1. Report Industry Investment Rating No information provided in the content regarding the report industry investment rating. 2. Core Viewpoints of the Report - The transmission path from policy rates to deposit rate cuts is in line with expectations, but the adjustment amplitude of deposit rates exceeds expectations, which helps banks reduce liability costs [1][17]. - From three dimensions, the impact of deposit rate cuts on the bond market is complex. The decline in medium - and long - term bank liability costs may be beneficial for bond allocation, but there may be disturbances in the short - term due to deposit migration, and the impact on other fixed - income investors varies [2]. - The current deposit rate cuts may not bring significant positive effects to the bond market as the market has already priced in factors such as loose funds and declining bank liability costs. The bond market is in a narrow - range shock, with multiple long and short factors intertwined [3]. - The trading cost - effectiveness of 10 - year Treasury bonds above 1.7% is emerging, and attention should be paid to positive carry varieties for coupon payments, while more caution is needed for ultra - long - term bonds [4]. 3. Summary According to the Table of Contents I. Three Dimensions of the Impact of Deposit Rate Cuts on the Bond Market (1) The transmission path from policy rates to deposit rate cuts is in line with expectations - On May 20, major banks experienced the seventh round of deposit rate cuts. The policy transmission path of OMO policy rate - 1 - year LPR - deposit listing rate is clear [1]. - The adjustment amplitude of deposit rates exceeds expectations. The long - end deposit listing rate is still lowered by about 25bp, and the decline in the bank deposit self - regulatory ceiling is generally higher than that of the listing rate [1][17]. - The reason is that banks still face great pressure on net interest margins, and larger deposit rate cuts help reduce bank liability costs [1][20]. (2) Three dimensions to view the impact of deposit rate cuts on the bond market - **Asset side**: The decline in medium - and long - term bank liability costs may exceed 10bp, which is beneficial for removing constraints on bank bond allocation. The decline in long - end deposit rates and the proportion of general deposits contribute to this decline [2][21]. - **Liability side**: In the short term, there may be a phenomenon of deposit migration to non - banks after the deposit listing rate is cut, increasing bank liability pressure and disturbing the bond market. The outflow scale of M1 in the month of deposit rate cuts and the following two months is about 1 trillion [2][27]. - **For other fixed - income investors**: The yield of insurance's available - to - invest assets (general time deposits) decreases, while the impact on bank wealth management, which mainly invests in non - bank deposits and inter - bank certificates of deposit, is controllable [2]. - Overall, the positive impact of the decline in liability costs on the bond market needs time to materialize, and the current deposit rate cuts may not bring significant positive effects. Short - term focus should be on liability outflow pressure, especially the pricing of certificates of deposit and the growth of wealth management scale [29][33]. II. Bond Market Strategy: Trading Cost - Effectiveness Above 1.7% Emerges, Focus on Positive Carry Varieties for Coupon Payments (1) Bond market shock, with multiple long and short factors intertwined - **Short - term capital price**: After the deposit rate cut, the capital price is expected to remain stable. DR007 may continue to be 10 - 20bp higher than the policy rate, and the short - term capital price may fluctuate around 1.5 - 1.6% [3][39]. - **Positive factors**: The domestic economy enters the off - season in the second quarter, with weakening high - frequency indicators in investment and real estate. Uncertainties in Sino - US trade negotiations may affect economic data, and the central bank may restart Treasury bond purchases [3]. - **Negative factors**: The "rush to export" effect in May may boost second - quarter data, and the stock - bond seesaw effect may suppress the bond market due to the high risk appetite in the equity market [3]. - **Summary**: The short - term capital price may remain stable, but there are still many uncertainties in the bond market, making it difficult to determine trends, and the bond market is likely to continue to fluctuate [3]. (2) Operation strategy: Trading cost - effectiveness above 1.7% emerges, focus on positive carry varieties for coupon payments - **10 - year Treasury bonds**: The core pricing range of 10 - year Treasury bonds has changed, and above 1.7%, they gradually have trading cost - effectiveness and can be considered for allocation as the yield rises [4][65]. - **Ultra - long - term bonds**: 30 - year Treasury bonds and other ultra - long - term bonds still need to wait for opportunities. The supply - demand pattern of long - term bonds is unfavorable, and short - term positive factors are not clear [4][66]. - **Operation suggestions**: Focus on positive carry varieties. Bonds such as 7.5 - 9.5 - year Treasury bonds, 5.5 - year China Development Bank bonds, etc., which were negative carry last week and have become positive carry this week, can be focused on [4][71]. III. Review of the Interest - Bearing Bond Market: Deposit Rate Cuts Implemented, Bond Market in Narrow - Range Shock - **Funding situation**: The central bank's OMO has turned to net investment, and the funding situation is balanced and loose. The weighted price of DR007 has dropped to around 1.59%, and major banks may issue inter - bank certificates of deposit at higher prices to make up for the liability gap [10][11]. - **Primary issuance**: The net financing of Treasury bonds and local bonds has decreased, while the net financing of policy - bank bonds and inter - bank certificates of deposit has increased [7]. - **Benchmark changes**: The term spread of Treasury bonds has widened, and the term spread of China Development Bank bonds has narrowed [7].

1. Report Industry Investment Rating - The rating for treasury bonds is "oscillation" [5] 2. Core View of the Report - The bond market lacks the power to break the situation and will maintain a narrow - range oscillation. The fundamentals are favorable for the bond market in the long - term, but there is no basis for significant rises or falls in the short - term. The treasury bond futures will continue to oscillate narrowly. [2] - Strategies include being long - term bullish on the bond market but buying on dips in the short - term; steepening the curve in the long - term with a bumpy process; and the opportunity for futures cash - and - carry arbitrage is decreasing, and attention can be paid to the strategy of the basis returning to 0. [2] 3. Summary by Relevant Catalogs 3.1 One - Week Review and Outlook - **This Week's Trend Review**: From May 19th to May 25th, treasury bond futures oscillated narrowly. Due to factors such as the balance of funds, economic data, and deposit rate adjustments, the yield curve showed different changes each day. As of May 23rd, the settlement prices of the 09 contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures increased by 0.034, 0.150, 0.225, and 0.380 yuan respectively compared to last weekend. [13] - **Next Week's Outlook**: The news will be relatively calm. The market will focus on the changes in the capital side and market sentiment. The capital side is expected to be generally balanced. The market may bet on events such as the central bank restarting secondary - market treasury bond trading and the weakening of the May manufacturing PMI, but these trades are expected to be short - term. Treasury bond futures will maintain a narrow - range oscillation. [2] 3.2 Weekly Observation of Interest - Rate Bonds - **Primary Market**: This week, 92 interest - rate bonds were issued, with a total issuance of 968.322 billion yuan and a net financing of 548.079 billion yuan. The net financing of treasury bonds decreased, the net financing of local government bonds decreased slightly, and the net financing of inter - bank certificates of deposit increased slightly. [21] - **Secondary Market**: Treasury bond yields showed a divergent trend. As of May 23rd, the yields of 2 - year, 5 - year, 10 - year, and 30 - year treasury bonds changed by - 0.69, - 2.26, + 3.67, and + 0.45 basis points respectively compared to last weekend. The spreads of 10Y - 1Y and 10Y - 5Y widened, while the spread of 30Y - 10Y narrowed. [26] 3.3 Treasury Bond Futures - **Price, Trading Volume, and Open Interest**: Treasury bond futures oscillated narrowly. As of May 23rd, the settlement prices of the 09 contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures increased compared to last weekend. The trading volumes and open interests of each variety changed to different extents this week. [34][38] - **Basis and IRR**: The opportunity for cash - and - carry arbitrage strategy has significantly decreased. The basis of each variety has started to rise, and the willingness of long - position participants has declined. In the future, the cash - and - carry arbitrage strategy opportunity will gradually disappear, and the basis will return to a relatively normal level. [42] - **Inter - Delivery and Inter - Variety Spreads**: As of May 23rd, the inter - delivery spreads of the 2506 - 2509 contracts of 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures decreased compared to last weekend. [45] 3.4 Weekly Observation of the Capital Side - The central bank's open - market full - caliber net investment was 1.2 trillion yuan this week. As of May 23rd, R007, DR007, SHIBOR overnight, and SHIBOR 1 - week changed by + 0.15, - 5.14, - 8.90, and + 0.70 basis points respectively compared to last weekend. The average daily trading volume of inter - bank pledged repurchase decreased, and the overnight proportion was lower than last week. [52][54][56] 3.5 Weekly Overseas Observation - The US dollar index weakened slightly, and the 10Y US Treasury yield increased slightly. As of May 23rd, the US dollar index fell 1.84% to 99.1231 compared to last weekend, the 10Y US Treasury yield rose 8 basis points to 4.51%, and the 10Y China - US Treasury yield spread was inverted by 279.2 basis points. [61] 3.6 Weekly Observation of High - Frequency Inflation Data - This week, industrial product prices all declined. As of May 23rd, the South China Industrial Product Index, Metal Index, and Energy and Chemical Index decreased compared to last weekend. Agricultural product prices showed a mixed trend, with the prices of pork, 28 key vegetables, and 7 key fruits changing slightly compared to last weekend. [66] 3.7 Investment Suggestions - It is recommended to buy on dips. [67]

Group 1 - The bond market continues to show volatility, with recent reserve requirement ratio cuts and subsequent interest rate reductions leading to a balanced short-term sentiment [1] - The central bank has continued to implement net OMO (Open Market Operations), resulting in a relatively loose funding environment that supports the mid-to-short end of the yield curve [1] - The market is expected to maintain a narrow range of fluctuations, as the overall monetary easing policies have been implemented without significant negative impacts [1] Group 2 - Attention should be paid to the upcoming MLF (Medium-term Lending Facility), reverse repos, and central bank bond purchases, as unexpected liquidity injections could lead to further declines in yields [1] - The government bond ETF (511520) has seen active trading, with transaction amounts exceeding 10 billion yuan for four consecutive days, making it the largest bond ETF in the market with a total scale exceeding 46 billion yuan [1] - The ETF has a duration of approximately 7.5 years, offering good liquidity and serving as a useful tool for clients looking to adjust duration and engage in tactical trading within the bond market [1]

Group 1: Market Overview - The short-term bond market is expected to experience fluctuations, and unilateral operations are not recommended. However, if the liquidity does not continue to tighten, it is suggested to buy TS contracts on dips as valuations are relatively reasonable [1][4] - As of May 20, different maturity bond contracts showed continued divergence, with long-end contracts performing stronger and short-end contracts weaker. TL and T contracts both increased by 0.03%, while TF and TS contracts decreased by 0.04% and 0.03% respectively [1] Group 2: Economic Resilience - In April, the industrial added value for large-scale enterprises grew by 6.1% year-on-year, a decrease of 1.6 percentage points from the previous month, but still better than market expectations. The service production index also showed resilience with a 6.0% year-on-year growth [2] - Fixed asset investment and retail sales of consumer goods increased by 3.5% and 5.1% year-on-year respectively, indicating a strong demand side despite a slowdown in the real estate sector [2] - In April, new social financing reached 1.1591 trillion yuan, an increase of 1.2249 trillion yuan year-on-year, primarily supported by government bond financing [2] Group 3: Financial Data Insights - By the end of April, M2 money supply grew by 8.0% year-on-year, reflecting strong monetary support for the real economy, while M1 growth slowed to 1.5% year-on-year [2] - The decrease in household short-term and long-term loans by 401.9 billion yuan and 123.1 billion yuan respectively indicates a tightening in consumer credit and a slowdown in real estate sales [2] Group 4: Yield Curve Dynamics - The overall liquidity in May was more relaxed compared to April, with R001 and R007 rates dropping to 1.43% and 1.53%, respectively, creating a negative carry in the current bonds [4] - There is a divergence in market views regarding future liquidity, with concerns about potential tightening from the central bank amid high government bond issuance [4] - The ability of the yield curve to open up downward space will depend on whether liquidity continues to ease, which could lead to a decline in short-term yields [4]

截至2025年5月21日 09:39，公司债ETF(511030)多空胶着，最新报价105.72元。拉长时间看，截至2025年5月20日，公司债ETF近半年累计上涨1.11%。 流动性方面，公司债ETF盘中换手0.01%，成交82.46万元。拉长时间看，截至5月20日，公司债ETF近1周日均成交19.14亿元。 规模方面，公司债ETF最新规模达142.70亿元，创近1年新高。 份额方面，公司债ETF最新份额达1.35亿份，创近1月新高。 消息面上，5 月20 日，国有大行下调了人民币存款利率，其中活期利率下调5 个基点至0.05%；定期整存整取三个月期、半年期、一年期、二年期均下调15 个基点，分别为0.65%、0.85%、0.95%、1.05%一年期定存首次下破1%；三年期和五年期均下调25 个基点，分别至1.25%和1.3%。 定期零存整取、整存零取、存本取息三种期限均下调15 个基点。7 天期通知存款利率下调15 个基点至0.3%。与此同时，5 月贷款市场报价利率（LPR）报价 出炉：5 年期以上LPR 为3.5%，1 年期LPR 为3.0%，均较上月下调10BP。至此，本轮政策利率、存款利率、LPR ...

Core Viewpoint - The bond market is experiencing a strong fluctuation with slight increases in government bond futures and a majority of interbank bond yields declining by 1 basis point, indicating a mixed outlook for the market in the short term [1][2]. Market Performance - Government bond futures closed higher across the board, with the 30-year main contract rising by 0.37% to 119.320, the 10-year main contract up by 0.13% to 108.605, and the 5-year main contract increasing by 0.04% to 105.735 [2]. - The interbank major interest rate bond yields mostly decreased slightly, with the 10-year government bond yield down by 0.75 basis points to 1.67% [2]. Fund Flow - The central bank conducted a 1350 billion yuan reverse repurchase operation on May 19, with a fixed rate of 1.40%, resulting in a net injection of 920 billion yuan for the day [5]. - The Shibor short-term rates showed mixed performance, with the overnight rate down by 11.7 basis points to 1.537% and the 7-day rate up by 1.7 basis points to 1.562% [5]. Economic Indicators - In April, the industrial added value above designated size increased by 6.1% year-on-year, exceeding the expected growth of 5.2% [7]. - Fixed asset investment from January to April grew by 4%, slightly below the expected 4.3% [7]. - The unemployment rate in urban areas was reported at 5.1%, down from 5.2% in the previous period [7]. Institutional Views - Huatai Fixed Income suggests that the short-term upper and lower limits for the 10-year government bond yield are between 1.6% and 1.8%, recommending a strategy of increasing holdings during adjustments [8]. - Xingzheng Fixed Income indicates that the bond market has shifted from a bearish to a neutral stance, with a preference for long-duration strategies, particularly in 30-year government bonds [8].

Group 1 - The core viewpoint of the article highlights a significant easing of tariffs between China and the U.S., alongside stronger-than-expected export data for April, but notes an unexpected tightening of funds leading to a defensive phase in the bond market with rising yields [1] - Most institutions expect that the tightening of funds will be controllable and will not replicate the continuous tightening seen in February and March [1] - The upcoming week is anticipated to face disruptions from bond issuance and tax payments, with a concentrated issuance of 3, 10, 30, and 50-year government bonds, which may prompt institutions to adjust their portfolios in advance to meet bidding demands [1] Group 2 - It is expected that deposit rates and the Loan Prime Rate (LPR) will be lowered this week, and the April economic data to be released on Monday is also anticipated to be weak, which would be favorable for the bond market [1] - The government bond ETF (511520) has seen a net inflow of over 1.2 billion in the past 10 days, with a total scale of approximately 46.2 billion, making it the largest bond ETF in the market [1] - The government bond ETF (511520) is noted for its good liquidity and suitability for clients looking to extend duration easily, serving as a useful tool for both trading and allocation in the bond market [1]

【基本面跟踪】 5 月 16 日，国债期货收盘全线收跌，30 年期主力合约跌 0.11%，10 年期主力合约跌 0.05%，5 年期 主力合约跌 0.06%，2 年期主力合约跌 0.02%。 2025 年 05 月 19 日 国债期货：政策预期收紧，债市震荡延续，调 整后或有修复 | 虞堪 | 投资咨询从业资格号：Z0002804 | yukan@gtht.com | | --- | --- | --- | | 林致远 | 投资咨询从业资格号：Z0021471 | linzhiyuan@gtht.com | 国债期货指数为 0.29。量价因子看空，基本面因子看多。无杠杆下，策略近 20 日累加收益为 0.04%，近 60 日累加收益为-0.51%，近 120 日累加收益为 0.22%，近 240 日累加收益为 1.35%。 权益市场方面，A 股市场全天呈现高开低走的态势，三大指数涨跌不一。南财金融终端显示，截至收 盘，沪指涨 0.17%，深成指跌 0.13%，创业板指跌 0.12%。盘面上，市场热点较为杂乱，个股跌多涨少， 全市场超 3200 只个股下跌。 资金方面，隔夜 shibor 报 1.6540%，较 ...

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 国债期货日报 2025/5/14 | 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 | 108.535 | -0.12% T主力成交量 | 68753 | -347↓ | | | TF主力收盘价 | 105.810 | -0.13% TF主力成交量 | 55124 | 3400↑ | | | TS主力收盘价 | 102.292 | -0.05% TS主力成交量 | 35705 | 13912↑ | | | TL主力收盘价 | 118.930 | -0.23% TL主力成交量 | 78310 | -603↓ | | 期货价差 | TL2509-2506价差 | 0.34 | -0.11↓ T06-TL06价差 | -10.40 | 0.19↑ | | | T2509-2506价差 | 0.16 0.27 | -0.02↓ TF06-T06价差 | -2.72 -6.24 | 0.04↑ ...

2025 年 05 月 06 日 国债期货：节后首日市场情绪回暖，债市震荡 延续 | 虞堪 | 投资咨询从业资格号：Z0002804 | yukan@gtht.com | | --- | --- | --- | | 林致远 | 投资咨询从业资格号：Z0021471 | linzhiyuan@gtht.com | 【基本面跟踪】 4 月 30 日，国债期货收盘表现分化，30 年期主力合约跌 0.12%报 120.760 元，10 年期主力合约跌 0.06%报 109.000 元，5 年期主力合约涨 0.05%报 106.100 元，2 年期主力合约涨 0.04%报 102.366 元。 国债期货指数为 0.18。量价因子看空，基本面因子看多。无杠杆下，策略近 20 日累加收益为- 0.43%，近 60 日累加收益为-0.84%，近 120 日累加收益为 0.37%，近 240 日累加收益为 1.46%。 权益市场方面，市场全天震荡分化，三大指数涨跌不一。南财金融终端显示，截至收盘，沪指跌 0.23%，深成指涨 0.51%，创业板指涨 0.83%。 资金方面，隔夜 shibor 报 1.7600%，较前一交易日上 ...