2025 年 06 月 04 日 国债期货：震荡局势趋势未明朗，复苏预期在 途债市或承压 | 虞堪 | 投资咨询从业资格号：Z0002804 | yukan@gtht.com | | --- | --- | --- | | 林致远 | 投资咨询从业资格号：Z0021471 | linzhiyuan@gtht.com | 【基本面跟踪】 6 月 3 日，国债期货 30 年期主力合约上涨 0.03%，国债期货 10 年期主力合约下跌 0.03%，国债期货 5 年期主力合约下跌 0.04%，国债期货 2 年期主力合约下跌 0.04%。 货币市场方面，6 月 3 日银行间质押式回购市场共成交 26 亿元，增加 47.17%。其中，隔夜收于 1.41%，较前一交易日下跌 19bp，7 天收于 1.56%，较前一交易日下跌 19bp；中期方面，14 天收于 1.57%，较前一交易日下跌 16bp；长期方面，1 个月收于 1.55%，较前一交易日下跌 5bp。 现券方面：国债收益率曲线上行 0.30-1.62BP（2Y 期上行 1.57BP 至 1.48%；5Y 期上行 1.62BP 至 1.58%；10Y 期上行 0.7 ...

Report Summary 1. Report Industry Investment Rating No relevant information provided. 2. Core View of the Report The stock - bond negative correlation continues with range - bound fluctuations, and the short - term trend is unclear. It is advisable to watch cautiously [1]. 3. Summary by Related Catalogs 3.1 Fundamental Tracking - On May 31, treasury bond futures closed higher across the board. The 30 - year, 10 - year, 5 - year, and 2 - year main contracts rose 0.56%, 0.21%, 0.14%, and 0.04% respectively [2]. - The treasury bond futures index was - 0.24. The volume - price factor was bearish, and the fundamental factor was bullish. Without leverage, the cumulative returns of the strategy in the past 20, 60, 120, and 240 days were - 0.08%, - 0.34%, - 0.15%, and 1.15% respectively [2]. - In terms of funds, the overnight shibor was 1.4710%, up 6.0bp from the previous trading day; the 7 - day shibor was 1.6170%, up 1.5bp; the 14 - day shibor was 1.7390%, down 0.5bp; the 1 - month shibor was 1.6200%, down 0.1bp [2]. 3.2 Previous Trading Day Treasury Bond Futures Market - Details of the opening, high, low, closing prices, price changes, amplitudes, trading volumes, and open interests of 2 - year, 5 - year, 10 - year, and 30 - year main contracts are provided. For example, the 2 - year main contract TS2509 opened at 102.372, closed at 102.396, and rose 0.04% [3]. - The 2 - year, 5 - year, 10 - year, and 30 - year active CTD bonds and their IRRs are given, with the current R007 at about 1.6972% [3]. 3.3 Money Market and Bond Market - On May 30, the inter - bank pledged repurchase market traded 1.7 billion yuan, a decrease of 17.95%. Interest rates for different terms had different changes [4]. - The treasury bond yield curve shifted down by 1.80 - 2.75BP, and the credit bond yield curve shifted down by 2.00 - 11.00BP [4]. - In terms of the daily change of net long positions by institutional type, private funds, foreign capital, and wealth management subsidiaries increased by 4.31%, 7.83%, and 5.61% respectively. In weekly changes, private funds decreased by 1.45%, while foreign capital and wealth management subsidiaries increased by 3.95% and 3.83% respectively [4]. 3.4 Macro and Industry News On May 31, the central bank conducted 291.1 billion yuan of 7 - day reverse repurchase operations at an interest rate of 1.40%, the same as before. With 142.5 billion yuan of 7 - day reverse repurchases maturing, a net injection of 148.6 billion yuan was achieved [8]. 3.5 Trend Intensity The trend intensity of treasury bond futures was 0, with the range of trend intensity being an integer in the [- 2, 2] interval [9].

Report Industry Investment Rating - Not mentioned Core Viewpoints - On May 29, most treasury bond futures closed down, with the 30 - year main contract down 0.04%, the 5 - year and 2 - year main contracts down 0.01%, and the 10 - year main contract flat. The equity market adjusted throughout the day, with the ChiNext Index leading the decline. The market lacks strong driving factors, and a cautious attitude is recommended [1] - The trend strength of treasury bond futures is 0, indicating a neutral outlook [9] Summary by Relevant Catalogs [Fundamentals Tracking] - On May 29, the treasury bond futures index was 0.48. The volume - price and fundamental factors were bullish. Without leverage, the cumulative returns of the strategy were 0.05% in the past 20 days, - 0.58% in the past 60 days, - 0.02% in the past 120 days, and 1.26% in the past 240 days [1] - In the equity market, as of the close, the Shanghai Composite Index was down 0.18%, the Shenzhen Component Index was down 0.61%, and the ChiNext Index was down 0.68%. Market hotspots were scattered, and the number of rising and falling stocks was roughly equal [1] - In the money market, on May 28, the overnight shibor was 1.4110%, down 4.1bp from the previous trading day; the 7 - day shibor was 1.5780%, down 2.0bp; the 14 - day shibor was 1.6690%, up 0.2bp; the 1 - month shibor was 1.6150%, up 0.1bp [2] - The trading volume of the inter - bank pledged repurchase market on May 28 was 2.3 billion yuan, a decrease of 5.90%. Overnight rates closed at 1.35%, down 10bp; 7 - day rates closed at 1.50%, down 20bp; 14 - day rates closed at 1.68%, up 3bp; 1 - month rates remained flat at 1.60% [4] - The yield curves of treasury bonds and credit bonds showed mixed trends. The 2Y - term treasury bond yield moved down 0.03BP to 1.47%; the 5Y - term moved up 0.50BP to 1.58%; the 10Y - term moved down 4.06BP to 1.68%; the 30Y - term moved up 0.50BP to 1.91%. Among credit bonds, the 6M - term yield of AAA - rated medium - and short - term notes remained at 1.75%, the 1Y - term moved up 1.00BP to 1.79%, the 3Y - term moved up 3.50BP to 1.80%, and the 5Y - term moved up 8.00BP to 2.07% [4] - In terms of the net long - position changes of different institutional types, on a daily basis, private funds decreased by 0.38%, foreign capital decreased by 0.9%, and wealth management subsidiaries decreased by 1.75%. On a weekly basis, private funds decreased by 5.52%, foreign capital decreased by 4.93%, and wealth management subsidiaries decreased by 5.27% [6] [Market Data] - The opening, high, low, and closing prices, as well as trading volume and open interest of the 2 - year, 5 - year, 10 - year, and 30 - year treasury bond futures main contracts on the previous trading day are provided. For example, the 2 - year TS2509 opened at 102.412, closed at 102.400, down 0.01%, with a trading volume of 27,085 and an open interest of 106,440 [3] - The 2 - year active CTD bond was 250006.IB with an IRR of 1.96%; the 5 - year was 240020.IB with an IRR of 1.91%; the 10 - year was 220010.IB with an IRR of 1.68%; the 30 - year was 210014.IB with an IRR of 1.06%. Currently, R007 is about 1.6948% [3] [Macro and Industry News] - On May 28, the central bank conducted 215.5 billion yuan of 7 - day reverse repurchase operations at an interest rate of 1.40%, unchanged from before [8] [Trend Intensity] - The trend intensity of treasury bond futures is 0, indicating a neutral view. The range of trend intensity is from - 2 (most bearish) to 2 (most bullish) [9]

2025 年 05 月 08 日 国债期货：双降落地长债调整，曲线结构走陡 | 虞堪 | 投资咨询从业资格号：Z0002804 | yukan@gtht.com | | --- | --- | --- | | 林致远 | 投资咨询从业资格号：Z0021471 | linzhiyuan@gtht.com | 【基本面跟踪】 5 月 7 日，国债期货收盘全线下跌，30 年期主力合约跌 0.62%，10 年期主力合约跌 0.19%，5 年期主 力合约跌 0.08%，2 年期主力合约跌 0.01%。 国债期货指数为 0.85。量价因子看多，基本面因子看多。无杠杆下，策略近 20 日累加收益为 0.13%，近 60 日累加收益为-0.83%，近 120 日累加收益为 0.24%，近 240 日累加收益为 1.38%。 权益市场方面，市场全天高开后震荡回落，三大指数小幅上涨。截至收盘，沪指涨 0.8%，深成指涨 0.22%，创业板指涨 0.51%。盘面上，市场热点快速轮动，个股涨多跌少，全市场超 3200 只个股上涨。 资金方面，隔夜 shibor 报 1.6570%，较前一交易日下跌 4.5bp，7 天 shibor ...