【Industrial Securities Fixed Income】Funds are relatively loose, but TS cautious sentiment continues to rise—Weekly Overview of Government Bond Futures 20260405

Investment Highlights

• 1）This week, sentiment for long-duration government bond futures has improved somewhat. TL2606 edged up by 0.29 yuan to 111.46 yuan. Among the other varieties under the 2606 contract, prices rose first and then fell, with overall movement remaining limited.

• 2）In terms of open interest, within the 2606 contract, aside from TF recording a slight decrease in open interest this week, other varieties saw slight increases. Regarding trading volume, the center of trading volume for each variety has moved upward.

• 3）In the futures-vs-cash basis indicators, within the 2606 contract, the basis trend has diverged. The basis for TS and TF saw its central level rise, while the basis for T and TL saw its central level fall. The IRR indicator is lower than the cost of capital for all. For net basis, the 10DMA-weighted net basis for government bond futures shows divergence: the TS and TF net basis continues to rise, while the TL net basis saw a slight pullback.

• 4）The inter-delivery spread indicators also show divergence: TL and TF basically moved sideways, while T and TS widened slightly.

• 5）On the curve side, this week government bond spot yields showed a pattern of widening in the 30Y-7Y spread and narrowing in the 7Y-2Y spread. Meanwhile, the futures-bond curve indicators recorded tightening across the board.

1

Government bond futures price, trading, and position changes

2

Relationship between futures and cash bonds

3

Inter-delivery spreads and rolling-over progress

4

Curve indicators

Note: Data as of 2026/4/3

Contact: Zuo Dayong / Xiao Yu / Xu Lin

This information is compiled from publicly available materials only and does not involve research views or investment advice

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