申万期货品种策略日报：国债-20250722

Group 1: Report Investment Rating - No investment rating provided in the report Group 2: Core Viewpoints - On the previous trading day, Treasury bond futures prices generally declined, with the T2509 contract down 0.03% 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 rose, while those in the US, Germany, and Japan declined. The central bank's open - market operation had a net withdrawal of 55.5 billion yuan, and the market capital was relatively stable. Given the complex external environment, the central bank will maintain a supportive monetary policy, and the price fluctuations of Treasury bond futures may increase in the short term due to the rise in market risk appetite [2][3] Group 3: Summary by Relevant Catalogs Futures Market - Price and Volume: The prices of Treasury bond futures contracts TS2509, TS2512, TF2509, TF2512, T2509, T2512, TL2509, and TL2512 all decreased, with declines ranging from - 0.01% to - 0.45%. Open interest for some contracts increased (e.g., TF2509, T2509, TL2512), while others decreased (e.g., TS2509, TF2512). Trading volumes varied across contracts [2] - Spreads: The inter - delivery spreads of TS, TF, T, and TL contracts changed compared to the previous values, with some widening and some narrowing [2] - IRR: The IRR of the active CTD bonds of each Treasury bond futures contract was between 1.1176% and 1.6478%, indicating no arbitrage opportunities [2] Short - term Market Interest Rates - SHIBOR7 - day, DR007, and GC007 interest rates decreased by 1.7bp, 0.95bp, and 0.9bp respectively, while SHIBOR overnight, DR001, and FR001 also decreased, and GC001 increased slightly [2] Spot Market - China's Treasury Bond Yields: Yields of China's key - term Treasury bonds, including 6M, 1Y, 2Y, 5Y, 7Y, 10Y, 20Y, and 30Y, generally increased, with the 10Y yield rising 0.92bp to 1.68%. The 10 - 2Y yield spread was 26.74bp [2] - Overseas Treasury Bond Yields: US 10Y, German 10Y, and Japanese 10Y Treasury bond yields decreased by 6bp, 5bp, and 3.3bp respectively. The internal - external yield spreads varied [2] Macro and Industry Information - Macro News: The central bank conducted 170.7 billion yuan of 7 - day reverse repurchase operations on July 21, with a net withdrawal of 55.5 billion yuan. China's July LPR remained unchanged, and the market expects a further decline in the second half of the year. There are important diplomatic events and new regulations such as the "Housing Rental Regulations" [3] - Industry Information: Most money - market interest rates declined. US Treasury bond yields decreased across the board, mainly driven by the rise in the European Treasury bond market and increased concerns about US - EU trade negotiations [3] - Comments and Strategies: Long - end Treasury bonds fell significantly, and the central bank's open - market operation had a net withdrawal. The market capital was stable. With a complex external environment, the central bank will maintain a supportive monetary policy, and short - term price fluctuations of Treasury bond futures may increase [3]