国债期货：股债联动显著，预期回暖曲线结构走陡

Report Industry Investment Rating - Not mentioned in the provided content Core Viewpoints - On May 21, Treasury bond futures closed with mixed results. The 30 - year main contract fell 0.08%, the 10 - year main contract remained flat, the 5 - year main contract rose 0.03%, and the 2 - year main contract rose 0.02%. The Treasury bond futures index was 1.0. The volume - price factor and fundamental factor were both bullish. Without leverage, the cumulative returns of the strategy were 0.05% in the past 20 days, - 0.62% in the past 60 days, 0.16% in the past 120 days, and 1.29% in the past 240 days [1]. - In the equity market, the market rose and then fell throughout the day, with the three major indices slightly up. The total trading volume of the Shanghai and Shenzhen stock markets was 1.17 trillion yuan, an increase of 378 million yuan from the previous trading day. There were more falling stocks than rising ones, with over 3,600 stocks falling across the market [1]. Summary by Relevant Catalogs Fundamental Tracking - Treasury Bond Futures Performance: On May 21, the 30 - year main contract of Treasury bond futures fell 0.08%, the 10 - year main contract was flat, the 5 - year main contract rose 0.03%, and the 2 - year main contract rose 0.02%. The Treasury bond futures index was 1.0. The volume - price factor and fundamental factor were bullish. The cumulative returns of the strategy were 0.05% in 20 days, - 0.62% in 60 days, 0.16% in 120 days, and 1.29% in 240 days without leverage [1]. - Equity Market: The market rose and then fell throughout the day, with the three major indices slightly up. The trading volume was 1.17 trillion yuan, up 378 million yuan from the previous day. There were more falling stocks than rising ones, with over 3,600 stocks falling [1]. - Funds: Overnight shibor was 1.5090%, unchanged from the previous trading day. The 7 - day shibor was 1.5490%, down 0.7bp; the 14 - day shibor was 1.6470%, down 0.3bp; the 1 - month shibor was 1.6150%, down 0.2bp [2]. - Treasury Bond Futures Market Data: Details of the opening, high, low, closing prices, changes, amplitudes, trading volumes, and open interests of 2 - year, 5 - year, 10 - year, and 30 - year main contracts on May 21 were provided. The IRR of 2 - year, 5 - year, 10 - year, and 30 - year active CTD bonds were 1.81%, 1.85%, 1.88%, and 5.03% respectively, and R007 was about 1.5884% [3]. - Money Market: On May 21, the inter - bank pledged repurchase market traded 2.2 billion yuan, a decrease of 10.03%. Overnight rate was 1.40%, unchanged; 7 - day rate was 1.60%, up 1bp; 14 - day rate was 1.66%, down 2bp; 1 - month rate was 1.59%, down 6bp [4]. - Cash Bonds: Treasury bond yield curves showed mixed changes (2Y down 0.36BP to 1.48%; 5Y down 0.25BP to 1.56%; 10Y up 1.36BP to 1.71%; 30Y up 1.15BP to 1.88%). Credit bond yield curves also showed mixed changes (for AAA - rated medium - and short - term notes, 6M up 5.00BP to 1.69%; 1Y up 43.00BP to 2.14%; 3Y up 3.00BP to 1.75%; 5Y down 0.25BP to 1.99%) [4]. - Net Long - Position Changes by Institution Type: Daily changes: private funds decreased by 1.09%, foreign capital increased by 5.47%, and wealth management subsidiaries increased by 6.6%. Weekly changes: private funds increased by 7.82%, foreign capital increased by 9.6%, and wealth management subsidiaries increased by 3.18% [6]. Macro and Industry News - On May 21, the central bank conducted 157 billion yuan of 7 - day reverse repurchase operations at an interest rate of 1.40%, the same as before. With 92 billion yuan of 7 - day reverse repurchases maturing, there was a net injection of 65 billion yuan [8]. Trend Intensity - The trend intensity of Treasury bond futures was 0, with a range of [- 2, 2] and classifications including weak, weakly bearish, neutral, weakly bullish, and strong. - 2 indicated the most bearish, and 2 indicated the most bullish [9].