国债期货日报：赎回压力？-20250528

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View The report suggests patience and a "more watching, less action" approach. As interest rates rise slightly, the cost - effectiveness of bond allocation is increasing. The current narrow - fluctuating market is a good opportunity for allocation funds to gradually build positions. Rumors of bond fund redemptions, mainly concentrated in insurance, may not pose a significant risk, and subsequent funds are likely to flow back to the bond market. There are also rumors of large banks buying short - term bonds, which may be for future central bank bond purchases [1][3]. 3. Summary by Directory 3.1. Market Performance - Treasury bond futures opened and fluctuated upward throughout the day, turned positive in the afternoon, and slightly declined at the close. Interest rates rose in the afternoon, possibly due to fund redemption rumors. The central bank conducted 215.5 billion yuan of reverse repurchases, with 157 billion yuan maturing, resulting in a net injection of 58.5 billion yuan. The pressure of cross - month funds is emerging, with most maturities rising above 1.6%, and exchange - traded funds approaching 1.8%. However, the central bank's continuous net injection maintains liquidity expectations [1]. 3.2. Market Judgment - The bond market lacks a clear trend, but as interest rates rise slightly, the cost - effectiveness of allocation increases. The current market is unfavorable for trading positions but suitable for allocation funds to build positions. There are both redemption and buying rumors in the market. The rumored large - scale redemption of bond funds by insurance institutions is likely true, and subsequent funds may flow back to the bond market. There are also rumors that large banks are buying short - term bonds in preparation for central bank bond purchases [3]. 3.3. Data Overview - Contract Data: The prices of some contracts such as TS2506 and TF2506 remained unchanged on the day, while T2506 and TL2506 had slight increases. The open interest of most contracts increased, except for the TL contract, which decreased. The trading volume of some contracts decreased, while the TF contract increased [4]. - Funding Rate Data: DR001, DR007, and DR014 all showed declines. The trading volume of DR001, DR007, and DR014 remained unchanged [6]. - Yield and Spread Data: The report also presents various yield and spread data, including 10 - year and 30 - year Chinese government bond yields, 7Y - 2Y bond spreads, US 10 - year and 3 - month Treasury yields, and Sino - US interest rate spreads [13].