2025年11月27日申万期货品种策略日报-国债-20251127

1. Report Industry Investment Rating - No relevant information provided 2. Core View of the Report - The prices of Treasury bond futures generally declined. The T2603 contract dropped 0.34%, and its trading volume increased. The IRR of the CTD bonds corresponding to the main contracts of Treasury bond futures was at a low level, with no arbitrage opportunities. Short - term market interest rates showed mixed trends. Key - term Treasury bond yields in China generally rose, while overseas Treasury bond yields in the US and Germany mostly declined, and those in Japan increased. Given that the prices of Treasury bond futures broke through support levels, it is recommended to wait and see [2][3] 3. Summary by Related Catalogs 3.1 Futures Market - Price Changes: The prices of all Treasury bond futures contracts (TS2603, TS2606, TF2603, TF2606, T2603, T2606, TL2603, TL2606) declined. The decline rates ranged from - 0.05% to - 0.76%. For example, the T2603 contract fell 0.34% [2] - Trading Volume and Open Interest: Trading volumes varied, and open interest also changed. For instance, the open interest of the T2603 contract decreased by 4,826, while that of the TL2603 contract increased by 9,784 [2] - Inter - period Spread: The inter - period spreads of some contracts changed. For example, the inter - period spread of the TS2603 - TS2606 contract changed from - 0.048 to - 0.046 [2] - IRR: The IRR of the CTD bonds corresponding to the main contracts of Treasury bond futures was at a low level, indicating no arbitrage opportunities [2] 3.2 Spot Market - Short - term Market Interest Rates: Short - term market interest rates showed mixed trends. SHIBOR 7 - day rate increased by 2bp, DR007 rate decreased by 0.33bp, and GC007 rate decreased by 1.2bp [2] - China's Key - term Treasury Bond Yields: Key - term Treasury bond yields generally rose. The 10Y Treasury bond yield increased by 3.01bp to 1.86%. The spread between long - and short - term (10 - 2) Treasury bond yields was 34.54bp [2] - Overseas Key - term Treasury Bond Yields: The 10Y US Treasury bond yield decreased by 1bp, the 10Y German Treasury bond yield decreased by 1bp, and the 10Y Japanese Treasury bond yield increased by 1.4bp [2] 3.3 Macro News and Strategy - Domestic Macro: The central bank increased open - market operations and had a net daily withdrawal of 972 billion yuan. The Shibor short - term varieties mostly declined, and the market liquidity remained loose. The central bank conducted a 1 - trillion - yuan MLF operation, with a net monthly injection of 100 billion yuan, for the 9th consecutive month of increased roll - over. Market expectations for the implementation of loose policies this year are low. Industrial production, consumption growth slowed down, investment decline widened, mainly affected by the real estate sector [3] - Overseas Macro: US PPI in September increased 0.3% month - on - month, with energy costs driving up inflation. 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. The Fed's Beige Book showed that economic activity was basically flat, with some areas at risk of a slowdown. Japan plans to issue at least 11.5 trillion yen in new bonds, raising concerns about public finances and rising yields [3] - Strategy: Given that the prices of Treasury bond futures broke through support levels, it is recommended to wait and see [3]