2025年11月20日申万期货品种策略日报-国债-20251120

1. Report Industry Investment Rating - No relevant content provided 2. Core View of the Report - The current economic fundamentals data is weak, and the central bank will continue to adhere to a supportive monetary policy stance. It is expected that market liquidity will remain reasonably abundant, which has a certain supporting effect on Treasury bond futures prices. The position transfer and replacement has started recently, and it is recommended to make a position transfer plan [3] 3. Summary by Related Catalogs 3.1 Futures Market - Price and Volume: On the previous trading day, Treasury bond futures prices generally declined. For example, the T2512 contract fell by 0.07%. The trading volume and open interest of each contract changed. For instance, the open interest of the T2512 contract decreased by 22,730, while that of the T2603 contract increased by 12,402 [2] - Spreads: The inter - delivery spreads of each contract also changed. For example, the inter - delivery spread of TS2512 was 0.050, down from the previous value of 0.060 [2] - IRR: 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] 3.2 Spot Market - Short - term Market Interest Rates: On the previous trading day, short - term market interest rates generally declined. SHIBOR 7 - day interest rate dropped by 3.1bp, DR007 interest rate dropped by 0.52bp, and GC007 interest rate dropped by 2.7bp [2] - China's Key - term Treasury Bond Yields: On the previous trading day, the yields of key - term Treasury bonds showed mixed trends. The 10Y Treasury bond yield rose by 0.5bp to 1.82%, and the long - short (10 - 2) Treasury bond yield spread was 30.71bp [2] - Overseas Key - term Treasury Bond Yields: On the previous trading day, the 10Y Treasury bond yields of the US, Germany, and Japan all increased. The US 10Y Treasury bond yield rose by 1bp, the German 10Y Treasury bond yield rose by 2bp, and the Japanese 10Y Treasury bond yield rose by 2bp [2] 3.3 Macro News and Strategies - Central Bank Operations: On November 19, the central bank carried out 3105 billion yuan of 7 - day reverse repurchase operations, with an operating rate of 1.40%. After deducting the 1955 billion yuan of reverse repurchases due on the same day, the net investment was 1150 billion yuan [3] - Treasury Cash Management: The Ministry of Finance and the People's Bank of China will conduct the bidding for the 11th and 12th installments of the 2025 central treasury cash management commercial bank time deposits on November 24, with operation volumes of 120 billion yuan (1 - month term) and 80 billion yuan (21 - day term) respectively [3] - International and Domestic Economic Situations: The US government ended the "shutdown", and the Fed's decision - makers had serious differences when cutting interest rates last month. They were cautious about future interest rate cuts, and US Treasury bond yields rebounded. In China, the year - on - year growth rates of social financing stock, M2, and M1 in October declined. Industrial production, consumption growth rates slowed down, and investment decline widened, mainly dragged down by the real estate sector [3] - Interest Rate Trends: On November 19, most money market interest rates declined. US Treasury bond yields rose across the board [3]