1. Report Industry Investment Rating - No relevant information provided 2. Core Viewpoints of the Report - Last week, Treasury bond futures fluctuated. The central bank net withdrew 4600 billion yuan. The 10-year Treasury bond yield rose slightly last week and remains at a historical low in the long term. Technically, the short-term price of the T2506 contract is near the 40-day moving average. In terms of operation, 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 upward space is limited. It is advisable to buy on dips in the short term [3] 3. Summary by Relevant Catalogs 3.1 Treasury Bond Futures Macro and Market Outlook - **Weekly Macro and News**: Moody's decided to maintain China's sovereign credit rating at "A1" with a negative outlook. The international community warns that global governments must curb the rise of public debt due to the unsustainable fiscal path caused by rising interest rates [4] - **Outlook for Treasury Bonds**: Last week, Treasury bond futures fluctuated. The central bank net withdrew 4600 billion yuan. The 10-year Treasury bond yield rose slightly, and in the long term, it is at a historical low. Technically, the short-term price of the T2506 contract is near the 40-day moving average. The Treasury bond market price fluctuates at a high level, the interest rate is in a low range, and the upward space is limited in the medium and long term. It is advisable to buy on dips in the short term [3] 3.2 Treasury Bond Futures Market - **Price Trend**: Last week, Treasury bond futures showed a weak downward trend. The TS2509 contract rose 0.03%, the TF2509 contract rose 0.14%, the T2509 contract rose 0.18%, and the TL2509 contract rose 0.26% [6] 3.3 Changes in Treasury Bond Yields - **Yield Changes**: Last week, long-term interest rates rose, and the yield spread widened [10] 3.4 Treasury Bond CTD Bonds and Basis - **Arbitrage of Treasury Bond CTD Bonds**: This week, the IRR of long-term Treasury bond futures is higher than the short-term financing rate, indicating an arbitrage opportunity [13] 3.5 Treasury Bond Futures Spreads and Basis - **TF-T Spread**: The spread between 5-year and 10-year Treasury bond futures widened, and their basis also widened [14] 3.6 Treasury Bond Term Structure - **Treasury Bond Term Structure**: The latest Treasury bond term structure is steeper than that on May 20th, and medium and long-term yields have risen [19]

1. Report Industry Investment Rating - Not provided in the content 2. Core Views of the Report - After the temporary agreement was reached in the China-US trade talks in Geneva and tariffs were significantly reduced, the market's risk appetite increased significantly, and the risk-aversion sentiment declined, leading to a full decline in treasury bonds and treasury bond futures. Investors expect that the easing of China-US relations will help stabilize the global economy and reduce the urgency for loose monetary policy. Coupled with the strong rebound of the US stocks and the pressure of funds flowing out of 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 [2] 3. Summary According to Relevant Catalogs I. Interest Rate Pricing Tracking Indicators - Price indicators: China's CPI (monthly) had a month-on-month increase of 0.10% and a year-on-year decrease of 0.10%; China's PPI (monthly) had a month-on-month decrease of 0.40% and a year-on-year decrease of 2.70% [8] - Economic indicators (monthly update): The social financing scale was 422.96 trillion yuan, with a month-on-month increase of 5.67 trillion yuan and a growth rate of 1.36%; M2 year-on-year was 7.00%, with no change; the manufacturing PMI was 49.00%, with a month-on-month decrease of 1.50% and a decline rate of 2.97% [8] - Economic indicators (daily update): The US dollar index was 100.98, with a day-on-day decrease of 0.81 and a decline rate of 0.80%; the US dollar against the offshore RMB was 7.1887, with a day-on-day decrease of 0.036 and a decline rate of 0.50%; SHIBOR 7-day was 1.49, with a day-on-day decrease of 0.01 and a decline rate of 0.40%; DR007 was 1.52, with a day-on-day increase of 0.02 and an increase rate of 1.26%; R007 was 1.76, with a day-on-day decrease of 0.21 and a decline rate of 10.82%; the interbank certificate of deposit (AAA) 3M was 1.61, with a day-on-day decrease of 0.01 and a decline rate of 0.62%; the AA - AAA credit spread (1Y) was 0.11, with a day-on-day decrease of 0.01 and a decline rate of 0.62% [8] II. Overview of the Treasury Bond and Treasury Bond Futures Market - The closing prices of TS, TF, T, and TL on May 13, 2025, were 102.35 yuan, 105.96 yuan, 108.72 yuan, and 119.30 yuan respectively. The price changes of TS, TF, T, and TL were 0.03%, -0.01%, 0.03%, and 0.13% respectively. The average net basis of TS, TF, T, and TL was -0.029 yuan, -0.039 yuan, -0.104 yuan, and -0.175 yuan respectively [1] III. Overview of the Money Market Fundamentals - On May 13, 2025, the central bank conducted 180 billion yuan of 7-day reverse repurchase operations at a fixed interest rate of 1.5%. The main term repurchase interest rates of 1D, 7D, 14D, and 1M were 1.406%, 1.490%, 1.556%, and 1.647% respectively, and the repurchase interest rates had recently declined [1] IV. Spread Overview - Not provided with specific data in the content, only mentions relevant spread trend charts such as the inter - term spread trend of treasury bond futures varieties and the spread between spot bond term spread and futures cross - variety spread [37] V. Two - Year Treasury Bond Futures - Relevant charts include the implied interest rate of the TS main contract and the treasury bond yield to maturity, the IRR of the TS main contract and the fund interest rate, the basis trend of the TS main contract in the past three years, and the net basis trend of the TS main contract in the past three years [44][47][58] VI. Five - Year Treasury Bond Futures - Relevant charts include the implied interest rate of the TF main contract and the treasury bond yield to maturity, the IRR of the TF main contract and the fund interest rate, the basis trend of the TF main contract in the past three years, and the net basis trend of the TF main contract in the past three years [54][60][57] VII. Ten - Year Treasury Bond Futures - Relevant charts include the implied interest rate of the T main contract and the treasury bond yield to maturity, the IRR of the T main contract and the fund interest rate, the basis trend of the T main contract in the past three years, and the net basis trend of the T main contract in the past three years [62][65] VIII. Thirty - Year Treasury Bond Futures - Relevant charts include the implied interest rate of the TL main contract and the treasury bond yield to maturity, the IRR of the TL main contract and the fund interest rate, the basis trend of the TL main contract in the past three years, and the net basis trend of the TL main contract in the past three years [70][72][75] 4. Strategies - Unilateral: With the decline of the repurchase interest rate and the fluctuation of the treasury bond futures price, the 2506 contract is neutral - Arbitrage: Pay attention to the widening of the basis - Hedging: There is an adjustment pressure in the medium term, and short - sellers can use far - month contracts for appropriate hedging [3]

Group 1 - The report does not mention the investment rating of the industry Group 2 - After the Sino-US trade talks in Geneva reached a temporary agreement and significantly reduced tariffs, the market's risk appetite increased, and the safe-haven sentiment declined, leading to a full decline in national bonds and national bond futures. Investors expect the easing of Sino-US relations to help stabilize the global economy, reducing 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 [2] Group 3 Unilateral strategy - The repo rate declined, and the price of national bond futures fluctuated. The 2506 contract was neutral [3] Arbitrage strategy - Focus on the widening of the basis [3] Hedging strategy - There is an adjustment pressure in the medium term, and short sellers can moderately hedge using far-month contracts [3] Group 4 Interest rate pricing tracking indicators - China's CPI (monthly) had a month-on-month increase of 0.10% and a year-on-year decrease of 0.10%; China's PPI (monthly) had a month-on-month decrease of 0.40% and a year-on-year decrease of 2.70%. The social financing scale was 422.96 trillion yuan, with a month-on-month increase of 5.67 trillion yuan and a month-on-month increase rate of 1.36%. The M2 year-on-year growth rate was 7.00%. The manufacturing PMI was 49.00%, with a month-on-month decrease of 1.50% and a month-on-month decrease rate of 2.97%. The US dollar index was 101.79, with a day-on-day increase of 1.38 and a day-on-day increase rate of 1.37%. The offshore RMB exchange rate against the US dollar was 7.2246, with a day-on-day decrease of 0.026 and a day-on-day decrease rate of -0.35%. The SHIBOR 7-day rate was 1.50%, with a day-on-day decrease of 0.02 and a day-on-day decrease rate of -1.51%. The DR007 rate was 1.50%, with a day-on-day decrease of 0.04 and a day-on-day decrease rate of -2.87%. The R007 rate was 1.76%, with a day-on-day decrease of 0.21 and a day-on-day decrease rate of -10.82%. The 3M yield of interbank certificates of deposit (AAA) was 1.62%, with a day-on-day increase of 0.01 and a day-on-day increase rate of 0.62%. The AA-AAA credit spread (1Y) was 0.12%, with a day-on-day increase of 0.00 and a day-on-day increase rate of 0.62% [8] Group 5 National bonds and national bond futures market overview - The report includes multiple charts related to the national bond futures market, such as the closing price trend of the main continuous contract of national bond futures, the price change rate of each variety of national bond futures, the maturity yield trend of national bonds with various maturities, the one-day valuation change of national bonds with various maturities, the precipitation funds trend of each variety of national bond futures, the position ratio of each variety of national bond futures, etc. [13][15][17] Group 6 Money market capital situation - The report includes multiple charts related to the money market, such as the trading volume and position ratio of each variety of national bond futures, the bond lending turnover and total position volume of national bond futures, the spread between national development bonds and national bonds, the issuance of national bonds, etc. [27][23][25] Group 7 Spread situation - The report includes multiple charts related to spreads, such as the inter-period spread trend of each variety of national bond futures, the spread between spot bond term spreads and futures cross-variety spreads, etc. [37][41][42] Group 8 Two-year national bond futures - The report includes multiple charts related to two-year national bond futures, such as the implied interest rate and maturity yield of the TS main contract, the IRR and capital interest rate of the TS main contract, etc. [44][47] Group 9 Five-year national bond futures - The report includes multiple charts related to five-year national bond futures, such as the implied interest rate and maturity yield of the TF main contract, the three-year basis trend of the TF main contract, etc. [54][57] Group 10 Ten-year national bond futures - The report includes multiple charts related to ten-year national bond futures, such as the implied interest rate and maturity yield of the T main contract, the three-year basis trend of the T main contract, etc. [66][68] Group 11 Thirty-year national bond futures - The report includes multiple charts related to thirty-year national bond futures, such as the implied interest rate and maturity yield of the TL main contract, the three-year basis trend of the TL main contract, etc. [73][78]

Report Summary 1. Report Industry Investment Rating - Not provided in the report. 2. Core View of the Report - On April 22, the yields of Treasury bond cash bonds strengthened, with the yields of 1 - 7Y maturities declining by about 0.5 - 1.5bp, and the yields of 10Y and 30Y maturities declining by about 1.5bp and 2.5bp to 1.64% and 1.87% respectively. Treasury bond futures closed higher across the board, with the TS, TF, T, and TL main contracts rising by 0.01%, 0.07%, 0.17%, and 0.50% respectively. The central bank conducted a net withdrawal, and the weighted average rate of DR007 fluctuated around 1.70%. - Domestically, in March, both the manufacturing and service industry PMIs were in the expansion range and increased month - on - month, indicating marginal improvement in the economy. The unemployment rate improved month - on - month, but price data remained weak, with CPI down 0.1% year - on - year and PPI down 2.5% year - on - year. Financial data slightly exceeded expectations, with government bonds supporting social financing, but the financing willingness of the private sector still needed to be boosted. With policy front - loading to boost domestic demand, economic data performed strongly, with retail sales, fixed - asset investment, and industrial added value slightly exceeding expectations. - Overseas, the US PMI in March declined slightly, and non - farm payrolls growth, CPI, PPI, and retail sales data all fell short of expectations. - In terms of strategy, the risk - aversion sentiment caused by tariff shocks has eased, and the focus of the bond market may return from short - term sentiment to domestic fundamental pressure. The need for stable growth supports the continued decline of the medium - and long - term interest rate center. The second quarter may be the window for monetary easing, and reserve requirement ratio cuts may take precedence over interest rate cuts. There is a greater divergence at the important interest rate level of 1.6% for the 10 - year bond. Under heavy selling pressure, bond futures fluctuated and declined, but still showed strength after the adjustment. Attention should be paid to whether the Politburo meeting at the end of the month releases incremental information. If the policy intensity fails to meet expectations, the yield of the 10 - year Treasury bond may fluctuate and stabilize in the range of 1.65% - 1.75% in the short term and then continue to decline [2]. 3. Summary by Relevant Catalogs 3.1 Futures Market - **Futures Prices and Volumes**: On April 22, the closing prices of T, TF, TS, and TL main contracts were 108.970 (up 0.17%), 106.165 (up 0.07%), 102.402 (up 0.01%), and 119.920 (up 0.5%) respectively. The trading volumes of T, TF, TS, and TL main contracts were 41,633 (down 2,124), 33,835 (down 348), 23,837 (down 492), and 79,801 (down 333) respectively [2]. - **Futures Spreads**: The spreads of TL2509 - 2506, T2509 - 2506, TF2509 - 2506, and TS2509 - 2506 were 0.13 (up 0.01), 0.13 (down 0.02), 0.25 (up 0.02), and 0.21 (up 0.01) respectively. Other spreads such as T06 - TL06, TF06 - T06, etc., also showed certain changes [2]. - **Futures Positions**: The positions of T, TF, TS, and TL main contracts were 189,451 (up 4,438), 166,353 (up 1,274), 101,641 (down 1,350), and 110,368 (up 5,213) respectively. The net short positions of the top 20 in T, TF, TS, and TL also changed to different extents [2]. 3.2 Bond Market - **CTD Bonds**: The net prices of some CTD bonds such as 220003.IB, 240025.IB, etc., showed upward trends on April 22 [2]. - **Active Bond Yields**: The yields of 1y, 3y, 5y, 7y, and 10y active bonds were 1.4400% (up 1.00bp), 1.4900% (up 1.20bp), 1.5250% (up 2.25bp), 1.6100% (up 1.75bp), and 1.6630% (up 1.55bp) respectively [2]. 3.3 Interest Rates - **Short - term Interest Rates**: The silver - pledged overnight rate was 1.5997% (down 0.03bp), the Shibor overnight rate was 1.7090% (down 0.70bp), etc. The LPR rates of 1y and 5y remained unchanged at 3.10% and 3.6% respectively [2]. - **Open Market Operations**: The issuance scale of reverse repurchase operations was 220.5 billion yuan, the maturity scale was 164.5 billion yuan, and the interest rate was 1.5% for 7 days [2]. 3.4 Industry News - On April 22, the State Council Information Office held a press conference to introduce the "Work Plan for Accelerating the Comprehensive Pilot Program of Service Industry Opening - up". The pilot tasks will be implemented in all 11 pilot provinces and municipalities at once. Relevant work on cross - border trade and investment and financing facilitation will be carried out, the green finance policy toolkit will be optimized, etc. - On April 22, the State - owned Assets Supervision and Administration Commission of the State Council required central enterprises to take the initiative, strengthen fund planning, ensure timely payment, and support upstream and downstream enterprises in the industrial chain [2]. 3.5 Key Data to Watch - April 22, 22:00, Eurozone April consumer confidence index preliminary value - April 23, 21:45, US April S&P Global manufacturing PMI preliminary value - April 24, 01:00, US initial jobless claims for the week ended April 19 (in ten thousand people) - April 25, 22:00, US April University of Michigan consumer confidence index final value [3]

国债期货日报 2025/4/9 免责声明 重点关注 4月10日 20:30 美国3月未季调CPI年率 4月10日 20:30 美国至4月5日当周初请失业金人数(万人) 4月11日 02:00 美联储公布3月货币政策会议纪要 数据来源第三方，观点仅供参考。市场有风险，投资需谨慎！ 备注：T为10年期国债期货，TF为5年期国债期货，TS为2年期国债期货 本报告中的信息均来源于公开可获得资料，瑞达期货股份有限公司力求准确可靠，但对这些信息的准确性及完 整性不做任何保证，据此投资，责任自负。本报告不构成个人投资建议，客户应考虑本报告中的任何意见或建议是 否符合其特定状况。本报告版权仅为我公司所有，未经书面许可，任何机构和个人不得以任何形式翻版、复制和发 布。如引用、刊发，需注明出处为瑞达期货股份有限公司研究院，且不得对本报告进行有悖原意的引用、删节和修 改。 端本期货 | 项目类别 | 数据指标 最新 | 最新 | 环比 项目 | | 环比 | | --- | --- | --- | --- | --- | --- | | 期货盘面 | T主力收盘价 | 109.045 | 0.09% T主力成交量 | 94916 ...