国债期货：传闻扰动曲线走平，预期驱动有限凸显股债联动

Group 1: Investment Rating - No investment rating information is provided in the report. Group 2: Core View - On May 15, the closing prices of treasury bond futures showed mixed trends, with the 30 - year main contract rising 0.24%, the 10 - year main contract rising 0.02%, the 5 - year main contract falling 0.03%, and the 2 - year main contract remaining flat. The treasury bond futures index was -0.22. The volume - price factor was bearish, while the fundamental factor was bullish. Without leverage, the cumulative returns of the strategy were 0.05% in the past 20 days, -0.45% in the past 60 days, 0.27% in the past 120 days, and 1.37% in the past 240 days. The A - share market showed a trend of opening high and closing low, with the three major indices showing different trends. There were more falling stocks than rising stocks in the market, and over 3200 stocks declined [1]. Group 3: Summary by Relevant Catalogs 1. Fundamentals Tracking - Treasury Bond Futures Market: On May 15, the closing prices of treasury bond futures were mixed. The 30 - year main contract (TL2506) rose 0.24% to 119.110, the 10 - year main contract (T2506) rose 0.02% to 108.555, the 5 - year main contract (TF2506) fell 0.03% to 105.790, and the 2 - year main contract (TS2506) remained flat at 102.294. The trading volumes were 67722, 58524, 52751, and 26528 respectively, and the open interests were 54427, 112500, 91935, and 51073 respectively [1][3]. - Equity Market: The A - share market opened high and closed low. The Shanghai Composite Index rose 0.17%, the Shenzhen Component Index fell 0.13%, and the ChiNext Index fell 0.12%. There were more falling stocks than rising stocks in the market, and over 3200 stocks declined [1]. - Funding Rates: Overnight shibor was 1.4040%, down 0.1bp from the previous trading day; 7 - day shibor was 1.4970%, down 0.4bp; 14 - day shibor was 1.5500%, up 1.4bp; 1 - month shibor was 1.6290%, down 1.0bp [2]. - Currency Market: The total trading volume in the inter - bank pledged repurchase market was 2.5 billion yuan, an increase of 2.17%. Overnight interest rate remained at 1.35%, 7 - day interest rate rose 10bp to 1.55%, 14 - day interest rate rose 3bp to 1.55%, and 1 - month interest rate fell 4bp to 1.56% [4]. - Cash Bond Market: The treasury bond yield curve shifted upward by 0.55 - 2.64BP (2Y yield rose 2.64BP to 1.46%, 5Y yield rose 1.51BP to 1.58%, 10Y yield rose 0.67BP to 1.68%, 30Y yield rose 0.55BP to 1.88%). The credit bond yield curve showed mixed trends (for AAA - rated medium - and short - term notes, the 6M yield fell 4.50BP to 1.64%, the 1Y yield remained at 1.70%, the 3Y yield fell 3.50BP to 1.72%, and the 5Y yield fell 8.00BP to 1.99%) [4]. - Net Long Position Changes by Institution Type: In daily changes, private funds decreased by 0.42%, foreign investors decreased by 0.37%, and wealth management subsidiaries decreased by 0.13%. In weekly changes, private funds decreased by 6.68%, foreign investors decreased by 15.8%, and wealth management subsidiaries decreased by 17.01% [5]. 2. Macro and Industry News - On May 15, the central bank conducted 6.45 billion yuan of 7 - day reverse repurchase operations at an interest rate of 1.40%, which was the same as before [9]. 3. Trend Intensity - The trend intensity of treasury bond futures was 0, indicating a neutral trend. The trend intensity ranges from -2 (most bearish) to 2 (most bullish) [10].