| | | | | 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 | | | | | | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | TS2603 | TS2606 | TF2603 | TF2606 | T2603 | T2606 | TL2603 | TL2606 | | | 昨日收盘价 | 102.418 | 102.430 | 105.755 | 105.765 | 107.870 | 107.885 | 112.51 | 112.67 | | | 前日收盘价 | 102.368 | 102.388 | 105.595 | 105.610 | 107.670 | 107.695 | 112.45 | 112.61 | | | 涨跌 | 0.050 | 0.042 | 0.160 | 0.155 | 0.200 | 0.190 | 0.060 | 0.060 | | | 涨跌幅 | 0.05% | 0. ...

Report Summary 1. Report Industry Investment Rating No information provided on the report industry investment rating. 2. Core View of the Report - The prices of treasury bond futures generally rose, with the T2509 contract rising 0.2%, and the short - term market interest rates generally declined. The yields of key - term treasury bonds at home and abroad changed, and the price fluctuations of short - term treasury bond futures will continue to increase due to multiple factors [2][3]. 3. Summary by Relevant Catalogs Futures Market - **Prices and Volumes**: The prices of treasury bond futures generally rose, such as the T2509 contract rising 0.2%. The trading volume and open interest of each contract varied, with some open interest decreasing [2]. - **Arbitrage Opportunities**: The IRR of the CTD bonds corresponding to the main contracts of each treasury bond futures was at a low level, and there were no arbitrage opportunities [2]. Short - term Market Interest Rates - The short - term market interest rates generally declined. For example, the SHIBOR 7 - day rate decreased by 2.4bp, the DR007 rate decreased by 6.73bp, and the GC007 rate decreased by 2.9bp [2]. Spot Market - **Domestic Treasury Bond Yields**: The yields of key - term treasury bonds at home changed differently. The 10Y treasury bond yield decreased by 2.24bp to 1.72%, and the yield spread between long - and short - term (10 - 2) treasury bonds was 30.73bp [2]. - **Overseas Treasury Bond Yields**: The 10Y US treasury bond yield increased by 2bp, the 10Y German treasury bond yield decreased by 7bp, and the 10Y Japanese treasury bond yield decreased by 3.4bp [2]. Macro News - **Monetary Policy**: The central bank conducted 495.8 billion yuan of 7 - day reverse repurchase operations, with a net investment of 325.1 billion yuan [3]. - **Economic Meetings**: The national industrial and information authorities' symposium deployed eight key tasks for the second half of the year, including promoting industrial development and expanding domestic demand [3]. - **Other Policies**: The implementation plan of the national child - rearing subsidy system was officially announced, and the CF40 report suggested increasing counter - cyclical policies [3]. Industry Information - **Interest Rate Changes**: Most money market interest rates declined, and most US treasury bond yields fell. Trump's remarks affected the market's expectations of the Fed's policies [3]. Comment and Strategy - The price of 10 - year treasury bond active bonds rebounded significantly, and the yield dropped to 1.715%. Due to factors such as the central bank's operations, overseas economic data, and domestic policies, the price fluctuations of short - term treasury bond futures will continue to increase [3].