申万期货品种策略日报：国债-20251016

1. Report Industry Investment Rating - No information provided in the given content. 2. Core View of the Report - The previous trading day saw a general decline in treasury bond futures prices, with the T2512 contract down 0.04% and a decrease in its open interest. The IRR of the CTD bonds corresponding to the main contracts of each treasury bond futures was at a low level, indicating no arbitrage opportunities. Short - term market interest rates showed mixed trends, with the SHIBOR 7 - day rate down 0.9bp, the DR007 rate down 0.42bp, and the GC007 rate up 0.1bp. Key - term treasury bond yields in China generally rose, with the 10Y treasury bond yield up 1.05bp to 1.84%, and the long - short (10 - 2) treasury bond yield spread at 34.78bp. In the overseas market, the US 10Y treasury bond yield rose 2bp, the German 10Y treasury bond yield remained unchanged, and the Japanese 10Y treasury bond yield fell 0.8bp. Considering that the Fed is expected to cut interest rates, narrowing the Sino - US interest rate spread, and the domestic demand side represented by real estate is still weak, the central bank is expected to continue implementing a moderately loose monetary policy, with possible RRR and interest rate cuts in the fourth quarter and potential treasury bond trading operations. Market liquidity is expected to return to a reasonable and sufficient level, which strongly supports treasury bond futures prices, so a bullish stance is recommended [2][3]. 3. Summary by Relevant Catalogs 3.1 Futures Market - Prices and Changes: The previous trading day saw a general decline in treasury bond futures prices. For example, the TS2512 contract closed at 102.382 (down 0.002 or 0.00% from the previous day), the TF2512 contract closed at 105.730 (down 0.045 or - 0.04%), the T2512 contract closed at 108.130 (down 0.040 or - 0.04%), and the TL2512 contract closed at 114.58 (down 0.180 or - 0.16%) [2]. - Open Interest and Volume: The open interest of the T2512 contract decreased by 7542, while that of the TF2603 contract increased by 283. The trading volume of the TL2512 contract was 122948, and that of the TS2603 contract was 1366 [2]. - Inter - delivery Spread: The inter - delivery spread of the TS2512 - TS2603 contract was 0.100 (previous value 0.092), the TF2512 - TF2603 contract was 0.095 (previous value 0.1100), the T2512 - T2603 contract was 0.315 (previous value 0.3050), and the TL2512 - TL2603 contract was 0.340 (previous value 0.3500) [2]. - IRR: The IRR of the CTD bonds corresponding to the main contracts of each treasury bond futures was at a low level, with the IRR of the T2512 contract's CTD bond at 1.4876%, indicating no arbitrage opportunities [2]. 3.2 Spot Market - Short - term Market Interest Rates: The SHIBOR 7 - day rate was 1.4140% (down 0.9bp from the previous day), the DR007 rate was 1.4694% (down 0.42bp), and the GC007 rate was 1.4910% (up 0.1bp) [2]. - Key - term Treasury Bond Yields in China: The yields of key - term treasury bonds in China generally rose. The 10Y treasury bond yield was 1.84% (up 1.05bp), the 2Y treasury bond yield was 1.49% (up 0.31bp), and the 5Y treasury bond yield was 1.59% (up 0.49bp). The long - short (10 - 2) treasury bond yield spread was 34.78bp [2]. 3.3 Overseas Market - Overseas Key - term Treasury Bond Yields: The US 10Y treasury bond yield was 4.05% (up 2bp), the German 10Y treasury bond yield was 2.660% (unchanged), and the Japanese 10Y treasury bond yield was 1.662% (down 0.8bp). The Sino - US 10Y treasury bond yield spread was - 221.2bp [2]. 3.4 Macro News and Policy - Central Bank Operations: The central bank conducted a 435 - billion - yuan 7 - day reverse repurchase operation on October 15, with a net investment of 435 billion yuan. It also announced a 600 - billion - yuan 6 - month outright reverse repurchase operation, with a cumulative net investment of 400 billion yuan in outright reverse repurchases this month, marking a fifth consecutive month of increased roll - overs [3]. - Financial Data: At the end of September, M2 increased by 8.4% year - on - year, M1 increased by 7.2% year - on - year, and the M1 - M2 "scissors gap" reached a new low for the year. In the first three quarters, RMB loans increased by 14.75 trillion yuan, and the cumulative increase in social financing scale was 30.09 trillion yuan, 4.42 trillion yuan more than the same period last year [3]. - Economic Data: In September, China's CPI increased by 0.1% month - on - month and decreased by 0.3% year - on - year, while the core CPI increased by 1% year - on - year, with the growth rate expanding for the fifth consecutive month and reaching 1% for the first time in nearly 19 months. PPI remained flat month - on - month and decreased by 2.3% year - on - year, with the decline narrowing for two consecutive months [3]. - External Situation: The Fed Chairman Powell hinted that officials may stop shrinking the balance sheet in the coming months and are expected to cut interest rates by 25 basis points later this month. The US threatened to impose 100% tariffs on China, and the EU tried to force Chinese enterprises to transfer technology to European enterprises [3].