国债期货：关注LPR调降，曲线结构延续走平

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report focuses on the performance of the treasury bond futures market on May 19, 2025, including price changes, factor analysis, and market trends, as well as related news and data in the macro and industry aspects [1]. 3. Summary by Related Catalogs 3.1 Fundamental Tracking - On May 19, treasury bond futures closed higher across the board, with the 30 - year, 10 - year, 5 - year, and 2 - year main contracts rising 0.37%, 0.13%, 0.04%, and 0.02% respectively [1]. - The treasury bond futures index was - 0.04. The volume - price factor was bearish, while the fundamental factor was bullish. The cumulative returns of the strategy without leverage were 0.08% in the past 20 days, - 0.47% in the past 60 days, 0.26% in the past 120 days, and 1.39% in the past 240 days [1]. - In the equity market, the market oscillated and adjusted throughout the day, with the three major indexes showing different trends. The small - cap and large - cap indexes diverged, and the micro - cap stock index rose more than 2% to a new high [1]. 3.2 Capital Situation - Overnight shibor was reported at 1.5370%, down 11.7bp from the previous trading day; 7 - day shibor was reported at 1.5620%, up 1.7bp; 14 - day shibor was reported at 1.6540%, up 5.3bp; 1 - month shibor was reported at 1.6240%, down 0.1bp [2]. - In the inter - bank pledged repurchase market, the total turnover was 2.3 billion yuan, an increase of 3.35%. Overnight, 7 - day, 14 - day, and 1 - month rates showed different changes compared with the previous trading day [4]. 3.3 Futures Market Data | Contract | Open Price | High Price | Low Price | Close Price | Change (%) | Amplitude (%) | Volume | Open Interest | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | TS2509 (2 - year) | 102.380 | 102.414 | 102.336 | 102.384 | 0.02 | 0.08 | 48335 | 87939 | | TF2506 (5 - year) | 105.715 | 105.790 | 105.660 | 105.735 | 0.04 | 0.12 | 42586 | 66890 | | T2506 (10 - year) | 108.510 | 108.605 | 108.450 | 108.605 | 0.13 | 0.14 | 57954 | 82926 | | TL2506 (30 - year) | 118.980 | 119.360 | 118.880 | 119.320 | 0.37 | 0.40 | 43076 | 47914 | The IRR of the 2 - year, 5 - year, 10 - year, and 30 - year active CTD bonds were 1.79%, 1.82%, 3.02%, and 2.44% respectively, and the current R007 was about 1.6251% [3]. 3.4 Yield Curve - The treasury bond yield curve showed different trends: the 2Y - term decreased by 0.51BP to 1.47%; the 5Y - term decreased by 1.02BP to 1.57%; the 10Y - term increased by 0.97BP to 1.69%; the 30Y - term decreased by 1.50BP to 1.86% [4]. - The credit bond yield curve also showed different trends: for AAA - rated medium - and short - term notes, the 6M - term decreased by 4.00BP to 1.68%; the 1Y - term decreased by 6.00BP to 1.72%; the 3Y - term increased by 4.00BP to 1.80%; the 5Y - term decreased by 2.50BP to 2.07% [4]. 3.5 Net Long - Position Changes by Institution Type The net long - position of private funds increased by 5.05%, foreign capital and wealth management subsidiaries increased by 6.01% [6]. 3.6 Macro and Industry News - The central bank released a briefing on overseas institutions' investment in the inter - bank bond market in April 2025. As of the end of April 2025, overseas institutions held 4.44 trillion yuan of inter - bank market bonds, accounting for about 2.7% of the total custody volume of the inter - bank bond market [8]. - The Ministry of Finance announced that it would conduct treasury bond market - making support operations to support treasury bond market - making, improve secondary - market liquidity, and improve the treasury bond yield curve reflecting market supply and demand [8]. - On May 19, the central bank conducted 135 billion yuan of 7 - day reverse repurchase operations at an operating rate of 1.40%, unchanged from the previous level [9]. 3.7 Trend Intensity The trend intensity of treasury bond futures was 0, indicating a neutral trend [10].