国债衍生品周报 2025/09/26 交易咨询观点: 建议密切关注资金面动向和经济基本面数据，保持谨慎观望态势。 国债到期收益率 source： wind % 2Y国债到期收益率 5Y国债到期收益率 10Y国债到期收益率 30Y国债到期收益率 7Y国债到期收益率 24/04 24/08 24/12 25/04 25/08 2 3 资金利率 source： wind % 存款类机构质押式回购加权利率:1天 存款类机构质押式回购加权利率:7天 逆回购利率：7天 23/12 24/06 24/12 25/06 1 2 3 国债期限利差：7Y-2Y bp 国债利差：7Y-2Y 国债期限利差：30Y-7Y bp 国债利差：30Y-7Y source： wind 24/04 24/08 24/12 25/04 25/08 0 20 40 60 source： wind 24/04 24/08 24/12 25/04 25/08 0 20 40 . 80 咨询业务资格：沪证监许可【2012】1515号 研报作者：许亮 Z0002220 审核：唐韵 Z0002422 【免责声明】 本报告基于本公司认为可靠的、已公开的信息编制 ...

1. Report Industry Investment Rating - There is no information about the report industry investment rating in the provided content. 2. Core View of the Report - The report analyzes the factors affecting the bond market. The positive factors include a stable and loose capital supply, which provides continuous liquidity support and eases the pressure on the bond market, and the slower - than - expected issuance of government bonds, which reduces supply and eases concerns about the "asset shortage". The negative factors are that the manufacturing PMI has risen above 50, enhancing the expectation of economic improvement and suppressing the demand for bonds, and the 10 - year treasury bond variety has undergone shock adjustments, increasing the potential profit - taking pressure and weighing on market sentiment. The trading advice is to pay attention to the allocation value of the 10 - year treasury bond yield in the range of 1.75% - 1.80% and seize the trading opportunities [3]. 3. Summary According to Related Figures 3.1 Bond Yields - The report presents the trends of 2 - year, 5 - year, 7 - year, 10 - year, and 30 - year treasury bond yields from 2024/04 to 2025/04 [4]. 3.2 Interest Rates - The trends of the weighted average interest rate of pledged repurchase by deposit - taking institutions for 1 - day and 7 - day, and the 7 - day reverse repurchase rate from 2023/12 to 2025/06 are shown [4]. 3.3 Bond Term Spreads - The trends of the 7Y - 2Y and 30Y - 7Y treasury bond term spreads from 2024/04 to 2025/04 are presented [4]. 3.4 Bond Futures Positions - The positions of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures from 2015/12 to 2023/12 are shown [6]. 3.5 Bond Futures Trading Volumes - The trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures from 2024/04 to 2025/04 are presented [7]. 3.6 Bond Futures Basis - The trends of the basis of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures for the current - quarter contracts are shown from different time periods: 02/29 - 10/31 for 2 - year, 2024/04 - 2025/04 for 5 - year, 02/29 - 10/31 for 10 - year, and 2023/06 - 2025/06 for 30 - year [8][9][10][14]. 3.7 Bond Futures Inter - delivery Spreads - The trends of the inter - delivery spreads (current - quarter minus next - quarter) of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are presented from different time periods: 2024/04 - 2025/04 for 2 - year, 5 - year, and 10 - year, and 2023/06 - 2025/06 for 30 - year [12][13][15][16]. 3.8 Bond Futures Cross - variety Spreads - The trends of the cross - variety spreads of TS*4 - T from 2024/04 to 2025/04 and T*3 - TL from 2023/06 to 2025/06 are presented [17][18].

Group 1: Report Industry Investment Rating - The report does not mention the industry investment rating. Group 2: Core View of the Report - This week, all Treasury bond futures closed lower. The closing prices of the 30 - year (TL), 10 - year (T), 5 - year (TF), and 2 - year (TS) Treasury bond futures in the main contracts decreased by 1.54%, 0.32%, 0.17%, and 0.04% respectively compared to last week. The overall Treasury bond futures market showed a trend of rising first and then falling, with prices of all - term contracts declining. Due to the support of loose funding at the short - end, TF and TS performed better than TL and T. After the increase in equity risk appetite, Treasury bond futures were more likely to fall than rise. Although the weak economic data released on Friday morning supported a rebound in the morning session, the market then returned to the bearish direction [4]. Group 3: Summary by Related Catalogs Price and Volume - **Price**: The closing prices of TL, T, TF, and TS main contracts decreased by 1.54%, 0.32%, 0.17%, and 0.04% respectively compared to last week [4]. - **Open Interest**: The open interest of the main contracts continued to decline. The open interest of TL, T, TF, and TS main contracts decreased by 26.1%, 28%, 23.3%, and 19.6% respectively compared to last week. The total open interest of all contracts also decreased, with T, TL, TF, and TS decreasing by 0.7%, 1.3%, 5.6%, and 4.6% respectively compared to last week. The total open interest of all Treasury bond futures decreased by 2.83% compared to last week [4]. - **Trading Volume**: The trading volume of Treasury bond futures rebounded significantly compared to last week. The trading volumes of TL, T, TF, and TS main contracts increased by 28%, 21.1%, 8.3%, and 18.9% respectively compared to last week; the trading volumes of all contracts increased by 44.6%, 31.8%, 16.6%, and 20.9% respectively compared to last week [4]. Spread and Ratio - **Inter - delivery Spread**: Except for the unchanged inter - delivery spread of the T variety, the spreads of other varieties widened. From the 09 - 12 month spread, the inter - delivery spread of TL continued to widen, rising by 0.1 yuan; the spreads of TS and TF reversed, rising from a decline to 0.014 yuan and 0.055 yuan respectively; the spread of T remained unchanged compared to last week [4]. - **Long - Short Ratio**: The long - short ratios of the top 20 seats in the main contracts of TL, T, TF, and TS were 0.99, 1.03, 0.93, and 0.93 respectively, changing by - 0.018, + 0.027, - 0.001, and + 0.019 respectively compared to last week. Among them, the long - short ratios of T and TS improved [4]. IRR and Basis - **IRR**: From the perspective of IRR, the IRR corresponding to the CTD of the T and TF main contracts rebounded marginally this week. The IRR corresponding to the CTD of the TL, T, TF, and TS main contracts were - 1.2584%, 2.1507%, 1.5529%, and 1.1675% respectively, changing by - 2.6924%, + 0.7559%, + 0.0154%, and - 0.2929% respectively compared to last week. Among them, TL moved towards the lower extreme, T returned to the 3/4 quantile level of history, and TF and TS were at relatively low levels in history [4]. - **Basis**: The basis of TL and TS widened, while the basis of T and TF converged. The discount of the TL main contract widened by 0.2855 yuan compared to the closing price last week, and the widening of the discount may reflect that the market was more cautious about the future market trend [4]. Technical Analysis - Technically, the bearish sentiment dominated the market this week, and the price of the TL main contract broke through the support level. During the week, TL and T opened and closed lower, with significant declines compared to the closing price last Friday. Based on the trading volume distribution, the trading price of TL was mainly distributed (more than 80%) between about 117.52 - 118.43, while the trading price of T was distributed between about 108.31 - 108.48. According to the closing data on Friday, the prices of the T and TL main contracts both broke below the lower limit of the trading volume distribution center of gravity [4].

Core Insights - The main contract for the 30-year Treasury futures closed at 2509 on June 12, with a slight increase of +0.07% and a trading volume of 53,600 contracts [1] - The total trading volume for all contracts was 57,500, which is a decrease of 868 contracts from the previous day [1] - The top 20 positions showed a net short position with a difference of 4,742 contracts [1] Position Data Summary - The top three long positions were held by CITIC Futures (24,556 contracts), Guotai Junan (15,517 contracts), and Dongzheng Futures (11,433 contracts), with CITIC Futures seeing a decrease of 467 contracts [1][3] - The top three short positions were held by Dongzheng Futures (15,453 contracts), CITIC Futures (12,200 contracts), and Galaxy Futures (11,931 contracts), with Dongzheng Futures increasing their short position by 426 contracts [1][3] - Among the top 20 positions, the largest increase in long positions was seen by Hongyuan Futures (1,605 contracts, +266), Galaxy Futures (4,295 contracts, +198), and Dongzheng Futures (10,766 contracts, +138) [1][3] - The largest increase in short positions was by Guoyuan Futures (2,002 contracts, +528), Dongzheng Futures (14,877 contracts, +426), and CMB Futures (1,628 contracts, +306) [1][3] Overall Market Activity - The total long positions among the top 20 were 1,020,000 contracts, an increase of 942 contracts from the previous day [1][4] - The total short positions among the top 20 were 1,096,000 contracts, an increase of 761 contracts from the previous day [1][4] - The overall market showed a slight shift towards increased short positions, indicating a potential bearish sentiment among traders [1][4]

Summary of Key Points Core Viewpoint - The 30-year Treasury futures contract closed at 2509 on May 27, with a slight decline of 0.26%. The trading volume reached 62,400 contracts, indicating a net short position among the top 20 participants with a difference of 3,084 contracts [1]. Group 1: Trading Data - The total trading volume for all contracts was 75,600 contracts, an increase of 3,936 contracts from the previous day [1]. - Among the top 20 positions, long positions totaled 107,100 contracts, an increase of 353 contracts, while short positions totaled 113,000 contracts, an increase of 263 contracts [1]. Group 2: Major Participants - The top three long positions were held by: - CITIC Futures: Total position 24,993, increase 660 - Guotai Junan: Total position 13,656, increase 78 - Dongzheng Futures: Total position 10,308, decrease 712 [1][4]. - The top three short positions were held by: - CITIC Futures: Total position 15,602, increase 657 - Dongzheng Futures: Total position 13,163, decrease 371 - Galaxy Futures: Total position 13,108, increase 175 [1][4]. Group 3: Position Changes - Among the top 20 long positions, the largest increases were from: - CITIC Futures: Position 20,082, increase 660 - Guojin Futures: Position 2,713, increase 366 - Hongyuan Futures: Position 2,620, increase 347 [1][3]. - The largest decreases in long positions were from: - Dongzheng Futures: Position 9,080, decrease 736 - Galaxy Futures: Position 3,531, decrease 536 - Haizheng Futures: Position 896, decrease 506 [1][3]. Group 4: Overall Market Sentiment - The overall market sentiment appears to be leaning towards a bearish outlook, as indicated by the net short positions among the top participants and the increase in short positions across several firms [1][4].

Report Summary 1) Report Industry Investment Rating No relevant content provided. 2) Core Viewpoints of the Report - In the first quarter of 2025, the unilateral upward trend of treasury bond futures did not continue. After February, the stock - bond seesaw effect was obvious, and treasury bond futures continued to decline. However, the demand for treasury bond futures from public funds increased, and the position - holding intensity increased significantly [3][4]. - By the end of the first quarter, the number of public fund companies participating in treasury bond futures increased to 56, and the number of public products allocating treasury bond futures increased to 154, reaching a record high. The long and short positions increased by a similar amount. The long - position market value of public products doubled to 9.7 billion, and the short - position market value returned to over 10 billion, with the total long - and short - position market value also hitting a record high [3][4]. - By the end of March 2025, the overall market scale increased significantly, with the total position volume reaching 591,482 lots (unilateral calculation), and the quarterly growth rate was as high as 19%. The long - position volume of public funds was 8,819 lots, accounting for 1.5% of the market, a record high, and the short - position volume increased to 8,258 lots, accounting for 1.4% of the market [3][9]. - In terms of varieties, the long positions of TL, T, and TF increased in the first quarter, with T and TF having the largest increases. The long - position demand was relatively dispersed. In the short positions, the market values of TL and T increased, while those of TF and TS decreased. The short - hedging demand was more reflected in the long - term varieties. In terms of position - holding terms, both long and short positions still mainly focused on the current - quarter (June) contracts [3][9]. - By fund type, the number of products using treasury bond futures in each category increased significantly. However, the growth in position - holding scale mainly came from medium - and long - term pure - bond funds and hybrid bond - type secondary funds. The position increase was mainly concentrated in the long - position demand for treasury bond futures. The combined long - position scale of the two types of funds increased by more than 5 billion, while the combined short - position increase was only about 1 billion. The other category funds changed little compared with the end of the previous quarter [3][15]. - In the first quarter, the net - value growth of bond funds slowed down slightly. On average, the net - value increase of bond - type funds in the first quarter was about 0.02%. Most of the public products allocating treasury bond futures recorded positive returns. The average quarterly net - value growth of public funds with large long and short positions in treasury bond futures was 0.35% and 0.39% respectively [3]. 3) Summary by Relevant Catalogs Overall Market Situation - The overall market scale increased significantly in the first quarter of 2025. The total position volume was 591,482 lots (unilateral calculation), with a quarterly growth rate of 19% [3][9]. Public Fund Participation - The number of public fund companies participating in treasury bond futures increased to 56, and the number of public products allocating treasury bond futures increased to 154, a record high [3][4]. - The long - position market value of public products doubled to 9.7 billion, and the short - position market value returned to over 10 billion, with the total long - and short - position market value also hitting a record high [3][4]. Position - Holding Volume and Market Share - The long - position volume of public funds was 8,819 lots, accounting for 1.5% of the market, a record high. The short - position volume increased to 8,258 lots, accounting for 1.4% of the market [3][9]. Variety Analysis - Long - position growth was concentrated in T and TF, and short - position growth was concentrated in TL and T. The long - position demand was relatively dispersed, and the short - hedging demand was more reflected in long - term varieties [3][9]. Fund Type Analysis - Each category of funds saw a significant increase in the number of products using treasury bond futures. The growth in position - holding scale mainly came from medium - and long - term pure - bond funds and hybrid bond - type secondary funds. The long - position scale of these two types of funds increased by more than 5 billion, while the short - position increase was only about 1 billion [3][15]. Performance Analysis - The net - value growth of bond funds slowed down slightly in the first quarter, with an average increase of about 0.02%. Most public products allocating treasury bond futures recorded positive returns, and the average quarterly net - value growth of public funds with large long and short positions in treasury bond futures was 0.35% and 0.39% respectively [3].