申万期货品种策略日报：国债-20251022

Report Summary 1. Report Industry Investment Rating No information about the report industry investment rating is provided in the given content. 2. Core View of the Report - The central bank is expected to continue implementing a moderately loose monetary policy, with possible reserve requirement ratio cuts and interest rate cuts in the fourth quarter, and may initiate treasury bond purchase and sale operations. Market liquidity will remain reasonably abundant, which will support the prices of treasury bond futures [3]. 3. Summary According to Related Catalogs 3.1 Futures Market - Treasury bond futures prices generally rose in the previous trading day. For example, the T2512 contract rose 0.03%, and the open interest increased [2]. - The IRR of the CTD bonds corresponding to the main contracts of each treasury bond futures was at a low level, and there were no arbitrage opportunities [2]. - The open interest and trading volume of different - term contracts showed different changes, such as the open interest of TS2512 increasing by 1619 and that of TS2603 decreasing by 32 [2]. 3.2 Spot Market - Short - term market interest rates showed mixed changes. SHIBOR 7 - day interest rate rose 0.8bp, DR007 interest rate fell 0.89bp, and GC007 interest rate fell 0.3bp [2]. - The yields of key - term treasury bonds in China showed mixed changes. The 10Y - term treasury bond yield fell 0.52bp to 1.84%, and the long - short (10 - 2) treasury bond yield spread was 28.04bp [2]. - Overseas, the 10Y - term treasury bond yields of the US, Germany, and Japan all declined. The US 10Y - term treasury bond yield fell 2bp, the German 10Y - term treasury bond yield fell 2bp, and the Japanese 10Y - term treasury bond yield fell 0.9bp [2]. 3.3 Macro News and Information - The central bank conducted 1595 billion yuan of 7 - day reverse repurchase operations on October 21, with a net investment of 685 billion yuan [3]. - The US President continued to send easing signals, the market risk - aversion sentiment eased, and the expectation of the Fed's interest rate cut increased, leading to a decline in US bond yields [3]. - In September, the year - on - year growth rate of industrial added value above the designated size was better than expected, the consumption growth rate declined, the investment growth rate turned negative, and the year - on - year decline rates of real estate investment and sales widened [3]. - The European leaders issued a joint statement supporting the negotiation to promote a cease - fire in the Russia - Ukraine conflict [3]. 3.4 Market Interest Rate Changes - In the money market, most interest rates of silver deposit - interbank pledged repurchase and inter - bank lending showed an upward trend [3]. - US bond yields collectively declined, with the 10 - year US bond yield falling 2.49bp to 3.953% [3].