证券分析师：黄伟平 A0230524110002 栾强 A0230524110003 2025.08.27 主要内容 风险提示：模型计算可能存在误差，指标选取可能不够全面，历史回测不代表未来 www.swsresearch.com 证券研究报告 2 证 券 研 究 报 告 10年国债利率月度择时策略：模型更新与应用 ——利率择时策略研究系列之五 ◼ 此前我们在报告《似曾相识燕归来：10年国债利率月度择时——利率择时策略研究系列之一》中，建立了基于历史 相似度的量化预测模型，探索通过定量模型的方法对主观决策加以补充和验证。 ◼ 考虑到政策环境和市场特征的变化，我们对月度利率择时模型进行了更新： • 丰富因子指标：增加外部压力、资产比价等维度的因子指标。 • 差异设置权重：针对不同类型因子指标赋予差异化权重。 • 修正季节处理：月份数字转化为弧度，实现月份数字头尾相近。 • 缩减历史区间：减少历史相似时期的搜索数量，注重当前与近期历史的可比性。 ◼ 模型依然保持时效性，月末即可计算预测下个月利率中枢的变化方向。 ◼ 新模型的预测方向胜率优于原模型： • 2019.01-2025.07期间，新模型预测方向胜率达到6 ...

每经AI快讯，国债期货午后上扬，TL合约涨0.12%报119.39，T合约涨0.10%报108.59。10Y国债活跃券 收益率下行1.1BP至1.6970%。 ...

Group 1: Report Information - Report Title: "TS Contract: Can It Still Be Used for Cash-and-Carry Arbitrage? - Interest Rate Weekly (Week 3 of May)" [1] - Report Date: May 19, 2025 [2] - Chief Analyst: Yan Ziqi, with a practice certificate number of S0010522030002 [2] - Research Assistant: Hong Ziyan, with a practice certificate number of S0010123060036 [2] Group 2: Industry Investment Rating - No industry investment rating is provided in the report. Group 3: Core Views - Since the implementation of reciprocal tariffs on April 3, the bond market's maturity yields have first decreased and then increased. Among treasury bond futures, the TL contract has been strong, while the TS/TF/T main contracts have declined [2]. - The weak performance of the TS contract is due to the previous large premium and the change in the expectation of loose monetary policy. The market's expectation of loose monetary policy changed significantly in Q1, and there are differences in the short - term expectation of loose monetary policy after the double - cut in May. The yield curve has flattened instead of steepening as expected [3]. - As of May 16, the basis of the TS main contract is - 0.07 yuan, and the IRR is 1.79%. The basis has significantly converged, and the IRR is close to the capital interest rate, so the cost - effectiveness of cash - and - carry arbitrage is insufficient [4]. - In the short term, the TS contract may still be in a premium state because of the continuous negative carry. The inversion between R001 and the 2 - year treasury bond maturity yield has decreased from about 60bp at the beginning of the year to 15bp on May 16, and the negative carry phenomenon of some varieties will continue [4]. - Considering that the tight capital situation in Q1 will not repeat, the short - term interest rate has a ceiling and the probability of a sharp decline is low. With the significant convergence of the basis, one can consider participating in the possible rise of the TS contract [4]. Group 4: Analyst and Research Assistant Introduction - Analyst Yan Ziqi is the assistant director of the Research Institute of Hua'an Securities and the chief analyst of fixed income. He has 8 years of experience in sell - side fixed income and equity research, and has won the second place in the 2024 Wind Gold Analyst and the best analyst in the 2023 Choice fixed income industry [12]. - Research Assistant Hong Ziyan is a master of financial engineering from the University of Southern California, covering macro - interest rates, institutional behavior, and treasury bond futures research [12].