| | | | | 申银万国期货研究所 唐广华（从业资格号：F3010997；交易咨询号：Z0011162） | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | tanggh@sywgqh.com.cn 021-50586292 | | | | | | | | | TS2509 | TS2512 | TF2509 | TF2512 | T2509 | T2512 | TL2509 | TL2512 | | | 昨日收盘价 | 102.542 | 102.668 | 106.265 | 106.335 | 109.045 | 109.065 | 120.89 | 120.76 | | | 前日收盘价 | 102.510 | 102.642 | 106.170 | 106.240 | 108.950 | 108.980 | 120.72 | 120.56 | | | 涨跌 | 0.032 | 0.026 | 0.095 | 0.095 | 0.095 | 0.085 | 0.170 | 0.200 ...

日本10年期国债收益率上涨1.5个基点，至1.445%。 日本10年国债收益率 ...

Summary of Conference Call Notes Industry Overview - The focus is on the Chinese government bond market, specifically the 10-year treasury bonds and their yield performance [1][2][3]. Key Points and Arguments 1. **Resistance Levels for Bond Yields** - The 10-year treasury bond yield is facing strong resistance around 1.6%, with previous dips reaching approximately 1.57% [1][2]. - Current yields are fluctuating between 1.65% and 1.7%, indicating limited adjustment space [1][2]. - Investors are advised to consider buying when yields approach 1.65% but to be cautious of potential pullbacks near 1.6% [1][2]. 2. **Expectations for Resuming Bond Trading** - Market expectations for the resumption of government bond trading need to be postponed [3][4]. - The central bank requires two conditions to be met: an increase in bond supply and favorable yield conditions [4]. - There is no significant increase in bond supply expected in July, with only minor peaks anticipated in August and November [4]. 3. **Central Bank's Stance on Yield Movements** - The central bank is more inclined to accept rising yields rather than significant declines, which pose systemic risks [5]. - To avoid breaching critical levels like 1.6%, the central bank may wait for the market to adjust to higher levels before considering resumption of trading [5]. 4. **Liquidity Management and Central Bank Operations** - The notion of "liquidity withdrawal" when treasury bonds mature is inaccurate; central bank purchases actually inject liquidity into the system [6][7]. - The process of purchasing bonds involves a two-step operation that ultimately increases liquidity, although maturity payments do not directly affect base currency and liquidity [7]. 5. **Interest Rate Cut Potential** - The central bank's capacity for interest rate cuts this year is limited, with a potential cut of about 10 basis points expected around late Q3 or early Q4 [8]. - The timing of any cuts will depend on external conditions, with the focus on stabilizing growth in response to economic pressures [8]. 6. **Current Market Liquidity Conditions** - The market is experiencing marginal tightening of liquidity, with the central bank maintaining a relatively loose stance but with limits [9][10]. - The seven-day repo rate is around 1.5%, and the overnight repo rate is approximately 1.4%, indicating controlled liquidity to prevent fund misallocation [9][10]. 7. **Impact of Interbank Leverage on Market Rates** - High interbank leverage is currently observed, with a 0.3% increase in leverage for every 10 basis points recovery in yields [12]. - The current high leverage levels make further increases challenging without a drop in short-term rates [12]. 8. **Future Market Outlook** - The bond market is expected to face strong resistance at the 1.6% level, with significant attention needed on the U.S.-China trade tensions and economic fundamentals [13]. - Economic pressures in Q3, particularly in consumption and exports, could lead to a decline in bond yields if conditions worsen [13]. Other Important Insights - The central bank's preference for currency depreciation over appreciation indicates a strategic approach to managing economic stability [5]. - The discussion highlights the importance of monitoring external factors, such as trade relations and economic indicators, which could significantly impact the bond market dynamics [13].

Group 1 - The S&P/TSX Composite Index in Canada closed down 0.22% at 26,692.32 points, with a weekly increase of 0.73%, indicating an overall M-shaped trend [1] - The small-cap index fell by 1.00% to 896.97 points, with a cumulative weekly decline of 0.99% [1] - On Friday, June 27, the yield on Canada's 10-year benchmark government bond decreased by 0.98 basis points to 3.307%, with a weekly increase of 0.4 basis points [1] Group 2 - The yield on the two-year Canadian government bond dropped by 2.6 basis points to 2.600%, with a cumulative weekly decline of 4.5 basis points [1] - The five-year Canadian government bond yield fell by 3.4 basis points to 2.852%, with a cumulative weekly decline of 4.2 basis points [1]

Group 1 - The yield on the 10-year U.S. Treasury bond increased by 3.52 basis points, reaching 4.2769% [1] - The 10-year Treasury yield has decreased by a total of 9.83 basis points this week, trading within the range of 4.4028%-4.2378% [1] - The yield on the 2-year U.S. Treasury bond rose by 2.86 basis points, now at 3.7480% [1] Group 2 - The 2-year Treasury yield has seen a cumulative decline of 15.97 basis points this week, fluctuating between 3.9289%-3.7071% [1]

Group 1 - The core viewpoint of the article highlights the upward trend in German government bond yields, with the 10-year yield rising by 2.3 basis points to 2.592% and a cumulative increase of 7.5 basis points for the week [1] - The 2-year German bond yield increased by 3.4 basis points to 1.860%, with a weekly cumulative rise of 1.0 basis point, showing a W-shaped trend [1] - The 30-year German bond yield remained relatively stable at 3.070%, with a cumulative increase of 9.8 basis points for the week [1] Group 2 - The 2/10 year German bond yield spread decreased by 1.354 basis points to +72.781 basis points, with a weekly cumulative increase of 6.261 basis points [1]

1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report - Last week, the yield of treasury bonds showed a volatile and slightly stronger trend. Although the social financing data increased year - on - year, it was mainly driven by government bonds, and the credit demand remained weak. Coupled with the manufacturing PMI still below the boom - bust line, it strengthened the market's judgment of a weak economy, supporting the bond market. Geopolitical tensions and the escalation of the Middle East situation increased risk - aversion sentiment, which was also beneficial to the bond market. Although the Lujiazui Forum signaled financial opening, there were no more - than - expected loose measures, cooling the market's expectation of the central bank's treasury bond trading, causing interest - rate bonds to rise and then fall. In June, the LPR remained unchanged, the stock market weakened, and the capital side was relatively stable. The bond market generally rose, and the market's expectation of loose policies in the second half of the year increased. Ultra - long - term treasury bond trading was active, but the overall situation was still affected by the policy vacuum period [3]. 3. Summary by Directory 3.1 Interest Rate Pricing Tracking Indicators - Price indicators: China's CPI (monthly) had a month - on - month change of - 0.20% and a year - on - year change of - 0.10%; China's PPI (monthly) had a month - on - month change of - 0.40% and a year - on - year change of - 3.30% [8]. - Monthly economic indicators: The social financing scale was 426.16 trillion yuan, with a month - on - month increase of 2.16 trillion yuan and a growth rate of 0.51%; M2 year - on - year was 7.90%, with a decrease of 0.10% and a decline rate of 1.25%; the manufacturing PMI was 49.50%, with an increase of 0.50% and a growth rate of 1.02% [8]. - Daily economic indicators: The US dollar index was 97.31, with a decrease of 0.40 and a decline rate of 0.41%; the US dollar against the offshore RMB was 7.1603, with a decrease of 0.008 and a decline rate of 0.11%; SHIBOR 7 - day was 1.67, with no change and a decline rate of 0.06%; DR007 was 1.69, with a decrease of 0.01 and a decline rate of 0.51%; R007 was 1.64, with a decrease of 0.12 and a decline rate of 6.66%; the 3 - month inter - bank certificate of deposit (AAA) was 1.63, with an increase of 0.01 and a growth rate of 0.78%; the AA - AAA credit spread (1Y) was 0.07, with a decrease of 0.01 and a growth rate of 0.78% [8]. 3.2 Treasury Bonds and Treasury Bond Futures Market Overview No specific content provided for summary other than figure references such as the closing price trend of the main continuous contracts of treasury bond futures and the price change situation of various treasury bond futures varieties [9][15][17][19]. 3.3 Money Market Fundamentals - On June 26, 2025, the central bank carried out a 7 - day reverse repurchase operation of 509.3 billion yuan at a fixed interest rate of 1.5%. The main term repurchase interest rates of 1D, 7D, 14D, and 1M were 1.370%, 1.670%, 1.736%, and 1.622% respectively, and the repurchase interest rates had recently declined [2]. 3.4 Spread Overview No specific content provided for summary other than figure references such as the inter - period spread trend of various treasury bond futures varieties and the spread between spot - bond term spreads and futures cross - variety spreads [41][44][45]. 3.5 Two - Year Treasury Bond Futures No specific content provided for summary other than figure references such as the implied interest rate of the TS main contract and the maturity yield of treasury bonds, and the IRR of the TS main contract and the capital interest rate [47][49]. 3.6 Five - Year Treasury Bond Futures No specific content provided for summary other than figure references such as the implied interest rate of the TF main contract and the maturity yield of treasury bonds, the basis trend of the TF main contract in the past three years, and the net basis trend of the TF main contract in the past three years [56][59][62]. 3.7 Ten - Year Treasury Bond Futures No specific content provided for summary other than figure references such as the implied interest rate of the T main contract and the maturity yield of treasury bonds, the basis trend of the T main contract in the past three years, and the net basis trend of the T main contract in the past three years [67][70]. 3.8 Thirty - Year Treasury Bond Futures No specific content provided for summary other than figure references such as the implied interest rate of the TL main contract and the maturity yield of treasury bonds, the basis trend of the TL main contract in the past three years, and the net basis trend of the TL main contract in the past three years [75][78][81]. 3.9 Strategies - Unilateral: The repurchase interest rate declined, the price of treasury bond futures fluctuated, and the 2509 contract was neutral [4]. - Arbitrage: Pay attention to the widening of the basis [4]. - Hedging: There is an adjustment pressure in the medium term, and short - sellers can use far - month contracts for appropriate hedging [4].

日本30年期国债收益率下跌1.5个基点至2.885%。 ...

Group 1 - The yield on Germany's 10-year government bonds increased by 2.1 basis points, reaching 2.565% before dropping to a daily low of 2.502% and then fluctuating back up to a daily high of 2.577% [1] - The yield on 2-year German bonds decreased by 0.8 basis points, reported at 1.843%, trading within a range of 1.863%-1.819% during the day [1] - The yield on 30-year German bonds rose by 2.6 basis points, reported at 3.052% [1] Group 2 - The 2/10 year German bond yield spread increased by 2.957 basis points, reported at +71.967 basis points [1]

Report Industry Investment Rating No relevant content provided. Core Viewpoints - In the game of policy expectations, Treasury bond futures closed down across the board. Last week, Treasury bond yields showed a volatile and slightly stronger trend. Although social financing data increased year-on-year, it was mainly driven by government bonds, and credit demand remained weak. Coupled with the manufacturing PMI still below the boom-bust line, it strengthened the market's judgment of a weak economy, supporting the bond market. Geopolitical tensions and the escalation of the Middle East situation increased risk aversion, which was also beneficial to the bond market. Despite the signal of financial opening released at the Lujiazui Forum, there were no more-than-expected easing measures, which cooled the market's expectation of the central bank's buying and selling of Treasury bonds, causing interest rate bonds to rise and then fall. In June, the LPR remained unchanged, the stock market weakened, and the capital side was relatively stable. The bond market generally rose, and the market's expectation of easing policies in the second half of the year increased. Ultra-long-term Treasury bond trading was active, but it was still restricted by the policy vacuum period [1][3]. Summary by Directory 1. Interest Rate Pricing Tracking Indicators - **Price Indicators**: China's CPI (monthly) had a month-on-month change of -0.20% and a year-on-year change of -0.10%. China's PPI (monthly) had a month-on-month change of -0.40% and a year-on-year change of -3.30% [8]. - **Monthly Economic Indicators**: The social financing scale was 426.16 trillion yuan, with a month-on-month increase of 2.16 trillion yuan and a growth rate of 0.51%. M2 year-on-year was 7.90%, a decrease of 0.10% and a decline rate of 1.25%. The manufacturing PMI was 49.50%, an increase of 0.50% and a growth rate of 1.02% [8]. - **Daily Economic Indicators**: The US dollar index was 97.95, a decrease of 0.43 and a decline rate of 0.44%. The US dollar against the offshore RMB was 7.1754, a decrease of 0.011 and a decline rate of 0.15%. SHIBOR 7 days was 1.63, an increase of 0.13 and a growth rate of 8.82%. DR007 was 1.67, an increase of 0.16 and a growth rate of 10.67%. R007 was 1.64, a decrease of 0.12 and a decline rate of 6.66%. The 3M interbank certificate of deposit (AAA) was 1.61, an increase of 0.00 and a growth rate of 0.04%. The AA - AAA credit spread (1Y) was 0.08, an increase of 0.00 and a growth rate of 0.04% [8]. 2. Treasury Bond and Treasury Bond Futures Market Overview No specific content provided other than the section title and references to related figures such as the closing price trend of Treasury bond futures' main continuous contracts and the price changes of various Treasury bond futures varieties [9][12]. 3. Money Market Capital Situation - On June 24, 2025, the central bank conducted a 7 - day reverse repurchase operation of 406.5 billion yuan at a fixed interest rate of 1.5%. The main term repurchase rates of 1D, 7D, 14D, and 1M were 1.370%, 1.629%, 1.697%, and 1.620% respectively, and the repurchase rates had recently declined [2]. 4. Spread Situation No specific content provided other than the section title and references to related figures such as the inter - period spread trend of various Treasury bond futures varieties and the spread between spot bond term spreads and futures cross - varieties [36]. 5. Two - Year Treasury Bond Futures No specific content provided other than the section title and references to related figures such as the implied interest rate of the TS main contract and the Treasury bond maturity yield [43]. 6. Five - Year Treasury Bond Futures No specific content provided other than the section title and references to related figures such as the implied interest rate of the TF main contract and the Treasury bond maturity yield, and the three - year basis trend of the TF main contract [51]. 7. Ten - Year Treasury Bond Futures No specific content provided other than the section title and references to related figures such as the implied interest rate of the T main contract and the Treasury bond maturity yield, and the three - year basis trend of the T main contract [62]. 8. Thirty - Year Treasury Bond Futures No specific content provided other than the section title and references to related figures such as the implied interest rate of the TL main contract and the Treasury bond maturity yield, and the three - year basis trend of the TL main contract [69]. Strategies - **Unilateral**: With the decline of repurchase rates and the volatility of Treasury bond futures prices, the 2509 contract is neutral. - **Arbitrage**: Pay attention to the widening of the basis. - **Hedging**: There is medium - term adjustment pressure, and short - sellers can use far - month contracts for appropriate hedging. The short - term fluctuation of the yield curve intensifies, and the trend still depends on the further clarification of the fundamentals and policies [4].