申万期货品种策略日报：国债-20250818

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View The report shows that on the previous trading day, the prices of treasury bond futures fluctuated. The bond market was affected by multiple factors, including macro - economic data, central bank policies, and overseas bond market trends. The yield of 10 - year treasury bonds in China increased slightly, while short - term market interest rates also fluctuated. The bond - equity and bond - commodity market seesaw effect will continue, and the price of treasury bond futures may continue to weaken. The price differentiation between new and old bonds and between long - and short - term bonds will intensify, and the inter - period and inter - variety spreads may also widen [2][3]. 3. Summary by Directory 3.1 Futures Market - Price Changes: On the previous trading day, the prices of treasury bond futures fluctuated. For example, the T2509 contract decreased by 0.03%, and the TL2509 and TL2512 contracts decreased by 0.34% and 0.38% respectively. However, the TS2512 contract increased by 0.01% [2]. - Position and Volume: The position and trading volume of each contract also changed. For instance, the position of the T2509 contract decreased by 5887, while the position of the T2512 contract increased by 8733 [2]. - Arbitrage Opportunity: The IRR of the CTD bonds corresponding to treasury bond futures contracts was relatively high, indicating certain arbitrage opportunities [2]. 3.2 Spot Market - Domestic Treasury Bond Yields: The yields of key - term domestic treasury bonds fluctuated. The 10 - year treasury bond yield increased by 0.73bp to 1.74%, and the long - short (10 - 2) treasury bond yield spread was 32.22bp [2]. - Overseas Treasury Bond Yields: The yields of key - term overseas treasury bonds also changed. The 10 - year US treasury bond yield increased by 4bp, the 10 - year German treasury bond yield increased by 8bp, and the 10 - year Japanese treasury bond yield increased by 1.1bp [2]. 3.3 Macro News - Central Bank Operations: On August 15, the central bank carried out 238 billion yuan of 7 - day reverse repurchase operations, with a net investment of 116 billion yuan on that day. This week, there will be 711.8 billion yuan of reverse repurchases and 220 billion yuan of treasury cash time deposits due [3]. - Economic Policies: The central bank's second - quarter monetary policy implementation report proposed to implement a moderately loose monetary policy, maintain ample liquidity, and promote a reasonable recovery of prices. It also emphasized the use of structural monetary policy tools to support key areas [3]. - Economic Data: In July, the national industrial added value above designated size increased by 5.7% year - on - year, and the total retail sales of consumer goods increased by 3.7% year - on - year. From January to July, national fixed - asset investment increased by 1.6% year - on - year, while real estate development investment decreased by 12% [3]. 3.4 Industry Information - Interest Rate Changes: On August 15, most money market interest rates increased. For example, the 1 - day and 7 - day weighted average interest rates of inter - bank pledged repurchase increased by 8.46bp and 3.74bp respectively [3]. - US Treasury Bond Yields: US treasury bond yields increased across the board. The 2 - year, 3 - year, 5 - year, 10 - year, and 30 - year yields increased by 1.60bp, 2.79bp, 1.90bp, 3.11bp, and 4.46bp respectively [3]. 3.5 Comments and Strategies The bond - equity and bond - commodity market seesaw effect will continue, and the price of treasury bond futures may continue to weaken. The price differentiation between new and old bonds and between long - and short - term bonds will intensify, and the inter - period and inter - variety spreads may also widen. The central bank's policy of maintaining ample liquidity will support the short - end treasury bond futures prices to some extent [3].