申万期货品种策略日报：国债-20250411

Report Overview - The report is the Shenwan Futures Variety Strategy Daily Report - Treasury Bonds on April 11, 2025, provided by the Shenwan Futures Research Institute [1][2] 1. Report Industry Investment Rating - Not provided in the content 2. Report's Core View - Treasury bond futures prices showed mixed performance, with the 10 - year Treasury bond active bond yield falling to 1.6475%. The central bank's open - market operations led to a net withdrawal of 157.5 billion yuan, and short - term Shibor rates mostly declined, with funding rates dropping below 1.7%. The probability of the Fed's interest rate cut increased, causing short - term US Treasury yields to fall. Policy expectations for China's market are strengthening, and it is expected to continue supporting short - term Treasury bond futures prices. However, long - term Treasury bond futures prices may experience greater fluctuations [2][3] 3. Summary by Relevant Catalogs 3.1 Futures Market - Price and Yield Changes: On the previous trading day, Treasury bond futures prices showed mixed performance. For example, the T2506 contract rose 0.13%, and the corresponding CTD bond IRR of each Treasury bond futures main contract was at a low level, with no arbitrage opportunities. Short - term market interest rates generally declined, and key - term Treasury bond yields at home and abroad also changed. The 10Y Treasury bond yield in China decreased by 0.23bp to 1.65%, while the 10Y Treasury bond yields in the US, Germany, and Japan increased by 6bp, 3bp, and 1.6bp respectively [2] - Trading Volume and Open Interest: The trading volume and open interest of each contract also changed. For example, the open interest of T2506 increased by 3578 [2] - Spread Changes: The inter - period spreads of some contracts changed. For example, the inter - period spread of TS2506 decreased from - 0.096 to - 0.106 [2] 3.2 Macro and Market News - Domestic Macro: The central bank's open - market operations had a net withdrawal of 157.5 billion yuan on April 10. China's March CPI and PPI were affected by seasonal and international input factors, but core CPI increased by 0.5% year - on - year, showing positive price changes. There are expectations for the introduction of more macro - policies, including possible reserve requirement ratio cuts and interest rate cuts [3] - International Macro: The US imposed a 90 - day tariff suspension on some countries or regions. The US March CPI increased by 2.4% year - on - year, reaching a six - month low, and the probability of the Fed's interest rate cut increased. US Treasury bonds were sold off, and concerns about the sustainability of US debt increased [3] 3.3 Market Interest Rates - Domestic Short - term Market Interest Rates: SHIBOR overnight and 7 - day rates, DR001 and DR007, GC001 and GC007, FR001 and FR007 all declined to varying degrees on the previous trading day [2] - US Treasury Yields: US Treasury yields showed mixed performance. The 2 - year yield fell, while the 5 - year, 10 - year, and 30 - year yields rose [3]