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国债期货:曲线结构延续走平,一揽子政策在途,关注国新办发布会
Guo Tai Jun An Qi Huo· 2025-05-07 01:34
Report Summary 1. Report Industry Investment Rating - No investment rating information is provided in the report. 2. Core Viewpoints - The curve structure of Treasury bond futures continues to flatten, and a package of policies is on the way. Attention is drawn to the press conference of the State Council Information Office [1]. 3. Summary by Relevant Catalogs 3.1 Market Performance - On May 6, most Treasury bond futures closed lower, with the 30 - year main contract up 0.11%, the 10 - year main contract flat, the 5 - year main contract down 0.04%, and the 2 - year main contract down 0.06%. The Treasury bond futures index was 0.73. The strategy's cumulative returns without leverage were - 0.28% in the past 20 days, - 0.77% in the past 60 days, 0.38% in the past 120 days, and 1.48% in the past 240 days [1]. - The equity market opened and closed higher, with the ChiNext Index leading the gains. The Shanghai Composite Index closed above 3300, up 1.13%, the Shenzhen Component Index up 1.84%, and the ChiNext Index up 1.97%. Nearly 5000 stocks in the whole market rose [1]. 3.2 Capital and Interest Rates - Overnight shibor was reported at 1.7020%, down 5.8bp from the previous trading day; 7 - day shibor was 1.7070%, down 5.5bp; 14 - day shibor was 1.7370%, down 4.4bp; 1 - month shibor was 1.7320%, down 1.1bp [2]. - The inter - bank pledged repurchase market traded 2.2 billion yuan on May 6, an increase of 45.51%. Overnight rate closed at 1.65%, down 13bp; 7 - day rate closed at 1.70%, down 25bp; 14 - day rate closed at 1.76%, down 14bp; 1 - month rate closed at 1.75%, up 2bp [4]. 3.3 Futures Contracts - The opening, high, low, and closing prices, as well as trading volume and open interest of 2 - year, 5 - year, 10 - year, and 30 - year Treasury bond futures main contracts on the previous trading day are provided. The 2 - year active CTD bond was 240024.IB with an IRR of 2.16%, the 5 - year was 240014.IB with an IRR of 2.31%, the 10 - year was 220003.IB with an IRR of 2.46%, and the 30 - year was 200012.IB with an IRR of 5.05%. Currently, R007 is about 0% [3]. 3.4 Yield Curves - The Treasury bond yield curve shifted upward by 0.30 - 0.76BP (2Y up 0.33BP to 1.45%; 5Y up 0.76BP to 1.53%; 10Y up 0.68BP to 1.63%; 30Y up 0.30BP to 1.83%). The credit bond yield curve shifted downward by 1.50 - 3.50BP [4][5]. 3.5 Institutional Positions - The net long positions of private funds decreased by 0.82%, foreign capital decreased by 0.72%, and wealth management subsidiaries remained unchanged [6]. 3.6 Macro and Industry News - On May 6, the central bank conducted 40.5 billion yuan of 7 - day reverse repurchase operations at an interest rate of 1.50%, unchanged from before. The State Council Information Office will hold a press conference on May 7 to introduce a package of financial policies to support market stability and expectations [8]. 3.7 Trend Intensity - The trend intensity of Treasury bond futures is 1, indicating a neutral - to - bullish trend [9].