利率双降，国债期货涨跌分化

Report Industry Investment Rating No relevant content provided. Core View - After the US and China reached a temporary agreement in the Geneva trade talks and significantly reduced tariffs, the market's risk appetite increased significantly, and the risk aversion sentiment declined, leading to a decline in both treasury bonds and treasury bond futures. Investors expect that the easing of Sino-US relations will help stabilize the global economy and reduce the urgency for loose monetary policies. Coupled with the strong rebound of the US stock market and the pressure of capital outflow from the bond market, the yield of spot bonds increased, and the price of bond futures decreased. Overall, the short-term pressure on the bond market mainly reflects the temporary convergence of macro risk premiums [1][2] Summary by Directory I. Interest Rate Pricing Tracking Indicators - Price Indicators: China's CPI (monthly) had a 0.10% month-on-month increase and a -0.10% year-on-year decrease; China's PPI (monthly) 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 (+0.25%); M2 year-on-year was 8.00%, with a month-on-month increase of 1.00% (+14.29%); the manufacturing PMI was 49.00%, with a month-on-month decrease of 1.50% (-2.97%) [8] - Daily Economic Indicators: The US dollar index was 100.04, with a month-on-month decrease of 0.31 (-0.31%); the offshore US dollar to RMB exchange rate was 7.2190, with a month-on-month increase of 0.003 (+0.04%); SHIBOR 7-day was 1.56, with a month-on-month decrease of 0.01 (-0.38%); DR007 was 1.59, with a month-on-month decrease of 0.02 (-0.99%); R007 was 1.76, with a month-on-month decrease of 0.21 (-10.82%); the 3M interbank certificate of deposit (AAA) was 1.63, with a month-on-month decrease of 0.01 (-0.62%); the AA - AAA credit spread (1Y) was 0.12, with a month-on-month decrease of 0.01 (-0.62%) [8] II. Treasury and Treasury Bond Futures Market Overview - Relevant figures include the closing price trend of the main continuous contracts of treasury bond futures, the price change rate of each variety of treasury bond futures, the maturity yield trend of treasury bonds of each term, the valuation change of treasury bonds of each term in the recent day, the precipitation fund trend of each variety of treasury bond futures, the position ratio of each variety of treasury bond futures, the net position ratio of each variety of treasury bond futures (top 20), the long - short position ratio of each variety of treasury bond futures (top 20), the spread between China Development Bank bonds and treasury bonds, and the issuance of treasury bonds [6][9][14][16][17][22] III. Money Market Fundamentals - Relevant figures include the interest rate corridor, central bank open market operations, Shibor interest rate trends, the maturity yield trend of interbank certificates of deposit (AAA), the trading statistics of inter - bank pledged repurchase, and the issuance of local bonds [24][31][34] IV. Spread Overview - Relevant figures include the inter - term spread trend of each variety of treasury bond futures, the term spread of spot bonds and the cross - variety spread of futures (4TS - T), (2TS - TF), (2TF - T), (3T - TL), and (2TS - 3TF + T) [39][43][44] V. Two - Year Treasury Bond Futures - Relevant figures include the implied interest rate of the TS main contract and the maturity yield of treasury bonds, the IRR of the TS main contract and the fund interest rate, and the basis and net basis trends of the TS main contract in the past three years [46][48][58] VI. Five - Year Treasury Bond Futures - Relevant figures include the implied interest rate of the TF main contract and the maturity yield of treasury bonds, the IRR of the TF main contract and the fund interest rate, and the basis and net basis trends of the TF main contract in the past three years [54][57][61] VII. Ten - Year Treasury Bond Futures - Relevant figures include the implied interest rate of the T main contract and the maturity yield of treasury bonds, the IRR of the T main contract and the fund interest rate, and the basis and net basis trends of the T main contract in the past three years [65][68] VIII. Thirty - Year Treasury Bond Futures - Relevant figures include the implied interest rate of the TL main contract and the maturity yield of treasury bonds, the IRR of the TL main contract and the fund interest rate, and the basis and net basis trends of the TL main contract in the past three years [72][74][77] Strategy - Unilateral: With the decline of repurchase interest rates, the price of treasury bond futures fluctuates, and the 2506 contract is neutral [3] - Arbitrage: Pay attention to the widening of the basis [3] - Hedging: There is adjustment pressure in the medium term, and short - sellers can use far - month contracts for moderate hedging [3]