联系方式：liuyang18036@greendh.com Morning session notice Morning session notice 早盘提示 早盘提示 更多精彩内容请关注格林大华期货官方微信 更多精彩内容请关注格林大华期货官方微信 格林大华期货研究院 证监许可【2011】1288 号 2025 年 10 月 10 日星期五 研究员： 刘洋 从业资格： F3063825 交易咨询资格：Z0016580 | 板块 | 品种 | 多（空） | 推荐理由 | | --- | --- | --- | --- | | | | | 【行情复盘】 周四国债期货主力合约开盘全线低开，早盘拉升一波后横向波动直至收盘，30 年期 品种走势较强，截至收盘 30 年期国债期货主力合约 TL2512 上涨 0.46%，10 年期 T2512 上涨 0.15%，5 年期 TF2512 上涨 0.07%，2 年期 TS2512 上涨 0.02%。 【重要资讯】 1、公开市场：周四央行开展了 6120 亿元 7 天期逆回购操作，以固定数量、利率招 标、多重价位中标方式开展 11000 亿元买断式逆回购操作，当日有 2063 ...

Market Performance - The three major A-share indices collectively rose, with the Shanghai Composite Index up 0.07%, the Shenzhen Component Index up 0.14%, and the ChiNext Index up 0.21% [1] - The North China 50 Index fell by 0.30%, and the total trading volume in the Shanghai and Shenzhen markets reached 1,093.3 billion yuan, a decrease of 112.9 billion yuan compared to the previous day [1] - Over 2,200 stocks in the market experienced an increase [1] ETF and Bond Market - The 30-year government bond ETF (511130) saw a significant drop, down 8 basis points, with a trading volume exceeding 1.6 billion yuan and a turnover rate over 10% [1] - The 30-year government bond ETF was established in March 2024 and is one of only two long-duration bond ETFs in the market, tracking the "Shanghai Stock Exchange 30-Year Government Bond Index" [2] - The index reflects the overall performance of government bonds with a duration of approximately 21 years, making it highly sensitive to interest rate changes [2] Economic Indicators - The Central Political Bureau emphasized the need for sustained macroeconomic policies, including more proactive fiscal policies and moderately loose monetary policies to stabilize employment, enterprises, markets, and expectations [1] - The manufacturing PMI for July was reported at 49.3, a decrease of 0.4 percentage points month-on-month, while the service sector business activity index was at 50.0%, down 0.1 percentage points from the previous month [1] - China's dollar-denominated exports in July grew by 7.2% year-on-year, surpassing market expectations of 5.8% and the previous value of 5.9% [1] Bond Market Outlook - The bond futures market has shown weak performance due to rising risk appetite in the stock market since July, alongside strong internal economic fundamentals and easing external risk factors [2] - The expectation for monetary easing remains, as the policy rate's anchoring effect is strong, limiting the space for market interest rates to rise further [2] - In the short term, both upward and downward movements in market interest rates are expected to be limited, with bond futures likely to continue in a range-bound consolidation [2]

Report Summary 1. Report Industry Investment Rating No investment rating information is provided in the report. 2. Core Viewpoints - The overall view of Treasury bond futures is that they will fluctuate in the short - term, with the short - term view of TL2509 being fluctuating, the medium - term view being fluctuating, and the intraday view being fluctuating and slightly stronger. The general reference view is fluctuating [1][5]. - Although the demand for Treasury bonds has been somewhat suppressed since July due to the rapid increase in stock market risk appetite, strong internal economic fundamentals, and the easing of external risk factors, the future policy will remain moderately loose, and there is still an expectation of monetary easing. The upward and downward space for market interest rates is limited in the short - term, so Treasury bond futures will mainly fluctuate and consolidate [5]. 3. Summary by Related Catalogs 3.1 Variety Viewpoint Reference - Financial Futures Stock Index Sector | Variety | Short - term | Medium - term | Intraday | Viewpoint Reference | Core Logic Summary | | --- | --- | --- | --- | --- | --- | | TL2509 | Fluctuation | Fluctuation | Fluctuation and slightly stronger | Fluctuation | There is still an expectation of loose monetary policy, but the possibility of an interest rate cut in the short - term is low [1]. | 3.2 Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - **Viewpoints**: The intraday view is fluctuating and slightly stronger, the medium - term view is fluctuating, and the reference view is fluctuating [5]. - **Core Logic**: Since July, the demand for Treasury bonds has been affected by the rise in stock market risk appetite, strong internal economic fundamentals, and the easing of external risk factors, resulting in weak performance of Treasury bond futures. However, the future policy will remain moderately loose, and the expectation of monetary easing still exists. As market interest rates approach policy rates, the upward space for market interest rates is limited. In the short - term, Treasury bond futures will mainly fluctuate and consolidate [5].

Report Summary 1) Report Industry Investment Rating - No industry investment rating is provided in the report. 2) Core View of the Report - The short - term bottom of Treasury bond futures has been found, and the market will continue to observe the performance of the stock market. Treasury bond futures may fluctuate in the short term. Traders are advised to conduct band - style operations [1][2] 3) Summary by Related Catalogs [Market Review] - On Thursday, the main contracts of Treasury bond futures opened flat across the board and fluctuated horizontally throughout the day. The 30 - year Treasury bond futures main contract TL2509 fell 0.02%, the 10 - year T2509 rose 0.02%, the 5 - year TF2509 rose 0.02%, and the 2 - year TS2509 rose 0.01% [1] [Important Information] - **Open Market**: On Thursday, the central bank conducted 450.5 billion yuan of 7 - day reverse repurchase operations, with 90 billion yuan of reverse repurchases maturing on the same day, resulting in a net injection of 360.5 billion yuan [1] - **Funds Market**: On Thursday, short - term interest rates in the inter - bank funds market declined slightly compared to the previous trading day. DR001 had a weighted average of 1.46% (previous day: 1.47%), and DR007 had a weighted average of 1.52% (previous day: 1.53%) [1] - **Cash Bond Market**: On Thursday, the closing yields of inter - bank Treasury bonds fluctuated narrowly compared to the previous trading day. The yield of 2 - year Treasury bonds decreased by 0.24 BP to 1.39%, 5 - year bonds decreased by 0.25 BP to 1.52%, 10 - year bonds increased by 0.13 BP to 1.66%, and 30 - year bonds increased by 1.69 BP to 1.88% [1] - **US Data**: The number of initial jobless claims in the US for the week ending July 12 was 221,000 (expected: 235,000, previous value revised from 227,000 to 228,000). The US retail sales month - on - month rate in June was 0.6% (highest since March this year, expected: 0.1%, previous value: - 0.90%) [1] - **Eurozone Data**: The final annual CPI rate in the Eurozone in June was 2% (expected: 2%, previous value: 2%), and the final monthly CPI rate was 0.3% (expected: 0.3%, previous value: 0.3%) [1] [Market Logic] - China's Q2 GDP grew 5.2% year - on - year, in line with market expectations. In H1, China's fixed - asset investment grew 2.8% year - on - year (market expected 3.7%, 1 - 5 months: 3.7%). In June, social consumer goods retail sales grew 4.8% year - on - year (market expected 5.6%, May: 6.4%), industrial added value above designated size grew 6.8% year - on - year (market expected 5.5%, May: 5.8%), and exports in US dollars grew 5.8% year - on - year (expected: 3.2%, previous value: 4.8%). However, domestic real estate sales and prices continued to decline, and China's economic growth in H2 faces challenges and needs to boost domestic demand. Trump postponed the tariff negotiation deadline to August 1, and the US will impose a 30% tariff on products from Mexico and the EU starting August 1. The global financial market was calm about the US tariff information. The Wind All - A Index rose unilaterally on Thursday, while Treasury bond futures fluctuated narrowly [1][2] [Trading Strategy] - Traders are advised to conduct band - style operations [2]

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoints of the Report - The short - term, medium - term, and intraday views of TL2509 are "oscillation", "oscillation", and "oscillation with a slight upward bias" respectively, with an overall view of "oscillation" due to weak macro - economic indicators and rising expectations of monetary easing [1]. - For the TL, T, TF, and TS varieties, the intraday view is "oscillation with a slight upward bias", the medium - term view is "oscillation", and the reference view is "oscillation". The overall short - term expectation is that Treasury bond futures will remain in an oscillatory consolidation state [5]. 3. Summary by Related Contents 3.1 Variety Viewpoint Reference - Financial Futures Stock Index Sector - For TL2509, the short - term view is "oscillation", the medium - term view is "oscillation", the intraday view is "oscillation with a slight upward bias", and the overall view is "oscillation". The core logic is the weak macro - economic indicators and the increasing expectation of monetary easing [1]. 3.2 Main Variety Price Market Driving Logic - Financial Futures Stock Index Sector - Yesterday, Treasury bond futures oscillated and slightly pulled back. Geopolitical risks eased as Iran accepted a cease - fire plan with Israel, leading to a decline in risk - aversion sentiment [5]. - From a domestic macro perspective, the expectation of future interest rate cuts is clear, and there is strong support for Treasury bonds. The current macro - economic indicators are weakening marginally, and a loose monetary environment is needed for macro - policies in the second half of the year. Also, the increasing downward pressure on the US economy and the rising expectation of the Fed's interest rate cuts have reduced the exchange - rate pressure [5]. - The possibility of an immediate interest rate cut is low as the policy effect of the May interest rate cut needs to be evaluated. Macro - policies in the second half of the year await guidance from the Politburo meeting in July, resulting in insufficient upward momentum for Treasury bonds in the short term [5].

Report Industry Investment Rating - The report does not provide an overall industry investment rating. However, for the macro and financial sector's treasury bond varieties, the rating is "oscillation" [1] Core View - Treasury bond futures continued a narrow - range horizontal fluctuation pattern on Wednesday, and may continue to oscillate in the short - term. It is recommended that trading - type investors conduct band operations [1][3] Summary by Related Catalogs Market Review - On Wednesday, the main contracts of treasury bond futures opened higher across the board. The morning session saw an oscillatory decline, and in the afternoon, there was first a horizontal movement followed by a late - session rally. The daily fluctuation range was small. By the close, the 30 - year treasury bond futures main contract TL2509 rose 0.10%, the 10 - year T2509 rose 0.09%, the 5 - year TF2509 rose 0.07%, and the 2 - year TS2509 rose 0.04% [1] Important Information - Open market: On Wednesday, the central bank conducted 214.9 billion yuan of 7 - day reverse repurchase operations, with 215.5 billion yuan of reverse repurchases maturing on the same day, resulting in a net withdrawal of 60 million yuan [1] - Funding market: On Wednesday, the overnight interest rate in the inter - bank funding market remained unchanged from the previous trading day. The weighted average of DR001 throughout the day was 1.41%, the same as the previous trading day; the weighted average of DR007 throughout the day was 1.55%, also the same as the previous trading day [1] - Cash bond market: On Wednesday, the closing yields of inter - bank treasury bonds declined compared to the previous trading day. The yield to maturity of the 2 - year treasury bond fell 2.11 basis points to 1.46%, the 5 - year fell 1.47 basis points to 1.57%, the 10 - year fell 0.60 basis points to 1.67%, and the 30 - year fell 0.40 basis points to 1.89% [1] - On June 4th, it was announced that the US ADP employment in May increased by 37,000, with an expected increase of 110,000 and a previous increase of 62,000. The US recruitment rate in May reached its lowest level since March 2023 [1] - The US ISM non - manufacturing PMI index in May dropped to 49.9, with an estimated value of 52.0 and a previous value of 51.6 [1] Market Logic - China's official manufacturing purchasing managers' index (PMI) in May was 49.5%, remaining below the boom - bust line for the second consecutive month, with a previous value of 49.0%. The production index in May was 50.7%, returning to the expansion range; the new orders index in May was 49.8%, slightly below the boom - bust line. The PMI new export orders index in May was 47.5%, compared to a previous value of 44.7%. After the China - US Geneva economic and trade talks in May, it is helpful for the recovery of export orders to the US. The PMI purchase price index of major raw materials and the ex - factory price index in May were 46.9% and 44.7% respectively, both 0.1 percentage points lower than in April, indicating continued pressure on industrial product prices. The finished goods inventory index in May was 46.5%, compared to a previous value of 47.3%, and the finished goods inventory index continued to contract, indicating that manufacturing enterprises are cautious about future demand expectations [1] Trading Strategy - Trading - type investors are recommended to conduct band operations [3]

1. Report Industry Investment Rating - The investment rating for the Treasury bond futures in the macro and finance sector is "oscillation" [1] 2. Report's Core View - Treasury bond futures are expected to continue short - term oscillation, and trading - type investors are advised to conduct band operations [1][3] 3. Summary by Relevant Catalogs 3.1 Market Review - On Tuesday, most of the Treasury bond futures' main contracts opened slightly lower and fluctuated narrowly throughout the day. By the close, the 30 - year Treasury bond futures' main contract TL2509 rose 0.03%, while the 10 - year T2509, 5 - year TF2509, and 2 - year TS2509 all fell 0.04% [1] 3.2 Important Information - **Open Market**: On Tuesday, the central bank conducted 454.5 billion yuan of 7 - day reverse repurchase operations, with 830 billion yuan of reverse repurchases maturing on the same day, resulting in a net withdrawal of 375.5 billion yuan [1] - **Funding Market**: After the month - end, the short - term interest rates in the inter - bank funding market on Tuesday declined compared to the previous trading day. DR001's weighted average for the day was 1.41% (previous trading day: 1.48%), and DR007's was 1.55% (previous trading day: 1.66%) [1] - **Cash Bond Market**: On Tuesday, the closing yields of inter - bank Treasury bonds mostly increased compared to the previous trading day. The 2 - year Treasury bond yield rose 2.14 basis points to 1.48%, the 5 - year rose 1.57 basis points to 1.58%, the 10 - year rose 0.52 basis points to 1.68%, and the 30 - year fell 0.10 basis points to 1.90% [1] - **Economic Data**: China's Caixin Manufacturing PMI for May was reported at 48.3, falling below the critical point for the first time since October 2024, with an expected value of 50.7 and a previous value of 50.4. The OECD's economic outlook report on June 3rd expected global economic growth rates of 2.9% in both 2025 and 2026, down 0.2 and 0.1 percentage points respectively from the March forecast. The 2025 US GDP forecast was lowered from 2.2% to 1.6%, and the 2026 forecast from 1.6% to 1.5%. It was also predicted that the Fed's interest rate would remain unchanged this year. Eurozone's May harmonized CPI's year - on - year preliminary value was 1.9%, the first time in eight months below the ECB's 2% target, and the second time since mid - 2021, slightly lower than the expected 2% and the previous value of 2.2%. The month - on - month preliminary value was 0%, in line with expectations. The core harmonized CPI's year - on - year preliminary value was 2.3%, lower than the expected 2.4% and the previous value of 2.7% [1] 3.3 Market Logic - China's official manufacturing PMI in May was 49.5%, remaining below the boom - bust line for the second consecutive month. The production index in May was 50.7%, returning to the expansion range; the new order index was 49.8%, slightly below the boom - bust line. The PMI new export order index in May was 47.5% (previous value: 44.7%), and the Sino - US Geneva economic and trade talks in May were conducive to the recovery of export orders to the US. The main raw material purchase price index and the ex - factory price index in May were 46.9% and 44.7% respectively, both 0.1 percentage points lower than in April, indicating continued pressure on industrial product prices. The finished product inventory index in May was 46.5% (previous value: 47.3%), and the continued contraction of the finished product inventory index showed that manufacturing enterprises were cautious about future demand expectations. There was no particularly unexpected information affecting the bond market during the Dragon Boat Festival, and the Treasury bond futures' main contracts fluctuated narrowly on Tuesday, with short - term Treasury bond futures likely to continue oscillating [1][3] 3.4 Trading Strategy - Trading - type investors should conduct band operations [3]

Market Performance - The majority of government bond futures closed lower, with the 30-year main contract down 0.04% at 119.400 yuan, while the 10-year main contract remained flat at 108.730 yuan [1] - The yields on major interbank bonds rose, with the 30-year government bond yield increasing by 0.65 basis points to 1.9240%, and the 10-year government development bond yield rising by 0.45 basis points to 1.7140% [1] Funding Conditions - The central bank announced a 215.5 billion yuan 7-day reverse repo operation at a fixed rate of 1.40%, with a net injection of 58.5 billion yuan for the day [2] - Liquidity remains ample, with overnight and 7-day pledged repo rates declining, indicating a stable funding environment ahead of month-end [2] - The latest transaction rate for one-year interbank certificates of deposit is around 1.71%, showing little change from the previous day [2] News Highlights - During this year's Dragon Boat Festival holiday, the average daily inbound and outbound personnel at national ports is expected to reach 2.15 million, a 12.2% increase from last year [3] - The Ministry of Finance reported that in April, a total of 253.4 billion yuan in new local government bonds were issued, with 230.1 billion yuan in special bonds [3] - The total issuance of local government bonds reached 693.3 billion yuan, indicating a potential increase in investment growth in May and June [3] Operational Suggestions - The bond market is expected to continue its narrow fluctuations, with limited downside risk due to the central bank's support for liquidity [4] - Short-term 10-year government bond yields are projected to fluctuate between 1.65% and 1.7%, while 30-year bond yields may range from 1.85% to 1.95% [4] - A cautious approach is recommended, focusing on high-frequency economic data and funding dynamics, with attention to the upcoming PMI data [4]

Industry Investment Rating - The investment rating for Treasury bonds is "Oscillation" [1] Core Viewpoints - China's economic growth in April maintained resilience, with fixed - asset investment and consumption slightly falling short of expectations, while industrial production and exports were better than market expectations [1] - After the Sino - US economic and trade talks in Geneva on May 12, there was a "rush to ship" in US - bound shipping. After the central bank cut the reserve requirement ratio and interest rates in May, it is unlikely to do so again in the short to medium term [1] - The 90 - day window period reached in the Sino - US economic and trade talks brought a brief respite to the market, but this temporary measure did not eliminate long - term uncertainties [1] - Last Friday, the prices of Treasury bond futures contracts showed a slight decline and then a rebound, closing slightly higher for the day, forming a seesaw with the trend of the Wind All - A Index. Treasury bond futures may continue to oscillate in the short term [1] Summary by Directory Market Review - Last Friday, the 2 - year and 5 - year Treasury bond futures opened flat, while the 10 - year and 30 - year varieties opened lower. They fluctuated downward in the morning, bottomed out in the afternoon and then rose, and fluctuated horizontally in the second half of the afternoon. As of the close, the 30 - year Treasury bond futures contract TL2509 rose 0.04%, the 10 - year T2509 rose 0.04%, the 5 - year TF2509 rose 0.07%, and the 2 - year TS2509 rose 0.04% [1] Important Information - Open market: Last Friday, the central bank conducted 142.5 billion yuan of 7 - day reverse repurchase operations, with 106.5 billion yuan of reverse repurchases maturing on the same day, resulting in a net injection of 3.6 billion yuan [1] - Money market: Last Friday, short - term interest rates in the inter - bank money market rose compared with the previous trading day. The weighted average of DR001 for the whole day was 1.57% (1.48% the previous trading day), and the weighted average of DR007 for the whole day was 1.59% (1.57% the previous trading day) [1] - Cash bond market: Last Friday, the closing yields of inter - bank Treasury bonds fluctuated narrowly compared with the previous trading day. The yield to maturity of 2 - year Treasury bonds fell 0.54 basis points to 1.47%, the 5 - year rose 0.01 basis points to 1.57%, the 10 - year rose 0.22 basis points to 1.72%, and the 30 - year rose 0.20 basis points to 1.89% [1] - The US President said on May 24 that it was "bad" that US cars could not be sold in the EU and planned to impose a 50% tariff on the EU starting from June 1. On Sunday, the US President agreed to extend the deadline for the 50% tariff on the EU to July 9 [1] Market Logic - China's economic data in April showed that fixed - asset investment and consumption were slightly below expectations, while industrial production and exports were better than market expectations, indicating that the Chinese economy maintained resilience in April [1] - After the Sino - US Geneva economic and trade talks on May 12, there was a "rush to ship" in US - bound shipping. After the central bank cut the reserve requirement ratio and interest rates in May, it is unlikely to do so again in the short to medium term [1] - The 90 - day window period from the Sino - US economic and trade talks brought a short - term respite but did not eliminate long - term uncertainties. The prices of Treasury bond futures contracts on Friday showed a slight decline and then a rebound, closing slightly higher, and may continue to oscillate in the short term [1] Trading Strategy - Traders should conduct band operations [2]

Report Summary 1. Industry Investment Rating - The report gives a “slightly long” rating for Treasury bonds in the macro and financial sector [1] 2. Core View - The first - quarter economic data of China is good with GDP growing 5.4% year - on - year, better than the expected 5.2%. However, due to the US tariff increase, the Chinese economy will face challenges in the second quarter, and domestic incremental hedging policies may be introduced. Treasury futures may fluctuate in the short - term, and trading - type investors are advised to conduct band operations [3] 3. Summary by Relevant Catalogs 3.1 Market Review - On Thursday, Treasury futures opened higher across the board. After rising in the morning, they declined. By the close, the 30 - year Treasury futures main contract TL2506 fell 0.08%, the 10 - year T2506 fell 0.09%, the 5 - year TF2506 fell 0.11%, and the 2 - year TS2506 fell 0.05% [1] 3.2 Important Information - **Open market**: On Thursday, the central bank conducted 2180 billion yuan of 7 - day reverse repurchase operations, with 2455 billion yuan of reverse repurchases maturing, resulting in a net withdrawal of 275 billion yuan [1] - **Funds market**: On Thursday, the overnight interest rate in the inter - bank funds market declined slightly. The weighted average of DR001 was 1.60% (1.63% the previous day), and the weighted average of DR007 was 1.72% (1.65% the previous day) [1] - **Cash bond market**: On Thursday, the closing yields of inter - bank Treasury bonds fluctuated narrowly. The 2 - year yield rose 0.56 BP to 1.48%, the 5 - year rose 0.91 BP to 1.55%, the 10 - year rose 0.29 BP to 1.66%, and the 30 - year rose 0.48 BP to 1.93% [1] - **Treasury bond issuance**: On April 24, the Ministry of Finance issued three special Treasury bonds, including 165 billion yuan of 5 - year bonds with a weighted winning yield of 1.45%, 50 billion yuan of 20 - year bonds with a weighted winning yield of 1.98%, and 71 billion yuan of 30 - year bonds with a weighted winning yield of 1.88% [1] - **Sino - US trade**: As of April 24, there were no Sino - US economic and trade negotiations. The US should cancel all unilateral tariffs on China through equal dialogue [1] - **MLF operation**: The central bank will conduct 600 billion yuan of 1 - year MLF operations on April 25, with 100 billion yuan of MLF maturing this month, resulting in a net injection of 500 billion yuan [1][3] 3.3 Market Logic - The good first - quarter economic data is due to policy support and export rush. But the US tariff increase will pose challenges to the Chinese economy in the second quarter. The issuance of special Treasury bonds on April 24 did not significantly impact the funds market. The Wande All - A Index fell slightly on Thursday, and Treasury futures declined in the afternoon. The high Sino - US tariffs are difficult to resolve in the short - term [3] 3.4 Trading Strategy - Trading - type investors are advised to conduct band operations [3]