Economic Overview - The trade agreement between China and the U.S. has led to the postponement of a 24% tariff increase by 90 days until August, while retaining a 30% tariff increase for the year[22] - The central bank announced a reserve requirement ratio (RRR) cut and interest rate reduction, with the LPR lowered by 10 basis points at the end of the month[22] - As of May 30, the TS2509 futures fell by 0.23%, TF2509 by 0.36%, T2509 by 0.43%, and TL2506 by 1.40%[22] Market Performance - The two-year bond TS2506 closed at 102.23 with a decline of 0.13% and an average daily transaction volume of 20,925[6] - The five-year bond TF2506 closed at 105.72, down 0.36%, with a daily trading volume of 35,919[6] - The ten-year bond T2506 closed at 108.49, down 0.51%, with a trading volume of 44,240[6] Inflation and Economic Indicators - The CPI for May showed a decrease of 0.10% compared to the previous month, while the PPI decreased by 2.70%[28] - Industrial value-added growth was reported at 6.1%, indicating continued manufacturing sector strength[28] - The trade surplus reached $36.88 billion in May, reflecting strong export performance despite tariff concerns[28] Future Outlook - The market anticipates a potential shift in tariff negotiations, which could stabilize bond futures and lead to a price increase[32] - The central bank's liquidity injection of 599.8 billion yuan in May, including a net MLF injection of 375 billion yuan, suggests ongoing support for the economy[33] - The expectation of a return to a more stable economic environment may lead to a gradual recovery in bond prices as trade tensions ease[37]

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View The report suggests patiently holding positions, taking a wait - and - see approach, and making few moves. Traders are advised to follow the trend, moderately allocate on pullbacks, and hold long positions firmly [1][3]. 3. Summary by Content 3.1. Market Review - In the morning, Treasury bond futures opened higher and then oscillated downward, almost turning negative before the close. The intraday decline of A - shares drove up the price of Treasury bond futures briefly. In the afternoon, Treasury bond futures continued to decline and then rebounded before the close. The T main contract closed slightly up, while other varieties closed down [1]. - The open - market operation had 64.5 billion yuan in maturities and 154.5 billion yuan in new operations, resulting in a net injection of 90 billion yuan. After the opening, funds tightened slightly, and the overnight anonymous inter - bank funding rate reached around 1.53%, slightly higher than before the market, possibly related to tax payments [1]. 3.2. News - The first - batch pilot scale of the long - term investment reform of insurance funds was 50 billion yuan, the second - batch was 112 billion yuan, and the third - batch of 60 billion yuan is to be approved, with a total scale of 222 billion yuan [2]. 3.3. Market Outlook - Funds are a significant trend factor in the near term. Tax payments affect short - term liquidity to some extent, but the trend of the recent downward movement of the funds' central level towards the policy rate is still obvious. Therefore, trend trading should follow the trend, moderately allocate on pullbacks, and hold long positions firmly [3]. 3.4. Data - **Contract Prices and Changes**: On May 22, 2025, TS2506 was at 102.362 (down 0.008 from the previous day), TF2506 at 105.975 (down 0.01), T2506 at 108.81 (up 0.005), and TL2506 at 119.55 (down 0.02) [4]. - **Contract Positions and Changes**: TS contract positions were 124,994 hands (up 1,285), TF contract positions were 168,651 hands (down 3,185), T contract positions were 219,470 hands (up 2,258), and TL contract positions were 126,747 hands (down 167) [4]. - **Basis and Changes**: TS basis (CTD) was - 0.0744 (up 0.0007), TF basis (CTD) was 0.2742 (up 0.3199), T basis (CTD) was 0.2605 (up 0.2879), and TL basis (CTD) was 0.4354 (up 0.3406) [4]. - **Trading Volume and Changes**: TS main contract trading volume was 34,274 hands (up 4,013), TF main contract trading volume was 47,004 hands (up 4,789), T main contract trading volume was 65,126 hands (up 12,458), and TL main contract trading volume was 67,554 hands (down 5,858) [4]. - **Funding Rates and Changes**: DR001 was 1.5086% (down 0.0077 percentage points), DR007 was 1.5709% (down 0.0147 percentage points), and DR014 was 1.6585% (down 0.0178 percentage points) [4].

投资咨询业务资格：证监许可【2011】1778 号 国债期货 | 日报 2025 年 5 月 16 日 国债期货 专业研究·创造价值 国债期货小幅震荡调整 核心观点 投资咨询证号：Z0014648 电话：0571-87006873 邮箱：longaoming@bcqhgs.com 作者声明：本人具有中国期货 业协会授予的期货从业资格证 书，期货投资咨询资格证书， 本人承诺以勤勉的职业态度， 独立、客观地出具本报告。本 报告清晰准确地反映了本人的 研究观点。本人不会因本报告 中的具体推荐意见或观点而直 接或间接接收到任何形式的报 酬。 今日国债期货均小幅震荡回调。由于外部风险因素有所缓和，内部经 济指标尚待验证政策效果，4 月信贷数据线上企业与居民部门的信贷需求偏 弱，短期内继续降息的可能性较低，国债期货上行动能有所不足。不过考虑 到政策利率的锚定作用，市场利率上行空间受限，国债期货下行的空间也就 较为有限。后续需要关注外部的关税以及美联储等风险因素的演变以及国 内的宏观经济指标等表现情况。总的来说，短期内国债期货上行与下行的空 间均较为有限，以震荡整理为主。 （仅供参考，不构成任何投资建议） 姓名：龙奥明 宝 ...

Report Investment Rating - The trend rating of treasury bonds is "volatile" [4] Core Viewpoints - The market is expected to gradually strengthen in the volatility, and it is recommended to seize the opportunity to go long. The fundamental factors are relatively certain to be favorable, and the medium - to - long - term upward trend of the bond market is clear. However, the price of treasury bond futures is still high, and there may be short - term disturbances. It is necessary to time the entry and adjust the adding strategy [2][16]. - After the central bank's interest rate cut, the capital interest rate center has declined rapidly, and the yield curve has changed from flat to steep. The direction of the curve steepening is relatively certain, and its space is determined by the downward space of the capital interest rate, which is expected to have some room for decline but with a possibly tortuous rhythm [2][17]. Summary by Directory 1. One - Week Review and Outlook 1.1 This Week's Trend Review - From May 5th to May 11th, treasury bond futures fluctuated at a high level. On Tuesday, the central bank net - withdrew a large amount of funds through reverse repurchase, the short - end varieties were weak, and the long - end varieties were slightly strong due to the expected weakening of April's economic indicators. On Wednesday, after the central bank announced the reserve requirement ratio and interest rate cuts, the interest rate briefly declined, then institutions' profit - taking intention rose rapidly, and short - end varieties outperformed long - end ones. On Thursday, with the marginal loosening of the capital market and the lack of upward momentum in the stock market, treasury bond futures rose and the curve steepened. On Friday, treasury bond futures rose in the morning but weakened in the afternoon due to the better - than - expected April export data. As of May 9th, the settlement prices of the main continuous contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were 102.356, 106.105, 109.035, and 120.320 yuan respectively, changing by - 0.012, + 0.005, - 0.015, and - 0.520 yuan compared to last weekend [1][13]. 1.2 Next Week's Outlook - Although the central bank announced the "double - cut" this week and the curve started to steepen, the long - end treasury bond futures did not break through upwards because the market had over - anticipated the interest rate cut and April's export data exceeded expectations. In the future, the market should gradually strengthen in the volatility, but the timing of going long should be well - grasped. Fundamental factors are favorable, but short - term disturbances may exist. It is more cost - effective to wait for pullbacks to buy [16]. 2. Weekly Observation of Interest - Bearing Bonds 2.1 Primary Market - This week, 50 interest - bearing bonds were issued, with a total issuance volume of 578.579 billion yuan and a net financing of 235.291 billion yuan, an increase of 443.487 billion yuan and 100.594 billion yuan respectively compared to last week. 28 local government bonds were issued, with a total issuance of 105.459 billion yuan and a net financing of 67.191 billion yuan, an increase of 12.367 billion yuan and a decrease of 25.506 billion yuan respectively compared to last week. 453 inter - bank certificates of deposit were issued, with a total issuance of 857.920 billion yuan and a net financing of 334.360 billion yuan, an increase of 608.580 billion yuan and 420.330 billion yuan respectively compared to last week [23][24]. 2.2 Secondary Market - As of May 9th, the yields of 2 - year, 5 - year, 10 - year, and 30 - year treasury bonds were 1.43%, 1.49%, 1.64%, and 1.84% respectively, changing by - 1.54, - 1.92, + 0.76, and + 1.35 basis points compared to last weekend. The spreads of 10Y - 1Y, 10Y - 5Y, and 30Y - 10Y all widened. The yields of 1 - year, 5 - year, and 10 - year policy - financial bonds were 1.47%, 1.55%, and 1.66% respectively, changing by - 9.22, - 2.50, and + 0.31 basis points compared to last weekend [28][29]. 3. Treasury Bond Futures 3.1 Price, Trading Volume, and Open Interest - As of May 9th, the settlement prices of the main continuous contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures were 102.356, 106.105, 109.035, and 120.320 yuan respectively, changing by - 0.012, + 0.005, - 0.015, and - 0.520 yuan compared to last weekend. The trading volumes of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures this week were 46,612, 70,116, 82,596, and 99,245 lots respectively, an increase of 4,851, 10,812, 16,677, and 16,030 lots compared to last weekend. The open interests were 149,492, 210,970, 245,395, and 132,157 lots respectively, changing by + 2,582, + 5,180, + 8,820, and - 1,496 lots compared to last weekend [36][39]. 3.2 Basis and IRR - The positive - arbitrage strategy is recommended. The IRRs of T and TF have been running at a relatively high level. After the capital market gradually loosened at the end of Q1, the cost - effectiveness of the positive - arbitrage strategy became prominent. There are stable positive - arbitrage opportunities because the negative carry problem still exists in some varieties and the basis center is difficult to rise, and at the same time, some investors are actively going long on the bond market [43]. 3.3 Inter - Delivery and Inter - Variety Spreads - As of May 9th, the inter - delivery spreads of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures contracts 2506 - 2509 were - 0.196, - 0.340, - 0.165, and - 0.530 yuan respectively, changing by + 0.068, - 0.040, - 0.020, and - 0.260 yuan compared to last weekend. The inter - delivery spread of TS started to rise, and its future trend is expected to be tortuous [47][48]. 4. Weekly Observation of the Capital Market - This week, the central bank conducted 836.1 billion yuan of reverse repurchase operations in the open market, with 1,617.8 billion yuan of reverse repurchases maturing, resulting in a net withdrawal of 781.7 billion yuan. As of May 9th, R007, DR007, SHIBOR overnight, and SHIBOR 1 - week were 1.58%, 1.54%, 1.50%, and 1.52% respectively, down 25.91, 25.77, 26.30, and 24.30 basis points compared to last weekend. The average daily trading volume of inter - bank pledged repurchase this week was 6.81 trillion yuan, an increase of 1.34 trillion yuan from last week, and the overnight proportion was 85.79%, higher than last week [52][56][58]. 5. Weekly Overseas Observation - As of May 9th, the US dollar index rose 0.38% to 100.4218 compared to last weekend, the 10Y US Treasury yield was 4.37%, up 4 basis points compared to last weekend, and the 10Y China - US Treasury yield spread was inverted by 274 basis points. The progress of the UK - US trade negotiation and the Fed's slightly hawkish stance in the May interest - rate meeting led to the strengthening of the US dollar index and the rise of US Treasury yields [63]. 6. Weekly Observation of High - Frequency Inflation Data - This week, industrial product prices fell across the board. As of May 9th, the Nanhua Industrial Product Index, Metal Index, and Energy and Chemical Index were 3,446.32, 6,047.02, and 1,608.41 points respectively, down 31.89, 59.87, and 12.60 points compared to last weekend. Agricultural product prices rose across the board. The prices of pork, 28 key vegetables, and 7 key fruits were 20.62, 4.40, and 8.01 yuan/kg respectively, up 0.03, 0.01, and 0.42 yuan/kg compared to last weekend [67]. 7. Investment Recommendations - It is recommended to pay attention to the strategy of buying on pullbacks. Specific strategies include: 1) Recommend the strategy of laying out medium - term long positions on dips. 2) Pay attention to the positive - arbitrage opportunities of short - end varieties. 3) The opportunity to steepen the curve has initially emerged, and continue to monitor the change of the capital interest rate. 4) Stop profiting from the strategy of narrowing the TS06 - 09 spread in advance [2][18][68].

研究员： 廖宏斌 期货从业资格号F30825507 期货投资咨询从业证书号Z0020723 免责声明 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。 国债期货日报 2025/5/7 | 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 | 108.850 | -0.19% T主力成交量 | 85388 | 16220↑ | | | TF主力收盘价 | 105.995 | -0.08% TF主力成交量 | 62281 | 7590↑ | | | TS主力收盘价 | 102.308 | -0.01% TS主力成交量 | 4038 ...