国债期货日报：中美日内瓦会谈影响债市情绪，国债期货全线收涨-20250520

Report Industry Investment Rating No relevant content provided. Core Viewpoints - After the temporary agreement was reached in the China-US trade talks in Geneva and the tariffs were significantly reduced, the market's risk appetite increased significantly, and the risk aversion sentiment declined, leading to a full - scale decline in treasury bonds and treasury bond futures. Investors expect that the easing of China - US relations will help stabilize the global economy, reducing the urgency for loose monetary policies. Coupled with the strong rebound of the US stocks and the pressure of capital outflows from 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 [1][2] - The repurchase rate has rebounded, and the price of treasury bond futures fluctuates. The 2506 contract is neutral. Pay attention to the widening of the basis. There is medium - term adjustment pressure, and short - sellers can use far - month contracts for appropriate hedging [3] Summary by Directory 1. Interest Rate Pricing Tracking Indicators - Price indicators: China's monthly CPI had a 0.10% month - on - month increase and a - 0.10% year - on - year decrease; China's monthly PPI had a - 0.40% month - on - month decrease and a - 2.70% year - on - year decrease [8] - Monthly economic indicators: The social financing scale was 424.00 trillion yuan, with a month - on - month increase of 1.04 trillion yuan and a growth rate of 0.25%; M2 year - on - year was 8.00%, with a month - on - month increase of 1.00% and a growth rate of 14.29%; the manufacturing PMI was 49.00%, with a month - on - month decrease of 1.50% and a decline rate of 2.97% [8] - Daily economic indicators: The US dollar index was 100.35, with a month - on - month decrease of 0.61 and a decline rate of - 0.60%; the offshore US dollar against the RMB was 7.2163, with a month - on - month increase of 0.020 and a growth rate of 0.27%; SHIBOR 7 - day was 1.56, with a month - on - month increase of 0.02 and a growth rate of 1.10%; DR007 was 1.60, with a month - on - month decrease of 0.04 and a decline rate of - 2.20%; R007 was 1.76, with a month - on - month decrease of 0.21 and a decline rate of - 10.82%; the 3 - month inter - bank certificate of deposit (AAA) was 1.64, with a month - on - month increase of 0.00 and a growth rate of 0.00%; the AA - AAA credit spread (1Y) was 0.13, with a month - on - month increase of 0.00 and a growth rate of 0.00% [9] 2. Overview of Treasury Bonds and Treasury Bond Futures Market - On May 19, 2025, the closing prices of TS, TF, T, and TL were 102.38 yuan, 106.00 yuan, 108.83 yuan, and 119.72 yuan respectively, with the corresponding price changes of 0.02%, 0.10%, 0.18%, and 0.42%. The average net basis of TS, TF, T, and TL was - 0.056 yuan, - 0.088 yuan, - 0.161 yuan, and - 0.055 yuan respectively [2] 3. Overview of the Money Market Funding Situation - On May 19, 2025, the central bank conducted a 7 - day reverse repurchase operation of 135 billion yuan at a fixed interest rate of 1.5%. The main term repurchase rates of 1D, 7D, 14D, and 1M were 1.537%, 1.562%, 1.654%, and 1.624% respectively, and the repurchase rates have rebounded recently [1] 4. Spread Overview - The report presents various spread trends, including the inter - period spread trends of treasury bond futures varieties, and the spread between spot bond term spreads and futures cross - variety spreads [41][45] 5. Two - Year Treasury Bond Futures - The report shows the implied interest rate of the TS main contract and the treasury bond yield to maturity, as well as the relationship between the TS main contract IRR and the funding rate, and the basis trends of the TS main contract in the past three years [48][50][61] 6. Five - Year Treasury Bond Futures - The report shows the implied interest rate of the TF main contract and the treasury bond yield to maturity, the relationship between the TF main contract IRR and the funding rate, and the basis trends of the TF main contract in the past three years [57][60][63] 7. Ten - Year Treasury Bond Futures - The report shows the implied interest rate of the T main contract and the treasury bond yield to maturity, the relationship between the T main contract IRR and the funding rate, and the basis trends of the T main contract in the past three years [66][69] 8. Thirty - Year Treasury Bond Futures - The report shows the implied interest rate of the TL main contract and the treasury bond yield to maturity, the relationship between the TL main contract IRR and the funding rate, and the basis trends of the TL main contract in the past three years [74][78][80]