申万期货品种策略日报：国债-20250509

Report Summary 1. Report Industry Investment Rating No information provided. 2. Core Viewpoints - The prices of treasury bond futures generally rose, with the yield of the 10 - year treasury bond active bond falling to 1.627%. The central bank's open - market operation had a net injection of 1586 billion yuan, and previous double - cuts (lowering the deposit reserve ratio by 0.5 percentage points and the 7 - day reverse repurchase operating rate by 10bp) pushed short - term bond interest rates to decline and the market liquidity to loosen [3]. - The Fed kept the federal funds rate unchanged as expected. The UK and the US reached an agreement on tariff trade agreement terms, and the EU announced a retaliatory list of 95 billion euros of US goods. The yield of US treasury bonds rebounded. China decided to contact the US, and the focus will be on the progress of the negotiations [3]. - Affected by external shocks and seasonal changes, the manufacturing prosperity level declined in April, and the real estate market is not yet stable. It is expected that the central bank will increase the intensity of monetary policy regulation, and the market liquidity is expected to remain loose, which will continue to support short - term treasury bond futures prices. The current long - short spread is at a historical low, and the compression space is limited. If the tariff negotiation makes progress, the volatility of long - term treasury bond futures prices may increase [3]. 3. Summary by Relevant Catalogs Futures Market - Price and Yield Changes: On the previous trading day, treasury bond futures prices generally rose. For example, the T2506 contract rose 0.19%, and the yields of key - term treasury bonds in China generally declined. The 10Y treasury bond yield declined 1.28bp to 1.63% [2]. - Position and Volume Changes: The position of T2506 increased, while some contracts had position decreases and increases. For example, the position of TS2506 decreased by 3076, and that of TS2509 increased by 3615 [2]. - Arbitrage Situation: The IRR of CTD bonds corresponding to the main contracts of treasury bond futures was at a low level, and there were no arbitrage opportunities [2]. Spot Market - Short - term Market Interest Rates: Short - term market interest rates generally declined. SHIBOR 7 - day interest rate declined 6.7bp, DR007 interest rate declined 6.62bp, and GC007 interest rate declined 7.1bp [2]. - Key - Term Treasury Bond Yields: The yields of China's key - term treasury bonds generally declined, and the long - short (10 - 2) treasury bond yield spread was 15.53bp [2]. Overseas Market - Key - Term Treasury Bond Yields: On the previous trading day, the 10Y US treasury bond yield rose 11bp, the 10Y German treasury bond yield declined 3bp, and the 10Y Japanese treasury bond yield rose 2.5bp [2]. Macro News - Central Bank Operation: On May 8, the central bank carried out a 1586 - billion - yuan 7 - day reverse repurchase operation with a net injection of 1586 billion yuan [3]. - International Relations: China and Russia deepened their strategic partnership, and China and the US will conduct tariff negotiations. The UK and the US reached a tariff trade agreement on some items, and the UK central bank cut interest rates [3]. - Domestic Policies: The financial regulatory authority established a mechanism to support small and micro - enterprise financing, and the balance of private enterprise credit loans increased year - on - year [3].