申万期货品种策略日报：国家信息中心-20250714

Report Industry Investment Rating - No relevant information provided Core View of the Report - The prices of treasury bond futures fluctuated, with the T2509 contract down 0.01%. 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 were mixed, and the yields of key - term treasury bonds generally increased. Overseas, the yields of US, German, and Japanese treasury bonds also rose. The external environment became more complex, with increased global economic uncertainty due to the "reciprocal tariff" policy. The domestic market had insufficient effective demand, and the prices of treasury bond futures fluctuated more due to the enhanced expectation of real - estate stabilization policies [2][3] Summary by Relevant Catalogs Futures Market - Price and Volume: The prices of treasury bond futures on the previous trading day were mixed. For example, the T2509 contract fell 0.01%, and the trading volume and open interest of each contract changed. The open interest of TS2509 decreased by 418, while that of TS2512 increased by 231 [2] - Arbitrage: The IRR of CTD bonds corresponding to the main contracts of treasury bond futures was at a low level, indicating no arbitrage opportunities [2] Spot Market - Domestic Treasury Bond Yields: The yields of key - term domestic treasury bonds generally increased. The 10Y treasury bond yield rose 0.47bp to 1.66%, and the spread between long - and short - term (10 - 2) treasury bonds was 23.61bp [2] - Overseas Treasury Bond Yields: The yields of overseas key - term treasury bonds increased. The US 10Y treasury bond yield rose 8bp, the German 10Y treasury bond yield rose 6bp, and the Japanese 10Y treasury bond yield rose 0.9bp [2] Macro News - Central Bank Operations: On July 11, the central bank conducted 847 billion yuan of 7 - day reverse repurchase operations, with a net injection of 507 billion yuan. There will be 4257 billion yuan of reverse repurchases and 1000 billion yuan of MLF maturing this week [3] - Diplomatic Meetings: Chinese Foreign Minister Wang Yi met with US Secretary of State Rubio in Kuala Lumpur, and both sides agreed to strengthen communication and dialogue [3] - Policy Regulations: The Ministry of Finance required state - owned commercial insurance companies to improve asset - liability management and adjusted the assessment methods of some indicators [3] - Economic Data: In the second quarter, high - frequency data in multiple domestic fields improved. The offline consumption heat index increased by 25.5% year - on - year, and the online retail sales of major home appliances rose by 28.0% [3] - International Trade: US President Trump announced tariffs on products from Mexico, the EU, and Canada, increasing market concerns about inflation and trade tensions [3] - Japanese Central Bank Action: The Bank of Japan launched a "morning quote" for spot transactions, lending Japanese government bonds to support market liquidity [3] Industry Information - Interest Rate Changes: On July 11, most money - market interest rates in China increased. US Treasury yields rose across the board, driven by Trump's tariff announcements [3] Comments and Strategies - Market Situation: The central bank's open - market operations shifted from net withdrawal to net injection last week. Shibor remained low, and the domestic money market was relatively stable. Overseas, tariff announcements increased concerns about inflation and trade tensions. The domestic economy was generally expanding in June, but market demand was weak, and commodity prices were affected by policies [3] - Market Outlook: The external environment became more complex, with increased global economic uncertainty. The domestic market had insufficient effective demand, and the central bank maintained a supportive monetary policy. The "anti - involution" market trend continued, increasing the expectation of real - estate stabilization policies and causing greater fluctuations in treasury bond futures prices [3]