申万期货品种策略日报：国债-20250718

Group 1: Investment Rating - No investment rating information is provided in the report. Group 2: Core Viewpoints - The prices of treasury bond futures generally rose in the previous trading day, with the T2509 contract rising 0.05% and an increase in open interest [2]. - The IRR of the CTD bonds corresponding to the main contracts of each treasury bond futures was at a low level, and there were no arbitrage opportunities [2]. - Short - term market interest rates showed mixed changes. The SHIBOR 7 - day rate remained unchanged, the DR007 rate rose 0.18bp, and the GC007 rate fell 1bp [2]. - Yields of key - term treasury bonds showed mixed changes. The 10Y treasury bond yield fell 0.13bp to 1.66%, and the long - short (10 - 2) treasury bond yield spread was 24.75bp [2]. - The external environment has become more complex, and the "reciprocal tariff" policy has increased global economic uncertainty. The central bank will maintain a supportive monetary policy, which provides some support for treasury bond futures prices. However, the "anti - involution" policy has driven up the prices of some commodities, and the price fluctuations of treasury bond futures may increase in the short term [3]. Group 3: Summary by Related Catalogs Futures Market - Price and Volume: The prices of most treasury bond futures contracts rose, with T2509 rising 0.05%. The open interest of T2509 increased, while that of some other contracts showed mixed changes. Trading volumes also varied among different contracts [2]. - Spreads: The inter - delivery spreads of some contracts changed. For example, the inter - delivery spread of T2509 increased from - 0.0800 to - 0.055 [2]. - IRR: The IRR of the CTD bonds corresponding to the main contracts of each treasury bond futures was at a low level, with no arbitrage opportunities [2]. Spot Market - Domestic Treasury Bond Yields: Yields of domestic key - term treasury bonds showed mixed changes. The 6M, 1Y, and 30Y yields rose, while the 2Y, 5Y, 7Y, 10Y, and 20Y yields fell [2]. - Yield Spreads: The long - short (10 - 2) treasury bond yield spread was 24.75bp, and other yield spreads also changed [2]. Overseas Market - Overseas Treasury Bond Yields: The US 10Y treasury bond yield rose 1bp, the German 10Y treasury bond yield fell 1bp, and the Japanese 10Y treasury bond yield fell 1.4bp [2]. Macro and Industry Information - Macro News: The central bank conducted 4505 billion yuan of 7 - day reverse repurchase operations, with a net investment of 3605 billion yuan. Foreign institutions collectively raised their forecasts for China's 2025 GDP growth rate. The US Congress passed two cryptocurrency - related bills, and the US retail sales in June rebounded strongly [3]. - Industry Information: On July 17, most money market interest rates declined. The yields of US treasury bonds showed mixed changes, mainly affected by Trump's statements and market interpretations of economic data [3]. Comments and Strategies - Treasury bond futures prices rose slightly, and the yield of the 10 - year treasury bond active bond fell to 1.658%. The central bank's open - market operations maintained a stable market liquidity. The external environment was complex, and the central bank would maintain a supportive monetary policy, which supported treasury bond futures prices. However, short - term price fluctuations might increase [3].