申万期货品种策略日报：国债-20250513

Report Summary 1. Investment Rating - No investment rating for the industry is provided in the report. 2. Core View - The prices of Treasury bond futures generally declined, with the T2506 contract dropping by 0.49% and a decrease in open interest. There were arbitrage opportunities due to the relatively high IRR of CTD bonds corresponding to Treasury bond futures contracts. Short - term market interest rates generally decreased, and key - term Treasury bond yields showed mixed changes. With the substantial progress in Sino - US talks, the market risk appetite increased, and the prices of Treasury bond futures declined with the possibility of increased short - term volatility [2][3]. 3. Summary by Related Catalogs Futures Market - Price and Volume: The prices of Treasury bond futures generally fell. For example, the T2506 contract dropped 0.49%, and the open interest of some contracts decreased while others increased. The trading volume also varied among different contracts [2]. - Spreads: The inter - delivery spreads of some contracts changed. For instance, the inter - delivery spread of TS2506 was - 0.216, compared to the previous value of - 0.192 [2]. - IRR: The IRR of CTD bonds corresponding to Treasury bond futures contracts was relatively high, indicating potential arbitrage opportunities [2]. Spot Market - Domestic Yields: Key - term Treasury bond yields in China showed mixed changes. The 10Y Treasury bond yield rose 2.82bp to 1.66%, and the long - short (10 - 2) Treasury bond yield spread was 18.22bp [2]. - Overseas Yields: US 10Y, German 10Y, and Japanese 10Y Treasury bond yields all increased, by 8bp, 4bp, and 3.5bp respectively [2]. Macro News - Central Bank Operations: On May 12, the central bank conducted 430 billion yuan of 7 - day reverse repurchase operations at an interest rate of 1.40%, resulting in a net injection of 430 billion yuan [3]. - Sino - US Talks: The Sino - US Geneva economic and trade talks reached a joint statement. Both sides agreed to adjust tariffs and take measures to ease trade tensions [3]. - Automobile Industry: In April, China's automobile production and sales increased year - on - year, with new energy vehicle production and sales growing significantly [3]. - Japanese Bond Market: The yield of Japanese 30 - year Treasury bonds reached a nearly 25 - year high, and the demand for Japanese 10 - year bond sales was weak [3]. - US Pharmaceutical Policy: US President Trump signed an executive order to lower drug prices, but analysts believe it is difficult to implement [3]. Industry Information - Interest Rates: Money market interest rates mostly declined, and US Treasury bond yields collectively increased [3]. Comments and Strategies - Market Conditions: The prices of Treasury bond futures generally fell. The central bank's open - market operations provided liquidity, and the market risk appetite increased due to the Sino - US talks. The prices of Treasury bond futures declined, and short - term volatility may increase [3].