国债期货：预期有限行情震荡有限，静待市场选择方向

Report Summary 1. Report Industry Investment Rating No information about the industry investment rating is provided in the report. 2. Core View of the Report The report presents the market conditions of treasury bond futures on May 27, 2025, including price changes, trading volume, and related factors, and also mentions the situation of the equity market, money market, and macro - industry news, indicating that the expectations for treasury bond futures are limited and the market is in a state of waiting for a direction [1]. 3. Summary by Related Catalogs 3.1 Treasury Bond Futures Market Conditions - On May 27, treasury bond futures closed down across the board, with the 30 - year, 10 - year, 5 - year, and 2 - year main contracts down 0.26%, 0.11%, 0.03%, and 0.02% respectively [1]. - The treasury bond futures index was - 0.12. The volume - price factor was bullish, and the fundamental factor was bearish. Without leverage, the cumulative returns of the strategy in the past 20, 60, 120, and 240 days were 0.04%, - 0.53%, 0.14%, and 1.27% respectively [1]. - The trading volume of the 2 - year, 5 - year, 10 - year, and 30 - year main contracts was 32,028, 43,924, 58,575, and 62,401 respectively, and the open interest was 104,798, 128,934, 165,848, and 92,091 respectively [3]. - The IRR of the 2 - year, 5 - year, 10 - year, and 30 - year active CTD bonds was 1.95%, 2.07%, 1.88%, and 3.58% respectively, and the current R007 was about 1.6794% [3]. 3.2 Equity Market Conditions - On May 27, the equity market oscillated and adjusted throughout the day, with the ChiNext Index leading the decline. The Shanghai Composite Index fell 0.18%, the Shenzhen Component Index fell 0.61%, and the ChiNext Index fell 0.68%. The market hotspots were scattered, and the number of rising and falling stocks was basically the same [1]. 3.3 Money Market Conditions - On May 27, the overnight shibor was 1.4520%, down 5.4bp from the previous trading day; the 7 - day shibor was 1.5980%, up 1.9bp; the 14 - day shibor was 1.6670%, down 2.1bp; the 1 - month shibor was 1.6140%, up 0.2bp [2]. - The bank - to - bank pledged repurchase market traded 2.4 billion yuan, an increase of 1.62%. The overnight rate closed at 1.45%, up 1bp from the previous trading day; the 7 - day rate closed at 1.70%, up 19bp; the 14 - day rate closed at 1.65%, down 4bp; the 1 - month rate closed at 1.60%, down 6bp [4]. 3.4 Bond Yield Curve Conditions - The treasury bond yield curve rose by 0.29 - 1.10BP (the 2 - year yield rose 0.29BP to 1.47%; the 5 - year yield rose 0.78BP to 1.57%; the 10 - year yield rose 0.38BP to 1.72%; the 30 - year yield rose 1.10BP to 1.90%). The credit bond yield curve showed mixed changes [4]. 3.5 Net Long Position Changes by Institution Type - The daily net long position of private funds decreased by 3.27%, foreign capital decreased by 2.46%, and wealth management subsidiaries decreased by 2.4%. The weekly net long position of private funds decreased by 5.28%, foreign capital decreased by 4.11%, and wealth management subsidiaries decreased by 3.69% [6]. 3.6 Macro and Industry News - On May 27, the central bank conducted 448 billion yuan of 7 - day reverse repurchase operations at an operating rate of 1.40%, unchanged from before. There were 357 billion yuan of reverse repurchases due on the same day [8]. 3.7 Trend Intensity - The trend intensity of treasury bond futures was 0, indicating a neutral state [9].