申万期货品种策略日报：国债-20250929

1. Report Industry Investment Rating - No specific industry investment rating is provided in the report [1][2][3] 2. Core View of the Report - Amid the dual demand for funds during the quarter - end and holidays, the central bank has intensified liquidity injection. The bond market has shown mixed trends with some yields rising and falling. The Fed's entry into the interest - rate cut cycle expands the policy space for the domestic central bank, but policy adjustments await central unified deployment. With the equity market strengthening, bond futures prices fluctuate at low levels. It is recommended to maintain a short - term neutral stance on long - term bonds and stay on the sidelines for short - term bonds, while controlling risks before the holiday [3] 3. Summary by Relevant Catalogs Futures Market - Price and Volume: On the previous trading day, treasury bond futures prices generally rose. For example, the T2512 contract rose 0.07%. The trading volume and open interest of different contracts showed different changes, such as the open interest of T2512 decreasing [2] - Arbitrage Opportunity: The IRR of the CTD bonds corresponding to the main treasury bond futures contracts was at a low level, indicating no arbitrage opportunities [2] Spot Market - Domestic Bond Yields: The yields of key - term treasury bonds in China showed mixed trends. The 10Y treasury bond yield dropped 0.78bp to 1.88%, and the long - short (10 - 2) treasury bond yield spread was 42.06bp [2] - Overseas Bond Yields: The yields of key - term overseas treasury bonds also showed mixed trends. The 10Y US, German, and Japanese treasury bond yields rose by 2bp, 1bp, and 1bp respectively [2] Macro News - Central Bank Liquidity: The central bank carried out 1817 billion yuan of 7 - day reverse repurchase operations on September 28, achieving a net injection. In the previous two days, it also made significant net injections through reverse repurchase and MLF operations [3] - Private Investment: The National Development and Reform Commission will implement practical measures to stimulate private investment [3] - Population Statistics: In 2024, the working - age population aged 16 - 59 was 857.98 million, accounting for 60.9% of the total population [3] - Monetary Policy: The central bank's monetary policy committee proposed to strengthen monetary policy regulation, maintain capital market stability, and support the real estate market [3] - Real Estate Policy: Since 2025, about 200 cities (counties) have introduced over 470 policies, and the fourth - quarter policies are expected to continue to stabilize the real estate market [3] - Industrial Profits: From January to August, the total profits of industrial enterprises above designated size reached 4,692.97 billion yuan, a year - on - year increase of 0.9%. In August, the profits increased by 20.4% year - on - year [3] - US Economic Data: The US core PCE price index in August was in line with expectations, and consumer spending was strong, increasing the uncertainty of the Fed's interest - rate cut [3] Industry Information - Money Market Rates: On September 28, most money market rates in China showed mixed trends, with some rising and some falling [3] - US Treasury Yields: US Treasury yields showed mixed trends, with some maturities rising and some falling [3] Comment and Strategy - Market Situation: The central bank increased open - market operations last week, and the profits of industrial enterprises above designated size improved significantly in August. The Fed restarted interest - rate cuts, and US inflation remained stubborn [3] - Investment Strategy: It is recommended to be bearish on long - term bonds and stay on the sidelines for short - term bonds, while controlling risks before the holiday [3]