申万期货品种策略日报：国债-20250609

Report Summary 1. Investment Rating - There is no information about the industry investment rating in the report. 2. Core View - The prices of treasury bond futures generally rose in the previous trading day, with the T2509 contract rising 0.19% and an increase in open interest. The IRR of CTD bonds corresponding to the main contracts of treasury bond futures was at a low level, with no arbitrage opportunities. Short - term market interest rates showed mixed trends. Key - term treasury bond yields in China generally declined, while overseas yields had different changes. The Fed's rate - cut expectation within the year decreased due to better - than - expected US non - farm data. The central bank will maintain a supportive monetary policy, and the capital market will remain loose, which provides some support for futures bond prices. Attention should be paid to the market capital situation and trade negotiation progress [2][3]. 3. Summary by Relevant Catalogs Futures Market - Price and Volume: In the previous trading day, the prices of treasury bond futures generally rose, with T2509 rising 0.19%. The open interest of T2509 increased by 7872, and trading volumes also showed different degrees of change. The cross - period spreads of some contracts changed slightly [2]. - IRR: The IRR of CTD bonds corresponding to the main contracts of treasury bond futures was at a low level, indicating no arbitrage opportunities [2]. Short - term Market Interest Rates - The short - term market interest rates showed mixed trends. SHIBOR7 - day rate decreased by 3.4bp, DR007 decreased by 1.63bp, and GC007 increased by 0.5bp [2]. Spot Market - Domestic Treasury Bonds: The yields of key - term treasury bonds in China generally declined. The 10Y - term treasury bond yield decreased by 1.23bp to 1.66%, and the 10 - 2Y yield spread was 18.65bp [2]. - Overseas Treasury Bonds: The 10Y US treasury bond yield increased by 11bp, the 10Y German treasury bond yield increased by 5bp, and the 10Y Japanese treasury bond yield decreased by 0.4bp [2]. Macro News - Central Bank Operations: On June 6, the central bank carried out 1350 billion yuan of 7 - day reverse repurchase operations, with a single - day net withdrawal of 1561 billion yuan. This week, 9309 billion yuan of reverse repurchases will mature. Last week, the central bank's open market had a net withdrawal of 6717 billion yuan [3]. - Economic Data: From January to April, the added value of industrial SMEs above designated size increased by 8.2% year - on - year, and the operating income reached 25.8 trillion yuan. In May, China's foreign exchange reserves increased by 36 billion US dollars to 32853 billion US dollars, and the gold reserves increased by 600,000 ounces for the seventh consecutive month [3]. - International Events: The US non - farm employment data exceeded expectations, with an increase of 139,000 people in May, and the unemployment rate remained at 4.2% for the third consecutive month, which may give the Fed room to postpone rate cuts [3]. Industry Information - Interest Rate Changes: In the money market, most interest rates showed different trends. The weighted average interest rate of inter - bank pledged repurchase had changes in different terms. US treasury bond yields rose collectively [3]. - Market Analysis: The yields of 10 - year treasury bonds declined. The central bank carried out a 10000 - billion - yuan outright reverse repurchase operation, and the short - term market interest rate declined. The Fed's rate - cut expectation within the year decreased, and the domestic market risk preference may increase. The central bank will maintain a supportive monetary policy, and the capital market will remain loose [3].