Group 1: Report Information - Report Title: "TS Contract: Can It Still Be Used for Cash-and-Carry Arbitrage? - Interest Rate Weekly (Week 3 of May)" [1] - Report Date: May 19, 2025 [2] - Chief Analyst: Yan Ziqi, with a practice certificate number of S0010522030002 [2] - Research Assistant: Hong Ziyan, with a practice certificate number of S0010123060036 [2] Group 2: Industry Investment Rating - No industry investment rating is provided in the report. Group 3: Core Views - Since the implementation of reciprocal tariffs on April 3, the bond market's maturity yields have first decreased and then increased. Among treasury bond futures, the TL contract has been strong, while the TS/TF/T main contracts have declined [2]. - The weak performance of the TS contract is due to the previous large premium and the change in the expectation of loose monetary policy. The market's expectation of loose monetary policy changed significantly in Q1, and there are differences in the short - term expectation of loose monetary policy after the double - cut in May. The yield curve has flattened instead of steepening as expected [3]. - As of May 16, the basis of the TS main contract is - 0.07 yuan, and the IRR is 1.79%. The basis has significantly converged, and the IRR is close to the capital interest rate, so the cost - effectiveness of cash - and - carry arbitrage is insufficient [4]. - In the short term, the TS contract may still be in a premium state because of the continuous negative carry. The inversion between R001 and the 2 - year treasury bond maturity yield has decreased from about 60bp at the beginning of the year to 15bp on May 16, and the negative carry phenomenon of some varieties will continue [4]. - Considering that the tight capital situation in Q1 will not repeat, the short - term interest rate has a ceiling and the probability of a sharp decline is low. With the significant convergence of the basis, one can consider participating in the possible rise of the TS contract [4]. Group 4: Analyst and Research Assistant Introduction - Analyst Yan Ziqi is the assistant director of the Research Institute of Hua'an Securities and the chief analyst of fixed income. He has 8 years of experience in sell - side fixed income and equity research, and has won the second place in the 2024 Wind Gold Analyst and the best analyst in the 2023 Choice fixed income industry [12]. - Research Assistant Hong Ziyan is a master of financial engineering from the University of Southern California, covering macro - interest rates, institutional behavior, and treasury bond futures research [12].

Report Summary Report Industry Investment Rating - Not provided in the given content Core Viewpoints - The direction of treasury bond futures is unclear, and the range-bound oscillation continues. It is advisable to conduct positive spreads and wait and see [1] Summary by Relevant Catalogs Fundamental Tracking - On April 23, treasury bond futures closed down across the board. The 30-year main contract fell 0.40%, the 10-year main contract fell 0.17%, the 5-year main contract fell 0.13%, and the 2-year main contract fell 0.04%. The treasury bond futures index was 0.44. The volume-price factor was bullish, and the fundamental factor was bullish. Without leverage, the cumulative return of the strategy in the past 20 days was -0.72%, in the past 60 days was -0.83%, in the past 120 days was 0.18%, and in the past 240 days was 0.95% [1] - In the equity market, the market opened higher and then oscillated and diverged throughout the day. The three major indexes showed different trends. As of the close, the Shanghai Composite Index fell 0.1%, the Shenzhen Component Index rose 0.67%, and the ChiNext Index rose 1.07%. On the market, market hotspots rotated rapidly, with more stocks rising than falling. Over 3,100 stocks in the entire market rose [1] - In terms of funds, the overnight shibor was reported at 1.6260%, down 8.3bp from the previous trading day; the 7-day shibor was reported at 1.6440%, down 2.6bp; the 14-day shibor was reported at 1.7720%, down 2.8bp; and the 1-month shibor was reported at 1.7490%, down 0.5bp [2] - In the money market, on April 23, the interbank pledged repurchase market traded a total of 2 billion yuan, an increase of 2.15%. Among them, the overnight rate closed at 1.55%, up 5bp from the previous trading day; the 7-day rate closed at 1.65%, unchanged from the previous trading day; in the medium term, the 14-day rate closed at 1.78%, down 2bp from the previous trading day; in the long term, the 1-month rate closed at 1.71%, down 7bp from the previous trading day [4] - In the cash bond market, the treasury bond yield curve rose by 1.05 - 2.00BP (the 2Y yield rose 1.49BP to 1.47%; the 5Y yield rose 1.66BP to 1.53%; the 10Y yield rose 1.05BP to 1.66%; the 30Y yield rose 2.00BP to 1.93%. The credit bond yield curve showed mixed trends (for medium and short-term notes with a rating of AAA, the 6M maturity yield rose 5.00BP to 1.85%; the 1Y maturity yield rose 1.00BP to 1.84%; the 3Y maturity yield fell 0.50BP to 1.86%; the 5Y maturity yield fell 10.00BP to 2.08% [4] Market Data - The opening, high, low, closing prices, changes, amplitudes, trading volumes, and open interests of the 2-year, 5-year, 10-year, and 30-year main contracts of treasury bond futures on the previous trading day are provided. The 2-year active CTD bond was 240024.IB with an IRR of 2.43%, the 5-year active CTD bond was 240014.IB with an IRR of 2.33%, the 10-year active CTD bond was 240025.IB with an IRR of 2.34%, the 30-year active CTD bond was 200012.IB with an IRR of 2.12%, and currently R007 was about 1.7244% [3] Institutional Position Changes - The daily changes in net long positions by institutional type: private funds decreased by 3.85%, foreign capital decreased by 6.08%, and wealth management subsidiaries decreased by 4.36%. The weekly changes: private funds decreased by 2.34%, foreign capital decreased by 6.72%, and wealth management subsidiaries decreased by 4.92% [6] Macro and Industry News - On April 23, the central bank conducted 10.8 billion yuan of 7-day reverse repurchase operations at an operating rate of 1.50%, unchanged from before [9] Trend Intensity - The trend intensity of treasury bond futures was 0, indicating a neutral trend. The range of trend intensity values is in the [-2, 2] interval, with -2 indicating the most bearish and 2 indicating the most bullish [10]