大越期货国债期货早报-20250506

Report Summary 1. Investment Rating No investment rating information is provided in the report. 2. Core View The report analyzes the current situation of the treasury bond futures market and predicts that the treasury bond futures may fluctuate at a high level in the future. The main reasons include the weakening of official and Caixin PMI data, the central bank's clear attitude of liquidity support, the optimistic expectation of the capital market after the May Day holiday, the impact of the US tariff on the global equity and commodity markets, and the issuance of ultra - long - term special treasury bonds. Meanwhile, the central bank's MLF operation and the possible reduction of reserve requirements and interest rates also affect the market [3][5]. 3. Summary by Directory 3.1 Market Review - The treasury bond futures showed mixed trends, and the yields of major inter - bank interest rate bonds mostly declined. The overnight and seven - day pledged repo rates of deposit - taking institutions both increased, with the former rising by more than 24 basis points and the latter rising by nearly 2 basis points [3]. - On April 30, the central bank conducted 530.8 billion yuan of reverse repurchase operations, with an operating rate of 1.50%. After deducting the 108 billion yuan of reverse repurchase due on the same day, the net investment was 422.8 billion yuan [3]. - The main contract price, change rate, trading volume, open interest, daily position increase, and CTD bonds of 30 - year, 10 - year, 5 - year, and 2 - year treasury bond futures are presented in the table. For example, the price of T2506 is 109.000, with a decline of 0.06%, a trading volume of 91,800, an open interest of 320,953, and a daily position increase of 5,273 [8]. 3.2 Fundamental Analysis - The official and Caixin PMI data both weakened, but the central bank's attitude of liquidity support is clear, and the expectation of the capital market after the May Day holiday is relatively optimistic. Attention should be paid to the progress of the trade war and the subsequent policy trends [3]. - In April, the PMI fell into the contraction range. The LPR has remained unchanged for 6 consecutive months. The central bank adjusted the MLF operation mode, and its policy attribute has completely faded. The central bank mentioned the possibility of reducing reserve requirements and interest rates to promote the decline of the comprehensive social financing cost. The financial data in the first quarter was stable and positive. In March, the CPI declined slightly but the decline narrowed, and the core CPI rose moderately. The central bank conducted a scaled - down and flat - price renewal of MLF [5]. 3.3 Basis Analysis - The basis of TS main contract is - 0.320, indicating that the spot is at a discount to the futures, which is bearish. The basis of TF main contract is - 0.0400, also indicating that the spot is at a discount to the futures, which is bearish. The basis of T main contract is 0.0341, indicating that the spot is at a premium to the futures, which is bullish. The basis of TL main contract is 0.1995, indicating that the spot is at a premium to the futures, which is bullish [3]. 3.4 Inventory Analysis The balances of deliverable bonds for TS, TF, and T main contracts are 1.3594 trillion, 1.4935 trillion, and 2.3566 trillion respectively, which is neutral [4]. 3.5 Market Analysis TS, TF, and T main contracts are all running above the 20 - day moving average, and the 20 - day moving average is upward, which is bullish [4]. 3.6 Main Position Analysis The net position of TS main contract is long, and the long position increases. The net position of TF main contract is long, and the long position increases. The net position of T main contract is long, but the long position decreases [5]. 3.7 Expectation Due to various factors such as the decline of PMI, the possible reduction of reserve requirements and interest rates, the impact of US tariffs, and the issuance of special treasury bonds, the treasury bond futures may fluctuate at a high level in the future [5].