国债期货周报：债市震荡整理，警惕长端补跌-20250530

Report Industry Investment Rating - No information provided in the report Core Viewpoints of the Report - The domestic economic recovery shows marginal weakness but retains resilience, and with the short - term improvement of the trade situation in May and the implementation of growth - stabilizing policies, the fundamentals are expected to improve marginally [95]. - Overseas economies show signs of recession, with the US economy facing challenges such as a decline in GDP and a weakening labor market, and inflation is expected to rise gradually [96]. - The bond market is expected to continue its oscillatory consolidation pattern, with low probability of significant fluctuations in the short term. Attention should be paid to subsequent high - frequency economic data and changes in the capital market. Also, be wary of the risk of long - end bond price corrections [96]. Summary by Directory 1. Market Review - Weekly Data: The 30 - year, 10 - year, 5 - year, and 2 - year Treasury futures' main contracts (TL2509, T2509, TF2509, TS2509) fell by 0.16%, 0.11%, 0.03%, and 0.01% respectively. The trading volumes were 431,000, 373,000, 307,000, and 197,000 contracts respectively. The settlement prices were 41.119, 108.72, 106.01, and 102.40 respectively [13][14]. - Treasury Futures Market Review: The trading volumes of TS and T main contracts decreased, while those of TF and TL main contracts increased. The open interest of TS, TF, T, and TL main contracts all increased [32]. 2. News Review and Analysis - Key News Review: On May 26, the General Offices of the CPC Central Committee and the State Council issued the "Opinions on Improving the Modern Enterprise System with Chinese Characteristics". Moody's maintained China's sovereign credit rating at "A1" with a negative outlook. On May 27, it was announced that in April, the profits of industrial enterprises above the designated size in China increased by 3% year - on - year. From May 28 - 29, multiple important events occurred, including the release of the Fed's meeting minutes and the issuance of the "Opinions on Improving the Market - based Allocation System of Resource and Environmental Elements" [35][36]. 3. Chart Analysis - Spread Changes - Treasury Yield Spreads: The spreads between 10 - year and 5 - year, and 10 - year and 1 - year Treasury yields both narrowed slightly [45]. - Main Contract Spreads: The spread between 2 - year and 5 - year main contracts oscillated, and the spread between 5 - year and 10 - year main contracts narrowed slightly [49]. - Treasury Futures Near - and Far - Month Spreads: The spreads of 10 - year, 30 - year, 2 - year, and 5 - year contracts all weakened slightly [55][61]. - Treasury Futures Main Contract Open Interest Changes: The net short positions of the top 20 open interests in the T main contract increased slightly [65]. - Interest Rate Changes - Shibor and Treasury Yields: Overnight Shibor rates declined, while 1 - week, 2 - week, and 1 - month Shibor rates rose. Treasury bond yields weakened, with 1 - 7Y yields rising by 2 - 3bp, and 10Y and 30Y yields rising by about 2bp to 1.68% and 1.92% respectively [69]. - China - US Treasury Yield Spreads: The spreads between 10 - year and 30 - year China - US Treasury yields both narrowed slightly [73]. - Central Bank Open - Market Operations: The central bank conducted 1,602.6 billion yuan in reverse repurchases, with 946 billion yuan in reverse repurchases maturing, resulting in a net injection of 656.6 billion yuan. The weighted average DR007 rate rebounded to around 1.66% [76]. - Bond Issuance and Maturity: This week, bonds worth 105.7177 billion yuan were issued, with a total repayment of 87.1891 billion yuan, and a net financing of 18.5286 billion yuan [79]. - Market Sentiment - Exchange Rates: The central parity rate of the RMB against the US dollar was 7.1848, up 71 basis points this week. The spread between offshore and onshore RMB weakened [85]. - US Treasury Yields and VIX Index: The 10 - year US Treasury yield and the VIX index both declined slightly [88]. - A - Share Risk Premium: The 10 - year Treasury yield rose slightly, and the A - share risk premium declined slightly [92]. 4. Market Outlook and Strategy - Market Outlook: The domestic economy continues to recover moderately, while overseas economies show signs of recession. The bond market is expected to continue its oscillatory consolidation pattern, and attention should be paid to subsequent high - frequency economic data and changes in the capital market. Be wary of the risk of long - end bond price corrections [95][96]. - Strategy: Given the current situation, the possibility of further interest rate cuts is low. The bond market is driven by the capital and fundamental factors, and there may be no high - quality short - term trading opportunities. One should be cautious about the risk of long - end bond price corrections [96].