申万期货品种策略日报:国债-20250820
Shen Yin Wan Guo Qi Huo·2025-08-20 03:22
- Report Industry Investment Rating - No relevant information provided 2. Core View of the Report - On August 19, treasury bond futures prices generally rose, with the T2509 contract up 0.04% and a decrease in open interest. The IRR of CTD bonds corresponding to the main contracts of treasury bond futures was at a low level, with no arbitrage opportunities. Short - term market interest rates generally increased, and key - term treasury bond yields showed mixed changes. The 10Y treasury bond yield dropped 1.82bp to 1.77%, and the long - short (10 - 2) treasury bond yield spread was 33.3bp. The central bank's open - market operation had a net injection of 46.57 billion yuan, and there were various macro and industry news. Treasury bond futures prices may continue to weaken, and the cross - variety spread may widen [2][3] 3. Summary According to the Directory 3.1 Futures Market - Price Changes: On the previous trading day, treasury bond futures prices generally rose. For example, the TS2509 contract rose 0.028 (0.03%), the TF2509 contract rose 0.085 (0.08%), and the T2509 contract rose 0.040 (0.04%) [2] - Open Interest and Volume: The open interest of some contracts decreased (e.g., TS2509 decreased by 8399), while others increased (e.g., TS2512 increased by 4068). Trading volumes varied across different contracts [2] - Cross - period Spreads: Cross - period spreads changed. For example, the cross - period spread of TS contracts changed from - 0.022 to - 0.012 [2] - IRR Analysis: The IRR of CTD bonds corresponding to the main contracts of treasury bond futures was at a low level, indicating no arbitrage opportunities [2] 3.2 Short - term Market Interest Rates - Rate Changes: On the previous trading day, short - term market interest rates generally increased. SHIBOR7 - day rate rose 3.4bp, DR007 rate rose 5.51bp, and GC007 rate rose 5.6bp [2] 3.3 Spot Market - Domestic Treasury Bond Yields: Key - term treasury bond yields showed mixed changes. The 10Y treasury bond yield dropped 1.82bp to 1.77%, and the long - short (10 - 2) treasury bond yield spread was 33.3bp [2] - Overseas Treasury Bond Yields: U.S. 10Y treasury bond yield dropped 4bp, German 10Y treasury bond yield rose 2bp, and Japanese 10Y treasury bond yield rose 1.9bp [2] 3.4 Macro News - Central Bank Operations: On August 19, the central bank conducted 580.3 billion yuan of 7 - day reverse repurchase operations at a fixed rate, with a net injection of 465.7 billion yuan after 114.6 billion yuan of reverse repurchases matured [3] - Fiscal Revenue: In July, national general public budget revenue increased 2.6% year - on - year, with central and local revenues up 2.2% and 3.1% respectively. Tax revenue in July increased 5%, the highest this year [3] - Special Bond Issues: Some provincial audit reports pointed out problems in the use and management of special bond funds, including data inaccuracies, project delays, and misappropriation [3] - Central Bank Support: The People's Bank of China added 100 billion yuan of re - loans for supporting agriculture and small businesses to aid disaster - affected areas [3] - Personal Pension Policy: Starting from September 1, three new conditions for withdrawing personal pension were added [3] - International News: Trump stated that the U.S. would help Ukraine defend but not send ground troops, and that Ukraine would not join NATO. The U.S. White House was planning a trilateral meeting [3] - U.S. Housing Data: In July, U.S. new home starts increased 5.2% month - on - month to 1.428 million units, reaching a five - month high [3] 3.5 Industry Information - Money Market Interest Rates: On August 19, most money market interest rates increased. For example, the 1 - day and 7 - day silver inter - bank pledged repurchase weighted average interest rates increased [3] - U.S. Treasury Bond Yields: U.S. treasury bond yields fell across the board. For example, the 2 - year yield dropped 1.69bp to 3.738% [3] 3.6 Market Comment and Strategy - Market Situation: Treasury bond futures prices slightly rose, with the 10Y treasury bond active bond yield down to 1.771%. The central bank's net injection was 46.57 billion yuan, and Shibor short - end varieties mostly increased. The U.S. 9 - month interest rate cut expectation decreased, and the Chinese real estate market was still adjusting [3] - Future Outlook: Treasury bond futures prices may continue to weaken, and the cross - variety spread may widen due to factors such as the stock - bond seesaw effect and the resumption of VAT collection on government and financial bonds [3]