Report Industry Investment Rating No relevant content provided. Core View of the Report - Last week, Treasury bond futures first rose and then fluctuated. The rise was mainly due to the policy benefits brought by the simultaneous reduction of LPR and deposit rates, which strengthened the market's expectation of a further decline in the interest rate center and boosted medium - and long - term interest - rate bonds. However, after the policy was implemented, along with the increasing game sentiment on the progress of Sino - US negotiations and future economic data, the risk preference recovered, increasing the upward pressure on long - bond yields, and the futures bond trends became more differentiated and volatile. The approaching supply of ultra - long - term special treasury bonds on the fiscal side also intensified market concerns about duration pressure. Overall, the subsequent trend still depends on the performance of economic data and the rhythm of fiscal policies [3] Summary by Directory 1. Interest Rate Pricing Tracking Indicators - **Price Indicators**: China's monthly CPI had a 0.10% month - on - month change and a - 0.10% year - on - year change; China's monthly PPI had a - 0.40% month - on - month change and a - 2.70% year - on - year change [9] - **Monthly Economic Indicators**: The social financing scale was 424.00 trillion yuan, with a month - on - month increase of 1.04 trillion yuan (+0.25%); M2 year - on - year was 8.00%, with a month - on - month increase of 1.00% (+14.29%); the manufacturing PMI was 49.00%, with a month - on - month decrease of 1.50% (-2.97%) [9] - **Daily Economic Indicators**: The US dollar index was 99.57, with a month - on - month increase of 0.60 (+0.61%); the offshore US dollar to RMB exchange rate was 7.1865, with a month - on - month increase of 0.017 (+0.23%); SHIBOR 7 - day was 1.60, with a month - on - month increase of 0.02 (+1.20%); DR007 was 1.62, with a month - on - month decrease of 0.04 (-2.17%); R007 was 1.76, with a month - on - month decrease of 0.21 (-10.82%); the 3 - month inter - bank certificate of deposit (AAA) was 1.69, with a month - on - month increase of 0.02 (+1.10%); the AA - AAA credit spread (1Y) was 0.10, with a month - on - month increase of 0.01 (+1.10%) [9] 2. Overview of Treasury Bonds and Treasury Bond Futures Market - **Market Data**: On May 27, 2025, the closing prices of TS, TF, T, and TL were 102.41 yuan, 106.03 yuan, 108.74 yuan, and 119.46 yuan respectively, with price changes of - 0.02%, - 0.03%, - 0.11%, and - 0.26% respectively. The average net basis of TS, TF, T, and TL was - 0.086 yuan, - 0.073 yuan, - 0.001 yuan, and 0.250 yuan respectively [2] 3. Overview of the Money Market Funding Situation - **Central Bank Operations**: On May 27, 2025, the central bank conducted a 448 - billion - yuan 7 - day reverse repurchase operation at a fixed interest rate of 1.5% [2] - **Money Market Rates**: The repurchase rates for 1D, 7D, 14D, and 1M were 1.452%, 1.598%, 1.667%, and 1.614% respectively, and the repurchase rates had recently declined [2] 4. Spread Overview - The report provides various spread data through multiple figures, including the inter - period spread trends of Treasury bond futures varieties, the term spread of spot bonds and the cross - variety spread of futures, etc. [36][41][42] 5. Two - Year Treasury Bond Futures - The report presents data on 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 funding rate, and the basis and net basis trends of the TS main contract in the past three years through figures [44][46][57] 6. Five - Year Treasury Bond Futures - The report shows data on 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 funding rate, and the basis and net basis trends of the TF main contract in the past three years through figures [53][56][59] 7. Ten - Year Treasury Bond Futures - The report provides data on 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 funding rate, and the basis and net basis trends of the T main contract in the past three years through figures [64][67] 8. Thirty - Year Treasury Bond Futures - The report gives data on 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 funding rate, and the basis and net basis trends of the TL main contract in the past three years through figures [71][76][78] Strategies - **Unilateral Strategy**: With the decline of repurchase rates and the fluctuating prices of Treasury bond futures, the 2509 contract is neutral [4] - **Arbitrage Strategy**: Pay attention to the widening of the basis [4] - **Hedging Strategy**: There is medium - term adjustment pressure, and short - sellers can use far - month contracts for appropriate hedging [4]

国债期货日报 | 2025-05-21 利率双降，国债期货涨跌分化 核心观点 市场分析 宏观面：（1）宏观政策：5月7日国新办发布会上，央行宣布落实适度宽松政策，推出涵盖数量型、价格型和结构 型在内的一揽子十项措施，包括降准0.5个百分点、政策利率与结构性工具利率分别下调0.1和0.25个百分点、公积 金贷款利率同步下调，同时增设及扩容科技、养老、消费、涉农等领域专项再贷款，强化资本市场支持和创新债 券风险缓释机制，旨在提升信贷投放、稳定市场预期，推动经济高质量发展；5月10日，中美双方在日内瓦举行经 贸高层会谈，为时两天；5月12日，中美联合发布《中美日内瓦经贸会谈联合声明》，声明指出中美双方 "24%的关 税在初始的90天内暂停实施，对这些商品加征剩余10%的关税。" 2）通胀：4月CPI同比下降-0.1%。 资金面：（3）央行：2025-05-20，央行以固定利率1.5%、数量招标方式开展了3570亿元7天的逆回购操作，操作利 率为1.5%。（4）货币市场：主要期限回购利率1D、7D、14D和1M分别为1.509%、1.556%、1.650% 和1.617%，回 购利率近期回落。 市场面：（5）收盘价： ...

Core Viewpoint - The People's Bank of China (PBOC) is implementing a moderately loose monetary policy to support high-quality development of the real economy and promote economic recovery [1] Monetary Policy Implementation - The PBOC is enhancing counter-cyclical adjustments and utilizing various monetary policy tools to create a favorable monetary accumulation environment [1] - There has been an increase in the quantity of monetary credit, a decrease in prices, and an optimization of the structure of credit this year [1]