申万期货品种策略日报：国债-20250603

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 rose in the previous trading session, and the yields of key - term treasury bonds in China generally declined. The domestic manufacturing PMI improved in May, but the overall economy is still in the process of adjustment and transformation. The central bank will maintain a supportive monetary policy, and the capital market will remain relatively loose, which still supports the prices of treasury bond futures. Attention should be paid to the progress of subsequent trade negotiations [2][3]. 3. Summary by Directory Futures Market - Price and Yield: The prices of treasury bond futures generally rose, with the T2509 contract rising 0%. The yields of key - term treasury bonds in China generally declined, with the 10Y treasury bond yield dropping 1.9bp to 1.68%. The long - short (10 - 2) treasury bond yield spread was 16.44bp [2]. - Trading Volume and Open Interest: The open interest of some contracts increased, such as T2509 and TL2509. The trading volume varied among different contracts [2]. - Arbitrage Opportunity: The IRR of the CTD bonds corresponding to the main contracts of treasury bond futures was at a low level, indicating no arbitrage opportunity [2]. Short - term Market Interest Rates - The short - term market interest rates showed mixed trends. SHIBOR 7 - day rate rose 1.5bp, DR007 rate fell 4.3bp, and GC007 rate fell 7.2bp [2]. Spot Market - The yields of key - term treasury bonds in China generally declined, with the 10Y treasury bond yield dropping to 1.68% [2]. Overseas Market - The yields of overseas key - term treasury bonds generally rose. The 10Y US treasury bond yield rose 5bp, the 10Y German treasury bond yield rose 2bp, and the 10Y Japanese treasury bond yield rose 0.5bp [2]. Macro News - A total of 16026 billion yuan of reverse repurchases will expire in the central bank's open market this week. In May, the central bank conducted 7000 billion yuan of outright reverse repurchase operations and did not conduct open - market treasury bond trading operations. The manufacturing PMI in May was 49.5%, up 0.5 percentage points from the previous month, and the non - manufacturing PMI was 50.3%, down 0.1 percentage point. The US extended the exemption period for the 301 investigation on China, and Trump announced to raise the import steel tariff from 25% to 50% [3]. Industry Information - Most money market interest rates rose, and the yields of US treasury bonds rose across the board [3]. Comment and Strategy - The domestic economy is in the process of adjustment and transformation. The central bank will maintain a supportive monetary policy, and the capital market will remain loose, which supports the prices of treasury bond futures. Attention should be paid to the progress of trade negotiations [3].