申万期货品种策略日报：国债-20250801

Report Information - Report Date: August 1, 2025 [1] - Report Type: Shenwan Futures Variety Strategy Daily Report - Treasury Bonds - Analyst: Tang Guanghua from Shenyin Wanguo Futures Research Institute (Qualification No.: F3010997; Trading Consultation No.: Z0011162) [2] Investment Rating - No investment rating for the industry is provided in the report. Core View - The prices of treasury bond futures generally rose in the previous trading day, and short - term market interest rates showed mixed trends. Given the "anti - involution" policy expectations, the prices of treasury bond futures may continue to stabilize in the short term when the equity and commodity markets are weak [2][3]. Summary by Section Futures Market - Price and Volume: The prices of all treasury bond futures contracts rose, with T2509 rising 0.17%. The T2509 contract's trading volume was 69,263, and its open interest decreased by 2,277. 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]. - Interest Rate Spread: The inter - term spreads of TS, TF, T, and TL contracts were - 0.068, - 0.080, 0.030, and 0.330 respectively, showing different changes compared to the previous values [2]. Spot Market - Short - term Market Interest Rates: Short - term market interest rates showed mixed trends. SHIBOR 7 - day, DR007, and GC007 rates decreased by 0.4bp, 3.07bp, and 15.1bp respectively [2]. - Chinese Treasury Bond Yields: The yields of key - term Chinese treasury bonds generally declined. The 10 - year treasury bond yield decreased by 2.59bp to 1.7%, and the 10 - 2 year yield spread was 27.8bp [2]. - Overseas Treasury Bond Yields: The 10 - year US treasury bond yield decreased by 1bp, the 10 - year German treasury bond yield increased by 1bp, and the 10 - year Japanese treasury bond yield decreased by 0.6bp [2]. Macroeconomic News - Monetary Policy: On July 31, the central bank conducted 283.2 billion yuan of 7 - day reverse repurchase operations, with a net withdrawal of 47.8 billion yuan [3]. - Policy Meetings: The State Council Executive Meeting passed the "Opinions on Deeply Implementing the 'Artificial Intelligence +' Initiative", and the National Development and Reform Commission emphasized efforts in the second half of the year to achieve economic goals [3]. - Economic Data: China's official manufacturing PMI in July was 49.3, a 0.4 - percentage - point decrease; the comprehensive PMI output index was 50.2, a 0.5 - percentage - point decrease; the non - manufacturing PMI was 50.1, a 0.4 - percentage - point decrease [3]. - Overseas News: The US will resume collecting so - called "reciprocal tariffs" on August 1. The core PCE price index in the US in June increased by 2.8% year - on - year, higher than expected [3]. Industry Information and Strategy - Interest Rate Trends: On July 31, most money market interest rates in China rose, and US treasury bond yields showed mixed trends [3]. - Market Outlook: The prices of treasury bond futures may continue to stabilize in the short term due to the "anti - involution" policy expectations and the weak performance of the equity and commodity markets [3].