国债衍生品周报 2026/2/27 咨询业务资格：沪证监许可【2012】1515号 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 24/06 24/12 25/06 25/12 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 25/12 1 2 3 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，但本公司对该等信息的准确性及完整性不作任何保证。本报告所载的意见、结论及预测仅反映报告发布时的观点、结论 和建议。在不同时期，本公司可能会发出与本报告所载意见、评估及预测不一致的研究报告。本公司不保证本报告所含信息保持在最新状态。本公司对本报告所含信息可在不发出通知的情 形下做出修改， 交易者（您）应当自行关注相应的更新或修改。本公司力求报告内容客观、公正，但本报告所载的观点、结论和建议仅供参考，交易者（ ...

Report Core View - The central bank's reverse repurchase scale reached 1180.9 billion yuan this week, with abundant liquidity. Moderate inflation, negative PPI growth, and a reasonable and abundant capital supply support Treasury bond futures. However, the net supply of 10-year Treasury bonds has increased, and the bond supply bears have rebounded. The market is highly sensitive to negative factors, with rumors of a downward adjustment of the growth target and the central bank providing MLF funds to city commercial banks. It is recommended to pay attention to changes in the capital supply and the impact of the flattening of the yield curve on asset allocation [2] Data Charts - The report presents data charts on Treasury bond yields, capital rates, Treasury bond term spreads, Treasury bond futures positions, Treasury bond futures trading volumes, Treasury bond futures basis, Treasury bond futures inter - period spreads, and Treasury bond futures cross - variety spreads, covering different time ranges and maturities such as 2 - year, 5 - year, 10 - year, and 30 - year Treasury bonds [3][5][7]

Core Viewpoint - The report from Guotai Junan Securities' fixed income team indicates that while the Chinese bond market has shown some recovery, the 30-year bonds are expected to remain under pressure in the first half of the first quarter [1] Group 1: Market Conditions - The 30-year government bonds face directional operations due to rising interest rates, with strategies such as credit bond/ local bond duration reduction and neutral strategies being employed [1] - The expectation for a narrow downward space in bond yields is difficult to change, alongside a relatively strong stock market [1] Group 2: Issuance and Liquidity - There is an increase in the issuance of ultra-long bonds, which constrains the demand for 30-year government bonds [1] - The characteristics of high elasticity and high liquidity of 30-year government bonds are unlikely to change [1] Group 3: Yield Spread - The yield spread between 30-year and 10-year government bonds, as well as the central tendency of the yield spread between 10-year policy bank bonds and government bonds, may continue to remain elevated [1] - The yield spread between ultra-long local bonds and government bonds is expected to stay at relatively low levels [1]

Report Core View - Bullish factors include the central bank conducting reverse repurchase operations with a net investment of 21.22 billion yuan, resulting in a marginal easing of liquidity. Also, Treasury bond futures closed slightly stable, heating up at the end of the session with a slight decline in yields [2] - Bearish factors are that both China's CPI and PPI rose in December, increasing inflation pressure, and the decreased expectation of the Fed's interest rate cut and rising global trade uncertainties have led to increased uncertainty in foreign capital inflows [2] - The trading advisory view suggests paying attention to the short - term decline of the basis and closely monitoring the price support from the central bank's liquidity operations [2] Data Presented in the Report (Sources from Wind) 1. Treasury Bond Yield - The report shows the trends of 2Y, 5Y, 7Y, 10Y, and 30Y Treasury bond yields from 2024 - 04 to 2025 - 12 [3] 2. Treasury Bond Term Spread - It presents the trends of the 7Y - 2Y and 30Y - 7Y Treasury bond spreads from 2024 - 04 to 2025 - 12 [4] 3. Treasury Bond Futures 3.1 Open Interest - The open interest trends of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures from 2015 - 12 to 2025 - 12 are shown [6] 3.2 Trading Volume - The trading volume trends of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures from 2024 - 04 to 2025 - 12 are presented [7] 3.3 Basis of Current - Quarter Contracts - The basis trends of current - quarter contracts for 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures are shown in different time periods [8][9][12] 3.4 Inter - Delivery Spread (Current - Quarter - Next - Quarter) - The inter - delivery spread trends of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures from different time periods are presented [16][17] 3.5 Inter - Variety Spread - The trends of the TS * 4 - T and T * 3 - TL inter - variety spreads from different time periods are shown [18][19]

Group 1: Core Viewpoints - Bullish factors for the 10-year Treasury bond last week include the recovery of allocation demand due to alleviated concerns about ultra-long-term supply and increased institutional allocation willingness, and a loose funding environment with the entry of incremental funds at the beginning of the year, leading to downward pressure on interest rates [2] - Bearish factors are the weak expectation of monetary easing as the Fed's rate cut expectation lacks strong fundamental support in the short term, and the pressure from the stock-bond seesaw, with capital preference for the bond market causing selling pressure on the stock market and yield fluctuations [2] - The trading advisory view is that the bond market sentiment was generally cautious last week. It is recommended to focus on the allocation window brought by the widening of spreads, buy configuration-type contracts on dips, maintain a wait-and-see attitude, and avoid unilateral chasing [2] Group 2: Data Presentations Yields - The document presents the historical data of 2Y, 5Y, 7Y, 10Y, and 30Y Treasury bond yields from 2024 to 2025 [3] Funding Rates - It shows the historical data of the weighted average interest rate of pledged repurchase by deposit-taking institutions for 1-day and 7-day tenors and the 7-day reverse repurchase rate from 2023 to 2025 [3] Term Spreads - The historical data of the 7Y - 2Y and 30Y - 7Y Treasury bond term spreads from 2024 to 2025 are presented [4] Futures Basis - The historical data of the basis of 2Y, 5Y, 10Y, and 30Y Treasury bond futures' current-quarter contracts are shown [7][8][9][15] Futures Inter - Delivery Spreads - The historical data of the inter - delivery spreads (current - quarter minus next - quarter) of 2Y, 5Y, 10Y, and 30Y Treasury bond futures are presented [11][13][16] Futures Trading Volume - The historical trading volume data of 2Y, 5Y, 10Y, and 30Y Treasury bond futures from 2015 to 2025 are shown [14] Futures Cross - Product Spreads - The historical data of the cross - product spreads of TS*4 - T and T*3 - TL are presented [17][18]

Report Summary Core View - There are both positive and negative factors in the bond market. Positive factors include a loose capital market despite the contraction of the manufacturing PMI, and rumors of "dual cuts" in the political situation boosting sentiment, leading to a decline in yields and an overall rise in futures. Negative factors are that the central bank's bond - buying scale is lower than expected, causing yields to rise and futures to fall, as well as banks selling bonds to realize profits and bond funds facing redemption pressure, resulting in consecutive increases in yields and falling futures. The trading advice is to pay attention to the central bank's bond - buying intensity and short - term liquidity and keep positions flexible [2] Specific Data and Indicators Yield and Interest Rate - Data on 2Y, 5Y, 10Y, 30Y, and 7Y treasury bond yields from 2024/04 to 2025/08 are presented, along with data on deposit - type institutional pledged repurchase weighted interest rates for 1 - day and 7 - day terms and 7 - day reverse repurchase rates from 2023/12 to 2025/06 [3] Term Spread - Data on treasury bond term spreads (7Y - 2Y and 30Y - 7Y) from 2024/04 to 2025/08 are provided [4][5] Futures Position and Trading Volume - Data on the positions and trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures from different time periods are shown [7][8] Basis and Spread - Data on the basis of the current - quarter contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures are presented, as well as the inter - period spreads (current - quarter minus next - quarter) of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures. Additionally, data on cross - variety spreads (TS*4 - T and T*3 - TL) are provided [9][10][14][16][18][19][20]

Report Summary Core View - The capital market maintains a loose pattern, and abundant liquidity supports the bond market. The economic fundamentals have no significant negative factors, and the market environment is relatively stable. However, there are potential risks of rising inflation expectations and geopolitical uncertainties, which may put pressure on the bond market. It is recommended to maintain a wait - and - see approach, control risks, and pay attention to policy signals and economic data trends [2] Data Analysis - **Yield to Maturity**: The report presents the yield - to - maturity data of 2Y, 5Y, 10Y, 30Y, and 7Y treasury bonds from 2024/04 to 2025/08 [3] - **Funding Rates**: It shows the funding rates including the deposit - type institutional pledged repurchase weighted average rate for 1 - day and 7 - day, and the 7 - day reverse repurchase rate from 2023/12 to 2025/06 [3] - **Treasury Bond Term Spreads**: The term spreads of 7Y - 2Y and 30Y - 7Y treasury bonds from 2024/04 to 2025/08 are provided [4][5] - **Treasury Bond Futures Positions**: The positions data of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures from 2015/12 to 2023/12 are presented [7] - **Treasury Bond Futures Trading Volume**: The trading volume data of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures from 2024/04 to 2025/08 are shown [8] - **Treasury Bond Futures Basis**: The basis data of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures' current - quarter contracts are provided with different time ranges [9][10][11][13] - **Treasury Bond Futures Inter - Period Spreads**: The inter - period spreads of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures (current - quarter minus next - quarter) are presented with different time ranges [14][15][16][18] - **Treasury Bond Futures Inter - Variety Spreads**: The inter - variety spreads of TS*4 - T from 2024/04 to 2025/08 and T*3 - TL from 2023/06 to 2025/06 are shown [19][20]

Core Viewpoint - The bond market is experiencing significant declines, with long-term bonds facing increased selling pressure and widening yield spreads, indicating a challenging environment for investors [3][5][6]. Group 1: Market Performance - On December 4, the bond market saw a notable decline, with the 30-year government bond futures contract dropping over 1%, marking the largest single-day decline in recent times [3][5]. - The yield on the 30-year special government bond reached approximately 2.28%, while the 10-year bond yield rose to 1.8525% [6][5]. - The yield spread between 30-year and 10-year government bonds has widened to around 43 basis points, reflecting a significant shift in market sentiment [6][12]. Group 2: Market Dynamics - The ongoing decline in the bond market is attributed to a combination of trading behaviors and a lack of positive market signals, leading to heightened panic among investors [7][9]. - Banks and non-bank financial institutions are primarily responsible for the selling pressure, as many institutions seek to realize gains from previous investments amid market volatility [9][10]. - The recent regulatory changes regarding public fund redemption fees have contributed to increased selling pressure, particularly among public funds and brokerages [11][12]. Group 3: Future Outlook - Despite the short-term bearish sentiment, many institutions maintain a cautiously optimistic view on the long-term trend of the bond market, anticipating potential recovery as liquidity conditions improve [14]. - Analysts suggest that the current high yields on long-term bonds may present buying opportunities, especially if monetary policy shifts towards easing [14][13]. - The upcoming central bank operations, including a planned 10 billion yuan reverse repurchase agreement, are expected to influence market liquidity and investor sentiment [14][12].

Report Summary Core View - The report analyzes the factors affecting the Treasury bond market, suggesting to focus on the layout opportunities of far - month contracts and be aware of the short - term volatility risks caused by the widening basis [2] Factors Affecting the Market Bullish Factors - The funding situation has eased, and the inter - bank liquidity has significantly improved after the impact of the tax period has subsided [2] - The central bank has restarted Treasury bond trading operations, providing direct buying demand for the market [2] Bearish Factors - The economic fundamentals remain weak, and indicators such as investment and exports continue to face pressure [2] - The rise in US Treasury yields exerts external pressure on domestic bond yields [2] Data Analysis Yield and Spread - The report presents the historical data of Treasury bond yields for 2Y, 5Y, 10Y, 30Y, and 7Y, as well as the term spreads of 7Y - 2Y and 30Y - 7Y [3][4][5] Trading Volume and Open Interest - It shows the historical trading volume data of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures, and also mentions the open interest of Treasury bond futures [8][18] Basis and Spread - The historical basis data of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures' current - quarter contracts are provided, along with the inter - delivery spreads (current - quarter minus next - quarter) of these contracts [9][10][11][17][19] - The cross - variety spreads of TS*4 - T and T*3 - TL are also presented [20][21]

Group 1: Investment Rating - No investment rating information is provided in the report. Group 2: Core View - The report analyzes the factors affecting the bond market, with bank - to - bank funds in a loose environment supporting the bond market, and the 10 - year main contract rising 0.12% weekly, showing stable market sentiment and attracting buyers. However, there are also negative factors such as better - than - expected import and export data (4.8% export growth) and high risk preference. It is recommended to closely monitor the capital situation and economic fundamentals and maintain a cautious and wait - and - see attitude [3] Group 3: Summary by Related Data Bond Market Influencing Factors - Positive factors: Bank - to - bank funds in a loose environment support the bond market, and the 10 - year main contract rising 0.12% weekly attracts buyers [3] - Negative factors: Import and export data are better than expected (4.8% export growth), which may push up interest rate expectations, and high risk preference increases the pressure of capital diversion [3] Yield and Interest Rate - The report presents the trends of 2Y, 5Y, 10Y, 30Y, and 7Y treasury bond yields from 2024/04 to 2025/08, as well as the trends of deposit - type institutional pledged repurchase weighted interest rates for 1 - day and 7 - day and 7 - day reverse repurchase rates from 2023/12 to 2025/06 [4] Term Spread - It shows the trends of 7Y - 2Y and 30Y - 7Y treasury bond term spreads from 2024/04 to 2025/08 [4] Futures Position and Trading Volume - The trends of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures positions from 2015/12 to 2023/12 and trading volumes from 2024/04 to 2025/08 are presented [8][9] Basis and Spread - The report shows the trends of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures basis for the current quarter, as well as the trends of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures spreads between the current and next quarters from 2024/04 to 2025/08 (for 30 - year from 2023/06 to 2025/06) [10][17][20] - It also presents the trends of TS*4 - T and T*3 - TL cross - variety spreads from 2024/04 to 2025/08 (for T*3 - TL from 2023/06 to 2025/06) [21][22]