2025年12月05日申万期货品种策略日报-国债-20251205

1. Report Industry Investment Rating - No information provided in the given text 2. Core View of the Report - The prices of treasury bond futures generally declined in the previous trading day, with the T2603 contract falling 0.34% and its holding volume decreasing. The IRR of the CTD bonds corresponding to the main contracts of treasury bond futures was at a low level, presenting no arbitrage opportunities. Short - term market interest rates showed mixed trends. Key - term treasury bond yields in China also varied, with the 10Y treasury bond yield rising 3.02bp to 1.87%. Overseas, the 10Y treasury bond yields of the US, Germany, and Japan showed different changes. The market was affected by multiple factors such as central bank operations, economic data, and policy expectations, leading to the weakening of long - term treasury bond futures prices [2][3] 3. Summary by Relevant Catalogs Futures Market - Price and Volume: The previous trading day saw the closing prices of TS2603, TS2606, TF2603, TF2606, T2603, T2606, TL2603, and TL2606 decline, with decreases of -0.05%, -0.07%, -0.24%, -0.24%, -0.34%, -0.37%, -1.02%, and -1.03% respectively. The holding volumes of TS2603, TS2606, and TL2603, TL2606 increased by 1814, 176, 894, and 1454 respectively, while those of TF2603, TF2606, and T2603 decreased by 1606, 68, and 7127 respectively. The trading volumes of TS2603, TS2606, TF2603, TF2606, T2603, T2606, TL2603, and TL2606 were 41390, 554, 99144, 1549, 148085, 6564, 224953, and 16855 respectively [2] - Spread: The inter - period spreads of TS2603 - TS2606, TF2603 - TF2606, T2603 - T2606, and TL2603 - TL2606 were -0.020, -0.015, -0.025, and -0.160 respectively, with the previous values being -0.036, -0.0150, -0.0500, and -0.1700 respectively [2] - CTD Bond IRR: The IRR of the active CTD bonds of each contract were 1.4156, -0.273, 0.9011, -0.8605, 1.2604, 1.2037, 1.1353, and 2.1208 respectively, indicating no arbitrage opportunities [2] Spot Market - Short - term Market Interest Rates: In the previous trading day, short - term market interest rates showed mixed trends. SHIBOR7 - day interest rate decreased by 0.2bp, DR007 interest rate increased by 0.15bp, and GC007 interest rate increased by 0bp [2] - Chinese Key - term Treasury Bond Yields: The yields of 6M, 1Y, 2Y, 5Y, 7Y, 10Y, 20Y, and 30Y treasury bonds were 1.42, 1.41, 1.41, 1.65, 1.77, 1.87, 2.30, and 2.28 respectively, with changes of 0.04, 0.47, -0.21, 3.22, 4.22, 3.02, 6, and 5.85bp respectively. The long - short (10 - 2) treasury bond yield spread was 36.94bp [2] - Overseas Key - term Treasury Bond Yields: In the previous trading day, the yields of 2Y, 5Y, 10Y, and 30Y US treasury bonds were 3.52, 3.68, 4.11, and 4.76 respectively, with increases of 3.0, 6.0, 5.0, and 3.0bp respectively; the yields of 2Y and 10Y German treasury bonds were 2.050 and 2.840 respectively, with an increase of 1.0bp and 0.0bp respectively; the yields of 2Y and 10Y Japanese treasury bonds were 1.016 and 1.897 respectively, with increases of 1.1 and 3.3bp respectively [2] Macro News - Central Bank Operations: On December 4, the central bank conducted 180.8 billion yuan of 7 - day reverse repurchase operations, with 356.4 billion yuan of reverse repurchases maturing, resulting in a net withdrawal of 175.6 billion yuan. On December 5, the central bank will conduct 100 billion yuan of 3 - month (91 - day) outright reverse repurchase operations, which will achieve an equal - amount offset. It is expected that the central bank will conduct a 6 - month outright operation in December and is likely to increase the volume for roll - over [3] - Economic Data: The OECD estimated that the global economic growth in 2025 is 3.2% (unchanged from the previous estimate), and raised the estimate of China's economic growth in 2025 from 4.9% to 5.0%. Deutsche Bank Research raised the forecast of China's GDP year - on - year growth rate in the fourth quarter of 2025 to 4.6% and the full - year growth rate forecast to 5.0%. In November, the number of second - hand housing transactions in first - tier cities reached 49,000, a 7 - month high, with a month - on - month increase of 20%. In the first 11 months of this year, the cumulative number of second - hand housing transactions in first - tier cities was 519,000, a year - on - year increase of about 5%, breaking through the 510,000 mark for the first time in four years. The number of initial jobless claims in the US last week unexpectedly decreased by 27,000 to 191,000, the lowest level since September 2022 [3] Market Comment and Strategy - Market Conditions: Treasury bond futures prices generally declined, and the yield of the 10 - year active treasury bond increased to 1.857%. The central bank's open - market reverse repurchase had a net withdrawal of 175.6 billion yuan, and the open - market treasury bond trading in November had a net injection of 5 billion yuan. Shibor short - term varieties mostly increased, and the market capital was relatively stable. The number of initial jobless claims in the US decreased, the ADP employment data showed a decrease in private - sector jobs, increasing the probability of the Fed's interest - rate cut. The Bank of Japan governor strongly hinted at a December interest - rate hike, causing the yen to appreciate significantly and raising concerns about global liquidity tightening. The manufacturing PMI in November was 49.2%, up 0.2% from the previous month, indicating overall stable economic sentiment. However, the decline in commercial housing sales continued to expand, and second - hand housing prices continued to fall month - on - month. The bond extension of Vanke impacted the credit bond market. With the approaching of the year - end important meetings, the expectation of policy introduction increased, and the implementation of the new regulations on fund sales would also disrupt the bond market, leading to the weakening of long - term treasury bond futures prices [3]