申万期货品种策略日报：国债-20251017

Report Industry Investment Rating No relevant content provided. Core View of the Report - The domestic central bank is expected to continue implementing a moderately loose monetary policy, with possible reserve requirement ratio cuts, interest rate cuts, and treasury bond trading operations in the fourth quarter. Market liquidity is expected to return to a reasonably ample level, strongly supporting treasury bond futures prices. However, external tariff policy changes may cause downward pressure on exports [3]. Summary by Relevant Catalogs Futures Market - Treasury bond futures prices showed mixed performance. The T2512 contract rose 0.03%, and its trading volume increased. The IRR of the CTD bonds corresponding to the main contracts of each treasury bond futures was at a low level, with no arbitrage opportunities [2]. - The short - term market interest rates showed mixed trends. SHIBOR 7 - day and DR007 rates increased, while GC007 rate decreased [2]. Spot Market - The yields of key - term domestic treasury bonds showed mixed trends. The 10Y treasury bond yield rose 0.12bp to 1.84%, and the long - short (10 - 2) treasury bond yield spread was 34.77bp [2]. - In the overseas market, the US 10Y treasury bond yield decreased 6bp, the German 10Y treasury bond yield decreased 2bp, and the Japanese 10Y treasury bond yield increased 0.1bp [2]. Macro News - The central bank conducted 236 billion yuan of 7 - day reverse repurchase operations on October 16, with an operating rate of 1.40%. After 612 billion yuan of reverse repurchases matured, the net withdrawal on that day was 376 billion yuan [3]. - The Ministry of Commerce responded to multiple hot issues, including the attitude towards Sino - US economic and trade consultations, optimization of rare - earth export control procedures, and protection of the legitimate rights and interests of Chinese enterprises [3]. - The US Treasury Secretary mentioned possible extensions of tariff exemptions for China, and the Chinese Foreign Ministry spokesperson restated China's stance [3]. - The Bank of Japan may tighten monetary policy if the expected economic outlook is more certain, and some members believe inflation risks are rising [3]. - The China Federation of Logistics and Purchasing announced that the China E - commerce Logistics Index in September continued to rise, reaching a new high for the year [3]. - There were differences among Fed officials regarding the pace of interest rate cuts, with one advocating a cautious 25 - basis - point cut and the other a more aggressive 50 - basis - point cut [3]. Industry Information - Most money market interest rates showed mixed trends, with some rising and some falling. The 14 - day silver - deposit - pledged repurchase weighted average interest rate reached a new low since January 2023, and the 1 - month rate reached a new low in over a month [3]. - US Treasury yields collectively declined, with the 2 - year yield falling 8.14bp, the 3 - year falling 8.02bp, the 5 - year falling 7.63bp, the 10 - year falling 5.94bp, and the 30 - year falling 4.76bp [3]. - The yield of the 10 - year active treasury bond decreased to 1.755%. The central bank's open - market operations had a net withdrawal of 376 billion yuan and a net injection of 400 billion yuan through 6 - month outright reverse repurchases. The Fed may stop shrinking its balance sheet and cut interest rates again, narrowing the Sino - US interest rate spread and providing more space for the domestic central bank's monetary policy [3].