申万期货品种策略日报：国债-20250723

Report Date - The report is dated July 23, 2025 [1] Investment Rating - No investment rating provided in the report Core View - The prices of treasury bond futures generally declined on the previous trading day, with the T2509 contract down 0.11% and the open interest decreasing. The IRR of CTD bonds corresponding to the main contracts of each treasury bond futures was at a low level, with no arbitrage opportunities. Short - term market interest rates fluctuated, and key - term treasury bond yields at home and abroad changed. The external "equal - tariff" policy increased global economic uncertainty, and the central bank would maintain a supportive monetary policy, causing increased volatility in treasury bond futures prices under the short - term improvement in market risk appetite [2][3] Key Points by Category Treasury Futures Market - Price and Yield Changes: The prices of treasury bond futures generally fell on the previous trading day, with T2509 down 0.11%, TS2509 down 0.01%, TF2509 down 0.07%, etc. The IRR of CTD bonds corresponding to the main contracts was at a low level, indicating no arbitrage opportunities [2] - Open Interest and Volume: The open interest of TS2509 decreased by 2,462, TF2509 decreased by 3,177, while T2509 increased by 1,115. The trading volume of each contract also showed different changes [2] - Spread Changes: The inter - delivery spread of TS2509 decreased from - 0.068 to - 0.078, TF2509 decreased from - 0.070 to - 0.085, and T2509 decreased from - 0.040 to - 0.060 [2] Short - term Market Interest Rates - Domestic Short - term Rates: SHIBOR overnight decreased by 4.9bp to 1.3170, SHIBOR 7 - day decreased by 1.5bp to 1.4620, DR001 decreased by 4.13bp to 1.3599, etc. [2] Spot Market - Domestic Key - term Treasury Bond Yields - Yield Changes: The 10Y treasury bond yield increased by 1.43bp to 1.69%, the 5Y increased by 1.39bp to 1.56%, and the 2Y decreased by 0.24bp to 1.39% [2] - Yield Spread: The 10 - 2Y treasury bond yield spread was 27.76bp [2] Overseas Market - Key - term Treasury Bond Yields - Yield Changes: The US 10Y treasury bond yield decreased by 3bp to 4.35%, the German 10Y decreased by 2bp to 2.680%, and the Japanese 10Y decreased by 1.8bp to 1.510% [2] Macro News - Central Bank Operations: On July 22, the central bank conducted 214.8 billion yuan of 7 - day reverse repurchase operations at an interest rate of 1.40%, while 342.5 billion yuan of reverse repurchases and 120 billion yuan of treasury cash fixed - term deposits matured [3] - Real Estate Loans: At the end of the second quarter, the balance of RMB real estate loans was 53.33 trillion yuan, a year - on - year increase of 0.4%, and the balance of personal housing loans was 37.74 trillion yuan, a year - on - year decrease of 0.1% [3] - Foreign Investment Policy: The State Administration of Foreign Exchange plans to fully cancel the registration of foreign direct investment in domestic reinvestment nationwide [3] - International Events: Trump announced a large - scale agreement with Japan, and the US Treasury Secretary mentioned possible discussions on China's oil purchases from Russia and Iran in the new round of Sino - US negotiations [3] Industry Information - Domestic Money Market Rates: On July 22, most domestic money market rates declined, such as the 1 - day silver inter - bank pledged repurchase weighted average rate down 4.65bp to 1.3144% [3] - US Treasury Bond Yields: US treasury bond yields declined across the board, with the 2 - year yield down 2.31bp to 3.8292% and the 10 - year yield down 3.17bp to 4.344% [3] Market Comments and Strategies - Market Conditions: The long - end of domestic treasury bonds continued to decline, the central bank's open - market operations continued to have a net withdrawal, and the Shibor short - end varieties declined collectively. The US consumer confidence index reached a five - month high, and the 5 - year inflation expectation was at a five - month low. The Fed was under pressure to cut interest rates [3] - Economic Data: The second - quarter GDP increased by 5.2% year - on - year, with industrial added value, exports, and financial data better than expected, while consumption, investment, and real estate investment growth rates declined [3] - Market Outlook: The external "equal - tariff" policy increased global economic uncertainty, the central bank would maintain a supportive monetary policy, and the prices of treasury bond futures would be more volatile [3]