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华金期货国债期货市场周报-20250520
Hua Jin Qi Huo·2025-05-20 08:30

Report Industry Investment Rating - No relevant information provided Core Viewpoints of the Report - Last week, Treasury bond futures weakened and declined. The central bank net withdrew 47.51 billion yuan. The 10-year Treasury bond yield slightly increased, and in the long term, it is at a historical low. Technically, the short-term price of the T2506 contract is above the 40-day moving average. The Treasury bond market price fluctuates at a high level, and the interest rate is still in a low range. In the medium and long term, the upside space is limited. Short-term investors can buy on dips [3] - There are arbitrage opportunities in Treasury bond futures as the IRR is higher than the short-term financing rate this week [12] Summary by Relevant Catalogs I. Treasury Bond Futures Macro and Market Outlook - Weekly Macro and News: In April, the added value of industrial enterprises above the designated size increased by 6.1% year-on-year, the service production index increased by 6%, and total retail sales of consumer goods increased by 5.1%. From January to April, national fixed asset investment increased by 4% year-on-year, and after excluding real estate development investment, it increased by 8%. From January to April, national real estate development investment decreased by 10.3% year-on-year, and the sales area of newly built commercial housing decreased by 2.8%. Dario warned that Moody's downgrade of the US sovereign credit rating underestimates the risks faced by US Treasury bonds, as it does not consider the risk of the federal government repaying debts by printing money [4] - Treasury Bond Market Outlook: Last week, Treasury bond futures weakened and declined. The central bank net withdrew 47.51 billion yuan. The 10-year Treasury bond yield slightly increased, and in the long term, it is at a historical low. Technically, the short-term price of the T2506 contract is above the 40-day moving average. The Treasury bond market price fluctuates at a high level, and the interest rate is still in a low range. In the medium and long term, the upside space is limited. Short-term investors can buy on dips [3] II. Treasury Bond Futures Market - Price Trend: Last week, Treasury bond futures weakened and declined. The week-on-week decline rates of TS2509, TF2509, T2509, and TL2509 were -0.15%, -0.50%, -0.52%, and -1.35% respectively [5] III. Treasury Bond Yield Changes - Yield Changes: Last week, long-term interest rates rose, and the yield spread widened [9] IV. Treasury Bond CTD Bonds and Basis - Treasury Bond CTD Bond Arbitrage Situation: This week, the IRR of Treasury bond futures is higher than the short-term financing rate, indicating arbitrage opportunities [12] V. Treasury Bond Futures Spreads and Basis - TF-T Spread: The spread between 5-year and 10-year Treasury bond futures narrowed, and their basis also narrowed [13] VI. Treasury Bond Term Structure - Treasury Bond Term Structure: The latest Treasury bond term structure flattened compared to May 13th, and short- and medium-term yields increased [18]