申万期货品种策略日报：国债-20250612

Group 1: Report Summary - The report is the Shenwan Futures Variety Strategy Daily Report - Treasury Bonds on June 12, 2025, released by the Shenwan Futures Research Institute [1] Group 2: Investment Rating - No investment rating for the industry is provided in the report Group 3: Core View - The previous trading day saw a general increase in treasury bond futures prices, with low IRR for CTD bonds of main contracts and no arbitrage opportunities. Short - term market interest rates showed mixed trends, and key - term treasury bond yields generally declined. The Fed may keep rates unchanged in the next meeting, and the central bank will maintain a supportive monetary policy, with loose liquidity supporting bond futures prices [2][3] Group 4: Futures Market - Price and Volume: The previous trading day, treasury bond futures prices generally rose. For example, the T2509 contract rose 0.05%. The trading volume and open interest of various contracts also changed. For instance, the open interest of the T2509 contract increased by 2389 [2] - IRR: The IRR of CTD bonds corresponding to main treasury bond futures contracts was at a low level, with no arbitrage opportunities [2] Group 5: Short - term Market Interest Rates - Rate Changes: The previous trading day, short - term market interest rates showed mixed trends. SHIBOR 7 - day rate rose 0.6bp, DR007 rate rose 1.91bp, and GC007 rate rose 3.2bp [2] Group 6: Spot Market - Chinese Treasury Yields: The previous trading day, yields of key - term Chinese treasury bonds generally declined. The 10Y treasury bond yield dropped 0.79bp to 1.65%, and the 10 - 2Y yield spread was 17.12bp [2] - Overseas Treasury Yields: The previous trading day, the US 10Y treasury bond yield dropped 6bp, the German 10Y yield rose 0bp, and the Japanese 10Y yield rose 0.7bp [2] Group 7: Macro News - Central Bank Operations: On June 11, the central bank conducted 164 billion yuan of 7 - day reverse repurchase operations, with a net withdrawal of 50.9 billion yuan [3] - Sino - US Economic and Trade Talks: The first meeting of the Sino - US economic and trade consultation mechanism was held in London, reaching a consensus on measures to consolidate the results of the Geneva economic and trade talks [3] - China - Africa Cooperation: President Xi Jinping sent a congratulatory letter to the Ministerial Meeting of Coordinators for the Implementation of the Outcomes of the China - Africa Cooperation Forum, emphasizing cooperation in multiple fields [3] - CPI Data: In May, 8 provinces' CPI rose year - on - year, 2 were flat, and 21 declined. CPI is expected to show a mild recovery [3] - Debt Replacement: As of the end of May, over 1.6 trillion yuan of replacement bonds were issued, completing over 80% of the annual quota [3] - US Inflation: US May CPI data was mild. Trump called for a 1 - percentage - point rate cut, and traders bet on two rate cuts this year, but the Fed may keep rates unchanged next week [3] Group 8: Industry Information - Money Market Rates: Most money market interest rates rose. For example, the 1 - day and 7 - day weighted average rates of inter - bank pledged repurchase increased [3] - US Treasury Yields: US treasury yields generally declined, driven by mild inflation data reducing expectations of short - term Fed rate hikes [3]