Group 1: Report's Investment Rating - No information about the industry investment rating is provided in the report [1][2][5] Group 2: Core Viewpoints - The capital market has no basis for tightening as the real - estate market and credit demand face downward pressure, and external exchange - rate pressure has significantly eased. However, the central bank's attitude towards the capital market is limitedly loose, so the probability of a significant decline in capital interest rates is low. DR007 is expected to fluctuate in the range of 1.5 - 1.6%. The CD maturity peak is not over, and CD interest rates may remain in a sideways oscillation state, with limited downward momentum in the bond market. Further long - position opportunities may require greater liquidity support from the central bank, a significant decline in CD interest rates, and an increase in interest - rate cut expectations [5][19][23] Group 3: Summary by Directory 1. Can the funds become even looser? - From the fundamental perspective, the real - estate market and credit demand have downward pressure. As of June 14, the year - on - year decline in the commercial housing transaction area of 30 large - and medium - sized cities in June was 8.0%, and the year - on - year growth of first - tier cities' transaction area also decreased. As of June 8, the national urban second - hand housing listing price index decreased by 0.48% month - on - month. In May, the year - on - year growth of RMB loan balances was 7.1%, and the credit growth rate was still in a downward range. The growth of social financing was mainly supported by government bond issuance and direct financing, with weak financing demand from the real economy [7][12] - External exchange - rate pressure has significantly eased. After the Sino - US Geneva talks on May 12, bilateral tariff levels were significantly reduced, and the RMB showed an appreciation trend, so the central bank does not need to tighten funds to stabilize the exchange rate [15] - The central bank's attitude towards the capital market is limitedly loose. The central bank conducted two outright reverse repurchases in June, with a total investment of 1.4 trillion yuan, but the net investment was only 200 billion yuan. Considering the upcoming tax period and cross - quarter pressure, the upward range of capital interest rates is expected to be limited, and DR007 may fluctuate in the 1.5 - 1.6% range [17][18] 2. What is the impact on the bond market? - Since late May, although capital interest rates have significantly declined, CD interest rates have been in a sideways oscillation state, restricting the downward space of bond interest rates. In the next two weeks, CD repayment pressure is high, but the net lending scale of large banks has been increasing, so CD interest rates are expected to remain in an oscillating state, and the downward momentum of the bond market is limited [19]

5 月物价、贸易数据出炉；资金面持续宽松，银行间主要利率债收益率涨跌不一 【内容摘要】6 月 9 日，资金面持续宽松；银行间主要利率债收益率涨跌不一；转债市场主要 指数集体收涨，转债个券多数上涨；各期限美债收益率普遍下行，主要欧洲经济体 10 年期国 债收益率走势分化。 一、债市要闻 （一）国内要闻 【中美经贸磋商机制首次会议在英国伦敦开始举行】当地时间 6 月 9 日下午，中美经贸磋商 机制首次会议在英国伦敦开始举行。国务院副总理何立峰与美国有关方面举行会谈。路透社、 天空新闻频道等英国媒体指出，中美新一轮会谈引起各界高度关注，双方开展面对面对话将有 助于加强两国经贸关系，深化相互理解信任。 【5 月 CPI 继续低位运行，PPI 同比降幅有所扩大】国家统计局 6 月 9 日发布的数据显示， 2025 年 5 月，CPI 同比下降 0.1%，上月为下降 0.1%，1-5 月 CPI 累计同比下降 0.1%；5 月 PPI 同比下降 3.3%，上月为下降 2.7%，1-5 月 PPI 累计同比下降 2.6%。 【5 月对美出口降幅扩大，整体出口保持较强韧性】海关总署 6 月 9 日发布数据显示，以美元 计价， ...

| 品种 | 加权利率(%) | 最新利率(%) | 平均回购期限(天) | | --- | --- | --- | --- | | DR001 | 1.3770 | 1.3466 | 1 | | DR007 | 1.5126 | 1.4500 | 6.91 | | DR014 | 1.5393 | 1.5500 | 12.75 | | DR021 | 1.5707 | 1.5800 | 18.04 | | DR1M | 1.6822 | 1.7000 | 29.69 | 银行间市场短期利率走低 不仅是DR007变动明显，6月9日，银行间市场七天期质押式回购加权利率（即R007）跌3.85基点至1.4938%，创2024年10月12日以来新低。银行间市场隔夜 质押式回购加权利率早盘跌4.19基点至1.3705%，创2024年12月30日以来新低。 北京商报记者了解到，银行间市场七天期质押式回购加权利率，即R007，是全市场机构（包括银行、券商、基金等）以各类债券（含信用债）为抵押的7天 期回购利率，该数据反映了市场整体流动性水平，受信用风险、抵押品质量影响较大。 与之相关的七天期存款类金融机构质押式回购利率， ...

Core Points - The People's Bank of China conducted a 173.8 billion yuan reverse repurchase operation on June 9, maintaining the operation rate at 1.40%, resulting in a net injection of 173.8 billion yuan into the market as there were no reverse repos maturing on that day [1] - The Shanghai Interbank Offered Rate (Shibor) saw a slight decline across all maturities, with the overnight Shibor down by 3.30 basis points to 1.3780%, and the 7-day Shibor down by 0.30 basis points to 1.4970% [1][2] - The interbank pledged repo market showed a slight downward trend in rates, with the weighted average rates for DR001 and R001 decreasing by 3.5 basis points and 2.9 basis points, respectively, while transaction volumes varied [6] Market Conditions - The funding environment on June 9 was characterized by a loose liquidity situation, with overnight rates for pledged repo transactions falling to around 1.45% by the end of the day [10] - A total of 145 interbank certificates of deposit were issued on June 9, with an actual issuance volume of 224.51 billion yuan, indicating active trading sentiment in the primary market [11] - The issuance of the second batch of 39.5 billion yuan special bonds aimed at stabilizing growth and investment was successfully completed, supporting central enterprises in key investment areas [13]

Market Overview - The bond market continued to consolidate on June 9, with narrow fluctuations in interbank bond yields and mixed performance in government bond futures [1] - The People's Bank of China (PBOC) continued to provide liquidity support through net injections in the open market, leading to a more relaxed funding environment [5] - Overnight pledged repo rates for deposit-taking institutions fell over 3 basis points, dropping below 1.4% [5] Bond Futures Performance - The 30-year main contract rose by 0.35%, while the 10-year main contract increased by 0.09%, with 5-year and 2-year contracts remaining unchanged [2] - The yield on the 30-year government bond "25超长特别国债02" decreased by 0.50 basis points to 1.8700%, while the 10-year government bond "25附息国债11" saw an increase of 0.25 basis points to 1.6550% [2] International Bond Market - In North America, U.S. Treasury yields rose across the board, with the 10-year yield increasing by 11.11 basis points to 4.506% [3] - In Asia, Japanese bond yields mostly increased, with the 10-year yield rising by 1.3 basis points to 1.467% [3] - In the Eurozone, yields on 10-year bonds in France, Germany, Italy, and Spain all saw slight declines [3] Primary Market - The Agricultural Development Bank of China issued financial bonds with varying yields, with the 3-year bond yielding 1.3286% and a bid-to-cover ratio of 2.23 [4] Funding Conditions - On June 9, the PBOC conducted a 7-day reverse repo operation with a fixed rate of 1.40%, injecting 173.8 billion yuan into the market [5] - The funding environment remains increasingly relaxed, with a significant net injection following a previous large-scale reverse repo operation [5] Economic Indicators - In May, China's Producer Price Index (PPI) fell by 3.3% year-on-year, while the Consumer Price Index (CPI) decreased by 0.1% [8] - China's exports in May increased by 4.8% year-on-year, while imports fell by 3.4%, resulting in a trade surplus of 103.22 billion USD [8] Institutional Perspectives - Huatai Fixed Income suggests that attention should be paid to tariffs and fundamental developments, with expectations of a slight increase in risk appetite due to U.S.-China tariff negotiations [9] - Guosheng Fixed Income anticipates that interest rates may reach new lows, driven by changes in fundamentals and improved market supply-demand dynamics [9]

最近一周，2年期、5年期、10年期、30年期国债期货震荡偏强，周涨幅分别为0.05%、0.11%、0.18%、 0.31%。目前债市演绎震荡行情，背后是多空博弈相对均衡的结果，经济基本面波浪式修复，宽松的资 金面也对市场产生支撑，这意味着利率上行有顶，而存单提价现象的存在，又约束了利率下行的空间。 从经济基本面来看，5月官方制造业PMI为49.5%，环比上升0.5个百分点，出口回暖带动PMI边际改善。 财新制造业PMI录得48.3%，环比下降2.1个百分点，近8个月来首次落于荣枯线下，其中生产指数和新 订单指数创下2022年12月以来新低。官方PMI与财新PMI的"劈叉"，本质上是"政策驱动的大企业复 苏"与"市场主导的中小企业困局"的缩影，映射了中小企业在外需波动和内需不足下的生存压力，以及 大企业对短期外需改善的响应。总之，中美关税降级可能继续对二季度制造业景气度形成支撑，但中长 期外需不确定性扰动犹存。 在全球经济复苏步伐放缓、地缘政治和贸易政策不确定性加剧的背景下，多国央行纷纷出手，释放出货 币宽松信号。6月5日，中国央行宣布开展1万亿元买断式逆回购操作，打破了央行通常在月末公布操作 的惯例，也释放出 ...

Report Information - Report Name: Treasury Bond Daily [1] - Date: May 27, 2025 [2] - Research Team: Macro Financial Research Team [4] - Researchers: He Zhuoqiao, Huang Wenxin, Nie Jiayi [3] 1. Report Industry Investment Rating No relevant content provided. 2. Core View - A-share market decline and loose funding led to a slight increase in treasury bond futures across the board. The yields of major on-the-run interest rate bonds mostly declined slightly, with the 10-year treasury bond active bond yield rising 0.2bp. The central bank's net injection in the open market resulted in loose funding. Considering the marginal weakening but resilient April economic data, and the tariff disturbances entering a buffer period, the short-term fundamentals have no significant downward risk, and policies may enter an observation period with a low possibility of further intensification. The bond market has entered a narrow oscillation pattern, but with the peak of government bond supply in May passing and the central bank's continuous support, the short end may perform better [8][9][10][11] 3. Summary by Directory 3.1 Market Review and Operation Suggestions - **Market Performance**: A-share market decline and loose funding led to a slight increase in treasury bond futures across the board. The yields of major on-the-run interest rate bonds mostly declined slightly, with fluctuations within 1bp. By 16:30, the yield of the 10-year treasury bond active bond 250004 was reported at 1.6910%, up 0.2bp [8][9] - **Interest Rate Bonds**: The yields of major on-the-run interest rate bonds in the interbank market mostly declined slightly, with fluctuations within 1bp. By 16:30, the yield of the 10-year treasury bond active bond 250004 was reported at 1.6910%, up 0.2bp [9] - **Funding Market**: The central bank had a net injection in the open market, resulting in loose funding. There were 135 billion yuan of reverse repurchases due, and the central bank conducted 382 billion yuan of reverse repurchase operations, achieving a net injection of 247 billion yuan. Short-term interbank funding rates showed mixed trends, with the weighted overnight rate of interbank deposits falling about 5bp to 1.51%, the 7-day rate falling 7bp to around 1.66%, and medium- to long-term funds remaining stable [10] - **Conclusion**: The April economic data showed marginal weakening but resilience. With tariff disturbances entering a buffer period, there is no significant short-term downward risk in the fundamentals. Policies may enter an observation period, and the possibility of further intensification is low. The bond market has entered a narrow oscillation pattern, but with the peak of government bond supply in May passing and the central bank's continuous support, the short end may perform better [11] 3.2 Industry News - **Policy and Management**: The central bank and the SAFE plan to improve the management of funds for overseas direct listings of domestic enterprises. Many provinces have proposed stricter management of special bond funds. The CFFEX will enrich the participant structure of the treasury bond futures market [12][13] - **Market Trends**: Most banks' large-denomination certificate of deposit rates have declined, and wealth management companies have reduced fees. The first 50-year special treasury bond was issued, and the market is focusing on supply pressure and funding [13] - **International News**: Trump agreed that the US does not need to bring the textile manufacturing industry back home and hopes to manufacture large items such as chips, computers, and AI in the US [14] 3.3 Data Overview - **Treasury Bond Futures Market**: Data on trading of treasury bond futures contracts on May 26, including settlement prices, opening prices, closing prices, trading volumes, and open interest, are provided [6] - **Money Market**: Information on SHIBOR term structure changes, SHIBOR trends, and interbank pledged repurchase weighted interest rate changes is presented [28][30] - **Derivatives Market**: Information on Shibor3M interest rate swap fixing curves and FR007 interest rate swap fixing curves is provided [33]

Group 1 - The Tianhong Credit Bond ETF (159398) experienced a slight increase of 0.03% as of May 26, with a net inflow of over 900 million yuan in the past week [1] - The latest circulating scale of the Tianhong Credit Bond ETF reached a historical high of 5.267 billion yuan [1] - The People's Bank of China conducted a reverse repurchase operation of 382 billion yuan at a fixed rate of 1.4% on May 26, with a net injection of 247 billion yuan [1] Group 2 - The liquidity in the market remains stable, supported by the central bank's operations, despite seasonal pressures and the need for banks to manage liabilities [2] - Credit bonds are expected to perform strongly, with credit spreads narrowing across all maturities, indicating a potential trend of "deposit migration" [2] - The strategy suggests focusing on short to medium-term credit opportunities, as the market lacks a clear mainline direction [2]

Report Summary 1. Report Industry Investment Rating - No specific industry investment rating provided in the report. 2. Report Core Views - **Stock Index**: Extreme conservative House members threaten to block Trump's tax - cut bill, and the White House warns that killing the bill would be an "ultimate betrayal". The EU says the US negotiation proposal is unrealistic and has a new plan. The US states that the Treasury Secretary and the Japanese Finance Minister did not discuss exchange - rate levels at the G7 meeting. Shanghai releases a special action plan to boost consumption. The domestic market rotation is fast, the main driving force of the market is weak, and the stock index may fluctuate [1]. - **Treasury Bonds**: The suppression of bonds by the equity market is limited. Treasury bond futures show strong buying support near the technical support level in the afternoon. The market is looking for cost - effectiveness, and the allocation funds favor long - term local bonds in central regions with sufficient spread protection. In the medium - to - long term, the upside space of yields is relatively limited under the background that the logic of loose liquidity remains and the signal of fundamental recovery needs to be verified. However, the short - term market lacks clear catalysts and the trend is in a stalemate [3]. 3. Summary by Related Catalogs Stock Index - **Market Review**: The main contract futures of CSI 300 rose 0.43%, the main contract futures of SSE 50 rose 0.46%, the main contract futures of CSI 500 rose 0.13%, and the main contract futures of CSI 1000 fell 0.18% [6]. - **Technical Analysis**: The KDJ indicator of the Shanghai Composite Index shows that it may fluctuate and there is an adjustment risk [7]. - **Strategy Suggestion**: Adopt a defensive and wait - and - see strategy [2]. Treasury Bonds - **Market Review**: The 10 - year main contract rose 0%, the 5 - year main contract rose 0.03%, the 30 - year main contract rose 0.27%, and the 2 - year main contract rose 0.02% [9]. - **Technical Analysis**: The KDJ indicator of the T main contract shows an oscillating operation and may rebound [10]. - **Strategy Suggestion**: Bullish in the short term [4]. Futures Data - On May 21, 2025, the closing prices, price changes, trading volumes, and open interests of various stock index and treasury bond futures contracts are provided in a table [12].

Group 1 - The report indicates that the central bank's recent monetary policy adjustments, including reserve requirement ratio cuts and interest rate reductions, are expected to lead to a decline in market interest rates in May [5][93]. - In April, the domestic money market continued to show signs of easing, with average repo rates in the interbank and exchange markets generally declining [4][11]. - The average rates for R001, GC001, R007, and GC007 in April decreased by 15 basis points, 24 basis points, 19 basis points, and 22 basis points respectively, indicating a trend of lower short-term borrowing costs [15][24]. Group 2 - The report highlights that the overnight transaction volumes in both the interbank and exchange markets increased in April, although their respective market shares decreased [43][48]. - The estimated excess reserve ratio for April and May is projected to be around 1.0%, reflecting a slight increase in liquidity due to the central bank's actions [51][87]. - The report notes that the central bank's net liquidity injection in April amounted to 4.208 billion yuan, alongside a significant increase in fiscal deposits [51][70]. Group 3 - The report tracks key overseas monetary market indicators, noting that the Federal Reserve paused interest rate cuts in May, leading to stable short-term U.S. Treasury rates [8][93]. - The European Central Bank also reduced key rates by 25 basis points in April, contributing to a broader trend of easing monetary conditions in major economies [8][93]. - The report emphasizes that the ongoing trade negotiations between the U.S. and China have reduced export pressures, which may influence future monetary policy decisions [76][93].