申万期货品种策略日报：国债-20250819

Report Industry Investment Rating - No information provided Core View of the Report - On August 18, the central bank conducted 2665 billion yuan of 7 - day reverse repurchase operations, with a net investment of 1545 billion yuan. The central bank's monetary policy implementation report continues the loose monetary policy idea, which has some support for short - term Treasury bond futures prices. However, the seesaw effect between bonds and equity and commodity markets will continue. Bond funds and household and corporate deposits may continue to flow to the non - banking sector with higher returns, suppressing bond market sentiment. Treasury bond futures prices may continue to weaken, and the price differentiation between new and old bonds and between short - and long - term bonds will intensify, and the inter - period and inter - variety spreads may also widen [3] Summary According to Relevant Catalogs Futures Market - Price and Volume: On the previous trading day, Treasury bond futures prices generally declined. For example, the T2509 contract fell 0.26%. The trading volume and open interest of different contracts changed. For instance, the open interest of the T2509 contract increased, while that of the T2512 contract decreased [2] - Arbitrage Opportunity: The IRR of the CTD bonds corresponding to Treasury bond futures contracts was relatively high, indicating certain arbitrage opportunities [2] Spot Market - Domestic Bond Yields: On the previous trading day, yields of key - term Chinese Treasury bonds generally increased. The 10Y Treasury bond yield rose 4.75bp to 1.79%, and the long - short (10 - 2) Treasury bond yield spread was 35.06bp [2] - Overseas Bond Yields: On the previous trading day, the 10Y Treasury bond yields of the US, Germany, and Japan increased by 1bp, 2bp, and 1bp respectively [2] Macro News - Central Bank Operations: On August 18, the central bank carried out 2665 billion yuan of 7 - day reverse repurchase operations at a fixed - rate and quantity - tendered method, with an operating rate of 1.40%. The net investment was 1545 billion yuan after 1120 billion yuan of reverse repurchases matured. The Ministry of Finance and the central bank conducted the bidding for the 2025 central treasury cash management commercial bank time deposits (eighth issue), with a winning total of 1200 billion yuan and a winning rate of 1.78% [3] - Policy Stance: Premier Li Qiang emphasized improving the effectiveness of macro - policies, stabilizing market expectations, stimulating consumption potential, expanding effective investment, and consolidating the stabilization of the real estate market [3] - Market Supervision: The National Association of Financial Market Institutional Investors launched a self - regulatory investigation into relevant institutions due to the misappropriation of debt financing tool funds by some issuing enterprises and the ineffective performance of supervision duties by relevant funds supervision banks [3] - International Events: The global financial market is waiting for the Jackson Hole Global Central Bank Annual Conference. Different institutions have different expectations for Fed Chairman Powell's speech. Trump met with Zelensky, and they discussed possible trilateral talks and US military participation in peace - keeping in Ukraine. India plans to reform the goods and services tax in response to Trump's tariff threat [3] Industry Information - Interest Rate Movements: On August 18, most money market interest rates increased. Yields of most US Treasury bonds rose [3] - Market Situation: The 10 - year Treasury bond active bond yield increased. The central bank's net investment, the rise of Shibor short - term varieties, the seesaw effect between stocks and bonds, and the inflow of funds into the non - banking sector led to a convergence of the money supply. The US economic data affected the expectations of interest rate cuts, and the domestic real estate market was still in adjustment, but the social financing stock growth rate continued to rise [3]