly up, while other varieties closed down [1]. - The open - market operation had 64.5 billion yuan in maturities and 154.5 billion yuan in new operations, resulting in a net injection of 90 billion yuan. After the opening, funds tightened slightly, and the overnight anonymous inter - bank funding rate reached around 1.53%, slightly higher than before the market, possibly related to tax payments [1]. 3.2. News - The first - batch pilot scale of the long - term investment reform of insurance funds was 50 billion yuan, the second - batch was 112 billion yuan, and the third - batch of 60 billion yuan is to be approved, with a total scale of 222 billion yuan [2]. 3.3. Market Outlook - Funds are a significant trend factor in the near term. Tax payments affect short - term liquidity to some extent, but the trend of the recent downward movement of the funds' central level towards the policy rate is still obvious. Therefore, trend trading should follow the trend, moderately allocate on pullbacks, and hold long positions firmly [3]. 3.4. Data - **Contract Prices and Changes**: On May 22, 2025, TS2506 was at 102.362 (down 0.008 from the previous day), TF2506 at 105.975 (down 0.01), T2506 at 108.81 (up 0.005), and TL2506 at 119.55 (down 0.02) [4]. - **Contract Positions and Changes**: TS contract positions were 124,994 hands (up 1,285), TF contract positions were 168,651 hands (down 3,185), T contract positions were 219,470 hands (up 2,258), and TL contract positions were 126,747 hands (down 167) [4]. - **Basis and Changes**: TS basis (CTD) was - 0.0744 (up 0.0007), TF basis (CTD) was 0.2742 (up 0.3199), T basis (CTD) was 0.2605 (up 0.2879), and TL basis (CTD) was 0.4354 (up 0.3406) [4]. - **Trading Volume and Changes**: TS main contract trading volume was 34,274 hands (up 4,013), TF main contract trading volume was 47,004 hands (up 4,789), T main contract trading volume was 65,126 hands (up 12,458), and TL main contract trading volume was 67,554 hands (down 5,858) [4]. - **Funding Rates and Changes**: DR001 was 1.5086% (down 0.0077 percentage points), DR007 was 1.5709% (down 0.0147 percentage points), and DR014 was 1.6585% (down 0.0178 percentage points) [4].