期货｜逢调整参与反弹 证券研究报告 固收定期报告 / 2025.10.12 分析师 孙彬彬 SAC 证书编号：S0160525020001 sunbb@ctsec.com 分析师 隋修平 SAC 证书编号：S0160525020003 suixp@ctsec.com 联系人 郑艺鹏 zhengyp@ctsec.com 核心观点 ❖ 国债期货周度技术分析——反弹已经展开，考虑逢调整参与 9 月 25 日以来 10 年国债期货震荡反弹、周五在 60 日均线附近遇阻回落。 T2512 周一可能涨超 9 月 17 日高点 108.165，在此情况下考虑当前为 5 月 以来下跌的第四浪反弹，可以考虑逢低参与反弹。上方首先关注第一浪低点 108.41 附近的阻力情况，如果这一位置被突破，季线角度来看关注 108.93 附近阻力，未来反弹结束后可能仍有调整，当前逢低参与反弹为宜。 相关报告 1. 《利率 | 中美贸易摩擦与债市空间》 2025-10-12 2. 《流动性 | 又逢季初和贸易摩擦》 2025-10-11 3. 《高频｜内需待提振，外需有隐忧》 2025-10-11 ❖ 国债期货数据跟踪——整体上涨，正套参与仍 ...

期货｜积极应对调整 证券研究报告 固收定期报告 / 2025.09.28 本周 10 年国债期货先延续下跌、周四开始显著反弹。 T2512 目前可能处在 9 月 4 日以来下跌的第 4 个波段，目前处在短线反弹过 程中，未来第 5 个波段可能再度下跌，但考虑到目前可能处在 5 月以来下跌 的尾端，可以积极应对后续行情，未来期货再度到达上周四低点或现券收益 率到达周四高点时可能是较好的参与机会。 ❖ 国债期货数据跟踪——全线下跌，正套参与仍需等待时机 本周国债期货全线下跌。 本周国债期货成交活跃度整体下降。本周各期限国债期货 2512 合约日均成 交较上周不同程度回落。从成交量/持仓量来看，各期限均下降。 本周 2512 合约 CTD 净基差表现分化，2 年、10 年净基差上行，5 年、30 年期净基差下行；IRR 也出现分化，2 年、10 年 IRR 回落，5 年、30 年期 IRR 回升。当前 IRR 整体仍偏低，正套策略参与价值不高，可以等待更好的 参与时机。 ❖ 风险提示：技术分析存在不确定性；市场走势存在不确定性；部分点位估算 可能有误差。 相关报告 1. 《流动性 | 跨季结束，资金是否能有期 待？ ...

Report Industry Investment Rating No relevant content provided. Core Viewpoints - Short - term TS may continue to be weaker than T and TL due to weak market expectations for central bank interest rate cuts, high capital prices, weaker short - end spot and futures bonds compared to long - end, and the persistence of TS positive arbitrage and hedging strategies [1][35] - The current curve is extremely flat, short - end is significantly affected by capital pricing, and the short - end long - position driving force is limited before the capital price drops significantly [1][14] - Institutions such as funds short futures for hedging to offset interest rate fluctuation risks, and many institutions turn to coupon strategies [2][14] - TS positive arbitrage strategy is a key factor in the decline of TS, with the IRR of the cheapest - to - deliver bond in TS higher than the capital price and a continuous negative basis [3][27] - The main contract of TS is accelerating the switch from TS2506 to TS2509, and TS2506 may perform weaker [4][28] - The possible switch of the cheapest - to - deliver bond of TS2506 from 240024 to 250006 restricts the performance of TS2506 [5][33] Summary by Directory 1 TS in Decline - Since mid - March, the TS contract has been significantly weaker than TF/T/TL contracts. The T main - continuous contract price rose by 1.77% from March 17 to April 22, while the TS main - continuous contract price nearly dropped back to the mid - March low. TS also performed weaker than 2 - year treasury bond spot [12] - Reasons for the decline of TS: - The curve is extremely flat, short - end is affected by capital pricing, and the short - end long - position driving force is limited due to the obvious negative carry and slow decline of the capital price center [14] - Institutions such as funds short TS for hedging. In the current interest rate shock trend, many institutions turn to coupon strategies, and shorting TS can hedge part of the bond market decline risk. The net purchase scale of short - term interest - rate bonds by funds has slowed down since April, while the net purchase scale of short - term credit bonds has increased [2][14][20] - TS positive arbitrage strategy is a key factor. The IRR of the cheapest - to - deliver bond in TS is about 2.3%, significantly higher than the 1.75% - 1.80% return of 1 - year NCD [3][27] - The main contract is accelerating the switch from TS2506 to TS2509. The reasons may be that institutions such as brokers short TS2506 and long TS2509, and non - traditional investors such as funds mainly use TS2509 for hedging and positive arbitrage [4][28] - The possible switch of the cheapest - to - deliver bond of TS2506 from 240024 to 250006 restricts the performance of TS2506 [5][33] - Outlook: Short - term TS may continue to be weaker than T and TL. The 10 - year - 2 - year treasury bond term spread has reached the lowest point since 2020, and the probability of the short - end spot bond weakening significantly again is small [35]