国债期货周报：政策传言扰动，期债表现分化 研究员：沈忱 CFA 期货从业证号：F3053225 投资咨询证号：Z0015885 目录 第一部分 周度核心要点分析及策略推荐 2 第二部分 相关数据追踪 10 GALAXY FUTURES 1 227/82/4 228/210/172 181/181/181 87/87/87 文 字 色 基 础 色 辅 助 色 137/137/137 246/206/207 68/84/105 210/10/16 221/221/221 208/218/234 内容摘要 ◼【综合分析】 逻辑梳理：本周期债盘面表现稍显分化。部分市场参与者提前博弈本月央行国债买卖相关信息，这使得中短端表现相对偏强；而外媒 关于地产增量政策的报道则压制长端情绪，后半周TL合约跌幅稍大。短期来看，地产相关政策的实际进度、具体力度以及财政贴息的 资金来源等细节尚不得而知，较难驱动收益率趋势性上行。与此同时，市场降息预期不强，资金价格对收益率的下行或也继续构成约 束。在此情况下，预计债市将延续震荡态势，但考虑到偏弱的基本面现状，单边建议可中性略偏多思路对待，逢低轻仓布局一定T合 约多单。 套利方面，前期做空 ...

2025年10月27日，央行行长表示"目前，债市整体运行良好，我们将恢复公开市场国债买卖操作"。央行 国债买卖的重启明确了货币政策宽松基调的延续，将继续与财政发债协同配合。同时上一轮购买国债的 到期及当前债市较为合理的估值为国债买卖重启提供条件。对债券市场而言，影响整体偏多，债市调整 风险进一步减弱，但预计难以出现像上一轮国债买卖推动收益率大幅下行的情况。 策略上，前期利用国债期货进行空头套保的可适当降低套保比例。我们前期推荐的TS2512合约多单仍 可继续持有，同时可以关注TF合约做多机会。 1 事件回顾 2025年10月27日，央行行长潘功胜在2025金融界论坛年会上表示"目前，债市整体运行良好，我们将恢 复公开市场国债买卖操作"。央行国债买卖重启落地时间略超市场预期，消息公布后债券收益率快速下 行，期债由于当时已收盘，次日开盘四大合约全线跳空高开。 2 事件分析 国债买卖重启的原因及启示 配合财政发力，货币政策宽松基调延续。在9月3日的财政部与中国人民银行联合工作组召开第二次组长 会议，就曾提及"部、行协同配合取得的成效，并就金融市场运行、政府债券发行管理、央行国债买卖 操作和完善离岸人民币国债发行机制 ...

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].