国债期货：LPR调降，政策预期收窄，债市震荡延续

Report Title - The title of the report is "Treasury Bond Futures: LPR Cut, Narrowing Policy Expectations, and Continued Bond Market Volatility" [1] Report Core View - The report presents a comprehensive analysis of the treasury bond futures market on May 20, 2025, including market performance, macro and industry news, and trends, suggesting that the bond market will continue to fluctuate due to LPR cuts and narrowing policy expectations Key Points by Category Market Performance - On May 20, most treasury bond futures closed lower, with the 30 - year and 2 - year main contracts down 0.03%, the 5 - year main contract down 0.04%, and the 10 - year main contract up 0.03% [2] - The treasury bond futures index was 0.5, with the volume - price and fundamental factors being bullish. The cumulative returns of the strategy without leverage were 0.07% in the past 20 days, - 0.45% in the past 60 days, 0.34% in the past 120 days, and 1.33% in the past 240 days [2] - In the equity market, the three major indices rose slightly, with the North - Securities 50 and micro - cap stock indices hitting record highs. The trading volume of the Shanghai and Shenzhen stock markets was 1.17 trillion yuan, an increase of 83.2 billion yuan from the previous trading day [2] Capital and Yield - On May 20, the overnight shibor was 1.5090%, down 2.8bp from the previous trading day; the 7 - day shibor was 1.5560%, down 0.6bp; the 14 - day shibor was 1.6500%, down 0.4bp; and the 1 - month shibor was 1.6170%, down 0.7bp [3] - The bank - to - bank pledged repurchase market traded 2.5 billion yuan on May 20, an increase of 5.81%. The overnight rate was 1.40%, down 13bp from the previous trading day; the 7 - day rate was 1.59%, down 1bp; the 14 - day rate was 1.68%, up 1bp; and the 1 - month rate was 1.65%, up 5bp [5] - The treasury bond yield curve shifted upward by 0.02 - 1.31BP, and the credit bond yield curve showed mixed changes [5] Futures Contracts - The opening, high, low, and closing prices, as well as trading volume and positions of 2 - year, 5 - year, 10 - year, and 30 - year main contracts of treasury bond futures are provided, along with the IRR of active CTD bonds for each maturity [4] Macro and Industry News - On May 20, the central bank conducted 357 billion yuan of 7 - day reverse repurchase operations at an interest rate of 1.40%, unchanged from before [10] - The Ministry of Finance carried out treasury bond market - making support operations on May 20 [10] - After a 7 - month interval, RMB deposit and loan market quotation rates (LPR) were cut. State - owned big six banks and some joint - stock banks lowered RMB deposit rates, and the latest LPR on May 20 showed a 10bp cut for both 1 - year and over - 5 - year terms [10] Position Changes - In terms of net long position changes by institutional type, private funds increased their positions by 0.59% daily and 5.91% weekly; foreign investors decreased their positions by 6.07% daily and 0.55% weekly; and wealth management subsidiaries decreased their positions by 8.58% daily and 3.23% weekly [6] Trend Intensity - The trend intensity of treasury bond futures was 0, indicating a neutral outlook [11]