利率衍生品月报：期债预计维持震荡-20250523

1. Report Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints of the Report - The bond market is expected to remain volatile in the short - term. Factors such as tariff easing, upward - revised fundamental expectations, and rising overseas bond yields exert some pressure on the domestic bond market. However, the medium - term fundamental trend is unclear, and the funding situation has become moderately loose. The reduction of deposit and lending rates is beneficial to the downward movement of the bond yield center, so the bond market is difficult to break out of the volatile pattern. The upper limit of the 10 - year Treasury bond yield may be difficult to exceed 1.8% in the short - term, and the lower limit is expected to be around 1.5% [3][27]. - For Treasury bond futures, the short - term market is expected to continue to fluctuate. TS2509 is expected to remain weak, with limited room for further decline and a low probability of a rebound. TF can be used for hedging due to its low basis and low hedging cost. T and TL can be considered for those who are optimistic about the future and want to bet on a rebound, as they have a thick basis protection cushion [4][29][30]. - For IRS, no strategies are recommended for now. The unexpected tariff easing limits the further loosening of the funding situation, and the space for IRS directional strategies is limited. The carry of Repo 1Y has narrowed to around - 2BP, offering little space for both long and short positions [4][90][91]. 3. Summary According to the Table of Contents 3.1 Market Review - In May, after the long - awaited "double - cut" was implemented, the long - end yield rose due to the exhaustion of positive factors, while the short - end generally declined, and the yield curve steepened. Subsequently, the mention of resuming Treasury bond trading operations in the first - quarter monetary policy implementation report led to a slight decline in long - end yields. The better - than - expected results of the China - US Geneva economic and trade talks broke the long - standing sideways pattern of the bond market, causing significant declines in Treasury bond futures, especially for long - duration bonds. However, as the funding situation became loose and the April financial data was seasonally weak, the bond market sentiment recovered, and Treasury bond futures turned to a volatile state [2][15]. 3.2 Spot Bond Judgment - In the short - term, the domestic bond market faces some pressure from factors such as tariff easing, upward - revised fundamental expectations, and rising overseas bond yields. But the medium - term fundamental trend is unclear, and the funding situation has become moderately loose. The reduction of deposit and lending rates is beneficial to the downward movement of the bond yield center, so the bond market is difficult to break out of the volatile pattern. The upper limit of the 10 - year Treasury bond yield may be difficult to exceed 1.8% in the short - term, and the lower limit is expected to be around 1.5%. A coupon leverage strategy is recommended, and 3 - 5 - year urban investment second - tier perpetual bonds are recommended. For long - term and ultra - long - term bonds, it is advisable to increase holdings on dips when the odds and winning probabilities are not clear [3]. 3.3 Derivatives Directional Strategies - Treasury Bond Futures: The short - term market is expected to continue to fluctuate. TS2509 is expected to remain weak, with limited room for further decline and a low probability of a rebound. TF can be used for hedging due to its low basis and low hedging cost. T and TL can be considered for those who are optimistic about the future and want to bet on a rebound, as they have a thick basis protection cushion [4][29][30]. - IRS: No strategies are recommended for now. The unexpected tariff easing limits the further loosening of the funding situation, and the space for IRS directional strategies is limited. The carry of Repo 1Y has narrowed to around - 2BP, offering little space for both long and short positions [4][90][91]. 3.4 Treasury Bond Futures Trading Strategies - Directional Strategy: The short - term is expected to continue to fluctuate. The implementation of previous reserve requirement ratio and interest rate cuts, along with the unexpected tariff negotiations, have led to adjustments in the bond market and differentiated performance of Treasury bond futures, with the short - end performing relatively well. The funding situation is expected to remain moderately loose under the influence of monetary policy. The bond market may not have fully digested the impact of this round of tariff negotiations, and there may be redemption disturbances from the strengthening of the stock market in the short - term. The supply of interest - rate bonds will be large in the future [24]. - Cash - and - Carry Strategy: There are currently no opportunities. The IRR of the CTD of the 2509 contract has no obvious advantage compared with the certificate of deposit rate, so the IRR strategy is not recommended [37]. - Basis Strategy: Pay attention to the opportunity of going long on the basis. The basis of T, TS, and TF contracts has been compressed to a low level, and there is limited space for further shorting the basis. The basis of the TL contract is slightly higher, but considering the long time until the 09 contract delivery, the basis is not too high, and shorting the basis is not recommended. One can appropriately bet on the widening of the basis of the 2509 contract [42]. - Calendar Spread Strategy: It is necessary to wait. The subsequent spread between the 2509 - 2506 contracts depends on the bond market trend. Since the roll - over is almost over and the 2512 contract has poor liquidity, the calendar spread (2509 - 2506) strategy is not recommended for now [51]. - Inter - Commodity Spread Strategy: Not recommended for now. The short - end interest rate has declined rapidly after the reserve requirement ratio and interest rate cuts, and the long - end has taken some profits due to the unexpected tariff negotiations. The yield curves of the 2 - 5 - year and 5 - 10 - year segments have steepened slightly. The subsequent downward space of the funding rate is limited, and the downward space of the medium - and short - end is narrow. The long - end and ultra - long - end are still disturbed by tariff negotiations and possible improvement in phased data, and their performance may be slightly weaker than the short - end, but the space is also limited [59][60][61]. 3.5 IRS Trading Strategies - Directional Strategy: Not recommended. The unexpected tariff easing limits the further loosening of the funding situation, and the space for IRS directional strategies is limited [90]. - Term Spread Strategy: Not recommended. The term spread of the IRS fixing curve is still at a low level. The long - end interest rate is expected to remain volatile in the short - term, and the short - end has fully priced in the funding loosening. The steepening or flattening space of the yield curve is expected to be limited, and the IRS curve changes more slowly than the spot and futures, and it is difficult to close positions [94]. - Basis Strategy: Not recommended. According to past experience of interest rate cuts, after the OMO and LPR are lowered, the listed deposit rates of large banks will be quickly adjusted. Considering the bank's interest margin pressure, the reduction of the listed certificate of deposit rate this time is expected to be significant. Currently, the basis of 1Y, 2Y, and 5Y Shibor 3M/FR007 is only fluctuating around 3BP, 2BP, and 1BP respectively, so the cost - effectiveness of the basis strategy is not high [98]. - Bond - Buying - and - Repo Strategy: Not recommended. The spread between the 1 - year and 5 - year China Development Bank bonds and IRS Repo is limited, so there is little space for this strategy [109].