Report Summary 1) Report Industry Investment Rating No investment rating information is provided in the report. 2) Core View of the Report The situation of Treasury bond futures is oscillating with an unclear trend, and the bond market may face pressure due to the ongoing recovery expectations [1]. 3) Summary by Relevant Catalogs a. Fundamental Tracking - On June 3, the 30 - year Treasury bond futures main contract rose 0.03%, while the 10 - year, 5 - year, and 2 - year main contracts fell 0.03%, 0.04%, and 0.04% respectively [1]. - In the money market, overnight shibor was 1.4100%, down 6.1bp from the previous trading day; 7 - day shibor was 1.5150%, down 10.2bp; 14 - day shibor was 1.5790%, down 16.0bp; 1 - month shibor was 1.6200%, unchanged from the previous trading day [1]. b. Previous Trading Day Treasury Bond Futures Market | Contract | Opening Price | High Price | Low Price | Closing Price | Change (%) | Amplitude (%) | Volume | Open Interest | | --- | --- | --- | --- | --- | --- | --- | --- | --- | | TS2509 (2 - year) | 102.386 | 102.388 | 102.350 | 102.352 | - 0.04 | 0.04 | 37274 | 115402 | | TF2509 (5 - year) | 106.005 | 106.040 | 105.940 | 105.960 | - 0.04 | 0.09 | 47214 | 138590 | | T2509 (10 - year) | 108.700 | 108.750 | 108.650 | 108.685 | - 0.03 | 0.09 | 42868 | 167327 | | TL2509 (30 - year) | 119.350 | 119.570 | 119.290 | 119.450 | 0.03 | 0.23 | 60835 | 93807 | - The 2 - year active CTD bond was 250006.IB with an IRR of 1.89%; the 5 - year was 240020.IB with an IRR of 1.80%; the 10 - year was 220010.IB with an IRR of 1.73%; the 30 - year was 210005.IB with an IRR of 1.82%. Currently, R007 is about 1.5877% [2]. c. Money Market - On June 3, the inter - bank pledged repurchase market traded 2.6 billion yuan, an increase of 47.17%. Overnight rate was 1.41%, down 19bp from the previous trading day; 7 - day rate was 1.56%, down 19bp; 14 - day rate was 1.57%, down 16bp; 1 - month rate was 1.55%, down 5bp [3]. d. Cash Bond - The Treasury bond yield curve shifted up by 0.30 - 1.62BP (2Y up 1.57BP to 1.48%; 5Y up 1.62BP to 1.58%; 10Y up 0.72BP to 1.68%; 30Y up 0.30BP to 1.90%). The credit bond yield curve showed mixed movements [3]. e. Macro and Industry News - On June 3, the central bank conducted 454.5 billion yuan of 7 - day reverse repurchase operations at an interest rate of 1.40% [7]. f. Trend Intensity - The trend intensity of Treasury bond futures is 0, with the range of trend intensity being integers in the [- 2, 2] interval [8].
国债期货:震荡局势趋势未明朗,复苏预期在途债市或承压
Guo Tai Jun An Qi Huo·2025-06-04 01:47