The Administrative Rules on Forward Bond Transactions in the National Interbank Bond Market published by the people's Bank of China on May 16, 2005 marked the official lauch of bond forward, the first derivatives in china's bond market. The introduction of bond forward in the interbank market is of great significance for market reform of the interest rate and in-depth development of the market. This paper introduces the function of bond forward transaction, the risk control of bond forward transaction.