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国债期货周报-20250615
Guo Tai Jun An Qi Huo· 2025-06-15 09:08
Report Summary 1. Core View - Treasury bond futures maintained a narrow - range oscillation last week with a slight upward movement throughout the week. The overall implementation of broad credit still needs time, while the trend of broad money remains unchanged. Although treasury bond futures have been oscillating higher recently, the overall trend in the future is still expected to be oscillatory. Attention should be paid to arbitrage strategies, as well as allocation and hedging needs [2]. 2. Section Summaries 2.1. Weekly Focus and Market Tracking - Treasury bond futures contracts oscillated upward this week. The TL contract had a relatively large increase due to fluctuations in the overall market's risk appetite, and the yield curve flattened again. In terms of basis characteristics, the basis trend was stable, and the IRR of the main contract was basically between 1.8 - 1.9, still higher than the funding rate but with reduced cost - effectiveness. Regarding the inter - delivery spread, the 09 - 12 combination rebounded slightly, reflecting a decline in market sentiment. Currently, market liquidity is limited and not suitable for operation. In terms of the curve structure, opportunities for the curve to steepen should be noted [3][5]. 2.2. Liquidity Monitoring and Curve Tracking - No specific summarized content provided in the report. 2.3. Seat Analysis - In terms of the daily change in net long positions by institutional type: private funds increased by 2.15%; foreign capital increased by 2.86%, and wealth management subsidiaries increased by 2.67%. In terms of weekly changes: private funds increased by 1.4%; foreign capital decreased by 3.33%, and wealth management subsidiaries decreased by 3.86% [9].
弘则固收叶青:降息后的曲线结构
news flash· 2025-05-07 23:30
Group 1 - The core viewpoint is that the downward movement of the yield curve is hindered by structural distortions, with long-term yields rising despite recent interest rate cuts due to market expectations and the current yield curve being below bank funding costs [1][2] - The yield curve has experienced a significant inversion, dropping from 30 basis points (BP) before the Spring Festival to within 10 BP currently, indicating a lack of capital gain opportunities [1] - The current yield curve shows insufficient convexity, with only 15-20 year bonds exhibiting strong convexity, while the middle segment (e.g., certificates of deposit, 2-5 year credit bonds) serves as a source of convexity for ongoing investment [1] Group 2 - Short-term market outlook suggests that mid-term instruments are the most beneficial in the current environment, confirming the effectiveness of a "clumsy strategy" focused on 1-5 year non-rate products [2][4] - The market has become overcrowded, leading to a rapid decline in the 10-year government bond yield from 1.8% to 1.6%, resulting in a loss of trading space within the yield curve structure [2][4] - Historical patterns indicate that the current high performance of bond funds (annualized near 10%) is expected to revert within approximately one month, around mid-May [2]