2025年12月08日申万期货品种策略日报-国债-20251208

Report Overview - The report is a daily strategy report on Treasury bond futures from Shenwan Futures on December 8, 2025, providing data on Treasury bond futures, short - term market rates, and macro - news [1][2][3] 1. Treasury Bond Futures Market 1.1 Futures Market Data - Yesterday, Treasury bond futures prices generally rose, with the T2603 contract rising 0.19%. The trading volume and price changes varied among different contracts, and most contracts saw a decrease in open interest [2] - The active CTD bond IRR% of each Treasury bond futures main contract was at a low level, with no arbitrage opportunities [2] 1.2 Market Indicators - Short - term market interest rates showed mixed trends. SHIBOR 7 - day rate decreased by 0.8bp, DR007 rate increased by 1.11bp, and GC007 rate increased by 1.2bp [2] - Key - term Chinese Treasury bond yields generally declined. The 10Y Treasury bond yield dropped 2.34bp to 1.85%, and the long - short (10 - 2) Treasury bond yield spread was 34.93bp [2] - Overseas key - term Treasury bond yields mostly increased. The US 10Y Treasury bond yield rose 3bp, the German 10Y Treasury bond yield rose 2bp, and the Japanese 10Y Treasury bond yield rose 1.2bp [2] 2. Macro News 2.1 Central Bank Operations - On December 5, the central bank conducted 139.8 billion yuan of 7 - day reverse repurchase operations at a fixed rate, with a net withdrawal of 161.5 billion yuan. This week, 663.8 billion yuan of reverse repurchases will mature [3] 2.2 Regulatory Policies - The draft of the "Guidelines for Performance Evaluation and Management of Fund Management Companies" requires higher follow - up investment ratios for executives and fund managers. For example, at least 30% of the annual total performance compensation of the chairman and executives of a fund company should be used to purchase the company's funds [3] 2.3 Industry Events - At the Eighth Member Congress of the China Securities Association, the CSRC Chairman Wu Qing pointed out that A - shares have achieved reasonable growth in quantity and effective improvement in quality. He also put forward requirements for the securities industry, such as playing the role of analysis and research, expanding the capital space and leverage limit of securities firms, and so on [3] 2.4 National Policies - The CSRC Chairman Wu Qing published a signed article clarifying the key tasks and measures for improving the institutional inclusiveness and adaptability of the capital market during the 15th Five - Year Plan period [3] 2.5 International Economic Data - The US September core PCE price index rose 2.8% year - on - year and 0.2% month - on - month, basically in line with market expectations. The one - year inflation expectation of the University of Michigan in December dropped to 4.1%, and the five - year inflation expectation dropped to 3.2% [3] 3. Industry Information and Comments 3.1 Interest Rate Movements - Money market interest rates showed mixed trends. Some inter - bank lending rates decreased, while some repurchase rates increased. US Treasury bond yields rose across the board [3] 3.2 Market Analysis - The market funds were stable, but concerns about global liquidity tightening and some domestic factors such as the decline in demand for long - term Treasury bonds and the implementation of new fund sales regulations affected the bond market. The long - term Treasury bond futures prices weakened [3]