Group 1: Report Industry Investment Rating - No information provided Group 2: Core Viewpoints of the Report - The current economic fundamental data is weak. The central bank will continue to maintain a supportive monetary policy stance, and market liquidity is expected to remain reasonably abundant, which has a certain support for the prices of Treasury bond futures. The current main contract has shifted to the March 26th contract, and it is recommended to plan for the contract shift [3]. Group 3: Summary by Relevant Catalogs Futures Market - On the previous trading day, Treasury bond futures prices showed mixed trends. The T2603 contract fell by 0.11%, and the open interest increased. The IRR of the CTD bonds corresponding to Treasury bond futures contracts was relatively high, indicating certain arbitrage opportunities [2]. | Contract | Yesterday's Closing Price | Previous Day's Closing Price | Change | Change Rate | Open Interest | Trading Volume | Open Interest Change | Inter - period Spread | Inter - period Spread Previous Value | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | TS2603 | 102.422 | 102.418 | 0.004 | 0.00% | 61793 | 33194 | 4247 | - 0.048 | - 0.054 | | TS2606 | 102.470 | 102.472 | - 0.002 | 0.00% | 2226 | 288 | 69 | | | | TF2603 | 105.980 | 105.995 | - 0.015 | - 0.01% | 129492 | 82221 | 14505 | 0.020 | 0.015 | | TF2606 | 105.960 | 105.980 | - 0.020 | - 0.02% | 3177 | 1872 | 806 | | | | T2603 | 108.220 | 108.335 | - 0.115 | - 0.11% | 234165 | 115185 | 24142 | - 0.055 | 0.005 | | T2606 | 108.275 | 108.330 | - 0.055 | - 0.05% | 6562 | 3430 | 977 | | | | TL2603 | 115.16 | 115.58 | - 0.420 | - 0.36% | 135646 | 123788 | 16728 | - 0.150 | - 0.050 | | TL2606 | 115.31 | 115.63 | - 0.320 | - 0.28% | 11304 | 6154 | 2138 | | | Spot Market - On the previous trading day, short - term market interest rates generally declined. The SHIBOR 7 - day rate dropped 1.4bp, the DR007 rate dropped 3.28bp, and the GC007 rate dropped 2bp. The yields of key - term Treasury bonds in China showed mixed trends. The 10 - year Treasury bond yield rose 0.96bp to 1.83%, and the long - short (10 - 2) Treasury bond yield spread was 30.12bp [2]. | Key - term Treasury Bonds | Yesterday's Yield | Previous Day's Yield | Change (bp) | | --- | --- | --- | --- | | 6M | 1.41 | 1.41 | 0.1 | | 1Y | 1.41 | 1.40 | 0.24 | | 2Y | 1.43 | 1.43 | - 0.25 | | 5Y | 1.60 | 1.59 | 0.5 | | 7Y | 1.71 | 1.70 | 1.03 | | 10Y | 1.83 | 1.82 | 0.96 | | 20Y | 2.18 | 2.16 | 1.7 | | 30Y | 2.17 | 2.16 | 1.35 | | Yield Spread (bp) (10 - 2) | 30.12 | 29.33 | | | Yield Spread (bp) (10 - 5) | 27.92 | 26.64 | | | Yield Spread (bp) (5 - 2) | 2.20 | 2.69 | | | Yield Spread (bp) (30 - 10) | 34.23 | 33.84 | | Overseas Market - On the previous trading day, the 10 - year US Treasury bond yield dropped 3bp, the 10 - year German Treasury bond yield rose 0bp, and the 10 - year Japanese Treasury bond yield rose 1.9bp [2]. | Overseas Key - term Treasury Bonds | Yesterday's Yield | Previous Day's Yield | Change (bp) | Internal - External Yield Spread (bp) | | --- | --- | --- | --- | --- | | US 2Y | 3.43 | 3.46 | - 3.0 | - 200.2 | | US 5Y | 3.55 | 3.61 | - 6.0 | - 195.2 | | US 10Y | 4.01 | 4.04 | - 3.0 | - 218.1 | | US 30Y | 4.67 | 4.68 | - 1.0 | - 249.9 | | German 2Y | 2.000 | 1.990 | 1.0 | - 57.2 | | German 10Y | 2.770 | 2.770 | 0.0 | - 94.1 | | Japanese 2Y | 0.975 | 0.959 | 1.6 | 45.3 | | Japanese 10Y | 1.811 | 1.792 | 1.9 | 1.8 | Macro - news and Industry Information - The central bank increased open - market operations, with a net daily withdrawal of 1054 billion yuan and a 1 - trillion - yuan MLF operation, resulting in a net monthly investment of 100 billion yuan, which was the 9th consecutive month of increased roll - over. Shibor short - end varieties mostly declined, and the market capital was loose. The US September PPI increased 0.3% month - on - month due to rising energy costs, and the core PPI growth rate of 0.1% was lower than expected. Many Fed officials signaled interest - rate cuts, and US Treasury bond yields continued to fall. In October, household and corporate deposits continued to flow to the non - bank sector with higher returns. Industrial production and consumption growth rates slowed down year - on - year, and the investment decline widened, mainly due to the real - estate drag. The decline in commercial - housing sales widened, and second - hand housing prices continued to fall month - on - month and were still in the adjustment process [3]. - From January to October, China's full - sector foreign direct investment was $144.34 billion, a year - on - year increase of 6.2%; the newly - signed contract value of foreign - contracted projects was $210.7 billion, a year - on - year increase of 18.6%. Local government special bonds are in a peak period of issuance for government investment funds. Guangdong Province, Sichuan Province, and Shanghai will issue a total of 20 billion yuan of special bonds on November 28th, which will be injected into the Guangdong Provincial Government Investment Fund, Chengdu Venture Capital Fund, and Shanghai Future Industry Fund respectively. The total scale of local government special bonds invested in government investment funds currently disclosed will exceed 80 billion yuan [3]. - US President Trump said that his team had made great progress in ending the Russia - Ukraine conflict, and the 28 - point peace plan initially drafted by the US had been refined, with only a few differences remaining. Trump instructed envoy Steve Witkoff to go to Moscow to consult with Russian President Putin. Ukrainian National Security and Defense Council Secretary Umerov said that the Ukrainian side expected President Zelensky to visit the US as soon as possible in November to complete the final steps and reach an agreement with US President Trump [3]. - In the money market, most interest rates showed mixed trends. The weighted average interest rate of pledged repurchase in the inter - bank deposit market for the 1 - day variety decreased by 0.07BP to 1.318%, the 7 - day variety decreased by 1.62BP to 1.4541%, and the 14 - day variety decreased by 1.11BP to 1.5317%. The weighted average interest rate of inter - bank lending in the inter - bank deposit market for the 1 - day variety increased by 0.04BP to 1.3386%, the 7 - day variety decreased by 0.21BP to 1.4922%, the 14 - day variety increased by 3.35BP to 1.5503%, and the 1 - month variety decreased by 9.6BP to 1.504%. US Treasury bond yields fell across the board. The 2 - year US Treasury bond yield fell 3.62 basis points to 3.459%, the 3 - year yield fell 2.23 basis points to 3.452%, the 5 - year yield fell 2.79 basis points to 3.564%, the 10 - year yield fell 3.07 basis points to 3.996%, and the 30 - year yield fell 2.05 basis points to 4.650% [3].
2025年11月26日申万期货品种策略日报-国债-20251126
Shen Yin Wan Guo Qi Huo·2025-11-26 02:42