2025年09月22日申万期货品种策略日报-国债 | | | | | 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 | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | 昨日收盘价 | TS2512 102.364 | TS2603 102.290 | TF2512 105.675 | TF2603 105.550 | T2512 107.835 | T2603 107.490 | TL2512 114.8 | TL2603 114.48 | | | 前日收盘价 | 102.410 | 102.340 | 105.820 | 105.695 | 108.080 | 107.750 | 115.62 | 115.31 | | | 涨跌 | -0.046 | -0.050 | -0.145 | -0.145 | -0.245 | -0.260 | -0.820 | -0.830 | | | 涨跌幅 | ...

Report Date - The report is dated July 23, 2025 [1] Investment Rating - No investment rating provided in the report Core View - The prices of treasury bond futures generally declined on the previous trading day, with the T2509 contract down 0.11% and the open interest decreasing. The IRR of CTD bonds corresponding to the main contracts of each treasury bond futures was at a low level, with no arbitrage opportunities. Short - term market interest rates fluctuated, and key - term treasury bond yields at home and abroad changed. The external "equal - tariff" policy increased global economic uncertainty, and the central bank would maintain a supportive monetary policy, causing increased volatility in treasury bond futures prices under the short - term improvement in market risk appetite [2][3] Key Points by Category Treasury Futures Market - **Price and Yield Changes**: The prices of treasury bond futures generally fell on the previous trading day, with T2509 down 0.11%, TS2509 down 0.01%, TF2509 down 0.07%, etc. The IRR of CTD bonds corresponding to the main contracts was at a low level, indicating no arbitrage opportunities [2] - **Open Interest and Volume**: The open interest of TS2509 decreased by 2,462, TF2509 decreased by 3,177, while T2509 increased by 1,115. The trading volume of each contract also showed different changes [2] - **Spread Changes**: The inter - delivery spread of TS2509 decreased from - 0.068 to - 0.078, TF2509 decreased from - 0.070 to - 0.085, and T2509 decreased from - 0.040 to - 0.060 [2] Short - term Market Interest Rates - **Domestic Short - term Rates**: SHIBOR overnight decreased by 4.9bp to 1.3170, SHIBOR 7 - day decreased by 1.5bp to 1.4620, DR001 decreased by 4.13bp to 1.3599, etc. [2] Spot Market - Domestic Key - term Treasury Bond Yields - **Yield Changes**: The 10Y treasury bond yield increased by 1.43bp to 1.69%, the 5Y increased by 1.39bp to 1.56%, and the 2Y decreased by 0.24bp to 1.39% [2] - **Yield Spread**: The 10 - 2Y treasury bond yield spread was 27.76bp [2] Overseas Market - Key - term Treasury Bond Yields - **Yield Changes**: The US 10Y treasury bond yield decreased by 3bp to 4.35%, the German 10Y decreased by 2bp to 2.680%, and the Japanese 10Y decreased by 1.8bp to 1.510% [2] Macro News - **Central Bank Operations**: On July 22, the central bank conducted 214.8 billion yuan of 7 - day reverse repurchase operations at an interest rate of 1.40%, while 342.5 billion yuan of reverse repurchases and 120 billion yuan of treasury cash fixed - term deposits matured [3] - **Real Estate Loans**: At the end of the second quarter, the balance of RMB real estate loans was 53.33 trillion yuan, a year - on - year increase of 0.4%, and the balance of personal housing loans was 37.74 trillion yuan, a year - on - year decrease of 0.1% [3] - **Foreign Investment Policy**: The State Administration of Foreign Exchange plans to fully cancel the registration of foreign direct investment in domestic reinvestment nationwide [3] - **International Events**: Trump announced a large - scale agreement with Japan, and the US Treasury Secretary mentioned possible discussions on China's oil purchases from Russia and Iran in the new round of Sino - US negotiations [3] Industry Information - **Domestic Money Market Rates**: On July 22, most domestic money market rates declined, such as the 1 - day silver inter - bank pledged repurchase weighted average rate down 4.65bp to 1.3144% [3] - **US Treasury Bond Yields**: US treasury bond yields declined across the board, with the 2 - year yield down 2.31bp to 3.8292% and the 10 - year yield down 3.17bp to 4.344% [3] Market Comments and Strategies - **Market Conditions**: The long - end of domestic treasury bonds continued to decline, the central bank's open - market operations continued to have a net withdrawal, and the Shibor short - end varieties declined collectively. The US consumer confidence index reached a five - month high, and the 5 - year inflation expectation was at a five - month low. The Fed was under pressure to cut interest rates [3] - **Economic Data**: The second - quarter GDP increased by 5.2% year - on - year, with industrial added value, exports, and financial data better than expected, while consumption, investment, and real estate investment growth rates declined [3] - **Market Outlook**: The external "equal - tariff" policy increased global economic uncertainty, the central bank would maintain a supportive monetary policy, and the prices of treasury bond futures would be more volatile [3]

Report Industry Investment Rating No relevant content provided. Core View of the Report - On the previous trading day, Treasury bond futures prices showed mixed performance, with the T2509 contract falling 0.02% and the positions changing little. The IRR of CTD bonds corresponding to the main Treasury bond futures contracts was at a low level, and there were no arbitrage opportunities. Short - term market interest rates generally declined. Key - term Treasury bond yields in China also showed mixed trends, with the 10Y Treasury bond yield rising 0.45bp to 1.64%. Overseas, US, German, and Japanese key - term Treasury bond yields had different changes. At present, the external environment is more complex, the domestic real - estate market is not yet stable, effective demand is insufficient, and prices are continuously low. The central bank will maintain a supportive monetary policy, and the loose capital situation will support Treasury bond futures prices [2][3]. Summary by Related Catalogs Treasury Bond Futures Market - **Prices and Positions**: The prices of Treasury bond futures showed mixed performance. For example, the T2509 contract fell 0.02%. The positions of some contracts changed, such as the T2509 contract's positions changing little, while the positions of other contracts had increases or decreases. The trading volume of each contract also varied [2]. - **IRR**: The IRR of CTD bonds corresponding to the main Treasury bond futures contracts was at a low level, and there were no arbitrage opportunities [2]. Short - term Market Interest Rates - Short - term market interest rates generally declined. SHIBOR7 - day interest rate dropped 4.1bp, DR007 interest rate dropped 5.2bp, and GC007 interest rate dropped 5.3bp [2]. Domestic Treasury Bond Yields - Key - term Treasury bond yields in China showed mixed trends. The 10Y Treasury bond yield rose 0.45bp to 1.64%, and the long - short (10 - 2) Treasury bond yield spread was 23.01bp [2]. Overseas Treasury Bond Yields - US 10Y Treasury bond yield rose 5bp, German 10Y Treasury bond yield rose 0bp, and Japanese 10Y Treasury bond yield rose 1.5bp [2]. Macro News - **Domestic**: The central bank conducted 572 billion yuan of 7 - day reverse repurchase operations on July 3, with a net withdrawal of 452.1 billion yuan. The Caixin China Services PMI in June was 50.6, down 0.5 percentage points from May. The National Development and Reform Commission arranged over 300 billion yuan to support the third - batch of "two major" construction projects in 2025, and most institutions expect the annual infrastructure investment growth rate to reach 6% [3]. - **Overseas**: US non - farm payrolls increased by 147,000 in June, far exceeding expectations. The unemployment rate unexpectedly dropped to 4.1%. The market abandoned the bet on a Fed rate cut in July, and the probability of a rate cut in September dropped to about 80%. The US House of Representatives passed the "big and beautiful" tax and spending bill, which will increase the federal government's debt ceiling by 5 trillion US dollars and may increase the government budget deficit by 3.4 trillion US dollars in the next decade [3]. Industry Information - On July 3, most money - market interest rates in China declined, with some reaching new lows. US Treasury bond yields rose collectively, mainly due to strong US labor - market data, which cooled market expectations of a Fed rate cut [3].

Group 1: Report Summary - The report is the Shenwan Futures Variety Strategy Daily Report - Treasury Bonds on June 12, 2025, released by the Shenwan Futures Research Institute [1] Group 2: Investment Rating - No investment rating for the industry is provided in the report Group 3: Core View - The previous trading day saw a general increase in treasury bond futures prices, with low IRR for CTD bonds of main contracts and no arbitrage opportunities. Short - term market interest rates showed mixed trends, and key - term treasury bond yields generally declined. The Fed may keep rates unchanged in the next meeting, and the central bank will maintain a supportive monetary policy, with loose liquidity supporting bond futures prices [2][3] Group 4: Futures Market - **Price and Volume**: The previous trading day, treasury bond futures prices generally rose. For example, the T2509 contract rose 0.05%. The trading volume and open interest of various contracts also changed. For instance, the open interest of the T2509 contract increased by 2389 [2] - **IRR**: The IRR of CTD bonds corresponding to main treasury bond futures contracts was at a low level, with no arbitrage opportunities [2] Group 5: Short - term Market Interest Rates - **Rate Changes**: The previous trading day, short - term market interest rates showed mixed trends. SHIBOR 7 - day rate rose 0.6bp, DR007 rate rose 1.91bp, and GC007 rate rose 3.2bp [2] Group 6: Spot Market - **Chinese Treasury Yields**: The previous trading day, yields of key - term Chinese treasury bonds generally declined. The 10Y treasury bond yield dropped 0.79bp to 1.65%, and the 10 - 2Y yield spread was 17.12bp [2] - **Overseas Treasury Yields**: The previous trading day, the US 10Y treasury bond yield dropped 6bp, the German 10Y yield rose 0bp, and the Japanese 10Y yield rose 0.7bp [2] Group 7: Macro News - **Central Bank Operations**: On June 11, the central bank conducted 164 billion yuan of 7 - day reverse repurchase operations, with a net withdrawal of 50.9 billion yuan [3] - **Sino - US Economic and Trade Talks**: The first meeting of the Sino - US economic and trade consultation mechanism was held in London, reaching a consensus on measures to consolidate the results of the Geneva economic and trade talks [3] - **China - Africa Cooperation**: President Xi Jinping sent a congratulatory letter to the Ministerial Meeting of Coordinators for the Implementation of the Outcomes of the China - Africa Cooperation Forum, emphasizing cooperation in multiple fields [3] - **CPI Data**: In May, 8 provinces' CPI rose year - on - year, 2 were flat, and 21 declined. CPI is expected to show a mild recovery [3] - **Debt Replacement**: As of the end of May, over 1.6 trillion yuan of replacement bonds were issued, completing over 80% of the annual quota [3] - **US Inflation**: US May CPI data was mild. Trump called for a 1 - percentage - point rate cut, and traders bet on two rate cuts this year, but the Fed may keep rates unchanged next week [3] Group 8: Industry Information - **Money Market Rates**: Most money market interest rates rose. For example, the 1 - day and 7 - day weighted average rates of inter - bank pledged repurchase increased [3] - **US Treasury Yields**: US treasury yields generally declined, driven by mild inflation data reducing expectations of short - term Fed rate hikes [3]

Report Summary 1. Investment Rating - There is no information about the industry investment rating in the report. 2. Core View - The prices of treasury bond futures generally rose in the previous trading day, with the T2509 contract rising 0.19% and an increase in open interest. The IRR of 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 declined, while overseas yields had different changes. The Fed's rate - cut expectation within the year decreased due to better - than - expected US non - farm data. The central bank will maintain a supportive monetary policy, and the capital market will remain loose, which provides some support for futures bond prices. Attention should be paid to the market capital situation and trade negotiation progress [2][3]. 3. Summary by Relevant Catalogs Futures Market - **Price and Volume**: In the previous trading day, the prices of treasury bond futures generally rose, with T2509 rising 0.19%. The open interest of T2509 increased by 7872, and trading volumes also showed different degrees of change. The cross - period spreads of some contracts changed slightly [2]. - **IRR**: The IRR of CTD bonds corresponding to the main contracts of treasury bond futures was at a low level, indicating no arbitrage opportunities [2]. Short - term Market Interest Rates - The short - term market interest rates showed mixed trends. SHIBOR7 - day rate decreased by 3.4bp, DR007 decreased by 1.63bp, and GC007 increased by 0.5bp [2]. Spot Market - **Domestic Treasury Bonds**: The yields of key - term treasury bonds in China generally declined. The 10Y - term treasury bond yield decreased by 1.23bp to 1.66%, and the 10 - 2Y yield spread was 18.65bp [2]. - **Overseas Treasury Bonds**: The 10Y US treasury bond yield increased by 11bp, the 10Y German treasury bond yield increased by 5bp, and the 10Y Japanese treasury bond yield decreased by 0.4bp [2]. Macro News - **Central Bank Operations**: On June 6, the central bank carried out 1350 billion yuan of 7 - day reverse repurchase operations, with a single - day net withdrawal of 1561 billion yuan. This week, 9309 billion yuan of reverse repurchases will mature. Last week, the central bank's open market had a net withdrawal of 6717 billion yuan [3]. - **Economic Data**: From January to April, the added value of industrial SMEs above designated size increased by 8.2% year - on - year, and the operating income reached 25.8 trillion yuan. In May, China's foreign exchange reserves increased by 36 billion US dollars to 32853 billion US dollars, and the gold reserves increased by 600,000 ounces for the seventh consecutive month [3]. - **International Events**: The US non - farm employment data exceeded expectations, with an increase of 139,000 people in May, and the unemployment rate remained at 4.2% for the third consecutive month, which may give the Fed room to postpone rate cuts [3]. Industry Information - **Interest Rate Changes**: In the money market, most interest rates showed different trends. The weighted average interest rate of inter - bank pledged repurchase had changes in different terms. US treasury bond yields rose collectively [3]. - **Market Analysis**: The yields of 10 - year treasury bonds declined. The central bank carried out a 10000 - billion - yuan outright reverse repurchase operation, and the short - term market interest rate declined. The Fed's rate - cut expectation within the year decreased, and the domestic market risk preference may increase. The central bank will maintain a supportive monetary policy, and the capital market will remain loose [3].

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoints - Last week, Treasury bond futures fluctuated. The central bank net injected 65.66 billion yuan. The 10 - year Treasury bond interest rate slightly decreased and is at a historical low in the long - term. Technically, the short - term price of the T2509 contract is near the 40 - day moving average. The Treasury market price is fluctuating at a high level, the interest rate is still in a low - level range, and there is limited upside space in the medium - to - long - term. Short - term investors can buy on dips [3]. 3. Summary by Directory I. Treasury Bond Futures Macro and Market Outlook - **Weekly Macro and News**: China's Caixin Manufacturing PMI in May was 48.3, down 2.1 percentage points from April, falling below the critical point for the first time since October 2024. The US Treasury announced the results of its latest Treasury bond repurchase operation, with a scale of up to $10 billion, the largest single - time Treasury bond repurchase operation in US Treasury history [4]. - **Treasury Bond Market Outlook**: Last week, Treasury bond futures fluctuated. The central bank net injected 65.66 billion yuan. The 10 - year Treasury bond interest rate slightly decreased and is at a historical low in the long - term. The market price is fluctuating at a high level, the interest rate is in a low - level range, with limited upside space in the medium - to - long - term. Short - term investors can buy on dips [3]. II. Treasury Bond Futures Market - **Price Trend**: Last week, Treasury bond futures fluctuated within a range. The TS2509 contract closed at 102.396, down 0.01%; the TF2509 contract closed at 106.02, down 0.03%; the T2509 contract closed at 108.725, down 0.11%; the TL2509 contract closed at 119.41, down 0.16% [5]. III. Treasury Bond Yield Changes - **Yield Changes**: Last week, long - term interest rates decreased, and the yield spread narrowed [8]. IV. Treasury Bond CTD Bonds and Basis - **Arbitrage Opportunities**: This week, the IRR of long - term Treasury bond futures is higher than the short - term financing rate, presenting arbitrage opportunities [11]. V. Treasury Bond Futures Spreads and Basis - **TF - T Spread**: The spread between 5 - year and 10 - year Treasury bond futures and their basis both narrowed [12]. VI. Treasury Bond Term Structure - **Term Structure Changes**: The latest Treasury bond term structure has flattened compared to May 28th, with medium - to - long - term yields decreasing [18].

2025年06月03日申万期货品种策略日报-国债 | | | | 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 | 102.396 | 102.562 | 106.020 | 106.100 | 108.855 | 108.850 | 119.76 | 119.65 | | | 前日收盘价 | 102.346 | 102.510 | 105.870 | 105.950 | 108.850 | 108.825 | 119.6 | 119.5 | | | 涨跌 | 0.050 | 0.052 | 0.150 | 0.150 | 0.005 | 0.025 | 0.160 | 0.150 ...

Report Industry Investment Rating - No relevant information provided Core Viewpoints of the Report - Last week, Treasury bond futures weakened and declined. The central bank net withdrew 47.51 billion yuan. The 10-year Treasury bond yield slightly increased, and in the long term, it is at a historical low. Technically, the short-term price of the T2506 contract is above the 40-day moving average. The Treasury bond market price fluctuates at a high level, and the interest rate is still in a low range. In the medium and long term, the upside space is limited. Short-term investors can buy on dips [3] - There are arbitrage opportunities in Treasury bond futures as the IRR is higher than the short-term financing rate this week [12] Summary by Relevant Catalogs I. Treasury Bond Futures Macro and Market Outlook - **Weekly Macro and News**: In April, the added value of industrial enterprises above the designated size increased by 6.1% year-on-year, the service production index increased by 6%, and total retail sales of consumer goods increased by 5.1%. From January to April, national fixed asset investment increased by 4% year-on-year, and after excluding real estate development investment, it increased by 8%. From January to April, national real estate development investment decreased by 10.3% year-on-year, and the sales area of newly built commercial housing decreased by 2.8%. Dario warned that Moody's downgrade of the US sovereign credit rating underestimates the risks faced by US Treasury bonds, as it does not consider the risk of the federal government repaying debts by printing money [4] - **Treasury Bond Market Outlook**: Last week, Treasury bond futures weakened and declined. The central bank net withdrew 47.51 billion yuan. The 10-year Treasury bond yield slightly increased, and in the long term, it is at a historical low. Technically, the short-term price of the T2506 contract is above the 40-day moving average. The Treasury bond market price fluctuates at a high level, and the interest rate is still in a low range. In the medium and long term, the upside space is limited. Short-term investors can buy on dips [3] II. Treasury Bond Futures Market - **Price Trend**: Last week, Treasury bond futures weakened and declined. The week-on-week decline rates of TS2509, TF2509, T2509, and TL2509 were -0.15%, -0.50%, -0.52%, and -1.35% respectively [5] III. Treasury Bond Yield Changes - **Yield Changes**: Last week, long-term interest rates rose, and the yield spread widened [9] IV. Treasury Bond CTD Bonds and Basis - **Treasury Bond CTD Bond Arbitrage Situation**: This week, the IRR of Treasury bond futures is higher than the short-term financing rate, indicating arbitrage opportunities [12] V. Treasury Bond Futures Spreads and Basis - **TF-T Spread**: The spread between 5-year and 10-year Treasury bond futures narrowed, and their basis also narrowed [13] VI. Treasury Bond Term Structure - **Treasury Bond Term Structure**: The latest Treasury bond term structure flattened compared to May 13th, and short- and medium-term yields increased [18]

1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - Last week, Treasury bond futures fluctuated within a narrow range. The central bank net withdrew 78.17 billion yuan. The 10 - year Treasury bond yield slightly rose last week and is at a historical low in the long - term. Technically, the short - term price of the T2506 contract is above the 40 - day moving average. The Treasury market price is fluctuating at a high level, and the yield is still in a low range. In the medium - and long - term, the upside space is limited, and it is advisable to buy on dips in the short - term [3] 3. Summary by Directory 3.1 Treasury Bond Futures Macro and Market Outlook - **Macro and News**: Domestically, the joint statement of the China - US economic and trade high - level talks was released. Both sides agreed to significantly reduce bilateral tariff levels. The US canceled 91% of the additional tariffs, and China correspondingly canceled 91% of the counter - tariffs. The US suspended the implementation of 24% "reciprocal tariffs", and China also suspended the implementation of 24% counter - tariffs. Abroad, interest rate swap contracts tracking Fed meeting expectations show that the Fed may only cut interest rates by about 55 basis points this year, a significant drop from the 75 - basis - point bet last Friday. Traders expect the first rate cut to start in September [4] - **Outlook for Treasury Bonds**: Last week, Treasury bond futures fluctuated within a narrow range. The central bank net withdrew 78.17 billion yuan. The 10 - year Treasury bond yield slightly rose last week and is at a historical low in the long - term. Technically, the short - term price of the T2506 contract is above the 40 - day moving average. The Treasury market price is fluctuating at a high level, and the yield is still in a low range. In the medium - and long - term, the upside space is limited, and it is advisable to buy on dips in the short - term [3] 3.2 Treasury Bond Futures Market - **Price Trend**: Last week, Treasury bond futures fluctuated within a narrow range. The weekly changes of TS2506, TF2506, T2506, and TL2506 were - 0.02%, 0.00%, 0.06%, and - 0.33% respectively [5] 3.3 Changes in Treasury Bond Yields - **Yield Changes**: Last week, long - term interest rates rose slightly, and the yield spread widened [8] 3.4 Treasury Bond CTD Bonds and Basis - **Arbitrage Opportunities**: This week, the IRR of Treasury bond futures is higher than the short - term financing rate, indicating arbitrage opportunities [11] 3.5 Treasury Bond Futures Spreads and Basis - **TF - T Spread**: The spread between 5 - year and 10 - year Treasury bond futures narrowed, and their basis also narrowed [12] 3.6 Treasury Bond Term Structure - **Term Structure Changes**: The latest Treasury bond term structure is steeper than that on May 6th, and the yield has risen [17]

国债期货市场周报 华金期货 研究院 2025/4/29 一、国债期货宏观及市场展望 • 周度宏观及消息面 二、国债期货行情 • 价格走势：上周国债期货小幅回调 | 名称 | 上周收盘 | 本周收盘 | 周涨跌幅 | 周成交量 | 周持仓量 | 成交量/持仓量 | | --- | --- | --- | --- | --- | --- | --- | | TS2506 | 102.432 | 102.284 | -0.14% | 169346 | 95758 | 1.77 | | TF2506 | 106.23 | 105.935 | -0.28% | 222653 | 161177 | 1.38 | | T2506 | 109.025 | 108.77 | -0.23% | 287933 | 184318 | 1.56 | | TL2506 | 119.7 | 119.68 | -0.02% | 468861 | 105659 | 4.44 | 数据来源：博易大师、华金期货 • 国债后市展望 上周国债期货小幅回调。资金方面，上周央行净投放8640亿元。上周十年期国债利率略升；长期看， 十年期国债利率处于历史低 ...