国债期货日报：中美日内瓦会谈影响债市情绪，国债期货全线收跌-20250514

1. Report Industry Investment Rating - Not provided in the content 2. Core Views of the Report - After the temporary agreement was reached in the China-US trade talks in Geneva and tariffs were significantly reduced, the market's risk appetite increased significantly, and the risk-aversion sentiment declined, leading to a full decline in treasury bonds and treasury bond futures. Investors expect that the easing of China-US relations will help stabilize the global economy and reduce the urgency for loose monetary policy. Coupled with the strong rebound of the US stocks and the pressure of funds flowing out of the bond market, the yield of spot bonds increased and the price of futures bonds decreased. Overall, the short-term pressure on the bond market mainly reflects the phased convergence of macro risk premiums [2] 3. Summary According to Relevant Catalogs I. Interest Rate Pricing Tracking Indicators - Price indicators: China's CPI (monthly) had a month-on-month increase of 0.10% and a year-on-year decrease of 0.10%; China's PPI (monthly) had a month-on-month decrease of 0.40% and a year-on-year decrease of 2.70% [8] - Economic indicators (monthly update): The social financing scale was 422.96 trillion yuan, with a month-on-month increase of 5.67 trillion yuan and a growth rate of 1.36%; M2 year-on-year was 7.00%, with no change; the manufacturing PMI was 49.00%, with a month-on-month decrease of 1.50% and a decline rate of 2.97% [8] - Economic indicators (daily update): The US dollar index was 100.98, with a day-on-day decrease of 0.81 and a decline rate of 0.80%; the US dollar against the offshore RMB was 7.1887, with a day-on-day decrease of 0.036 and a decline rate of 0.50%; SHIBOR 7-day was 1.49, with a day-on-day decrease of 0.01 and a decline rate of 0.40%; DR007 was 1.52, with a day-on-day increase of 0.02 and an increase rate of 1.26%; R007 was 1.76, with a day-on-day decrease of 0.21 and a decline rate of 10.82%; the interbank certificate of deposit (AAA) 3M was 1.61, with a day-on-day decrease of 0.01 and a decline rate of 0.62%; the AA - AAA credit spread (1Y) was 0.11, with a day-on-day decrease of 0.01 and a decline rate of 0.62% [8] II. Overview of the Treasury Bond and Treasury Bond Futures Market - The closing prices of TS, TF, T, and TL on May 13, 2025, were 102.35 yuan, 105.96 yuan, 108.72 yuan, and 119.30 yuan respectively. The price changes of TS, TF, T, and TL were 0.03%, -0.01%, 0.03%, and 0.13% respectively. The average net basis of TS, TF, T, and TL was -0.029 yuan, -0.039 yuan, -0.104 yuan, and -0.175 yuan respectively [1] III. Overview of the Money Market Fundamentals - On May 13, 2025, the central bank conducted 180 billion yuan of 7-day reverse repurchase operations at a fixed interest rate of 1.5%. The main term repurchase interest rates of 1D, 7D, 14D, and 1M were 1.406%, 1.490%, 1.556%, and 1.647% respectively, and the repurchase interest rates had recently declined [1] IV. Spread Overview - Not provided with specific data in the content, only mentions relevant spread trend charts such as the inter - term spread trend of treasury bond futures varieties and the spread between spot bond term spread and futures cross - variety spread [37] V. Two - Year Treasury Bond Futures - Relevant charts include the implied interest rate of the TS main contract and the treasury bond yield to maturity, the IRR of the TS main contract and the fund interest rate, the basis trend of the TS main contract in the past three years, and the net basis trend of the TS main contract in the past three years [44][47][58] VI. Five - Year Treasury Bond Futures - Relevant charts include the implied interest rate of the TF main contract and the treasury bond yield to maturity, the IRR of the TF main contract and the fund interest rate, the basis trend of the TF main contract in the past three years, and the net basis trend of the TF main contract in the past three years [54][60][57] VII. Ten - Year Treasury Bond Futures - Relevant charts include the implied interest rate of the T main contract and the treasury bond yield to maturity, the IRR of the T main contract and the fund interest rate, the basis trend of the T main contract in the past three years, and the net basis trend of the T main contract in the past three years [62][65] VIII. Thirty - Year Treasury Bond Futures - Relevant charts include the implied interest rate of the TL main contract and the treasury bond yield to maturity, the IRR of the TL main contract and the fund interest rate, the basis trend of the TL main contract in the past three years, and the net basis trend of the TL main contract in the past three years [70][72][75] 4. Strategies - Unilateral: With the decline of the repurchase interest rate and the fluctuation of the treasury bond futures price, the 2506 contract is neutral - Arbitrage: Pay attention to the widening of the basis - Hedging: There is an adjustment pressure in the medium term, and short - sellers can use far - month contracts for appropriate hedging [3]