申万期货品种策略日报：国债-20250729

Report Summary 1. Report Industry Investment Rating No information provided on the report industry investment rating. 2. Core View of the Report - The prices of treasury bond futures generally rose, with the T2509 contract rising 0.2%, and the short - term market interest rates generally declined. The yields of key - term treasury bonds at home and abroad changed, and the price fluctuations of short - term treasury bond futures will continue to increase due to multiple factors [2][3]. 3. Summary by Relevant Catalogs Futures Market - Prices and Volumes: The prices of treasury bond futures generally rose, such as the T2509 contract rising 0.2%. The trading volume and open interest of each contract varied, with some open interest decreasing [2]. - Arbitrage Opportunities: 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 - The short - term market interest rates generally declined. For example, the SHIBOR 7 - day rate decreased by 2.4bp, the DR007 rate decreased by 6.73bp, and the GC007 rate decreased by 2.9bp [2]. Spot Market - Domestic Treasury Bond Yields: The yields of key - term treasury bonds at home changed differently. The 10Y treasury bond yield decreased by 2.24bp to 1.72%, and the yield spread between long - and short - term (10 - 2) treasury bonds was 30.73bp [2]. - Overseas Treasury Bond Yields: The 10Y US treasury bond yield increased by 2bp, the 10Y German treasury bond yield decreased by 7bp, and the 10Y Japanese treasury bond yield decreased by 3.4bp [2]. Macro News - Monetary Policy: The central bank conducted 495.8 billion yuan of 7 - day reverse repurchase operations, with a net investment of 325.1 billion yuan [3]. - Economic Meetings: The national industrial and information authorities' symposium deployed eight key tasks for the second half of the year, including promoting industrial development and expanding domestic demand [3]. - Other Policies: The implementation plan of the national child - rearing subsidy system was officially announced, and the CF40 report suggested increasing counter - cyclical policies [3]. Industry Information - Interest Rate Changes: Most money market interest rates declined, and most US treasury bond yields fell. Trump's remarks affected the market's expectations of the Fed's policies [3]. Comment and Strategy - The price of 10 - year treasury bond active bonds rebounded significantly, and the yield dropped to 1.715%. Due to factors such as the central bank's operations, overseas economic data, and domestic policies, the price fluctuations of short - term treasury bond futures will continue to increase [3].