国债期货展期展望：2025年12月至2026年3月

The release of delayed government data during the roll period could introduce somevolatility to near-term Fed pricing. We expect the Fed to cut in December, thoughthe bar for holding is very low. Current market pricing is consistent with this outlook SOFR/Fed funds pricing is consistent with an outlook of tight funding conditionsthrough the year-end followed by improvements next year. While the Fed could take Several contracts have closely contended CTDs and the switch optionality shouldbe considered in the basis pricing. For example, TUZ5, TYZ5 and USH6 could switch In the TU, TY and US sectors, the front CTD appears cheap relative to the back CTD. As of September, asset manager and other reportable net positions were high in theFV and TY sectors, low in the US sector, and close to average in the WN sector.However, given the lack of more recent data, positioning is likely less useful as an DB Research and Trading will host a client call on Tuesday, November 18that 11:00am to discuss the outlook for the upcoming futures roll.Click here to register. Client Webinar Registration DB Research and Trading will host a client call to discuss the outlook for the Click here to register Date:Tuesday, November 18 Time:11:00 am ET Speakers: nRyan Whelan– US Futures ExecutionnSteven Zeng– US Rates StrategynJia Xu– Head of US Treasury TradingnRussell Tang– US Treasury Trading Overview Figure 1: Early delivery for short/intermediate sectors and late The Dec25-Mar26 Treasury futures roll takes place in the wake of a lengthygovernment shutdown, with delayed economic releases flooding headlines overnext few weeks helping update the outlook for policymakers and investors. As ofthis writing, the Fed is highly split over the appropriate policy action for the nextmeeting, with dissents likely regardless of the decision. At the same time, a volatile The government shutdown has also interrupted important investor positioning dataused for roll analysis. The last release from CFTC is from September 23 and isunlikely to capture the latest positioning, especially after the repo volatility inOctober may have led to changes in leveraged positions. For this report, we Carry favor early delivery for shorter contracts whose CTD coupons are below thefinancing rate, and late delivery for longer contracts whose CTD coupons are abovefinancing. All sectors except the WN feature different CTDs for the front and back,and the relative value and the stability of the spread between CTDs offers another For the upcoming roll cycle, we are bullish on the TU and US calendar spreads,bearish on the FV and WN calendar spreads, and neutral on the TY and UXY Source : Deutsche Bank Fed Pricing Market pricing for December suggests a toss-up for the Fed decision, with roughly10 bps of cuts currently priced into the meeting. The amount priced appears Last week, there were surprisingly hawkish comments from several Fed officials.Notably, all four regional voters now lean against a December rate cut. Among theFed Governors, Vice Chair Jefferson has advocated for “proceeding slowly as we DB economists expect a rate cut in December, though acknowledging a low bar forskipping a meeting. Our analysis shows that a rate cut in December versus waitinguntil January to cut is worth about 12 bps, with fed funds estimated to average3.68% for a December cut versus 3.80% for a January cut over the relevant carry A busy data calendar in the days ahead could introduce additional volatility in near-term Fed pricing. A shift in expectations toward a December cut would lower the Repo Spread Beyond the near-term Fed policy path, the repo spread over the fed funds raterepresents an additional source of financing risk. Fundingconditions have tightened drastically since September,as reservebalances have become less abundant following the post-debt ceiling TGA rebuildand depletion of the Fed ON RRP balances. The risk of year-end funding strains,accompanied but the ongoing creep higher in the effective fed funds rate, has Our expectation is that the Fed will begin reserve-management purchases nextyear, though we won’t rule out it making the announcement at the Decembermeeting. We see a reasonable case for lowering IORB, though a change in the SRFis unlikely. Current SERFF futures pricing reflects expectations for tight funding CTD Switches Some contracts have closely contended CTDs that represent quality option for theshort holder and should therefore be incorporated into considerations of pricing. nTUZ5:The CTD is cuspy between 3.375% Sep27s, which have lowerduration and are more likely to be CTD in a rally, and 3.5% Sep27s, whichhave higher duration and are more likely to be CTD in a sell-off.nTYZ5:The CTD is currently 3.875% Aug32s. In a local rally, it could switchto 4% Jul32s, which have lower duration.nUSH6:The CTD is 4.75% Nov43s. In a local rally, the CTD could switch to4.375% May41s, which have lower duration.nWNZ5:The CTD is 4.75% Nov43s. In a loca