申万期货品种策略日报：国债-20250925

Report Investment Rating - No investment rating information provided in the report Core View - On September 24, treasury bond futures prices generally declined, with the T2512 contract down 0.24% 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 rose, and key - term treasury bond yields showed mixed trends. The long - short (10 - 2) treasury bond yield spread was 41.3bp. Overseas, the 10Y US treasury bond yield rose 4bp, the 10Y German treasury bond yield rose 0bp, and the 10Y Japanese treasury bond yield fell 1.4bp. The central bank's monetary policy showed a moderately loose orientation, with a net MLF injection of 3000 billion yuan in September. With the Fed entering the interest - rate cut cycle, the central bank's policy space has increased, but the next policy adjustment needs central unified deployment. It is recommended to remain bearish on the long - end and stay on the sidelines for the short - end [2][3] Summary by Relevant Content Treasury Futures Market - Price and Volume: On September 24, prices of various treasury bond futures contracts generally fell, such as the TS2512 contract down 0.05%, the TF2512 contract down 0.14%, and the T2512 contract down 0.24%. Open interest of most contracts decreased, except for some with an increase. Trading volume varied among contracts [2] - IRR and Arbitrage: The IRR of CTD bonds corresponding to the main contracts of treasury bond futures was at a low level, indicating no arbitrage opportunities [2] Short - term Market Interest Rates - Rates of SHIBOR overnight, SHIBOR7 days, DR001, DR007, GC001, GC007, FR001, and FR007 generally rose on September 24. For example, SHIBOR7 days rose 12.8bp, DR007 rose 18.48bp, and GC007 rose 14.2bp [2] Spot Market - Chinese Treasury Bonds - Yield Changes: Yields of key - term treasury bonds showed mixed trends on September 24. The 10Y treasury bond yield rose 1.98bp to 1.9%, and the long - short (10 - 2) treasury bond yield spread was 41.3bp [2] Overseas Market - Treasury Bonds - Yield Changes: On September 24, the 10Y US treasury bond yield rose 4bp, the 10Y German treasury bond yield rose 0bp, and the 10Y Japanese treasury bond yield fell 1.4bp [2] Macro News - Monetary Policy: On September 24, the central bank conducted 4015 billion yuan of 7 - day reverse repurchase operations, with a net withdrawal of 170 billion yuan. It also announced a 6000 - billion - yuan MLF operation on September 25, with a net injection of 3000 billion yuan in September, continuing the moderately loose monetary policy [3] - Trade Policy: China stated at the WTO that it would not seek new special and differential treatment, while emphasizing its status as the largest developing country. The US and the EU finalized a tariff agreement, with certain EU products on the tariff - exemption list [3] - Financial Policy: Commercial banks can use certain bonds as collateral for treasury cash time deposits, with specific collateral requirements [3] - US Fiscal Policy: The US Treasury Secretary criticized the Fed Chairman and urged a 100 - 150 - basis - point interest - rate cut by the end of the year. The Treasury is considering a 20 - billion - dollar currency swap with Argentina [3] Industry Information - Interest Rate Changes: On September 24, most money - market interest rates rose, and US treasury bond yields collectively increased [3] Comment and Strategy - The market situation showed that treasury bond futures prices generally declined, the central bank's open - market operations had a net withdrawal, and short - end Shibor rates rose. Although the MLF continued to inject medium - term liquidity, considering factors such as economic data and the Fed's policy, it is recommended to remain bearish on the long - end and stay on the sidelines for the short - end [3]