申万期货品种策略日报：国债-20251028

Report Industry Investment Rating - No relevant content provided Core View - The market liquidity is expected to remain reasonably abundant, which will support the prices of treasury bond futures. Given the complex and severe external environment and the weak demand side represented by the real estate sector in China, the central bank governor has stated that a supportive monetary policy stance will be maintained, and open - market treasury bond trading operations will be resumed [3]. Summary by Relevant Catalogs Futures Market - On the previous trading day, treasury bond futures prices generally rose. For example, the T2512 contract rose 0.16%, and its position increased. The IRR of the CTD bonds corresponding to the main contracts of various treasury bond futures was at a low level, with no arbitrage opportunities [2]. - The position and trading volume data of different treasury bond futures contracts (TS2512, TS2603, TF2512, etc.) are presented, along with their price changes, position changes, and cross - period spreads [2]. Spot Market - On the previous trading day, short - term market interest rates generally increased. SHIBOR 7 - day rate rose 12.8bp, DR007 rate rose 18.02bp, and GC007 rate rose 5.4bp [2]. - Yields of China's key - term treasury bonds showed mixed changes. The 10Y treasury bond yield decreased by 0.9bp to 1.84%, and the long - short (10 - 2) treasury bond yield spread was 29.13bp [2]. - In overseas markets, the 10Y US treasury bond yield decreased by 1bp, the 10Y German treasury bond yield increased by 2bp, and the 10Y Japanese treasury bond yield increased by 1.6bp [2]. Macro News - The central bank conducted 3373 billion yuan of 7 - day reverse repurchase operations on October 27, with a net investment of 1483 billion yuan after deducting the maturity amount [3]. - At the 2025 Financial Street Forum Annual Conference, central bank governor Pan Gongsheng, Financial Regulatory Administration director Li Yunze, and CSRC chairman Wu Qing made important statements regarding monetary policy, financial service models, and capital market reforms [3]. - Premier Li Qiang attended the fifth RCEP leaders' meeting, emphasizing the need for RCEP parties to collaborate and support the accession of applicants such as Hong Kong, China [3]. - In September, the profits of China's industrial enterprises above a designated size increased by 21.6% year - on - year, accelerating from August. From January to September, the profit growth of these enterprises continued to recover [3]. - By the end of September 2025, the number of national financing platforms and the scale of outstanding operating financial debts decreased by 71% and 62% respectively compared to March 2023. As of now, over 5 trillion yuan of government bonds have been issued to replace hidden debts [3]. Industry Information - Most money market interest rates increased. For example, the 1 - day and 7 - day weighted average interest rates of inter - bank pledged repurchase and inter - bank lending all rose [3]. - US treasury bond yields collectively declined. For instance, the 2 - year yield fell 0.64bp, and the 10 - year yield fell 3.46bp [3]. - The 10 - year treasury bond active bond yield declined to 1.8355%. The central bank conducted 9000 billion yuan of MLF operations, with a net investment of 2000 billion yuan for the month, but the Shibor short - end varieties mostly increased, and the capital market tightened [3].