大越期货国债期货早报-20250603

Report Summary 1. Investment Rating No investment rating for the industry is provided in the report. 2. Core View The domestic bond market rebounded, with spot bonds and futures strengthening. The 30 - year Treasury bond futures main contract rose 0.56%, and major interest - rate bond yields declined by 1 - 3 bp. The resumption of Trump's tariff policy increased risk - aversion, and the end - of - month liquidity was ample, leading to a temporary bond market rebound. Going forward, Treasury bond futures are expected to remain volatile [3][5]. 3. Summary by Directory 3.1 Periodic Bond Market Review - Fundamentals: The domestic bond market stopped falling and rebounded, with the 30 - year Treasury bond futures main contract up 0.56%, and major interest - rate bond yields down 1 - 3 bp. The resumption of Trump's tariff policy led to increased risk - aversion, and the end - of - month liquidity was ample [3]. - Funding: On May 30, the central bank conducted 291.1 billion yuan of 7 - day reverse repurchase operations at a rate of 1.40%, with daily net investment of 148.6 billion yuan [3]. - Basis: TS, TF, and T main contract bases are negative, indicating spot bonds are at a discount to futures and bearish. TL main contract basis is positive, indicating spot bonds are at a premium to futures and bullish [3]. - Inventory: The deliverable bond balances of TS, TF, and T main contracts are 1.3594 trillion, 1.4935 trillion, and 2.3599 trillion respectively, considered neutral [4]. - Market: TS, TF, and T main contracts are above the 20 - day moving average, with the 20 - day moving average upward, indicating a bullish trend [4]. - Main Positions: TS and TF main contracts have net long positions with long positions increasing; T main contract has a net long position with long positions decreasing [5]. - Expectation: May's PMI rebounded but remained in the contraction range, and the LPR was cut for the first time this year. The central bank adjusted MLF operations and mentioned potential RRR and interest - rate cuts. After the impact of the tariff war subsided and RRR and interest - rate cuts were implemented, the bond market's adjustment momentum is limited, and futures are expected to remain volatile [5]. 3.2 Market Review | Futures Contract | Current Price | Change Rate | Trading Volume | Open Interest | Daily Position Change | CTD Bond | | --- | --- | --- | --- | --- | --- | --- | | T2509 | 108.725 | +0.21% | 96,000 | 285,750 | - 1,142 | 240013.IB | | TF2509 | 106.020 | +0.14% | 79,600 | 219,680 | 5,684 | 240001.IB | | TS2509 | 102.396 | +0.04% | 54,900 | 171,028 | 5,667 | 240012.IB | | TL2509 | 119.41 | +0.56% | 96,300 | 148,128 | - 780 | 200012.IB | [8] 3.3 Spot Bond Analysis The report presents DR interest rates and inter - bank Treasury bond yields and maturity spreads, but specific numerical analysis is not provided [9][13] 3.4 Basis Analysis The report shows the basis trends of T2509, TF2509, and TS2509 CTD bonds, but specific numerical analysis is not provided [16][17][19]