国债期货：政策落地提供曲线走陡空间，区间震荡逻辑未变

Report Summary 1. Report Industry Investment Rating - Not provided in the given content 2. Core View of the Report - Policy implementation provides room for the yield curve to steepen, but the logic of range - bound oscillation remains unchanged [1] 3. Summary by Relevant Catalogs 3.1 Fundamental Tracking - On May 8, treasury bond futures closed higher across the board. The 30 - year, 10 - year, 5 - year, and 2 - year main contracts rose 0.26%, 0.17%, 0.16%, and 0.05% respectively [1] - The treasury bond futures index was 0.05. The volume - price factor was bullish, while the fundamental factor was bearish. Without leverage, the cumulative returns of the strategy in the past 20, 60, 120, and 240 days were 0.26%, - 0.71%, 0.40%, and 1.43% respectively [1] - In the equity market, the market opened lower and closed higher, with the ChiNext Index leading the gains. The Shanghai Composite Index rose 0.28%, the Shenzhen Component Index rose 0.93%, and the ChiNext Index rose 1.65%. More than 3800 stocks in the whole market rose [1] 3.2 Capital Situation - On May 8, overnight shibor was reported at 1.5390%, down 11.8bp from the previous trading day; 7 - day shibor was reported at 1.5940%, down 6.7bp; 14 - day shibor was reported at 1.6800%, down 4.5bp; 1 - month shibor was reported at 1.7020%, down 1.7bp [2] 3.3 Treasury Bond Futures Market | Contract | Open Price | High Price | Low Price | Close Price | Change (%) | Amplitude (%) | Volume | Open Interest | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | TS2506 (2 - year) | 102.338 | 102.386 | 102.322 | 102.362 | 0.05 | 0.06 | 35940 | 86898 | | TF2506 (5 - year) | 106.075 | 106.210 | 106.065 | 106.180 | 0.16 | 0.14 | 53906 | 149241 | | T2506 (10 - year) | 108.965 | 109.145 | 108.935 | 109.060 | 0.17 | 0.19 | 58767 | 182509 | | TL2506 (30 - year) | 120.360 | 120.650 | 120.270 | 120.430 | 0.26 | 0.32 | 71465 | 88021 | [3] - The active CTD bonds and their IRRs: 2 - year (240024.IB, 2.04%); 5 - year (240014.IB, 2.33%); 10 - year (240025.IB, 2.28%); 30 - year (200012.IB, - 5.63%). Currently, R007 is about 1.7139% [3] 3.4 Money Market and Bond Market - On May 8, the inter - bank pledged repurchase market traded 2.1 billion yuan, a decrease of 7.90%. Overnight, 7 - day, 14 - day, and 1 - month rates were 1.55%, 1.63%, 1.65%, and 1.70% respectively, down 5bp, 5bp, 8bp, and 1bp from the previous trading day [4] - The treasury bond yield curve shifted down by 1.05 - 3.50BP. The 2 - year, 5 - year, 10 - year, and 30 - year yields shifted down to 1.41%, 1.50%, 1.63%, and 1.84% respectively [4] - The credit bond yield curve showed mixed changes. For AAA - rated medium - and short - term notes, the 6 - month, 1 - year, 3 - year yields shifted down, while the 5 - year yield shifted up [4] 3.5 Net Long Position Changes - Daily changes in net long positions by institutional type: private funds increased by 1.64%, foreign capital increased by 7.17%, and wealth management subsidiaries increased by 6.96%. Weekly changes: private funds increased by 0.7%, foreign capital increased by 5.32%, and wealth management subsidiaries increased by 7.14% [5] 3.6 Macro and Industry News - On May 8, the central bank conducted 158.6 billion yuan of 7 - day reverse repurchase operations at an operating rate of 1.40%, compared with 1.5% the previous day [8] 3.7 Trend Intensity - The trend intensity of treasury bond futures was 0, indicating a neutral position [9]