国债期货日报:中美摩擦与政策观望期内,国债期货全线收跌-20250508
Hua Tai Qi Huo·2025-05-08 03:08
- Report Industry Investment Rating - Not provided in the given content 2. Core Views of the Report - The sudden implementation of the "reciprocal tariff" policy by the US in early April led to a surge in global market risk - aversion demand. Risk - averse funds flowed into the bond market, pushing up the prices of treasury bond futures. The market generally expects the central bank to increase counter - cyclical adjustment, and the possibility of reserve requirement ratio cuts and interest rate cuts has significantly increased, providing upward momentum for medium - and long - term interest - rate bonds. However, on May 7, 2025, treasury bond futures closed down across the board [1][2]. 3. Summary According to the Directory 3.1 Interest Rate Pricing Tracking Indicators - Price Indicators: China's CPI (monthly) had a month - on - month change of - 0.40% 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 - 2.50% [8]. - Monthly Economic Indicators: The social financing scale was 422.96 trillion yuan, with a month - on - month increase of 5.67 trillion yuan (+1.36%); M2 year - on - year was 7.00% with no change; the manufacturing PMI was 49.00%, down 1.50% (-2.97%) [8]. - Daily Economic Indicators: The US dollar index was 99.82, up 0.58 (+0.58%); the offshore US dollar - to - RMB exchange rate was 7.2232, up 0.008 (+0.12%); SHIBOR 7 - day was 1.66, down 0.05 (-2.69%); DR007 was 1.68, down 0.05 (-2.72%); R007 was 1.97, down 0.32 (-13.91%); the 3 - month inter - bank certificate of deposit (AAA) was 1.69, down 0.04 (-2.31%); the AA - AAA credit spread (1Y) was 0.10, with no change [9]. 3.2 Overview of the Treasury Bond and Treasury Bond Futures Market - Not provided with specific text descriptions, but there are related charts such as the closing price trend of the main continuous contract of treasury bond futures, the price change rate of each treasury bond futures variety, the maturity yield trend of treasury bonds of each term, etc. [10][18] 3.3 Overview of the Money Market Funding Situation - Not provided with specific text descriptions, but there are related charts such as the interest rate corridor, central bank open - market operations, Shibor interest rate trends, etc. [28][31] 3.4 Spread Overview - Not provided with specific text descriptions, but there are related charts such as the inter - term spread trend of each treasury bond futures variety, the term spread of spot bonds and the cross - variety spread of futures [36][39] 3.5 Two - Year Treasury Bond Futures - Not provided with specific text descriptions, but there are related charts such as the implied interest rate of the TS main contract and the maturity yield of treasury bonds, the IRR of the TS main contract and the funding rate [42][44] 3.6 Five - Year Treasury Bond Futures - Not provided with specific text descriptions, but there are related charts such as the implied interest rate of the TF main contract and the maturity yield of treasury bonds, the three - year basis trend of the TF main contract, etc. [51][54] 3.7 Ten - Year Treasury Bond Futures - Not provided with specific text descriptions, but there are related charts such as the implied interest rate of the T main contract and the maturity yield of treasury bonds, the three - year basis trend of the T main contract [62][65] 3.8 Thirty - Year Treasury Bond Futures - Not provided with specific text descriptions, but there are related charts such as the implied interest rate of the TL main contract and the maturity yield of treasury bonds, the three - year basis trend of the TL main contract [70][76] 4. Strategies - Single - side Strategy: With the decline of the repurchase rate and the volatile price of treasury bond futures, the 2506 contract is neutral [3]. - Arbitrage Strategy: Pay attention to the widening of the basis [3]. - Hedging Strategy: There is medium - term adjustment pressure, and short - side investors can moderately hedge with far - month contracts [3].