申万期货品种策略日报：国债-20250916

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report - The price of Treasury bond futures showed mixed performance in the previous trading session, with the T2512 contract rising 0.09% and an increase in open interest. The IRR of the CTD bonds corresponding to the main contracts of Treasury bond futures was at a low level, indicating no arbitrage opportunities. Short - term market interest rates generally increased, while key - term Treasury bond yields in China mostly decreased. Overseas, the 10Y Treasury bond yield in the US and Germany decreased, while that in Japan increased. Considering multiple factors such as macro - news, market interest rates, and economic data, it is expected that the price of Treasury bond futures will remain weak [2][3]. 3. Summary by Related Catalogs Futures Market - Price and Yield Changes: In the previous trading session, for TS2512, TS2603, TF2512, TF2603, T2512, T2603, TL2512, and TL2603, the price changes were - 0.004, 0.012, 0.055, 0.030, 0.095, 0.075, 0.130, and 0.160 respectively, with corresponding percentage changes of 0.00%, 0.01%, 0.05%, 0.03%, 0.09%, 0.07%, 0.11%, and 0.14%. The T2512 contract rose 0.09% [2]. - Open Interest and Volume: The open interest of TS2512, TS2603, TF2512, TF2603, T2512, T2603, TL2512, and TL2603 was 66544, 6037, 117782, 18086, 211649, 24361, 141755, and 20570 respectively. The volume was 24122, 1042, 54025, 2176, 94600, 6504, 111024, and 14063 respectively. The changes in open interest were 1400, 265, - 952, 57, 3776, 688, - 554, and 2231 respectively [2]. - Spread Changes: The current and previous cross - period spreads of TS, TF, T, and TL were 0.060 (previous 0.076), 0.120 (previous 0.0950), 0.315 (previous 0.2950), and 0.310 (previous 0.3400) respectively [2]. - IRR Analysis: The IRR of the CTD bonds corresponding to the main contracts of Treasury bond futures was at a low level, indicating no arbitrage opportunities [2]. Spot Market - Short - term Market Interest Rates: In the previous trading session, short - term market interest rates generally increased. SHIBOR7 - day, DR007, and GC007 rates increased by 1bp, 1.8bp, and 2.3bp respectively [2]. - China's Key - term Treasury Bond Yields: Key - term Treasury bond yields in China mostly decreased. The 10Y Treasury bond yield decreased by 0.01bp to 1.86%, and the long - short (10 - 2) Treasury bond yield spread was 35.48bp [2]. - Overseas Key - term Treasury Bond Yields: The 10Y Treasury bond yield in the US and Germany decreased by 1bp, while that in Japan increased by 0.9bp [2]. Macro News - Monetary Policy: On September 15, the central bank conducted 600 billion yuan of 6 - month (182 - day) outright reverse repurchase operations and 280 billion yuan of 7 - day reverse repurchase operations. After offsetting the maturing reverse repurchases, the net injection was 88.5 billion yuan. It is possible that the MLF will be rolled over with an increased amount this month, and Treasury bond trading operations may resume [3]. - Sino - US Economic and Trade Talks: From September 14th to 15th, Chinese and US economic and trade leaders held talks in Madrid, reaching a basic framework consensus on issues such as resolving the TikTok issue, reducing investment barriers, and promoting relevant economic and trade cooperation [3]. - Economic Data: In August, China's industrial added value, service production index, and social consumer goods retail sales increased year - on - year. From January to August, fixed - asset investment increased year - on - year, with manufacturing investment growing by 5.1% and real estate development investment decreasing by 12.9%. In August, the housing prices in 70 large and medium - sized cities showed a mixed performance [3]. - US Economic Situation: US President Trump called on the Fed to cut interest rates. The US unemployment rate in August rose to 4.3%, and the New York Fed manufacturing index in September dropped sharply, increasing the market's expectation of a Fed rate cut [3]. Industry Information and Strategy - Market Interest Rates: On September 15, money market interest rates showed mixed performance. The weighted average interest rates of inter - bank pledged repurchase and inter - bank lending had different changes [3]. - Market Outlook: The current stock - bond seesaw effect continues, and the new regulations on fund redemptions also affect the market. It is expected that the price of Treasury bond futures will remain weak [3].