国债期货：债市情绪仍偏弱，警惕情绪面扰动

Report Summary 1. Report Industry Investment Rating - Not provided in the given content. 2. Core View - The sentiment in the bond market remains weak, and investors should be vigilant about emotional disturbances [1]. 3. Summary by Relevant Catalogs 3.1 Fundamentals Tracking - On May 26, most Treasury bond futures closed higher. The 30 - year主力合约 rose 0.13%, the 5 - year主力合约 rose 0.01%, the 2 - year主力合约 rose 0.03%, and the 10 - year主力合约 was basically stable. The Treasury bond futures index was - 0.12. The volume - price factor was bullish, while the fundamental factor was bearish. Without leverage, the cumulative returns of the strategy were 0.04% in the past 20 days, - 0.53% in the past 60 days, 0.14% in the past 120 days, and 1.27% in the past 240 days [1]. - In the equity market, the market fluctuated and adjusted throughout the day, with the ChiNext Index leading the decline. As of the close, the Shanghai Composite Index fell 0.05%, the Shenzhen Component Index fell 0.41%, and the ChiNext Index fell 0.8%. There were more rising stocks than falling stocks, with over 3700 stocks rising in the whole market [1]. 3.2 Capital Situation - Overnight shibor was reported at 1.5060%, down 5.9bp from the previous trading day; 7 - day shibor was reported at 1.5790%, up 2.7bp; 14 - day shibor was reported at 1.6880%, down 0.3bp; 1 - month shibor was reported at 1.6120%, up 0.1bp [2]. 3.3 Treasury Bond Futures Market | Maturity | Contract | Open | High | Low | Close | Change(%) | Amplitude(%) | Volume | Open Interest | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 2 - year | TS2509 | 102.416 | 102.436 | 102.392 | 102.430 | 0.03 | 0.04 | 31127 | 102629 | | 5 - year | TF2509 | 106.060 | 106.090 | 106.030 | 106.060 | 0.01 | 0.06 | 48389 | 125742 | | 10 - year | T2509 | 108.890 | 108.935 | 108.825 | 108.855 | 0.00 | 0.10 | 52310 | 166526 | | 30 - year | TL2509 | 119.710 | 119.960 | 119.670 | 119.760 | 0.13 | 0.24 | 58787 | 91927 | - The active CTD bonds and their IRRs were: 2 - year (250006.IB, IRR 1.89%), 5 - year (240020.IB, IRR 1.89%), 10 - year (220010.IB, IRR 1.94%), 30 - year (210005.IB, IRR 1.69%), and the current R007 was about 1.6266% [3]. 3.4 Money Market and Bond Market - In the money market on May 26, the inter - bank pledged repurchase market traded 2.4 billion yuan, an increase of 1.94%. Overnight rate closed at 1.44%, down 1bp; 7 - day rate closed at 1.51%, down 8bp; 14 - day rate closed at 1.69%, up 2bp; 1 - month rate was flat at 1.66% [4]. - In the cash bond market, the Treasury bond yield curve shifted down by 0.03 - 0.54BP (2Y down 0.54BP to 1.47%; 5Y down 0.24BP to 1.56%; 10Y down 0.03BP to 1.72%; 30Y down 0.10BP to 1.89%). The credit bond yield curve showed mixed changes [4]. 3.5 Macro and Industry News - On May 26, the central bank conducted 382 billion yuan of 7 - day reverse repurchase operations at an operating rate of 1.40%, unchanged from before [8]. 3.6 Trend Intensity - The trend intensity of Treasury bond futures was 0, with the range of [- 2,2] and classifications including weak, weakly bearish, neutral, weakly bullish, and strong. - 2 means most bearish, and 2 means most bullish [9]. 3.7 Net Long - Position Changes by Institution Type - Private funds reduced their net long positions by 2.14%; foreign investors reduced by 1.68%; wealth management subsidiaries reduced by 1.34% [6].