申万期货品种策略日报：国债-20250919

Report Summary 1. Report Industry Investment Rating - No information provided regarding the industry investment rating. 2. Core View - On the previous trading day, Treasury bond futures prices generally declined, with the T2512 contract dropping 0.07% and an increase in open interest. The IRR of the CTD bonds corresponding to the main Treasury bond futures contracts was at a low level, indicating no arbitrage opportunities. Short - term market interest rates showed mixed trends, and key - term Treasury bond yields also varied. Overseas, US, German, and Japanese 10Y Treasury bond yields all increased. With the Fed entering the interest - rate cut cycle, the domestic central bank has more policy space, and Treasury bond futures prices have stabilized recently amidst the high - level volatility of equities [2][3]. 3. Summary by Relevant Catalogs Treasury Futures Market - Price and Volume: The prices of all Treasury bond futures contracts decreased, with declines ranging from - 0.03% to - 0.22%. Open interest for some contracts increased, such as TF2512, T2512, etc., while others decreased. Trading volumes varied across contracts [2]. - Spread: The inter - delivery spreads of TS, TF, T, and TL contracts all decreased compared to the previous day [2]. - IRR: The IRR of the CTD bonds corresponding to the main Treasury bond futures contracts was at a low level, with no arbitrage opportunities [2]. Spot Market - Short - term Market Interest Rates: Short - term market interest rates showed mixed trends. SHIBOR7 - day and DR007 rates increased by 0.9bp and 1.2bp respectively, while GC007 decreased by 5.3bp [2]. - Chinese Key - term Treasury Bond Yields: Key - term Treasury bond yields showed mixed trends. The 10Y Treasury bond yield increased by 1.52bp to 1.85%, and the 10 - 2Y yield spread was 35.58bp [2]. - Overseas Key - term Treasury Bond Yields: US 10Y, German 10Y, and Japanese 10Y Treasury bond yields increased by 5bp, 1bp, and 0.4bp respectively [2]. Macro News - Monetary Policy: On September 18, the central bank conducted 487 billion yuan of 7 - day reverse repurchase operations, with a net investment of 195 billion yuan after 292 billion yuan of reverse repurchases matured [3]. - Trade News: Regarding the TikTok issue, China maintains a consistent stance. China hopes the EU will not weaponize tariffs and will eliminate market barriers. China initiated an anti - dumping investigation on relevant EU pork products at the request of domestic industries [3]. - Bond Issuance: The second batch of 14科创债 ETFs raised a total of 40.786 billion yuan, and after their listing in late September, the bond ETF's scale will exceed 600 billion yuan. The issuance scale of ultra - long - term special Treasury bonds in 2025 has reached 1.148 trillion yuan, with an issuance progress of 88.3% [3]. - Business Ranking: The "2025 China Service Industry Enterprises 500" list was released. The total operating income of the listed enterprises in 2024 reached 51.1 trillion yuan, and the average operating income exceeded 10 billion yuan for the first time [3]. - Employment Data: US initial jobless claims fell to 231,000 last week, the largest drop in nearly four years, but continuing claims remained above 1.9 million, indicating some pressure in the labor market [3]. Industry Information and Strategy - Interest Rate Trends: On September 18, money market interest rates mostly increased. US Treasury bond yields generally rose, while the yield of the 10 - year active Treasury bond in China decreased to 1.77%. After the Fed cut interest rates by 25 basis points, US Treasury bond yields rebounded [3]. - Market Environment: Shibor short - term varieties increased due to tax - period disturbances, and the money market tightened. Savings continued to flow to non - bank sectors in August, M1 growth reached a new high since January 2023, but consumption, production, real - estate investment, and sales showed weak trends [3]. - Policy Outlook: With the Fed entering the interest - rate cut cycle, the domestic central bank has more policy space, and Treasury bond futures prices have stabilized during the high - level volatility of equities [3].